AccountData1
Provides information on the accounts of the securitisation.
AccountIdentifier
Unique identifier of the account.
AccountDetails
Provides information on the accounts of the transaction.
ActiveCurrencyCode
A code allocated to a currency by a Maintenance Agency under an international identification scheme as described in the latest edition of the international standard ISO 4217 "Codes for the representation of currencies and funds".
ActiveOrHistoricCurrencyAndAmount
A number of monetary units specified in an active or a historic currency where the unit of currency is explicit and compliant with ISO 4217.
Currency
Medium of exchange of currency.
ActiveOrHistoricCurrencyCode
A code allocated to a currency by a Maintenance Agency under an international identification scheme, as described in the latest edition of the international standard ISO 4217 "Codes for the representation of currencies and funds".
AmountAndDirection53
Amount of money expressed with an optional currency code and debit/credit indicator.
Amount
Amount of money that results in an increase (positively signed) or decrease (negatively signed), with specification of the currency.
Sign
Indicates that the amount value is positive or negative.
Usage: When absent, the amount is positive.
BondIdentification1
Bond unique identifiers.
OriginalIdentifier
The original unique identifier assigned to this instrument. The reporting entity must not amend this unique identifier.
NewIdentifier
If the original identifier cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the value in field 'Original Tranche Identifier'. The reporting entity must not amend this unique identifier.
Cancellation6
Identification of the report to be cancelled.
ProgrammeCancellation
Cancels all previous reports of the specific Programme, based on the programme's unique identifier.
ReportCancellation
Cancels a specific report for the ABCP programme received on a specific cut-off date.
CounterpartyDetails1
Counterparty information section.
Identification
Counterparty description information.
RatingDetails
Counterparty rating information.
CounterpartyRating1
Counterparty rating information.
Threshold
The counterparty rating threshold as at the data cut-off date (if there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation).
In the event of multiple ratings, all ratings shall be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
Rating
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating as at the data cut-off date.
In the event of multiple rating thresholds, all rating thresholds are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
SourceLEI
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the Legal Entity Identifier of the provider of the counterparty rating (as specified in the Global Legal Entity Foundation (GLEIF) database) as at the data cut-off date.
In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
SourceName
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the full name of the provider of the counterparty rating as at the data cut-off date. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
CounterpartyType1Code
Specifies the type of the counterparty.
AccountBank
Counterparty is an Account Bank.
AccountBankFacilitator
Counterparty is an Account Bank facilitator.
AccountBankGuarantor
Counterparty is an Account Bank guarantor.
AdministrationAgent
Counterparty is an Administration agent.
AdministrationSubAgent
Counterparty is an Administration sub-agent.
Arranger
Counterparty is an arranger.
Auditor
Counterparty is an auditor.
BackupAccountBank
Counterparty is a Backup Account Bank.
BackupCurrencySwapProvider
Counterparty is a Backup Currency Swap Provider.
BackupInterestRateSwapProvider
Counterparty is a Backup Interest Rate Swap Provider.
BackupLiquidityFacilityProvider
Counterparty is a Backup Liquidity Facility Provider.
BackupServicer
Counterparty is a Backup Servicer.
BackupServicerFacilitator
Counterparty is a Backup Servicer facilitator.
CalculationAgent
Counterparty is a calculation agent.
CashAdvanceProvider
Counterparty is a cash adnance provider.
CashManager
Counterparty is a cash manager.
CollateralAccountBank
Counterparty is a Collateral Account Bank.
CollateralAgent
Counterparty is a collateral agent.
CollateralisedLoanObligationManager
Counterparty is a Collateralised Loan Obligation manager.
CollateralProvider
Counterparty is a collateral provider.
CollectionAccountBank
Counterparty is a Collection Account Bank.
Counsel
Counterparty is a Counsel.
CurrencySwapProvider
Counterparty is a Currency Swap provider.
Dealer
Counterparty is a dealer.
EquityOwnerOfConduitSSPE
Counterparty is an Equity Owner Of Conduit-SSPE.
GuaranteedInvestmentContractProvider
Counterparty is a guaranteed investment contract provider.
InsurancePolicyCreditProvider
Counterparty is an insurance policy credit provider.
InterestRateSwapProvider
Counterparty is an interest rate swap provider.
Issuer
Counterparty is an issuer.
LetterOfCreditProvider
Counterparty is a letter of credit provider.
LiquidityFacilityProvider
Counterparty is a liquidity facility provider.
LiquidityOrLiquidationAgent
Counterparty is a liquidity or liquidation agent.
MultiSellerConduit
Counterparty is a multi-select conduit.
Manager
Counterparty is a manager.
Originator
Counterparty is an originator.
Other
Any other counterparty type.
PayingAgent
Counterparty is a paying agent.
PortfolioAdvisor
Counterparty is a portfolio advisor.
RepresentativeOfNoteholders
Counterparty is a representative of noteholders.
RepurchaseAgreementCounterparty
Counterparty is a repurchase agreement counterparty.
SavingsMortgageParticipant
Counterparty is a savings mortgage participant.
SecuritisationSpecialPurposeEntity
Counterparty is a Securitisation Special Purpose Entity (SSPE).
SecurityAgent
Counterparty is a Security agent.
Seller
Counterparty is a seller.
Servicer
Counterparty is a servicer.
SpecialServicer
Counterparty is a special servicer.
SponsorOfTheSecuritisationSpecialPurposeEntity
Counterparty is a Sponsor of the Securitisation Special Purpose Entity (SSPE).
StartUpLoanOrLeaseProvider
Counterparty is a start-up loan or lease provider.
SubordinatedLoanProvider
Counterparty is a subordinated loan provider.
Subscriber
Counterparty is a subscriber.
SubstitutionAgent
Counterparty is a substitution agent.
SwinglineFacilityProvider
Counterparty is a swingline facility provider.
TransferAgent
Counterparty is a transfer agent.
Trustee
Counterparty is a trustee.
VerificationAgent
Counterparty is a verification agent.
Underwriter
Counterparty is an underwriter.
CountryCode
Code to identify a country, a dependency, or another area of particular geopolitical interest, on the basis of country names obtained from the United Nations (ISO 3166, Alpha-2 code).
CurrencyCode1Choice
Choice between a currency code or no data option.
Code
Code of the currency in which a transaction is made.
NoDataOption
Reason for not providing currency code.
CurrencySwap1
Currency swap information.
PayerCurrency
Enter the currency that the payer leg of the swap is paying.
ReceiverCurrency
Enter the currency that the receiver leg of the swap is paying.
ExchangeRate
The exchange rate that has been set for a currency swap.
MaturityDate
Date of maturity of the interest rate or currency swap.
Notional
Interest rate or currency swap notional amount as at the data cut-off date.
EconomicActivityCode1Choice
Choice between industry NACE code or no data option.
Code
Industry NACE Code, as set out in Regulation (EC) No 1893/2006 (or as otherwise amended).
NoDataOption
Reason for not providing a NACE code.
EntityNameAndContactDetails1
Information of the reporting entity and it's contact details.
Name
The full legal name of the entity designated as per Article 7(2) of Regulation (EU) 2017/2402; that name must match the name entered in for that entity in field SESP3 in the counterparty information section. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
ContactPerson
First and Last name of the contact person(s) responsible for preparing this securitisation comprehensive report and to whom questions on this comprehensive report must be addressed.
ContactTelephone
Direct telephone number(s) of the contact person(s) responsible for preparing this securitisation comprehensive report and to whom questions on this comprehensive report must be addressed.
ContactEmail
Direct email address(es) of the contact person(s) responsible for preparing this securitisation comprehensive report and to whom questions on this comprehensive report must be addressed.
EventFrequency11Code
Specifies the regularity of an event.
Monthly
Event takes place every month or once a month.
Quarterly
Event takes place every three months or four times a year.
SemiAnnual
Event takes place every six months or two times a year.
Annual
Event takes place every year or once a year.
Other
Unspecified frequency of event.
FinancialBreachConsequence2Code
Specifies the consequence, as per the securitisation documentation, for this test/event/trigger not being satisfied (being breached).
ChangeInPriorityOfPayments
Consequence for the breach is change in the priority of payments.
ReplacementOfACounterparty
Consequence for the breach is the replacement of a counterparty.
BothChangeInPriorityOfPaymentsAndReplacementOfCounterparty
Consequence for the breach is both change in the priority of payments and replacement of a counterparty.
Other
Any other consequence for the breach.
GuaranteeDetails2
Guarantee information.
GuarantorName
Full legal name of the guarantor.
This includes arrangements whereby an institution commits to buy defaulted receivables from the seller. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
GuarantorLEI
Provides the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the guarantor.
This includes arrangements whereby an institution commits to buy defaulted receivables from the seller.
MaximumCoverage
Maximum amount of coverage under the guarantee/purchasing agreement.
MaturityDate
Date at which the guarantee will expire.
ISINIdentifier1Choice
Choice between International Securities Identification Number (ISIN) or no data option.
ISIN
International Securities Identification Number (ISIN) code.
NoDataOption
Reason for not providing ISIN code.
ISINOct2015Identifier
International Securities Identification Number (ISIN). A numbering system designed by the United Nation's International Organisation for Standardisation (ISO). The ISIN is composed of a 2-character prefix representing the country of issue, followed by the national security number (if one exists), and a check digit. Each country has a national numbering agency that assigns ISIN numbers for securities in that country.
ISODate
A particular point in the progression of time in a calendar year expressed in the YYYY-MM-DD format. This representation is defined in "XML Schema Part 2: Datatypes Second Edition - W3C Recommendation 28 October 2004" which is aligned with ISO 8601.
ISODate2Choice
Choice between a date or no data option.
Date
Date of the event.
NoDataOption
Reason for not providing date.
InterestRateIndex1Code
Specifies the base reference interest index currently applicable (the reference rate off which the interest rate is set).
EuropeanCentralBankBaseRate
European Central Bank Base Rate (ECBR).
EuroSwiss
Swiss Franc LIBOR rate.
FutureSWAP
Portion of a synthetic curve that is composed of Eurodollar or Treasury or similar Futures and Swap rates. The term usually begins at 3 months to 2 years for the futures strip component with the Swaps filling in the points to 10 years and beyond.
GCFRepo
GCF Repo Index, the Depository Trust & Clearing Corporation (DTCC) general collateral finance repurchase agreements index.
ISDAFIX
Worldwide common reference rate value for fixed interest rate swap rates, as defined by the International Swaps and Derivatives Association (ISDA).
JIBAR
Johannesburg Interbank Agreed Rate.
LenderOwnRate
Lender Own Rate (LDOR).
LIBID
Rate at which major international banks are willing to take deposits from one another, is normally 1/8 percent below LIBOR.
London InterBank Bid Rate, the rate bid by banks on Eurocurrency deposits; the international rate that banks lend to other banks.
LIBOR
London Interbank Offered Rate, the interest rate that major international banks in London charge each other for borrowing.
MOSPRIM
Moscow Prime Offered Rate.
MuniAAA
Benchmark curve used for municipals based on the best credit rating for municipal market debt.
OTHER
Any other rate.
NIBOR
Norwegian Interbank Offered Rate.
Pfandbriefe
Pfandbriefe security is a collateralised bullet bond backed by either mortgage loans or loans to the public sector. Pfandbriefe differ from traditional asset-backed securities in significant ways. The most important difference is that Pfandbriefe carry no pre-payment risk since they remain on the balance sheet of the issuing institution. Therefore, their spreads over sovereign bonds are attributable to liquidity and credit quality alone. New indices have been created and existing indices have been modified in response to the growing importance of the Pfandbriefe market. The Deutsche Borse has three synthetic indices called REX, JEX, and PEX. The Pfandbriefe curve is used as a reference for credit as well as mortgage market.
PRIBOR
Czech Fixing of Interest Rates on Interbank Deposits.
STIBOR
Stockholm Interbank Offered Rate.
SWAP
In curve construction, Swap is the long portion of the curve constituting about 3 years to 30 years term.
The exchange of one security, currency or interest rate for another to change the maturity (bonds), or quality of issues (stocks or bonds), or because investment objectives have changed.
TELBOR
Tel Aviv Interbank Offered Rate.
Treasury
Treasury benchmark that comes in three types: the yield curve, the par curve, and the spot curve. All curves also have a constituent time series.
WIBOR
Warsaw Interbank Offered Rate.
TIBOR
Tokyo Interbank Offered Rate.
BankOfEnglandBaseRate
Bank of England base rate (BOER).
BBSW
Australian Financial Markets Association (AFMA) Bank-Bill Reference Rate (BBSW).
BUBOR
Budapest Interbank Offered Rate.
CDOR
Canadian Dollar Offered Rate.
CIBOR
Copenhagen Interbank Offered Rate.
EONIA
Euro OverNight Index Average rate.
EONIASwaps
Euro OverNight Index Average swap rate.
Euribor
Euro Interbank Offer Rate is the rate at which Euro inter-bank term deposits within the Euro zone are offered by one prime bank to another prime bank.
EURODOLLAR
Rate for the eurodollars, time deposits denominated in U.S. dollars at banks outside the United States, and thus are not under the jurisdiction of the Federal Reserve.
InterestRateIndex2Choice
Choice of interest rate index.
Code
Specifies the base reference interest index currently applicable (the reference rate off which the interest rate is set.
NoDataOption
Reason for not providing data for the current interest rate index.
InterestRateIndex2Code
Specifies interest rate swap benchmark on the payer leg of the swap is fixed to.
BUBOR
Budapest Interbank Offered Rate.
BBSW
Australian Financial Markets Association (AFMA) Bank-Bill Reference Rate (BBSW).
CDOR
Canadian Dollar Offered Rate.
CIBOR
Copenhagen Interbank Offered Rate.
EONIA
Euro OverNight Index Average rate.
EONIASwaps
Euro OverNight Index Average swap rate.
Euribor
Euro Interbank Offer Rate is the rate at which Euro inter-bank term deposits within the Euro zone are offered by one prime bank to another prime bank.
EURODOLLAR
Rate for the eurodollars, time deposits denominated in U.S. dollars at banks outside the United States, and thus are not under the jurisdiction of the Federal Reserve.
EuroSwiss
Swiss Franc LIBOR rate.
FutureSWAP
Portion of a synthetic curve that is composed of Eurodollar or Treasury or similar Futures and Swap rates. The term usually begins at 3 months to 2 years for the futures strip component with the Swaps filling in the points to 10 years and beyond.
GCFRepo
GCF Repo Index, the Depository Trust & Clearing Corporation (DTCC) general collateral finance repurchase agreements index.
ISDAFIX
Worldwide common reference rate value for fixed interest rate swap rates, as defined by the International Swaps and Derivatives Association (ISDA).
JIBAR
Johannesburg Interbank Agreed Rate.
LIBID
Rate at which major international banks are willing to take deposits from one another, is normally 1/8 percent below LIBOR.
London InterBank Bid Rate, the rate bid by banks on Eurocurrency deposits; the international rate that banks lend to other banks.
LIBOR
London Interbank Offered Rate, the interest rate that major international banks in London charge each other for borrowing.
MOSPRIM
Moscow Prime Offered Rate.
MuniAAA
Benchmark curve used for municipals based on the best credit rating for municipal market debt.
NIBOR
Norwegian Interbank Offered Rate.
OTHER
Any other rate.
Pfandbriefe
Pfandbriefe security is a collateralised bullet bond backed by either mortgage loans or loans to the public sector. Pfandbriefe differ from traditional asset-backed securities in significant ways. The most important difference is that Pfandbriefe carry no pre-payment risk since they remain on the balance sheet of the issuing institution. Therefore, their spreads over sovereign bonds are attributable to liquidity and credit quality alone. New indices have been created and existing indices have been modified in response to the growing importance of the Pfandbriefe market. The Deutsche Borse has three synthetic indices called REX, JEX, and PEX. The Pfandbriefe curve is used as a reference for credit as well as mortgage market.
PRIBOR
Czech Fixing of Interest Rates on Interbank Deposits.
STIBOR
Stockholm Interbank Offered Rate.
SWAP
In curve construction, Swap is the long portion of the curve constituting about 3 years to 30 years term.
The exchange of one security, currency or interest rate for another to change the maturity (bonds), or quality of issues (stocks or bonds), or because investment objectives have changed.
TELBOR
Tel Aviv Interbank Offered Rate.
TIBOR
Tokyo Interbank Offered Rate.
Treasury
Treasury benchmark that comes in three types: the yield curve, the par curve, and the spot curve. All curves also have a constituent time series.
WIBOR
Warsaw Interbank Offered Rate.
InterestRateIndexTenor1Code
Specifies the tenor of the interest rate index.
Day1
Tenor is 1 day.
IntraDay
Tenor is IntraDay.
Month1
Tenor is 1 month.
Month12
Tenor is 12 months.
Month2
Tenor is 2 months.
Month3
Tenor is 3 months.
Month6
Tenor is 6 months.
OnDemand
Tenor is on demand.
Overnight
Tenor is overnght.
Week1
Tenor is 1 week.
Week2
Tenor is 2 weeks.
Other
Tenor is other unspecified time unit.
Month4
Tenor is 4 months.
InterestRateIndexTenor2Choice
Choice of tenor for the interest rate index.
Code
Specifies the tenor for the interest rate index.
NoDataOption
Reason for not providing data for the interest rate index.
InterestRateSwap1
Interest rate swap information.
Benchmark
Type of interest rate swap benchmark on the payer leg of the swap is fixed to.
MaturityDate
Maturity date of the interest rate or currency swap.
Notional
Interest rate or currency swap notional amount as at the data cut-off date.
InterestRateSwapBenchmark1Choice
Choice of interest rate swap benchmark.
Code
Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to.
NoDataOption
Reason for not providing data for interest rate swap benchmark.
JurisdictionAndIssuance1
Programme information about governing law and issuance.
GoverningLaw
Specifies the jurisdiction governing the programme.
TotalIssuanceAmount
Total programme issuance outstanding, converted into GBP.
MaximumIssuanceAmount
Limit to the amount of issuance of the ABCP programme at any time (if any limit is defined).
LEIIdentifier
Legal Entity Identifier is a code allocated to a party as described in ISO 17442 "Financial Services - Legal Entity Identifier (LEI)".
LEIIdentifier1Choice
Choice between LEI identifier or no data option.
LEI
Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database).
Where no Legal Entity Identifier is available, enter ND5.
NoDataOption
Reason for not providing LEI.
LetterOfCreditData1
Letter of credit information.
ProviderName
Full legal name of the letter of credit provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
ProviderLEI
Provides the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the letter of credit provider for the transaction.
MaximumCoverage
Maximum amount of coverage, in percentage of the transaction underlying exposures, under the letter of credit protection agreement.
Currency
Letter of credit currency denomination.
LiquidityFacility1
Liquidity facility information.
Length
Period during which the transaction-level liquidity facility provides coverage to the transaction (in days).
DrawnAmount
Amount drawn on the liquidity agreement between the previous data cut-off date and the data cut-off date of the present data submission.
Coverage
Maximum funding amount (in percentage of the transaction underlying exposures) covered by the respective transaction-level liquidity facility.
CoverageInterval
The maximum number of days interval before the liquidity facility begins to fund the transaction, following any trigger breach generating liquidity facility payouts.
Type
Type of transaction-level liquidity facility.
RepurchaseAgreementMaturityDate
Date at which the repurchase agreement will expire (If the transaction-level liquidity facility uses repurchase agreements).
MaturityDate
Date at which the transaction-level liquidity facility will expire.
ProviderName
Full legal name of the transaction-level liquidity facility provider.
The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
ProviderLEI
Provides the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the transaction-level liquidity facility provider.
LiquidityFacility2
Liquidity facility information.
Length
Period during which the programme-level liquidity facility provides coverage to the programme (in days).
Coverage
Maximum funding amount (in percentage of the programme underlying exposures) covered by the respective programme-level liquidity facility.
CoverageInterval
The maximum number of days' interval before the programme-level liquidity facility begins to fund the transaction, following any trigger breach generating liquidity facility payouts.
MaturityDate
Date at which the programme-level liquidity facility will expire.
DrawingUnderLiquidityFacility
If the securitisation has a programme-level liquidity facility , indicates whether there has been a drawing under the liquidity facility in the period ending on the last interest payment date.
LiquidityFacilityType1Choice
Choice of liquidity facility transaction level.
Code
Type of transaction-level liquidity facility.
NoDataOption
Reason for not providing data for transaction-level liquidity facility.
LiquidityFacilityType1Code
Specifies the type of transaction-level liquidity facility.
AssetPurchase
Liquidity facility type is asset purchase.
LoanFacility
Liquidity facility type is loan facility.
Other
Any other type of liquidity facility type.
ParticipationAgreement
Liquidity facility type is participation agreement.
RepurchaseAgreement
Liquidity facility type is repurchase agreement.
MaterialAmendment1Choice
Choice between material amendments made, or no data option.
Description
Any material amendments made to transaction documents, including the name and item code (pursuant to Table 4 in Annex 1) of the document as well as a detailed description of the amendments.
NoDataOption
Reason for not providing data for material amendments.
SecuritisationItem1Choice
Choice between material amendments made, or no data option.
Code
The item code related to any material amendments made to transaction documents.
NoDataOption
Reason for not providing data for item code related to material amendments.
Max10000Text
Specifies a character string with a maximum length of 10000 characters.
Max10000Text2Choice
Choice between a value of max 10000 characters or no data option.
Value
A text with up to 100 characters.
NoDataOption
Reason for not providing data.
Max1000Text
Specifies a character string with a maximum length of 1000 characters.
Max1000Text2Choice
Choice between a value of max 1000 characters or no data option.
Value
A text with up to 1000 characters.
NoDataOption
Reason for not providing data.
Max100Text
Specifies a character string with a maximum length of 100 characters.
Max100Text3Choice
Choice between a value of max 100 characters or no data option.
Value
A text with up to 100 characters.
NoDataOption
Reason for not providing data.
Max256Text
Specifies a character string with a maximum length of 256 characters.
Max4Number
Number (max 9999) of objects represented as an integer.
Max4Number1Choice
Choice between integer number or no data option.
Number
Integer number.
NoDataOption
Reason for not providing data for weighted average life.
Max4PositiveNumber
Number (max 9999) of objects represented as a positive integer.
Monetary2Choice
Choice between a currency and amount or no data option.
Value
Value and currency of amount.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NoDataOption
Reason for not providing data for amount and currency.
Monetary3Choice
Choice between a currency and amount or no data option.
Value
Value and currency of amount.
NoDataOption
Reason for not providing data for amount and currency.
NACESubDomainIdentifier
Sub domain identifier for NACE (Nomenclature of Economic Activities which is the European statistical classification of economic activities).
NewCorrectionSignificantEventInvestorReport2
Creates a new ABCP significant event and an investor report or updates an existing one.
ProgrammeIdentifier
The unique identifier assigned by the reporting entity to this ABCP programme in accordance with Article 11(1) of Delegated Regulation (EU) …/… [include number of the disclosure RTS].
CutOffDate
The data cut-off date for this data submission. When submitted alongside an underlying exposures and investor report data submission, this must match the data cut-off date in the applicable underlying exposure and investor report templates submitted.
Securitisation
ABCP Securitisation Significant event and investor report.
NoDataAllowedJustification1Code
Specifies the reason for not providing data for a specific field.
NoData1
Data not collected as not required by the lending or underwriting criteria.
NoData2
Data collected on underlying exposure application but not loaded into the originator’s reporting system.
NoData3
Data collected on underlying exposure application but loaded onto a separate system from the originator’s reporting system.
NoData5
Not applicable.
NoDataAllowedJustification3Code
Specifies the reason for not providing data for a specific field.
NoData5
Not applicable.
NoDataAllowedJustification4Code
Specifies the reason for not providing data for a specific field.
NoData4
Data collected but will only be available from reported date.
NoDataFour1
Option for field values when data is not available at the momment of reporting but will be in the future.
Date
Data collected but will only be available from reported date.
NoData
Data collected but will only be available from reported date.
NoDataJustification1Choice
Options for field values when data is not available.
NoData
Options for field values when data is not available.
NoData4
Option for field values when data is not available at the moment but will be in future.
NoDataJustification3Choice
Options for field values when data is not available.
NoData
Options for field values when data is not available.
NumberOfDays1Choice
Choice between number of days or no data option.
NumberOfDays
Number of days.
NoDataOption
Reason for not providing number of days.
OriginatorData1
Originator information.
OriginatorClientOfProgrammeSponsor
Indicates whether the originator and programme sponsor have been, at the time of the transfer of assets, in a client relationship.
SecurityInterestGranted
Indicates whether the relevant SSPE/bankruptcy-remote subsidiary of the originator have granted security interest over its assets to the purchaser (SSPE).
Revenue
Total originator revenues for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months).
OperatingExpense
Total originator operating expenses provided by the most recent financial operating statement (i.e. year to date or trailing 12 months).
CurrentAsset
Originator current assets (maturing within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement.
Cash
Originator cash holdings, as of the most recent financial operating statement.
MarketableSecurity
Originator marketable securities, as of the most recent financial operating statement.
AccountReceivable
Originator accounts receivable, as of the most recent financial operating statement.
CurrentLiability
Originator current liabilities (due within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement.
TotalDebt
Originator total debt, as of the most recent financial operating statement.
TotalEquity
Originator total equity, as of the most recent financial operating statement.
PercentageRate
Rate expressed as a percentage, that is, in hundredths, for example, 0.7 is 7/10 of a percent, and 7.0 is 7%.
PercentageRate2Choice
Choice between percentage value or no data option.
Rate
Give the percentage (e.g. 0.05 represents 5% and 0.9525 represents 95.25%).
NoDataOption
Reason for not providing percentage.
PhoneNumber
The collection of information which identifies a specific phone or FAX number as defined by telecom services.
It consists of a "+" followed by the country code (from 1 to 3 characters) then a "-" and finally, any combination of numbers, "(", ")", "+" and "-" (up to 30 characters).
PlusOrMinusIndicator
Indicates a positive or negative value.
ProgrammeDetails1
Programme information section.
ReportingEntityDetails
Reporting entity information.
ProgrammeRiskPerformanceDetails
Underlying exposure risk and performance information.
ProgrammeWeightedAverageLife
Enter the remaining weighted average life of the pool of exposures underlying this ABCP programme, expressed in years.
ProgrammeRiskRetentionDetails
Risk retention information.
TransactionData
Information related to the transaction.
ProgrammeDetails2
Programme information section.
RegulatoryData
Provides information on the regulatory data.
JurisdictionAndIssuance
Provides information on the juridiction and issuance of the programme.
ProgrammeLiquidityFacilityData
Provides information on the liquidity facility of the programme.
TransactionData
Provides information on the transactions.
TrancheBond
Provides information on the tranches or bonds of the securitisation transaction.
AdditionalInformation
Any other information section.
ProgrammeIdentifier
Unique identifier for securitisations, assigned by the reporting entity according to the Regulation.
ReceivableTransferType1Code
Specifies the way that the underlying exposures have been transfered to the purchaser.
SecuredLoan
Transfer achieved by secured loan.
TrueSale
Transfer achieved by true sale.
Other
Transfer achieved by other mean.
RegulatoryData2
Regulatory information in case of ABCP inside information or significant event report.
NoLongerSTS
Indicates whether the ABCP programme ceased to meet STS requirements.
If the ABCP programme has never had STS status, ND5 should be reported.
RemedialAction
Has the competent authority taken any remedial actions relating to this securitisation.
If the securitisation is not an STS securitisation, ND5 should be reported.
AdministrativeAction
Has the competent authority taken any administrative actions relating to this securitisation.
If the securitisation is not an STS securitisation, ND5 should be reported.
MaterialAmendmentToTransactionDocument
Provides the description of any material amendments made to transaction documents, including the name and item code (pursuant to Table 4 in Annex I) of the document as well as a detailed description of the amendments.
ItemCode
Provides the item code(s) (pursuant to Table 3 in Annex I) corresponding to the amendments.
ReportCancellation1
Cancels a specific report of the Securitisation, based on the securitisation identifier and the submission date of the report.
ProgrammeIdentifier
The unique identifier assigned by the reporting entity to this ABCP programme
CutOffDate
The data cut-off date for this data submission.
ReportType
Specifies whether the securitisation report to be cancelled is the Investor report or the Inside information and significant event report.
RiskAndPerformanceDetails2
Underlying exposures risk and performance information.
TriggerMeasurementRatio
Indicates whether any underlying exposure-related trigger event occurred. These include any delinquency, dilution, default, loss, stop-substitution, stop-revolving, or similar exposure-related events which impact the securitisation, as at the data cut-off date. This also includes if there is a debit balance on any Principal Deficiency Ledger or an asset deficiency.
NonCompliantExposure
Pursuant to Article 26(1) of Regulation (EU) 2017/2402, enter the total value of exposures, using the current balance as at the data cut-off date, not compliant with Article 24(9), 24(10), and 24(11) of Regulation (EU) 2017/2402.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
RiskRetention2
Risk retention information.
Method
Method for complying with risk retention requirements in the EU (e.g. Article 6 of Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) 575/2013).
Holder
Which entity is retaining the material net economic interest, as specified in Article 6 of Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) 575/2013).
RiskRetentionHolder1Choice
Choice of risk retention holder.
Code
Entity that is retaining the material net economic interest, as specified in Article 6 of the Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) 575/2013).
NoDataOption
Reason for not providing data for risk retention holder.
RiskRetentionHolder2Code
Specifies the entity that is retaining the material net economic interest, as specified in Article 6 of the Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) 575/2013).
NoComplianceWithRiskRetentionRequirement
No Compliance with Risk Retention Requirement.
OriginalLender
Risk retention holder is original lender.
Originator
Risk retention holder is originator.
Other
Any other type of risk retention holder.
Seller
Risk retention holder is seller.
Sponsor
Risk retention holder is sponsor.
RiskRetentionMethod1Choice
Choice of risk retention method.
Code
Method for complying with risk retention requirements in the EU (e.g. Article 6 of the Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) 575/2013).
NoDataOption
Reason for not providing data for risk retention method.
RiskRetentionMethod1Code
Specifies the method for complying with risk retention requirements in the EU (for example. Article 6 of the Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) 575/2013).
FirstLossExposureInEachAsset
Risk retention method is first loss exposure in each asset, that is Article 6(3)(e).
FirstLossTranche
Risk retention method is First loss tranche, that is Article 6(3)(d).
NoComplianceWithRiskRetentionRequirements
No compliance with risk retention requirements.
Other
Any other risk retention method used.
RandomlySelectedExposuresKeptOnBalanceSheet
Risk retention method is randomly-selected exposures kept on balance sheet, that is Article 6(3)(c).
SellerShare
Risk retention method is seller's share, that is Article 6(3)(b).
VerticalSlice
Risk retention method is vertical slice, that is Article 6(3)(a).
Securitisation2
ABCP Securitisation report.
InsideInformationOrSignificantEvent
Inside Information or Significant Event.
InvestorReport
Investor report.
SecuritisationAccountDetails1
Account information.
AccountType
Type of the account.
TargetBalance
The amount of funds that would be on deposit in the account in question when it is fully funded pursuant to the securitisation documentation.
ActualBalance
The balance of funds on deposit in the account at the Accrual End Date.
AmortisingAccount
Indicates whether the account is amortising over the lifetime of the securitisation.
SecuritisationAccountIdentifier1
Unique identifier of the account.
OriginalIdentifier
The original unique account identifier. The reporting entity must not amend this unique identifier.
NewIdentifier
If the original identifier cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in 'Original Account Identifier'. The reporting entity must not amend this unique identifier.
SecuritisationAccountType1Code
Specifies the type of the account.
CashReserveAccount
Account type is cash reserve account.
ComminglingReserveAccount
Account type is commingling reserve account.
LiquidityFacility
Account type is liquidity facility.
MarginAccount
Account type is margin account.
OtherAccount
Any other account type used.
SetOffReserveAccount
Account type is set-off reserve account.
SecuritisationAdditionalInformation1
Additional information text provided line by line.
LineNumber
Enter the line number of the other information
InformationValue
The other information, line by line.
SecuritisationAssetBackedCommercialPaperSignificantEventInvestorReportV01
The SecuritisationAssetBackedCommercialPaperSignificantEventInvestorReport message is sent by the reporting agent to the securitisation repositories, to report significant events and information to investor in relation with the securitisation.
NewCorrection
For significant event, stores a new report. For investor report, either it stores a new report or if the identification and the data cut off date already exist, it replaces the old report with the new one.
Cancellation
Deletes a securitisation or a specific report.
SecuritisationCounterparty1
Counterparty description information.
LEI
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty.
Name
Give the full legal name of the counterparty. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
Type
Type of counterparty.
CountryOfDomicile
Country where the underlying exposure originator is established.
SecuritisationIdentifier
Unique identifier for Non-ABCP securitisations, assigned by the reporting entity according to Article 11(1) of the Commission Delegated Regulation (EU) …/… [include full reference to the disclosure RTS].
SecuritisationItem1Code
UnderlyingExposuresOrUnderlyingReceivablesOrCreditClaims
Underlying exposures or underlying receivables or credit claims
TrustDeedOrOtherAgreement
Trust deed; security deed; agency agreement; account bank
agreement; guaranteed investment contract; incorporated terms or
master trust framework or master definitions agreement or such legal
documentation with equivalent legal value
AssetSaleAgreement
Asset sale agreement; assignment; novation or transfer agreement; any relevant declaration of trust
DerivativeOrGuaranteesAgreement
Derivatives and guarantees agreements; any relevant documents on
collateralisation arrangements where the exposures being securitised
remain exposures of the originator
FinalOfferingDocumentOrProspectusClosingTransactionDocuments
Final offering document; prospectus; closing transaction documents, excluding legal opinions
InsideInformation
Inside information relating to the securitisation that the originator,
sponsor or SSPE is obliged to make public in accordance with the Regulation.
InterCreditorAgreements
Inter-creditor agreements; derivatives documentation; subordinated loan agreements; start-up loan agreements and liquidity facility agreements
InvestorReport
Investor report
OtherUnderlyingDocumentation
Any other underlying documentation that is essential for the understanding of the transaction
ServicingAgreement
Servicing; back-up servicing; administration and cash management
agreements
SignificantEvent
A significant event, such as:
(i) a material breach of the obligations provided for in the documents made available in accordance with Article
7(1)(b) of Regulation (EU) 2017/2402, including any remedy, waiver or consent subsequently provided in relation to such a breach;
(ii) a change in the structural features that can materially impact the performance of the securitisation;
(iii) a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation;
(iv) in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where competent authorities have taken remedial or
administrative actions;
(v) any material amendment to transaction documents.
STSNotification
Simple, transparent and standardised notification pursuant to Article 27 of Regulation (EU) 2017/2402
SecuritisationItem2Code
Specifies whether the securitisation report is an Investor report or an Inside information and significant event report.
InvestorReport
Investor report
SignificantEvent
A significant event, such as:
(i) a material breach of the obligations provided for in the documents made available in accordance with Article
7(1)(b) of Regulation (EU) 2017/2402, including any remedy, waiver or consent subsequently provided in relation to such a breach;
(ii) a change in the structural features that can materially impact the performance of the securitisation;
(iii) a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation;
(iv) in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where competent authorities have taken remedial or
administrative actions;
(v) any material amendment to transaction documents.
SecuritisationTransactionData1
Transaction information section.
TransactionIdentifier
The unique identifier assigned by the reporting entity to this ABCP transaction.
NoLongerSTS
Indicates whether the ABCP transaction ceased to meet STS requirements.
If the ABCP transaction has never had STS status, ND5 should be reported.
InterestRateSwap
Provides information on the interest rate swap.
CurrencySwap
Provides information on the currency swap.
NumberOfProgrammesFundingTheTransaction
Number of ABCP programmes that are funding this transaction.
Originator
Provides information on the originator of the transaction.
Sponsor
Provides information on the sponsor.
TransactionLiquidityFacility
Provides information on the liquidity facility of the ABCP transaction.
LetterOfCredit
Provides information on the letter of credit.
Guarantee
Provides information on the guarantee.
TransactionDetails
Provides information on the transaction.
Account
Provides information on the account level.
Counterparty
Provides information on the counterparties.
SecuritisationTransactionDetails1
Provides detailled information on the securitisation transaction.
OverCollateralisationSubordinatedInterest
The percentage of subordinated interest retained in the underlying exposures sold by the seller (alternatively: the discount granted by the seller on the purchase price of the underlying exposures).
Where the percentage of subordinated interest varies across the underlying exposures, the minimum OC across all of the underlying exposures are to be provided.
ExcessSpread
The amount of funds left over after application of all currently-applicable payments, costs, fees, etc., commonly referred to as ‘excess spread’.
ReceivableTransferType
Specifies how the transfer of underlying exposures to the purchaser has been achieved.
RepurchaseAgreementMaturityDate
Date at which any repurchase agreement governing the transfer of underlying exposures to the purchaser will expire.
PurchasedAmount
Amount of underlying exposures purchased from the originator in this transaction between the previous data cut-off date and the data cut-off date of the present data submission.
MaximumFundingLimit
Maximum funding limit that can be provided to the originator under the transaction, as at the data cut-off date.
SponsorData1
Sponsor information.
SupportLevel
Specifies the level at which the sponsor provides support.
FullSupport
Indicates whether the sponsor provides full support to this transaction.
SponsorSupport1Code
Specifies the level of support that the sponsor is providing.
Other
Sponsor provides support at any other level.
ProgrammeLevel
Sponsor provides support at programme level.
TransactionLevel
Sponsor provides support at transaction level.
SponsorSupportLevel1Choice
Choice of sponsor support level.
Code
Code for the level that the sponsor is providing support.
NoDataOption
Reason for not providing data for level of sponsor support.
TestEventTrigger2
Test/Event/Trigger information section.
Identification
Unique identification of the tests/events/triggers.
TestEventTriggerData
Test/Event/Trigger details.
TestEventTriggerData2
Test/event/trigger information.
Description
Describe the test/event/trigger, including any formulae. This is a free text field, however the description of the test/event/trigger shall include any formulae and key definitions to allow an investor/potential investor to form a reasonable view of the test/event/trigger and any conditions and consequences attached to it.
Status
Has the test been met as at the data cut-off date? In the event of a trigger, is the trigger not being breached?
BreachConsequence
Consequence, as per the securitisation documentation, for this test/event/trigger not being satisfied (i.e. being breached).
TestEventTriggerIdentification1
Test/event/trigger unique identifiers.
OriginalIdentifier
Original unique test/event/trigger identifier. The reporting entity must not amend this unique identifier.
NewIdentifier
If the original identifier in field 'Original Identifier' cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in 'Original Identifier'. The reporting entity must not amend this unique identifier.
TrancheBondData2
Provides informtion on the tranches or bonds of the ABCP transaction.
BondIdentifier
Unique identifier of the bond.
TrancheDescription
Tranche description information.
PaymentData
Tranche payment information.
RiskData
Tranche risk information.
TrancheBondType1Code
Specifies the repayment profile of the instrument.
ControlledAmortisation
Tranche/bond type is Controlled amortisation, that is repayment of principal begins at a specified period.
HardBullet
Tranche/bond type is hard bullet, that is fixed maturity date.
Other
Any other type of tranche/bond type.
ScheduledAmortisation
Tranche/bond type is Scheduled amortisation, that is repayment of principal on scheduled amortisation dates.
SoftBullet
Tranche/bond type is soft bullet, that scheduled maturity date can be extended to the legal maturity date.
TrancheDetails2
Tranche description information.
ISINIdentifier
ISIN code assigned to this tranche, where applicable.
BondType
Identifies the most appropriate option to describe the repayment profile of the instrument.
CurrentPrincipalBalance
The par, or notional, balance of this instrument after the current Principal Payment Date.
Include the currency in which the amount is denominated, using CURRENCYCODE_3 format.
IssueDate
Date that this instrument was issued.
TranchePayment2
Tranche payment information.
InterestPaymentFrequency
Frequency with which interest is due to be paid on this instrument.
CurrentCoupon
The coupon on the instrument in basis points.
CurrentInterestRateIndex
Base reference interest index currently applicable (the reference rate off which the interest rate is set).
CurrentInterestRateIndexTenor
Tenor of the current interest rate index.
LegalMaturity
Date before which this instrument must be repaid in order not to be in default.
TrancheRisk2
Tranche risk information.
CurrentCreditEnhancementRate
Current instrument credit enhancement, calculated as per the originator/sponsor/SSPE's definition.
CreditEnhancementFormula
Describe/Enter the formula used to calculate the bond-level credit enhancement.
TransactionData2
Transaction information section.
TransactionIdentifier
The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) …/… [include number of the disclosure RTS].
RiskRetentionDetails
Risk retention information.
UnderlyingExposureDetails
Underlying exposures description information.
TestEventTrigger
Test/Event/Trigger information.
TransactionIdentifier
Unique identifier for ABCP transactions, assigned by the reporting entity according to Article 11(1) of the Commission Delegated Regulation (EU) …/… [include full reference to the disclosure RTS].
UnderlyingExposureDetails1
Underlying exposure description information.
EconomicActivity
Originator industry SIC Code, as set out in the condensed SIC Code List used by UK Companies House.
TransactionWeightedAverageLife
The remaining weighted average life of the pool of exposures underlying this transaction, expressed in years.
YesNoIndicator
Indicates a "Yes" or "No" type of answer for an element.
YesNoIndicator2Choice
Choice between a Yes/No value or no data option.
Indicator
Yes/No indicator.
NoDataOption
Reason for not providing data.
EconomicActivityCode2Choice
Choice between industry SIC code or no data option.
Code
Industry SIC Code, as set out in the condensed SIC Code list used by UK Companies House.
NoDataOption
Reason for not providing a NACE code.
SICSubDomainIdentifier
Refers to the condensed version of Standard Industrial Classification (SIC) codes used by UK Companies House to classify business establishments and other standard units by the type of economic activity in which they are engaged, as presented in the document “Nature of business: Standard Industrial Classification (SIC) codes.”.
InterestRateSwapBenchmark2Choice
Choice of interest rate swap benchmark.
Code
Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to.
NoDataOption
Reason for not providing data for interest rate swap benchmark.
InterestRateIndex3Choice
Choice of interest rate index.
Code
Specifies the base reference interest index currently applicable (the reference rate off which the interest rate is set.
NoDataOption
Reason for not providing data for the current interest rate index.
InterestRateIndex3Code
Specifies the base reference interest index currently applicable (the reference rate off which the interest rate is set).
EuropeanCentralBankBaseRate
European Central Bank Base Rate (ECBR).
EuroSwiss
Swiss Franc LIBOR rate.
FutureSWAP
Portion of a synthetic curve that is composed of Eurodollar or Treasury or similar Futures and Swap rates. The term usually begins at 3 months to 2 years for the futures strip component with the Swaps filling in the points to 10 years and beyond.
GCFRepo
GCF Repo Index, the Depository Trust & Clearing Corporation (DTCC) general collateral finance repurchase agreements index.
ISDAFIX
Worldwide common reference rate value for fixed interest rate swap rates, as defined by the International Swaps and Derivatives Association (ISDA).
JIBAR
Johannesburg Interbank Agreed Rate.
LenderOwnRate
Lender Own Rate (LDOR).
LIBID
Rate at which major international banks are willing to take deposits from one another, is normally 1/8 percent below LIBOR.
London InterBank Bid Rate, the rate bid by banks on Eurocurrency deposits; the international rate that banks lend to other banks.
LIBOR
London Interbank Offered Rate, the interest rate that major international banks in London charge each other for borrowing.
MOSPRIM
Moscow Prime Offered Rate.
MuniAAA
Benchmark curve used for municipals based on the best credit rating for municipal market debt.
OTHER
Any other rate.
NIBOR
Norwegian Interbank Offered Rate.
Pfandbriefe
Pfandbriefe security is a collateralised bullet bond backed by either mortgage loans or loans to the public sector. Pfandbriefe differ from traditional asset-backed securities in significant ways. The most important difference is that Pfandbriefe carry no pre-payment risk since they remain on the balance sheet of the issuing institution. Therefore, their spreads over sovereign bonds are attributable to liquidity and credit quality alone. New indices have been created and existing indices have been modified in response to the growing importance of the Pfandbriefe market. The Deutsche Borse has three synthetic indices called REX, JEX, and PEX. The Pfandbriefe curve is used as a reference for credit as well as mortgage market.
PRIBOR
Czech Fixing of Interest Rates on Interbank Deposits.
STIBOR
Stockholm Interbank Offered Rate.
SWAP
In curve construction, Swap is the long portion of the curve constituting about 3 years to 30 years term.
The exchange of one security, currency or interest rate for another to change the maturity (bonds), or quality of issues (stocks or bonds), or because investment objectives have changed.
TELBOR
Tel Aviv Interbank Offered Rate.
Treasury
Treasury benchmark that comes in three types: the yield curve, the par curve, and the spot curve. All curves also have a constituent time series.
WIBOR
Warsaw Interbank Offered Rate.
TIBOR
Tokyo Interbank Offered Rate.
BankOfEnglandBaseRate
Bank of England base rate (BOER).
BBSW
Australian Financial Markets Association (AFMA) Bank-Bill Reference Rate (BBSW).
BUBOR
Budapest Interbank Offered Rate.
CDOR
Canadian Dollar Offered Rate.
CIBOR
Copenhagen Interbank Offered Rate.
EONIA
Euro OverNight Index Average rate.
EONIASwaps
Euro OverNight Index Average swap rate.
Euribor
Euro Interbank Offer Rate is the rate at which Euro inter-bank term deposits within the Euro zone are offered by one prime bank to another prime bank.
EURODOLLAR
Rate for the eurodollars, time deposits denominated in U.S. dollars at banks outside the United States, and thus are not under the jurisdiction of the Federal Reserve.
SOFR
Secured Overnight Financing Rate.
SONIA
Sterling Overnight Index Average.
SARON
Swiss Average Rate Overnight.
TONA
Tokyo Overnight Average Rate.
€STR
Euro Short-Term Rate.