The following relates to securitisation vehicles established post 1 December 2012 and includes an example of a securitisation cash flow.
For vehicles set up before 1 December 2012, please see Section 2.21 (Limited Life Debt Investment Entities) for transitional rules.
Securitisationstructures are typically legally remote from the Financial Institution in relation to which the risks and rewards of the structure are associated. Typically, a securitisation structure will include an issuing entity, funding entity, seller, mortgage trustee and often counterparties.
The common principles as to whether an entity meets the definition of a Financial Institution should be applied to all entities within a securitisation structure. More specifically, the expectation would be that issuing entities are likely to be classified as Investment Entities by their activities, Trusts should be classified following the Trust principles set out in Section 2.37 and holding and funding entities will likely be treated as Financial Institutions in their own right.
A securitisation vehicle that is a Financial Institution will need to consider if it has any Financial Accounts that may be reportable. If there are no Financial Accounts, a nil return is still required.
Example of a post 1 January 2012 Securitisation programme
The above scenario provides the following reporting obligations: