Regarding Annexes 2 and 3, when total accrued debt is higher than current principal balance (CREL23), how should this reported?. Would it be possible to report a current principal balance at securitisation date (CREL25) higher than both original (CREL24) and current principal (CREL23) balances?. Would it be possible to report arrears balances, defaulted amounts, recoveries ... higher than original principal balance (CREL24)?

Could an exposure be reported on several annexes based on the Property Type? If an exposure has as collaterals, a Residencial House, a Pub and a personal garantee, should the exposure be reported on annexes 2, 3 and 9?

Exposures with only the garantee collateral available by the time of securitisation (and any information regarding any other collateral type, prior to securitisation date, is unknown), should they be reported in annex 9? If the collateral has already been sold by the time the exposure is securitised, and information is available, on which annex should the exposures and all collaterals (both current and historical) be reported?

What criteria has to be followed for choosing the annex to be reported? in the case of a mortgage securities portfolio backed by several collaterals of several types (commercial, residencial, industrial ...), would it be the Property Type (RREC9 and CREC12) a proper delimiter?

According to article 21(7)(c) SECR, the transaction documentation shall clearly specify provisions that ensure the replacement of, amongst others, liquidity providers in the case of their default, insolvency, and other specified events, where applicable. We are currently assessing several securitisations where there is a Reserves Funding Provider or Subordinated Loan Provider that fullfills a role as a liquidity provider. The role of these parties is to make available the relevant reserve advances, including a liquidity reserve advance to provide the issuer with additional liquidity in order to make interest payments on the notes.

For these transactions, it is being argued that there is no back-up party in place because additional reserves will be funded when the rating of the Reserves Funding Provider or Subordinated Loan Provider respectively is downgraded. The funding of these reserves will occur before a potential default of the Reserves Funding Provider or Subordinated Loan Provider and therefore it is argued that a back-up party would not be necessary.

Question:
According to Art.21(7)(c) SECR, should there always be a provision in the transaction documentation that ensures the replacement of a liquidity provider, or any other party that functions in a certain way as a liquidity provider (but named differently), if present?