Form 45-106F8
Monthly Disclosure Report for Short-term Securitized Products
Distributed under Section 2.35.1
Instructions:
(1) Using language that is plain and easy to understand by the type of purchaser to whom the issuer’s short-term securitized products are offered, provide the information required by this form. No reference need be made to inapplicable items and, unless otherwise required by this form, negative answers may be omitted.
(2) A monthly disclosure report may be used to disclose information about more than one series or class of short-term securitized product. If so, the disclosure required by this form must be provided for each series or class of short-term securitized product to which the monthly disclosure report relates.
(3) This form requires disclosure of certain items, matters or other information referred to as "material". Information is "material" if knowledge of it could reasonably be expected to affect a reasonable investor’s decision whether to buy, sell or hold a short-term securitized product.
(4) Include or incorporate by reference a glossary that defines all technical terms, and includes each of the following definitions:
"seller" means, in connection with an asset transaction, a person or group of affiliated persons that originates or acquires cash-flow generating assets and sells or otherwise transfers, either directly or indirectly, an ownership or security interest in such assets to a conduit, which assets form one or more asset pools of the conduit.
"sponsor" means a person or group of affiliated persons that organizes or initiates the formation of a conduit;
Item 1: Summary of conduit operations and asset pools
Provide a summary of the conduit’s operations and asset pools as at the last day of the month for which the monthly disclosure report applies that includes the following:
(a) the total face value of securitized product outstanding;
(b) the aggregate outstanding asset balance of the asset pools;
(c) the number of asset pools in which the conduit has an ownership or security interest;
(d) the number and dollar amount of new asset pools added during the month or other information that in conjunction with information in the report for the prior monthly period will permit an investor to easily calculate such amounts;
(e) the number and dollar amount of asset pools repaid during the month or other information that in conjunction with information in the report for the prior monthly period will permit an investor to easily calculate such amounts;
(f) each type of asset in the conduit’s asset pools, expressed as a percentage of the total assets of the conduit’s asset pools.
Item 2: Asset transaction information
Provide the following information regarding each of the conduit’s asset pools in one or more tables or diagrams as at the last day of the month to which the monthly disclosure report applies:
(a) the type of assets in the asset pool, including whether the assets are revolving or amortizing;
(b) an identifier such as an asset pool, asset transaction or seller number;
(c) the industry of the person or group of affiliated persons that originated the assets;
(d) whether each seller or applicable performance guarantor has an investment grade rating;
(e) the amount of any conduit commitment to acquire assets from a seller for the asset pool;
(f) the balance outstanding on the asset pool;
(g) if available, the number of assets or obligors in the asset pool.
Item 3: Asset transaction credit enhancement
Provide the following information regarding each of the conduit’s asset transactions in one or more tables as at the last day of the month to which the monthly disclosure report applies:
(a) the form of each credit enhancement;
(b) the amount of credit enhancement expressed in either of the following forms:
(i) a dollar amount;
(ii) a percentage, including the basis of presentation.
Item 4: Asset transaction performance
Provide the following information regarding each of the conduit’s asset transactions in one or more tables as at the last day of the month to which the monthly disclosure report applies:
(a) the default or loss ratio for the month, including the basis of presentation;
(b) information with respect to default experience both for the most recent period and over an extended period of time in the form of ratios or otherwise, provided on a consistent basis for that asset transaction in each monthly disclosure report;
(c) defaults for the month relative to available credit enhancement.
Item 5: Compliance and termination events
Disclose the occurrence of any events or circumstances that the conduit would reasonably expect to have a significant adverse effect on the payment of principal or interest on the series or class of short-term securitized product or require the conduit to cease issuing short-term securitized products.
Item 6: Report Information
State each of the following:
(a) date of the report;
(b) period covered by the report;
(c) contact information, including name, phone number and email address of a contact person for the conduit..
Transitional provisions
14. (1) An information memorandum that is provided to or made reasonably available to a purchaser pursuant to paragraph 2.35.4(1)(a), as enacted by section 9 of this Instrument, need only be prepared in accordance with Form 45-106F7 Information Memorandum for Short-term Securitized Products Distributed under Section 2.35.1 for a distribution of a short term securitized product that takes place on or after November 5, 2015.
(2) A monthly disclosure report that is provided to or made reasonably available to a holder of a short-term securitized product pursuant to an undertaking or agreement in writing required by paragraph 2.35.4(1)(b), as enacted by section 9 of this Instrument, need not be prepared in accordance with Form 45-106F8 Monthly Disclosure Report for Short-term Securitized Products Distributed under Section 2.35.1 for an asset transaction that a conduit entered into on or before November 5, 2015.