This item relates to derivative instruments, such as interest rate and currency swap agreements, that are used to alter the payment characteristics of the cashflows from the issuing entity and whose primary purpose is not to provide credit enhancement related to the pool assets or the asset-backed securities. For purposes of this section, the “significance estimate” of the derivative instrument is to be determined based on a reasonable good-faith estimate of maximum probable exposure, made in substantially the same manner as that used in the sponsor's internal risk management process in respect of similar instruments. The “significance percentage” is the percentage that the amount of the significance estimate represents of the aggregate principal balance of the pool assets, provided, that if the derivative instrument relates only to one or more classes of the asset-backed securities, the “significance percentage” is the percentage that the amount of the significance estimate represents of the aggregate principal balance of such classes.

1. (a) Descriptive information.

   1. (1) Describe the following regarding the external counterparty:

      1. (i) The name of the derivative counterparty.
      2. (ii) The organizational form of the derivative counterparty.
      3. (iii) The general character of the business of the derivative counterparty.
   2. (2) Describe the operation and material terms of the derivative instrument, including any limits on the timing or amount of payments or any conditions to payments.
   3. (3) Describe any material provisions regarding substitution of the derivative instrument.
   4. (4) At a minimum, disclose whether the significance percentage, as calculated in accordance with this section, is less than 10%, at least 10% but less than 20%, or 20% or more.
   5. (5) File the agreement relating to the derivative instrument as an exhibit.

2. (b) Financial information.

   1. (1) If the aggregate significance percentage related to any entity or group of affiliated entities providing derivative instruments contemplated by this section is 10% or more, but less than 20%, provide summarized financial information, as defined by § 210.1-02(bb) of this chapter (Rule 1-02(bb) of Regulation S-X), for such entity or group of affiliated entities for each of the last three fiscal years (or the life of the entity or group of affiliated entities and any predecessors, if less).

   2. (2) If the aggregate significance percentage related to any entity or group of affiliated entities providing derivative instruments contemplated by this section is 20% or more, provide financial statements meeting the requirements of §§ 210.1-01 through 210.13-02 (Regulation S-X) of this chapter, except §§ 210.3-05 (Rule 3-05) and 210.11-01 through 210.11-03 (Article 11 of Regulation S-X) of this chapter, of such entity or group of affiliated entities. Financial statements of such entity and its subsidiaries consolidated (as required by § 240.14a-3(b) of this chapter) shall be filed under this section.

      Instructions to Item 1115: 1. Instructions 2 and 4 to Item 1114(b) of this Regulation AB apply to the information contemplated by paragraph (b) of this item. 2. This Item should not be construed as allowing anything other than an asset-backed security whose payment is based primarily by reference to the performance of the receivables or other financial assets in the asset pool.

[70 FR 1597, Jan. 7, 2005, as amended at 81 FR 40512, June 22, 2016; 85 FR 22003, Apr. 20, 2020; 86 FR 2129, Jan. 11, 2021]