Trade receivables securitization reporting checklist

Every ratio in the report is built from these inputs. Get them from the closed subledger, and keep the extract files with the report so any number can be retraced.

• Gross sales generated into the pool during the period, gross of credit memos
• Collections received during the period, split between principal collections and deemed collections if the agreement requires it
• Dilution: credit memos, rebates, volume discounts, and other noncash reductions, in the period they were incurred
• Defaults and write-offs: receivables written off or meeting the agreement's default definition, commonly 91 or 121 days past due
• Delinquency by aging bucket: current, 1 to 30, 31 to 60, 61 to 90, and 91 plus days past due
• Ending pool balance reconciled through a roll-forward: beginning balance plus sales, less collections, less dilution, less write-offs
• Days sales outstanding and turnover figures if the reserve formulas use them

• Every eligibility criterion in the purchase agreement is applied at the receivable level: obligor type, jurisdiction, currency, terms, and aging
• Excess concentration is computed against obligor group limits, which often scale with the obligor's rating, for example 3 percent unrated and 10 percent investment grade
• Cross-aged and defaulted obligors are removed before concentration is tested, in the order the agreement specifies
• Special limits are checked: government obligors, extended terms buckets, and any approved country sublimits
• The net receivables pool balance is recomputed from scratch, not rolled from last month

These formulas are where securitization reporting differs most from ABL. Recompute each one every period and compare against the prior month before submitting.

• Dilution reserve: typically a stress multiple, commonly 2.0 to 2.5 times, applied to the average dilution ratio over the horizon, plus a volatility component; verify the horizon months and the multiple against the agreement
• Loss reserve: the stress multiple applied to the peak or average default ratio over the loss horizon; confirm which sales periods feed the loss horizon calculation
• Yield and servicing reserve: carrying cost plus servicing fee applied over the liquidation period, usually driven by DSO; check the rate inputs are current
• Floor versus dynamic enhancement: the required reserve is the greater of the dynamic calculation and the floor, commonly 10 to 15 percent; confirm which one binds this month and flag when the dynamic number is approaching the floor from below or above
• Funding availability: net pool balance times one minus total required enhancement, compared to the invested amount

• Three-month average dilution ratio against its trigger level
• Three-month average default and delinquency ratios against their triggers
• Days sales outstanding against its trigger
• Any amortization or termination events defined in the agreement, checked explicitly, not assumed
• Servicer financial covenants if the agreement imposes them on the originator
• Proximity warnings: flag any ratio within 10 percent of its trigger so management hears about it before the agent does

• Roll-forward ties: beginning pool balance equals last month's ending balance, and the walk reproduces this month's ending balance exactly
• Every ratio was recomputed this period from source data, with formulas versioned to the current amendment
• A second reviewer has checked the reserve calculations and trigger tests
• The report is delivered by the deadline in the agreement, commonly 2 to 3 business days before settlement
• The signed report, calculation workbook, and source extracts are archived together for the annual agreed-upon procedures review