Item 1. Business.
Item 1A.
Item 1A. Risk Factors.
Item 2. Properties.
Item 3. Legal Proceedings.
Item 1B.
Item 1B. Unresolved Staff Comments.
Not Applicable.
Item 4.
Item 4. Mine Safety Disclosures.
Not Applicable.
PART II
The following Items have been omitted in accordance with General Instruction J to Form 10-K:
Item 5.
Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.
Item 6.
Item 6. Selected Financial Data.
Item 7.
Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
Item 7A.
Item 7A. Quantitative and Qualitative Disclosures About Market Risk.
Item 8.
Item 8. Financial Statements and Supplementary Data.
Item 9.
Item 9. Changes in and Disagreement with Accountants on Accounting and Financial Disclosure.
Item 9A.
Item 9A. Controls and Procedures.
Item 9B.
Item 9B. Other Information.
None.
PART III
The following Items have been omitted in accordance with General Instruction J to Form 10-K:
Item 10.
Item 10. Directors, Executive Officers and Corporate Governance.
Item 11.
Item 11. Executive Compensation.
Item 12.
Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.
Item 13.
Item 13. Certain Relationships and Related Transactions, and Director Independence.
Item 14.
Item 14. Principal Accountant Fees and Services.
Substitute information provided in accordance with General Instruction J to Form 10-K:
Item 1112(b) of Regulation AB. Significant Obligors of Pool Assets (Financial Information).
The Procter & Gamble Company, the issuer of the underlying securities, is subject to the information reporting requirements of the Securities Exchange Act of 1934 (the “Exchange Act”). For information on The Procter & Gamble Company please see its periodic and current reports filed with the Securities and Exchange Commission (the “Commission”) under its Exchange Act file number, 001-00434. The Commission maintains a site on the World Wide Web at “http://www.sec.gov” at which users can view and download copies of reports, proxy and information statements and other information filed electronically through the Electronic Data Gathering, Analysis and Retrieval system, or “EDGAR.” Periodic and current reports and other information required to be filed pursuant to the Exchange Act by The Procter & Gamble Company may be accessed on this site. Neither Synthetic Fixed-Income Securities, Inc. nor the Trustee has participated in the preparation of such reporting documents, or made any due diligence investigation with respect to the information provided therein. Neither Synthetic Fixed-Income Securities, Inc. nor the Trustee has verified the accuracy or completeness of such documents or reports. There can be no assurance that events affecting the issuer of the underlying securities or the underlying securities themselves have not occurred or have not yet been publicly disclosed which would affect the accuracy or completeness of the publicly available documents described above.
Item 1114(b)(2) of Regulation AB. Credit Enhancement and Other Support, Except for Certain Derivatives Instruments (Financial Information).
None.
Item 1115(b) of Regulation AB. Certain Derivatives Instruments (Financial Information).
None.
Item 1117 of Regulation AB. Legal Proceedings.
There are no legal proceedings pending, or any proceedings known to be contemplated, by governmental authorities against the depositor, the Trustee or the issuing entity, or any property thereof, that is material to the holders of the Certificates.
Item 1119 of Regulation AB. Affiliations and Certain Relationships and Related Transactions.
In accordance with the Instruction to Item 1119, affiliations and certain relationships and related transactions are described below in response to this item.
Wells Fargo Bank, National Association (“Wells Fargo Bank”), as successor to Wachovia Bank, National Association, is the “Swap Counterparty” with respect to its obligations under the ISDA Master Agreement including the Schedule thereto and a confirmation thereunder, by and among the Swap Counterparty and the issuing entity, dated as of February 28, 2006. Wells Fargo Bank is an affiliate of Synthetic Fixed-Income Securities, Inc., the sponsor of the issuing entity and the depositor of the issuing entity and Wells Fargo Securities, LLC (formerly known as Wachovia Capital Markets, LLC), who acted as an underwriter of the Certificates issued by the issuing entity.
The Trustee is unaffiliated with, but may have normal banking relationships with, the sponsor, the depositor and their respective affiliates.
Item 1122 of Regulation AB. Compliance with Applicable Servicing Criteria.
The Trustee has been identified as a party participating in the servicing function during the reporting period with respect to the pool assets held by the issuing entity. The Trustee’s report on an assessment of compliance with the servicing criteria applicable to it during the Issuing Entity’s fiscal year ending December 31, 2020 and an attestation report by a registered independent public accounting firm regarding the Trustee’s related report on assessment are attached as exhibits to this Form 10-K.
Except as disclosed below, neither the report on assessment nor the related attestation report has identified any additional material instances of noncompliance with the servicing criteria described in the report on assessment as being applicable to the Trustee. With respect to the exception identified below, the Trustee has identified the following material instances of noncompliance:
Exception:
The Trustee’s report on assessment and the related attestation report have identified material noncompliance with the following servicing criterion applicable to the Trustee:
●The servicing criterion specified in Item 1122(d)(2)(vii) of Regulation AB contemplates that reconciliations are prepared on a monthly basis for all asset-backed securities related bank accounts, including custodial accounts and related bank clearing accounts. These reconciliations: (A) are mathematically accurate; (B) are prepared within 30 calendar days after the bank statement cutoff date, or such other number of days specified in the transaction agreements; (C) are reviewed and approved by someone other than the person who prepared the reconciliations; and (D) contain explanations for reconciling items. These reconciling items are resolved within 90 calendar days of their original identification, or such other number of days specified in the transaction agreements.
Noncompliance: During the Period, certain reconciliations were not prepared on a monthly basis for all asset-backed securities related bank accounts, including custodial accounts.
Remediation: Client Service Manager will download and digitally sign the reconciliation as the preparer. There will be an approval process in which another Client Service Manager/Group Manager will review and digitally sign the reconciliation. This will be done within 30 days of month-end. Once complete, all signed settled cash reports (i.e., bank reconciliations) will be sent to the Regulation AB Office of Policy and Regulatory Reporting for a final review of completion.
Item 1123 of Regulation AB. Servicer Compliance Statement.
The Trustee has provided a compliance statement, signed by an authorized officer, attached as an exhibit to this Form 10-K.
PART IV
Item 15.
Item 15. Exhibits, Financial Statement Schedules.
(a) List the following documents filed as a part of the report:
(1) Not Applicable.
(2) Not Applicable.
(3) See Item 15 (b), below.
(b) Exhibits Required by Item 601 of Regulation S-K.
31.1Rule 13a-14/15d-14 Certification (Section 302 Certification).
33.1Report on Assessment of Compliance with Applicable Servicing Criteria of The Bank of New York Mellon for the year ended December 31, 2020.
34.1Independent Accountants’ Attestation Report concerning servicing activities of The Bank of New York Mellon for the year ended December 31, 2020.
35.1Compliance Statement of The Bank of New York Mellon for the year ended December 31, 2020.
(c) Omitted.
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
EXHIBIT INDEX
EXHIBIT DESCRIPTION
31.1 Rule 13a-14/15d-14 Certification (Section 302 Certification).
33.1 Report on Assessment of Compliance with Applicable Servicing Criteria of The Bank of New York Mellon for the year ended December 31, 2020.
34.1 Independent Accountants’ Attestation Report concerning servicing activities of The Bank of New York Mellon for the year ended December 31, 2020.
35.1 Servicer Compliance Statement of The Bank of New York Mellon for the year ended December 31, 2020.