Annex 11: Underlying Exposures - ABCP - Geographic Region fields for ABCP securitisation

According to the “content to report” of the Geographic region fields in Annex 11 “Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by 'ZZZ'.” This leads to the question of what to fill into these fields, when the largest single concentration is located in a third-country without nuts codes e.g. the United States (for which the applicable code would be USZZZ), whereas the sum of exposures in all the nuts regions of a country for which there are NUTS codes (e.g. France) is much higher. Imagine for example, 10% of one type of underlying exposures in an ABCP Transaction are located in the US, whereas the remaining 90% are located in France. However, no more than 9% of the underlying exposures of that type are concentrated in a single French NUTS region. Should field IVAL7 (Geographic Region - Largest Exposure Concentration 1) indicate USZZZ for US.