Commission Delegated Regulation (EU) 2020/1224 of 16 October 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE (Text with EEA relevance)
Definitions
For the purposes of this Regulation, the following definitions shall apply:
(1)
‘reporting entity’ means the entity designated in accordance with the first subparagraph of Article 7(2) of Regulation (EU) 2017/2402;
(2)
‘data cut-off date’ means the reference date of the information being reported in accordance with this Regulation;
(3)
‘active underlying exposure’ means an underlying exposure which, at the data cut-off date, may be expected to generate cash inflows or outflows in the future;
(4)
‘inactive underlying exposure’ means an underlying exposure that has defaulted with no further recoveries expected or that has been redeemed, prepaid, cancelled, repurchased or substituted;
(5)
‘debt service coverage ratio’ means the annual rental income generated by commercial real estate that is wholly or partially financed by debt, net of taxes and net of any operational expenses to maintain the property’s value, relative to the annual combined interest and principal repayment on a borrower’s total debt over a given period on the loan secured by the property;
(6)
‘interest coverage ratio’ means the gross annual rental income, before operational expenses and taxes, accruing from a buy-to-let property or the net annual rental income accruing from a commercial real estate property or set of properties relative to the annual interest cost of the loan secured by the property or set of properties.
SECTION 1 — Information to be made available for all securitisations
Information on underlying exposures
1. The information to be made available for a non-ABCP securitisation pursuant to Article 7(1)(a) of Regulation (EU) 2017/2402 is specified in:
(a)
Annex II for loans to private households secured by residential real estate, regardless of the purpose of those loans;
(b)
Annex III for loans for the purposes of acquiring commercial real estate or secured by commercial real estate;
(c)
Annex IV for corporate underlying exposures, including underlying exposures to micro, small- and medium-sized enterprises;
(d)
Annex V for automobile underlying exposures, including both loans and leases to legal or natural persons backed by automobiles;
(e)
Annex VI for consumer underlying exposures;
(f)
Annex VII for credit card underlying exposures;
(g)
Annex VIII for leasing underlying exposures;
(h)
Annex IX for underlying exposures that do not fall within any of the categories set out in points (a) to (g).
For the purposes of point (a), residential real estate means any immovable property, available for dwelling purposes (including buy-to-let housing or property), acquired, built or renovated by a private household and that is not qualified as commercial real estate.
For the purposes of point (b), commercial real estate means any income-producing real estate, either existing or under development, and excludes social housing and property owned by end-users.
2. Where a non-ABCP securitisation includes more than one of the types of underlying exposures listed in paragraph 1, the reporting entity for that securitisation shall make available the information specified in the applicable Annex for each underlying exposure type.
3. The reporting entity for a non-performing exposure securitisation shall make available the information specified in:
(a)
the Annexes referred to in points (a) to (h) of paragraph 1, as relevant to the underlying exposure type;
(b)
Annex X.
For the purposes of this paragraph, a ‘non-performing exposure securitisation’ shall be considered to be a non-ABCP securitisation the majority of whose active underlying exposures, measured in terms of outstanding principal balance as at the data cut-off date, are one of the following:
(a)
non-performing exposures as referred to in paragraphs 213 to 239 of Annex V, Part 2, to Commission Implementing Regulation (EU) No 680/2014 ( 7 ) ;
(b)
credit-impaired financial assets as defined in Appendix A to International Financial Reporting Standard 9 in Commission Regulation (EC) No 1126/2008 ( 8 ) or financial assets accounted for as credit impaired under national rules applying the Generally Accepted Accounting Principles (GAAP) based on Council Directive 86/635/EEC ( 9 ) .
4. The reporting entity for an ABCP transaction shall make available the information specified in Annex XI.
5. For the purposes of this Article, the information to be made available pursuant to paragraphs 1 to 4 shall be on:
(a)
active underlying exposures as at the data cut-off date;
(b)
inactive underlying exposures that were active underlying exposures at the immediately-preceding data cut-off date.
Information on investor reports
1. The reporting entity for a non-ABCP securitisation shall make available the information on investor reports specified in Annex XII.
2. The reporting entity for an ABCP securitisation shall make available the information on investor reports specified in Annex XIII.
Information granularity
1. The reporting entity shall make available the information specified in Annexes II to X and XII on the following:
(a)
underlying exposures, in relation to each individual underlying exposure;
(b)
collaterals, where any of the following conditions is met and in respect of each item of collateral securing each underlying exposure:
(i)
the underlying exposure is secured by a guarantee;
(ii)
the underlying exposure is secured by physical or financial collateral;
(iii)
the lender may unilaterally create security over the underlying exposure without the need for any further approval from the obligor or guarantor;
(c)
tenants, for each of the three largest tenants occupying a commercial real estate property, measured as the total annual rent payable by each tenant occupying the property;
(d)
historical collections, for each underlying exposure and for each month in the period from the data cut-off date up to 36 months prior to that date;
(e)
cashflows, for each inflow or outflow item in the securitisation, as set out in the applicable priority of receipts or payments as at the data cut-off date;
(f)
tests/events/triggers, for each test/event/trigger that triggers changes in the priority of payments or the replacement of any counterparties.
For the purposes of points (a) and (d), securitised loan parts shall be treated as individual underlying exposures.
For the purposes of point (b), each property acting as security for loans referred to in points (a) and (b) of Article 2(1) shall be treated as a single item of collateral.
2. The reporting entity shall make available the information specified in Annexes XI and XIII on the following:
(a)
ABCP transactions, for as many ABCP transactions that exist in the ABCP programme as at the data cut-off date;
(b)
each ABCP programme that is funding the ABCP transactions for which information is made available pursuant to point (a), as at the data cut-off date;
(c)
tests/events/triggers, for each test/event/trigger in the ABCP securitisation that triggers changes in the priority of payments or the replacement of any counterparties;
(d)
underlying exposures, for each ABCP transaction on which information is made available pursuant to point (a) and for each exposure type that is present in that ABCP transaction as at the data cut-off date, in accordance with the list in field IVAL5 in Annex XI.
SECTION 2 — Information to be made available for securitisations for which a prospectus has to be drawn up (public securitisations)
Item codes
Reporting entities shall assign item codes to the information made available to securitisation repositories. For this purpose, reporting entities shall assign the item code specified in Table 3 of Annex I that best corresponds to that information.
Inside information
1. The reporting entity for a non-ABCP securitisation shall make available the inside information specified in Annex XIV.
2. The reporting entity for an ABCP securitisation shall make available the inside information specified in Annex XV.
Information on significant events
1. The reporting entity for a non-ABCP securitisation shall make available the information on significant events specified in Annex XIV.
2. The reporting entity for an ABCP securitisation shall make available the information on significant events specified in Annex XV.
Information granularity
1. The reporting entity shall make available the information specified in Annex XIV on the following:
(a)
the tranches/bonds in the securitisation, for each tranche issuance in the securitisation or other instrument to which an International Securities Identification Number has been assigned and for each subordinated loan in the securitisation;
(b)
accounts, for each account in the securitisation;
(c)
counterparties, for each counterparty in the securitisation;
(d)
where the securitisation is a synthetic non-ABCP securitisation:
(i)
synthetic coverage, for as many protection arrangements as exist in the securitisation;
(ii)
issuer collateral, for each individual collateral asset held by the SSPE on behalf of investors that exists for the given protection arrangement;
(e)
where the securitisation is a Collateralised Loan Obligation (CLO) non-ABCP securitisation:
(i)
the CLO manager, for each CLO manager in the securitisation;
(ii)
the CLO securitisation.
For the purposes of point (d)(ii), each asset for which an International Securities Identification Number exists shall be treated as an individual collateral asset, cash collateral of the same currency shall be aggregated and treated as an individual collateral asset, and cash collateral of different currencies shall be reported as separate collateral assets.
2. The reporting entity shall make available the information specified in Annex XV on the following:
(a)
ABCP transactions, for as many ABCP transactions that exist in the ABCP programme as at the data cut-off date;
(b)
ABCP programmes, for as many ABCP programmes that, at the data cut-off date, are funding the ABCP transactions on which information is made available pursuant to point (a);
(c)
the tranches/bonds in the ABCP programme, for each tranche or commercial paper issuance in the ABCP programme or other instrument to which an International Securities Identification Number has been assigned and for each subordinated loan in the ABCP programme;
(d)
accounts, for each account in the ABCP securitisation;
(e)
counterparties, for each counterparty in the ABCP securitisation.
SECTION 3 — Common provisions
Information completeness and consistency
1. The information made available pursuant to this Regulation shall be complete and consistent.
2. Where the reporting entity identifies factual errors in any information that it has made available pursuant to this Regulation, it shall make available, without undue delay, a corrected report of all information about the securitisation required under this Regulation.
3. Where permitted in the corresponding Annex, the reporting entity may report one of the following ‘No Data Option’ (‘ND’) values corresponding to the reason justifying the unavailability of the information to be made available:
(a)
value ‘ND1’, where the required information has not been collected because it was not required by the lending or underwriting criteria at the time of origination of the underlying exposure;
(b)
value ‘ND2’, where the required information has been collected at the time of origination of the underlying exposure but is not loaded into the reporting system of the reporting entity at the data cut-off date;
(c)
value ‘ND3’, where the required information has been collected at the time of origination of the underlying exposure but is loaded into a separate system from the reporting system of the reporting entity at the data cut-off date;
(d)
value ‘ND4-YYYY-MM-DD’, where the required information has been collected but it will only be possible to make it available at a date taking place after the data cut-off date. ‘YYYY-MM-DD’ shall respectively refer to the numerical year, month, and day corresponding to the future date at which the required information will be made available;
(e)
value ‘ND5’, where the required information is not applicable to the item being reported.
For the purposes of this paragraph, the report of any ND values shall not be used to circumvent the requirements in this Regulation.
Upon request by competent authorities, the reporting entity shall provide details of the circumstances that justify the use of those ND values.
Information timeliness
1. Where a securitisation is not an ABCP securitisation, the information made available pursuant to this Regulation shall not have a data cut-off date later than two calendar months prior to the submission date.
2. Where a securitisation is an ABCP securitisation:
(a)
the information specified in Annex XI and in the ‘transaction information section’ in Annexes XIII and XV shall not have a data cut-off date later than two calendar months prior to the submission date;
(b)
the information specified in all sections of Annexes XIII and XV other than the ‘transaction information section’ shall not have a data cut-off date later than one calendar month prior to the submission date.
Unique identifiers
1. Each securitisation shall be assigned a unique identifier composed of the following elements, in sequential order:
(a)
the Legal Entity Identifier of the reporting entity;
(b)
the letter ‘A’ where the securitisation is an ABCP securitisation or the letter ‘N’ where the securitisation is a non-ABCP securitisation;
(c)
the four-digit year corresponding to:
(i)
the year in which the first securities of the securitisation were issued, where the securitisation is a non-ABCP securitisation;
(ii)
the year in which the first securities within the ABCP programme were issued, where the securitisation is an ABCP securitisation;
(d)
the number 01 or, where there is more than one securitisation with the same identifier as referred to in points (a), (b) and (c), a two-digit sequential number corresponding to the order in which information about each securitisation is made available. The order of simultaneous securitisations shall be discretionary.
2. Each ABCP transaction in an ABCP programme shall be assigned a unique identifier composed of the following elements, in sequential order:
(a)
the Legal Entity Identifier of the reporting entity;
(b)
the letter ‘T’;
(c)
the four-digit year corresponding to the first closing date of the ABCP transaction;
(d)
the number 01 or, where there is more than one ABCP transaction with the same identifier as referred to in points (a), (b) and (c) of this paragraph, a two-digit sequential number corresponding to the order of the first closing date of each ABCP transaction. The order of simultaneous ABCP transactions shall be discretionary.
3. Unique identifiers shall not be amended by the reporting entity.
Classifications reporting
1. The information relating to the European System of Accounts (ESA) 2010 classification referred to in Regulation (EU) No 549/2013 of the European Parliament and of the Council ( 10 ) shall be made available using the codes set out in Table 1 of Annex I.
2. The information relating to the Servicer Watchlist classifications shall be made available using the codes set out in Table 2 of Annex I.
Entry into force
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union .
Supplementary provisions
ANNEX ISupplementary provisions
ANNEX I
Table 1: European System of Accounts Secure Codes
Sectors
Sub-sectors
ESA Code
Non-financial corporations
Public non-financial corporations
S.11001
National private non-financial corporations
S.11002
Foreign controlled non-financial corporations
S.11003
Monetary financial institutions (MFIs)
Central bank
S.121
Public deposit-taking corporations except the central bank
S.12201
National private deposit-taking corporations except the central bank
S.12202
Foreign controlled deposit-taking corporations except the central bank
S.12203
Public money market funds (MMFs)
S.12301
National private money market funds (MMFs)
S.12302
Foreign controlled money market funds (MMFs)
S.12303
Financial corporations except MFIs and Insurance corporations and pension funds (ICPFs)
Public non-MMF investment funds
S.12401
National private non-MMF investment funds
S.12402
Foreign controlled non-MMF investment funds
S.12403
Public other financial intermediaries, except insurance corporations and pension funds
S.12501
National private other financial intermediaries, except insurance corporations and pension funds
S.12502
Foreign controlled other financial intermediaries, except insurance corporations and pension funds
S.12503
Public financial auxiliaries
S.12601
National private financial auxiliaries
S.12602
Foreign controlled financial auxiliaries
S.12603
Public captive financial institutions and money lenders
S.12701
National private captive financial institutions and money lenders
S.12702
Foreign controlled captive financial institutions and money lenders
S.12703
ICPFs
Public insurance corporations
S.12801
National private insurance corporations
S.12802
Foreign controlled insurance corporations
S.12803
Public pension funds
S.12901
National private pension funds
S.12902
Foreign controlled pension funds
S.12903
Other
General government
S.13
Central government (excluding social security funds)
S.1311
State government (excluding social security funds)
S.1312
Local government (excluding social security funds)
S.1313
Social security funds
S.1314
Households
S.14
Employers and own-account workers
S.141+S.142
Employees
S.143
Recipients of property and transfer income
S.144
Recipients of property income
S.1441
Recipients of pensions
S.1442
Recipients of other transfers
S.1443
Non-profit institutions serving households
S.15
Member States of the European Union
S.211
Institutions and bodies of the European Union
S.212
Non-member countries and international organisations non-resident in the European Union
S.22
Table 2: Servicer Watchlist Codes
Servicer Watchlist Code
Meaning
Inclusion Threshold
Release Threshold
1A
Delinquent P&I payment
2 payments behind
Arrears cleared and loan is current. Remain on Watchlist for 2 quarters/periods
1B
Delinquent insurance renewal or forced placed coverage
30 days overdue
Receipt of proof of satisfactory insurance
1C
Interest Coverage Ratio below dividend trap.
Interest Coverage Ratio < required loan covenant (cash trap or default level);
Interest Coverage Ratio < 1.00 on a loan by loan basis
Interest Coverage Ratio above threshold
1D
Debt Service Coverage Ratio absolute level
Debt Service Coverage Ratio < 1.00;
Debt Service Coverage Ratio < 1.20 for healthcare and lodging;
or on a loan by loan basis
Debt Service Coverage Ratio above threshold
1E
Debt Service Coverage Ratio decreases from ‘Securitisation Date’
Debt Service Coverage Ratio < 80 % of the ‘Securitisation Date’ Debt Service Coverage Ratio
Debt Service Coverage Ratio above threshold. Remain on Watchlist for 2 quarters/periods
1F
Defaulted, matured, or discovery of previous undisclosed subordinate lien including mezzanine loan.
When notice received by servicer
Default has been cured or subordinate debt approved by servicer
1G
Any unplanned draw on a letter of credit, debt service reserve, or working capital to pay debt service
Any occurrence on a loan by loan basis.
After funds or Letter of Credit replaced if required by the documents otherwise after two Interest Payment Dates with no further draws
2A
Absolute required repairs reserved for at closing, or otherwise disclosed to servicer, but not completed by due date
If required repair is not completed with 60 days following the due date (including extensions approved by the Servicer) and it is the lesser of 10 % of the unpaid principal balance or €250,000
Satisfactory verification that repairs have been completed
2B
Any required spending plan deficiencies (i.e.: capex, FF&E)
Any knowledge of deficiency that adversely affects the performance or value of property; on a loan by loan basis/material (> 5 % of loan outstanding balance)
When plan deficiencies are cured
2C
Occurrence of any trigger event in the mortgage loan documents. (e.g. required loan pay down, posting of additional reserves, minimum thresholds breached, etc.)
Any occurrence
Cure of the event that required action under the mortgage documents
2D
Verification of financial performance. Unsatisfactory or non-delivery of tenancy schedules or operating statements, etc.
Any occurrence for 6 months or greater
Cure of the event that required action under the mortgage documents
2E
Operating licence or franchise agreement default
When notice received by servicer
New franchise or licence in place, or default under franchise or licence has been cured — Relationship agreement
2F
Borrower/owner/sponsor bankruptcy or similar event (e.g. insolvency arrangement/proceedings, bankruptcy, receivership, liquidation, company voluntary arrangement (CVA)/individual voluntary arrangement (IVA)), becomes the subject of winding up order bankruptcy petition or other.
When notice received by servicer
Retain on Watchlist until Interest Payment Date following cure.
3A(i)
Inspection reveals poor condition
Any occurrence on a loan by loan basis/material 5 % > of net rental income (NRI)
In Servicer’s discretion that property deficiencies cured or access allowed and inspection completed
3A(ii)
Inspection reveals poor accessibility
Any occurrence on a loan by loan basis/material 5 % > of net rental income (NRI)
In Servicer’s discretion that property deficiencies cured or access allowed and inspection completed
3B
Inspection reveals harmful environmental issue
Any occurrence
In Servicer’s discretion that property deficiencies cured
3C
Properties affected by major casualty or compulsory purchase proceeding affecting future cash flows, value/blight/caution.
When servicer becomes aware of issue and it affects > 10 % of value or €500,000
In Servicer’s discretion that all necessary repairs have been completed satisfactorily or that condemnation proceedings have been completed and the asset can perform satisfactorily
4A
Overall property portfolio occupancy decrease
20 % less than ‘Securitisation Date’ level; on a loan by loan basis
When condition no longer exists
4B
Any 1 tenant or combination of TOP 3 TENANTS (based on gross rental) with leases > 30 % expiring within the next 12 months.
Only applies to office, industrial and retail.
When condition no longer exists or Servicer’s discretion.
4C
Major tenant lease or leases that are in default, terminated or are dark (Not occupied, but rent being paid)
> 30 % Net Rental Income
When condition no longer exists, or Servicer’s discretion.
5A
Pending loan maturity
< 180 days until maturity
Loan is paid off.
Table 3: Item types and codes
Item type
Article(s) of Regulation (EU) 2017/2402
Item code
Underlying exposures or underlying receivables or credit claims
7(1)(a)
1
Investor report
7(1)(e)
2
Final offering document; prospectus; closing transaction documents, excluding legal opinions
7(1)(b)(i)
3
Asset sale agreement; assignment; novation or transfer agreement; any relevant declaration of trust
7(1)(b)(ii)
4
Derivatives and guarantees agreements; any relevant documents on collateralisation arrangements where the exposures being securitised remain exposures of the originator
7(1)(b)(iii)
5
Servicing; back-up servicing; administration and cash management agreements
7(1)(b)(iv)
6
Trust deed; security deed; agency agreement; account bank agreement; guaranteed investment contract; incorporated terms or master trust framework or master definitions agreement or such legal documentation with equivalent legal value
7(1)(b)(v)
7
Inter-creditor agreements; derivatives documentation; subordinated loan agreements; start-up loan agreements and liquidity facility agreements
7(1)(b)(vi)
8
Any other underlying documentation that is essential for the understanding of the transaction
7(1)(b)
9
Simple, transparent and standardised notification pursuant to Article 27 of Regulation (EU) 2017/2402
7(1)(d)
10
Inside information relating to the securitisation that the originator, sponsor or SSPE is obliged to make public in accordance with Article 17 of Regulation (EU) No 596/2014 of the European Parliament and of the Council ( 1 )
7(1)(f)
11
A significant event, such as:
(i)
a material breach of the obligations provided for in the documents made available in accordance with Article 7(1)(b) of Regulation (EU) 2017/2402, including any remedy, waiver or consent subsequently provided in relation to such a breach;
(ii)
a change in the structural features that can materially impact the performance of the securitisation;
(iii)
a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation;
(iv)
in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where competent authorities have taken remedial or administrative actions;
(v)
any material amendment to transaction documents.
7(1)(g)
12
( 1 ) Regulation (EU) No 596/2014 of the European Parliament and of the Council of 16 April 2014 on market abuse (market abuse regulation) and repealing Directive 2003/6/EC of the European Parliament and of the Council and Commission Directives 2003/124/EC, 2003/125/EC and 2004/72/EC ( OJ L 173, 12.6.2014, p. 1 ).
UNDERLYING EXPOSURES INFORMATION — RESIDENTIAL REAL ESTATE (RRE)
ANNEX IISupplementary provisions
ANNEX II
UNDERLYING EXPOSURES INFORMATION — RESIDENTIAL REAL ESTATE (RRE)
Field code
Field name
Content to report
ND1-ND4 allowed?
ND5 allowed?
Underlying exposures information section
RREL1
Unique Identifier
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Commission Delegated Regulation (EU) 2020/1224 ( 1 ) .
NO
NO
RREL2
Original Underlying Exposure Identifier
Unique underlying exposure identifier. The identifier must be different from any external identification number to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
RREL3
New Underlying Exposure Identifier
If the original identifier in field RREL2 cannot be maintained in this field, enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in RREL2. The reporting entity must not amend this unique identifier.
NO
NO
RREL4
Original Obligor Identifier
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
RREL5
New Obligor Identifier
If the original identifier in field RREL4 cannot be maintained in this field, enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in RREL4. The reporting entitymust not amend this unique identifier.
NO
NO
RREL6
Data Cut-Off Date
The data cut-off date for this data submission.
NO
NO
RREL7
Pool Addition Date
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available, enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.
NO
YES
RREL8
Date Of Repurchase
Date on which the underlying exposure was repurchased from the pool.
NO
YES
RREL9
Redemption Date
Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.
NO
YES
RREL10
Resident
Is the primary obligor a resident of the country in which the collateral and underlying exposure reside?
YES
NO
RREL11
Geographic Region — Obligor
The geographic region (NUTS3 classification) where the obligor is located. 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’.
YES
NO
RREL12
Geographic Region Classification
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.
YES
NO
RREL13
Employment Status
Employment status of the primary obligor:
Employed — Private Sector (EMRS)
Employed — Public Sector (EMBL)
Employed — Sector Unknown (EMUK)
Unemployed (UNEM)
Self-employed (SFEM)
No Employment, Obligor is Legal Entity (NOEM)
Student (STNT)
Pensioner (PNNR)
Other (OTHR)
YES
NO
RREL14
Credit Impaired Obligor
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
(a)
has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:
(i)
a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and
(ii)
the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;
(b)
was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or
(c)
has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
NO
YES
RREL15
Customer Type
Customer type at origination:
New customer and not an employee/affiliated with the originator’s group (CNEO)
New customer and an employee/affiliated with the originator’s group (CEMO)
New customer and employee/affiliation not recorded (CNRO)
Existing customer and not an employee/affiliated with the originator’s group (ENEO)
Existing customer and an employee/affiliated with the originator’s group (EEMO)
Existing customer and employee/affiliation not recorded (ENRO)
Other (OTHR)
YES
NO
RREL16
Primary Income
Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor’s annual revenue.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
RREL17
Primary Income Type
Indicate what income in RREL16 is displayed:
Gross annual income (GRAN)
Net annual income (net of tax and social security) (NITS)
Net annual income (net of tax only) (NITX)
Net annual income (net of social security only) (NTIN)
Estimated net annual income (net of tax and social security) (ENIS)
Estimated net annual income (net of tax only) (EITX)
Estimated net annual income (net of social security only) (EISS)
Disposable Income (DSPL)
Borrower is legal entity (CORP)
Other (OTHR)
YES
NO
RREL18
Primary Income Currency
Currency in which the primary obligor’s income or revenue is paid.
YES
NO
RREL19
Primary Income Verification
Primary Income Verification:
Self-certified no Checks (SCRT)
Self-certified with Affordability Confirmation (SCNF)
Verified (VRFD)
Non-Verified Income or Fast Track (NVRF)
Credit Bureau Information or Scoring (SCRG)
Other (OTHR)
YES
NO
RREL20
Secondary Income
Secondary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the secondary obligory is a legal person/entity, enter that obligor’s annual revenue. When there are more than two obligors in this underlying exposure, indicate total annual combined income across all obligors in this field.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
RREL21
Secondary Income Verification
Income verification for secondary income:
Self-certified no Checks (SCRT)
Self-certified with Affordability Confirmation (SCNF)
Verified (VRFD)
Non-Verified Income or Fast Track (NVRF)
Credit Bureau Information or Scoring (SCRG)
Other (OTHR)
YES
YES
RREL22
Special Scheme
If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.
YES
YES
RREL23
Origination Date
Date of original underlying exposure advance.
YES
NO
RREL24
Maturity Date
The date of maturity of the underlying exposure or expiry of the lease.
NO
YES
RREL25
Original Term
Original contractual term (number of months) at the origination date.
YES
YES
RREL26
Origination Channel
Origination channel of the underlying exposure:
Office or Branch Network (BRAN)
Central or Direct (DRCT)
Broker (BROK)
Internet (WEBI)
Package (TPAC)
Third Party Channel but Underwriting Performed Entirely by the Originator (TPTC)
Other (OTHR)
YES
YES
RREL27
Purpose
The reason for the obligor taking out the loan:
Purchase (PURC)
Remortgage (RMRT)
Renovation (RENV)
Equity Release (EQRE)
Construction (CNST)
Debt Consolidation (DCON)
Remortgage with Equity Release (RMEQ)
Business Funding (BSFN)
Combination Mortgage (CMRT)
Investment Mortgage (IMRT)
Right to Buy (RGBY)
Government Sponsored Loan (GSPL)
Other (OTHR)
YES
NO
RREL28
Currency Denomination
The underlying exposure currency denomination.
NO
NO
RREL29
Original Principal Balance
Original underlying exposure balance (inclusive of fees).
This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
RREL30
Current Principal Balance
Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. It excludes any interest arrears or penalty amounts.
Current balance includes the principal arrears. However, savings amount is to be deducted if a subparticipation exists. (i.e. underlying exposure balance = underlying exposure +/- subparticipation; +/- 0 if no subparticipation).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
RREL31
Prior Principal Balances
Total balances ranking prior to this underlying exposure (including those held with other lenders). If there are no prior balances, enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
RREL32
Pari Passu Underlying Exposures
Total value of underlying exposures to this obligor ranking pari passu with this underlying exposure (regardless of whether or not they are included in this pool). If there are no balances ranking pari passu, enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
RREL33
Total Credit Limit
For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding.
This field is only to be populated for underlying exposures that have flexible or further drawing characteristics.
This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
RREL34
Purchase Price
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.
NO
YES
RREL35
Amortisation Type
Type of amortisation of the underlying exposure including principal and interest.
French — i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX)
German — i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)
Fixed amortisation schedule — i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)
Bullet — i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)
Other (OTHR)
YES
NO
RREL36
Principal Grace Period End Date
If applicable as at the data cut-off date, indicate the principal grace period end date.
NO
YES
RREL37
Scheduled Principal Payment Frequency
Frequency of principal payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
RREL38
Scheduled Interest Payment Frequency
Frequency of interest payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
RREL39
Payment Due
This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
RREL40
Debt To Income Ratio
Debt defined as the amount of underlying exposure outstanding as of data cut-off date, this includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts.
Income defined as combined income, sum of primary and secondary income fields (field numbers RREL16 and RREL20) and any other income.
YES
YES
RREL41
Balloon Amount
Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
RREL42
Interest Rate Type
Interest rate type:
Floating rate underlying exposure (for life) (FLIF)
Floating rate underlying exposure linked to one index that will revert to another index in the future (FINX)
Fixed rate underlying exposure (for life) (FXRL)
Fixed with future periodic resets (FXPR)
Fixed rate underlying exposure with compulsory future switch to floating (FLCF)
Floating rate underlying exposure with floor (FLFL)
Floating rate underlying exposure with cap (CAPP)
Floating rate underlying exposure with both floor and cap (FLCA)
Discount (DISC)
Switch Optionality (SWIC)
Obligor Swapped (OBLS)
Modular (MODE)
Other (OTHR)
NO
YES
RREL43
Current Interest Rate
Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised.
NO
YES
RREL44
Current Interest Rate Index
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
RREL45
Current Interest Rate Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
NO
YES
RREL46
Current Interest Rate Margin
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.
NO
YES
RREL47
Interest Rate Reset Interval
Number of months between each interest rate reset date on the underlying exposure.
NO
YES
RREL48
Interest Rate Cap
Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
NO
YES
RREL49
Interest Rate Floor
Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
NO
YES
RREL50
Revision Margin 1
The margin for the underlying exposure at the 1st revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).
The full revised margin must be entered in this field, not the change in the margin.
YES
YES
RREL51
Interest Revision Date 1
Date interest rate next changes (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).
YES
YES
RREL52
Revision Margin 2
The margin for the underlying exposure at the 2nd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).
The full revised margin must be entered in this field, not the change in the margin.
YES
YES
RREL53
Interest Revision Date 2
Date of 2nd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).
YES
YES
RREL54
Revision Margin 3
The margin for the underlying exposure at the 3rd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).
The full revised margin must be entered in this field, not the change in the margin.
YES
YES
RREL55
Interest Revision Date 3
Date of 3rd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).
YES
YES
RREL56
Revised Interest Rate Index
Next interest rate index.
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
YES
YES
RREL57
Revised Interest Rate Index Tenor
Tenor of the next interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
YES
YES
RREL58
Number Of Payments Before Securitisation
Enter the number of payments made prior to the exposure being transferred to the securitisation.
YES
NO
RREL59
Percentage Of Prepayments Allowed Per Year
Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.
YES
YES
RREL60
Prepayment Lock-Out End Date
The date after which the lender allows prepayment of the underlying exposure.
YES
YES
RREL61
Prepayment Fee
Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date. This includes amounts collected that have not been securitised.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
RREL62
Prepayment Fee End Date
The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.
YES
YES
RREL63
Prepayment Date
The latest date on which an unscheduled principal payment was received.
YES
YES
RREL64
Cumulative Prepayments
Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
RREL65
Date Of Restructuring
Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
In the event of multiple dates, all dates must be provided in accordance with the XML schema.
YES
YES
RREL66
Date Last In Arrears
Date the underlying exposure was last in arrears.
YES
YES
RREL67
Arrears Balance
Current balance of arrears, which is defined as:
Total payments due to date
PLUS any amounts capitalised
PLUS any fees applied to the account
LESS total payments received to date.
If no arrears then enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
RREL68
Number Of Days In Arrears
Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.
NO
NO
RREL69
Account Status
Current status of the underlying exposure that has been securitised:
Performing (PERF)
Restructured — No Arrears (RNAR)
Restructured — Arrears (RARR)
Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)
Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)
Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)
Defaulted only under another definition of default being met (DADB)
Arrears (ARRE)
Repurchased by Seller – Breach of Representations and Warranties (REBR)
Repurchased by Seller – Defaulted (REDF)
Repurchased by Seller – Restructured (RERE)
Repurchased by Seller – Special Servicing (RESS)
Repurchased by Seller – Other Reason (REOT)
Redeemed (RDMD)
Other (OTHR)
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.
NO
NO
RREL70
Reason for Default or Foreclosure
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)
In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)
In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)
YES
YES
RREL71
Default Amount
Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
RREL72
Default Date
The date of default.
NO
YES
RREL73
Allocated Losses
The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
RREL74
Cumulative Recoveries
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
RREL75
Litigation
Flag to indicate litigation proceedings underway (if account has recovered and is no longer being actively litigated this is to be re-set to N).
NO
YES
RREL76
Recourse
Is there recourse (full or limited) to the obligor’s assets beyond the proceeds of any collateral for this underlying exposure?
YES
YES
RREL77
Deposit Amount
The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool.
Use the same currency denomination as that used for this underlying exposure.
If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
RREL78
Insurance Or Investment Provider
Name of the insurance or investment provider (i.e. for life insurance or investment underlying exposures).
YES
YES
RREL79
Original Lender Name
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
YES
YES
RREL80
Original Lender Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.
Where no Legal Entity Identifier is available, enter ND5.
YES
YES
RREL81
Original Lender Establishment Country
Country where the original lender is established.
YES
YES
RREL82
Originator Name
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
RREL83
Originator Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.
NO
NO
RREL84
Originator Establishment Country
Country where the underlying exposure originator is established.
NO
NO
Collateral-level information section
RREC1
Unique Identifier
Report the same unique identifier here as the one entered into field RREL1.
NO
NO
RREC2
Underlying Exposure Identifier
Unique identifier for each underlying exposure. This must match field RREL3.
NO
NO
RREC3
Original Collateral Identifier
The original unique identifier assigned to the collateral. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
RREC4
New Collateral Identifier
If the original identifier in field RREC2 cannot be maintained in this field enter the new identifier here. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. If there has been no change in the identifier, enter the same identifier as in RREC2. The reporting entity must not amend this unique identifier.
NO
NO
RREC5
Collateral Type
The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.
Automobile (CARX)
Industrial Vehicle (INDV)
Commercial Truck (CMTR)
Rail Vehicle (RALV)
Nautical Commercial Vehicle (NACM)
Nautical Leisure Vehicle (NALV)
Aeroplane (AERO)
Machine Tool (MCHT)
Industrial Equipment (INDE)
Office Equipment (OFEQ)
IT Equipment (ITEQ)
Medical Equipment (MDEQ)
Energy Related Equipment (ENEQ)
Commercial Building (CBLD)
Residential Building (RBLD)
Industrial Building (IBLD)
Other Vehicle (OTHV)
Other Equipment (OTHE)
Other Real Estate (OTRE)
Other goods or inventory (OTGI)
Securities (SECU)
Guarantee (GUAR)
Other Financial Asset (OTFA)
Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)
Other (OTHR)
NO
NO
RREC6
Geographic Region — Collateral
The geographic region (NUTS3 classification) where the physical collateral is located. 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’.
YES
YES
RREC7
Occupancy Type
Type of property occupancy:
Owner Occupied i.e. owned by a private household with the purpose of providing shelter to its owner (FOWN)
Partially Owner Occupied (A property which is partly rented) (POWN)
Non-Owner Occupied or Buy-To-Let (TLET)
Holiday or Second Home (HOLD)
Other (OTHR)
If the collateral being reported is not property collateral, enter ND5.
YES
YES
RREC8
Lien
Highest lien position held by the originator in relation to the collateral.
If the collateral being reported is not property collateral, enter ND5.
YES
YES
RREC9
Property Type
Property type:
Residential (House, detached or semi-detached) (RHOS)
Residential (Flat or Apartment) (RFLT)
Residential (Bungalow) (RBGL)
Residential (Terraced House) (RTHS)
Multifamily House (properties with more than four units securing one underlying exposure) (MULF)
Partial Commercial use (property is used as a residence as well as for commercial use where less than 50 % of its value derived from commercial use, e.g. doctor’s surgery and house) (PCMM)
Commercial or Business Use (BIZZ)
Land Only (LAND)
Other (OTHR)
If the collateral being reported is not property collateral, enter ND5.
NO
YES
RREC10
Energy Performance Certificate Value
The energy performance certificate value of the collateral at the time of origination:
A (EPCA)
B (EPCB)
C (EPCC)
D (EPCD)
E (EPCE)
F (EPCF)
G (EPCG)
Other (OTHR)
YES
YES
RREC11
Energy Performance Certificate Provider Name
Enter the full legal name of the energy performance certificate provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
YES
YES
RREC12
Current Loan-To-Value
Current loan to Value ratio (LTV). For non-first lien loans this is the combined or total LTV. Where the current loan balance is negative, enter 0.
If the collateral being reported is not property collateral, enter ND5.
YES
YES
RREC13
Current Valuation Amount
The most recent valuation of the collateral as assessed by an independent external or internal appraiser. If such assessment is not available, the current value of the collateral can be estimated using a real estate value index sufficiently granular with respect to geographical location and type of collateral; if such real estate value index is also not available, a real estate price index sufficiently granular with respect to geographical location and type of collateral can be used after application of a suitably chosen mark-down to account for the depreciation of the collateral.
If the collateral being reported is not property collateral, enter the most recent valuation of the collateral as assessed by an independent external or internal appraiser or, if not available, by the originator.
If the collateral being reported is a guarantee, enter the amount of underlying exposure guaranteed by this collateral item to the benefit of the originator.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
RREC14
Current Valuation Method
The method of calculating the most recent value of the collateral, as provided in RREC13:
Full, internal and external inspection (FIEI)
Full, only external inspection (FOEI)
Drive-by (DRVB)
Automated Value Model (AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent or Estate Agent (MAEA)
Tax Authority (TXAT)
Other (OTHR)
YES
NO
RREC15
Current Valuation Date
The date of the most recent valuation, as provided in RREC13.
YES
YES
RREC16
Original Loan-To-Value
Originator’s original underwritten loan To Value ratio (LTV). For non-first lien loans, this is the combined or total LTV.
If the collateral being reported is not property collateral, enter ND5.
YES
YES
RREC17
Original Valuation Amount
The original valuation of the collateral used when the underlying exposure was originated (i.e. before securitisation).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
RREC18
Original Valuation Method
The method of calculating the value of the collateral at the time of underlying exposure origination, as provided in RREC17:
Full, internal and external inspection (FIEI)
Full, only external inspection (FOEI)
Drive-by (DRVB)
Automated Valuation Model (AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent/Estate Agent (MAEA)
Tax Authority (TXAT)
Other (OTHR)
YES
NO
RREC19
Original Valuation Date
The date of original valuation of the collateral, as provided in RREC17.
YES
NO
RREC20
Date Of Sale
The date of sale of the foreclosed collateral.
YES
YES
RREC21
Sale Price
Price achieved on sale of collateral in case of foreclosure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
RREC22
Collateral Currency
This is the currency in which the valuation amount provided in RREC13 is denominated.
NO
YES
RREC23
Guarantor Type
Guarantor Type:
No Guarantor (NGUA)
Individual — Family Relation (FAML)
Individual — Other (IOTH)
Government (GOVE)
Bank (BANK)
Insurance Product (INSU)
Nationale Hypotheek Garantie Guarantee Scheme (NHGX)
Fonds de Garantie de l’Accession Sociale (FGAS)
Caution (CATN)
Other (OTHR)
YES
NO
( 1 ) Commission Delegated Regulation (EU) 2020/1224 of 16 October 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE (OJ L 289, 3.9.2020, p. 1).
UNDERLYING EXPOSURES INFORMATION — COMMERCIAL REAL ESTATE (CRE)
ANNEX IIISupplementary provisions
ANNEX III
UNDERLYING EXPOSURES INFORMATION — COMMERCIAL REAL ESTATE (CRE)
Field code
Field name
Content to report
ND1-ND4 allowed?
ND5 allowed?
Underlying exposures information section
CREL1
Unique Identifier
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224
NO
NO
CREL2
Original Obligor Identifier
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
CREL3
New Obligor Identifier
If the original identifier in field CREL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREL2. The reporting entity must not amend this unique identifier.
NO
NO
CREL4
Original Underlying Exposure Identifier
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
CREL5
New Underlying Exposure Identifier
If the original identifier in field CREL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREL4. The reporting entity must not amend this unique identifier.
NO
NO
CREL6
Data Cut-Off Date
The data cut-off date for this data submission.
NO
NO
CREL7
Pool Addition Date
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.
NO
YES
CREL8
Date Of Restructuring
Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
In the event of multiple dates, all dates must be provided in accordance with the XML schema.
YES
YES
CREL9
Date Of Repurchase
Date on which the underlying exposure was repurchased from the pool.
NO
YES
CREL10
Date Of Substitution
If underlying exposure was substituted for another underlying exposure after the Securitisation Date, the date of such substitution.
NO
YES
CREL11
Redemption Date
Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.
NO
YES
CREL12
Geographic Region — Obligor
The geographic region (NUTS3 classification) where the obligor is located. 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’.
YES
NO
CREL13
Geographic Region Classification
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.
YES
NO
CREL14
Special Scheme
If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.
YES
YES
CREL15
Origination Date
Date of original underlying exposure advance.
YES
NO
CREL16
Start Date Of Amortisation
The date on which amortisation will commence on the securitised underlying exposure (this can be a date prior to the securitisation date).
YES
YES
CREL17
Maturity Date At Securitisation Date
The maturity date of the underlying exposure as defined in the underlying exposure agreement. This would not take into account any extended maturity date on which may be allowed under the underlying exposure agreement.
NO
YES
CREL18
Maturity Date
The date of maturity of the underlying exposure or expiry of the lease.
NO
YES
CREL19
Original Term
Original contractual term (number of months) at the origination date.
YES
YES
CREL20
Duration Of Extension Option
Duration in months of any maturity extension option available to the underlying exposure. In the event of multiple maturity extensions available, enter the duration of the option that has the shortest extension period for the underlying exposure.
NO
YES
CREL21
Nature Of Extension Option
Reference thresholds involved for the possibility of triggering/exercising the extension option referred to in field CREL20:
Minimum Interest Coverage Ratio (MICR)
Minimum Debt Service Coverage Ratio (MDSC)
Maximum Loan-To-Value (MLTV)
Multiple Conditions (MLTC)
Other (OTHR)
NO
YES
CREL22
Currency Denomination
The underlying exposure currency denomination.
NO
NO
CREL23
Current Principal Balance
Outstanding principal balance of the securitised underlying exposure. This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. It excludes any interest arrears or penalty amounts.
Current balance includes the principal arrears. However, savings amount are to be deducted if a subparticipation exists. (i.e. underlying exposure balance = underlying exposure +/- subparticipation; +/- 0 if no subparticipation).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL24
Original Principal Balance
Original underlying exposure balance (inclusive of fees).
This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CREL25
Original Principal Balance At Securitisation Date
Original Principal Balance of the securitised underlying exposure at the Securitisation Date as identified in the Offering Circular.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
CREL26
Committed Undrawn Facility Underlying Exposure Balance
The total whole underlying exposure remaining facility/Undrawn balance at the end of the period. The total whole underlying exposure remaining facility at the end of the Interest Payment date on which the obligor can still draw upon.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
CREL27
Total Other Amounts Outstanding
Cumulative outstanding amounts on loan (e.g. insurance premium, ground rents, cap ex) that have been expended by SSPE/Servicer. The cumulative amount of any property protection advances or other sums that have been advanced by the Servicer or SSPE and not yet reimbursed by the obligor.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL28
Purchase Price
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.
NO
YES
CREL29
Latest Utilisation Date
Date of the most recent utilisation/drawdown of the underlying exposure facility agreement.
NO
YES
CREL30
Purpose
Underlying exposure purpose — In the event of multiple purposes, report the option that best describes the arrangement:
Acquisition for investment (ACQI)
Acquisition for Liquidation (ACQL)
Refinancing (RFIN)
Construction (CNST)
Redevelopment (RDVL)
Other (OTHR)
YES
NO
CREL31
Structure
Underlying Exposure Structure:
Whole loan — not split into subordinated debt items/notes (LOAN)
Participated mortgage underlying exposure with pari passu debt outside the issuance vehicle (PMLP)
Participated mortgage underlying exposure with subordinate debt outside the issuance vehicle (PMLS)
A Loan; as part of an A/B participation structure (AABP)
B Loan; as part of an A/B participation structure (BABP)
A Loan; as part of an A/B/C participation structure (AABC)
B Loan; as part of an A/B/C participation structure (BABC)
C Loan; as part of an A/B/C participation structure (CABC)
Structural mezzanine financing (MZZD)
Subordinate debt with separate loan documentation outside the issuance vehicle (SOBD)
Other (OTHR)
YES
NO
CREL32
Waterfall A-B Pre Enforcement Scheduled Interest Payments
Waterfall pre-enforcement schedule for interest payments:
Sequential (SQNL)
B loan first (BLLF)
Pro-Rata (PRAT)
Modified Pro-Rata (MPRT)
Other (OTHR)
NO
YES
CREL33
Waterfall A-B Pre Enforcement Scheduled Principal Payments
Waterfall pre-enforcement schedule for principal payments:
Sequential (SQNL)
B loan first (BLLF)
Pro-Rata (PRAT)
Modified Pro-Rata (MPRT)
Other (OTHR)
NO
YES
CREL34
Principal Payment Allocation To Senior Loan
Insert % of all periodical scheduled principal payments that go to the senior loan (e.g. A loan), if there are multiple loans in the lending arrangement (for example, if field CREL31 is completed with values PMLS, AABP, BABP, AABC, BABC, or CABC).
NO
YES
CREL35
Waterfall Type
Type of waterfall governing the overall lending arrangement:
Interest A, principal A, interest B, principal B (IPIP)
Interest A, interest B, principal A, principal B (IIPP)
Other (OTHR)
NO
YES
CREL36
Defaulted Underlying Exposure Purchase Price
If the subordinated loan holder (e.g. B loan holder) can purchase the senior loan in an event of default, enter the purchase price as per the applicable co-lender/intercreditor agreement.
NO
YES
CREL37
Cure Payments Possible?
Can the subordinated loan holder (e.g. B loan holder) make cure payments in lieu of the mortgage obligor? Select from the list below:
No possibility to make cure payment (NCPP)
Cure payment can be made up to a fixed number limit over the lifetime of the underlying exposure (FNLP)
Cure payment can be made without limit over the lifetime of the underlying exposure (NLCP)
Other (OTHR)
YES
NO
CREL38
Restrictions On Sale Of Subordinated Loan?
Are there any restrictions on the ability of the subordinated loan holder (e.g. B loan holder) to sell off the loan to a third party?
NO
YES
CREL39
Subordinated Loan Holder Affiliated To Obligor?
Is there a non-disenfranchised subordinated loan holder (e.g. B loan holder) affiliated (i.e. part of the same financial group) to the commercial mortgage obligor?
NO
YES
CREL40
Subordinated Loan Holder Control Of Workout Process
Can the subordinated loan holder (e.g. B loan holder) exercise control over the decision to and process to enforce and sell the loan collateral?
NO
YES
CREL41
Do Non-Payments On Prior Ranking Claims Constitute A Default Of The Underlying Exposure?
Do Non-payments on Prior Ranking Claims Constitute a Default of the underlying exposure?
NO
YES
CREL42
Do Non-Payments On Equal Ranking Underlying Exposures Constitute Default Of Property?
Do Non-payments on Equal Ranking underlying exposures Constitute Default of Property?
NO
YES
CREL43
Noteholder Consent
Is Noteholder consent needed in any restructuring? Restructuring includes changes in the securitised underlying exposure’s payment terms (including interest rate, fees, penalties, maturity, repayment schedule, and/or other generally-accepted measures of payment terms)
YES
NO
CREL44
Noteholder Meeting Scheduled
What date is the next noteholder meeting scheduled for?
NO
YES
CREL45
Syndicated
Is the underlying exposure syndicated?
YES
NO
CREL46
Participation Of SSPE
Method used by the SSPE to acquire ownership in the syndicated underlying exposure:
Assignment (ASGN)
Novation (NOVA)
Equitable Assignment (EQTB)
Funded Participation (pari passu interest) (PARI)
Junior Participation Interest (JUNP)
Legal Assignment (LGAS)
Notified Assignment (NOTA)
Sub Participation (SUBP)
Risk Participation (RSKP)
Sale Event (SALE)
Other (OTHR)
NO
YES
CREL47
Consequence For Breach Of Financial Covenant
The consequence for the financial covenant breach:
Event of Default (EDFT)
Additional Amortisation (AAMR)
Cash Trap Reserve (CTRS)
Terminate Property Manager (TPRM)
Other (OTHR)
NO
YES
CREL48
Financial Information Non-Submission Penalties
Are there are monetary penalties for obligor’s failure to submit required financial information (Op. Statement, Schedule, etc.) as per underlying exposure documents?
YES
NO
CREL49
Recourse
Is there recourse (full or limited) to the obligor’s assets beyond the proceeds of any collateral for this underlying exposure?
YES
YES
CREL50
Recourse - 3rd Party
Is there recourse (full or limited) to another party (e.g. guarantor) in the event the obligor defaults on an obligation under the underlying exposure agreement?
YES
YES
CREL51
Servicing Standard
Does the servicer of this securitised underlying exposure also service the whole underlying exposure or only one/several components of the whole underlying exposure (e.g. A or B component; or one of the pari-passu components)?
NO
NO
CREL52
Amounts Held In Escrow
Total balance of the legally charged reserve accounts as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL53
Collection Of Escrows
Enter Y if any payments are held in reserve accounts to cover ground lease payments, insurance or taxes only (not maintenance, improvements, capex etc.) as required under the underlying exposure agreement.
YES
NO
CREL54
Collection Of Other Reserves
Are any amounts other than ground rents taxes or insurance held in reserve accounts as required under the terms of the underlying exposure agreement for tenant improvements, leasing commissions and similar items in respect of the related property or for purpose of providing additional collateral for such underlying exposure?
NO
NO
CREL55
Trigger For Escrow To Be Held
Type of trigger event leading to amounts to be paid into escrow:
No Trigger (NONE)
Loan to Value Trigger (LVTX)
Interest Coverage Trigger (ICVR)
Debt Service Coverage Trigger (DSCT)
Net Operating Income Trigger (NOIT)
Other (OTHR)
YES
NO
CREL56
Target Escrow Amounts/Reserves
Target escrow amounts/reserves.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL57
Escrow Account Release Conditions
Release conditions of the escrow account. If multiple conditions, each condition must be provided in accordande with the XML schema.
NO
YES
CREL58
Conditions Of Drawing Cash Reserve
When the Cash Reserve can be used:
Financial Covenant Breach (FICB)
Trigger Event (TREV)
Other (OTHR)
NO
YES
CREL59
Escrow Account Currency
Escrow account currency denomination.
NO
YES
CREL60
Escrow Payments Currency
Currency of the Escrow payments. Fields CREL52 and CREL56.
NO
YES
CREL61
Total Reserve Balance
Total balance of the reserve accounts at the underlying exposure level at the underlying exposure Payment Date. Includes Maintenance, Repairs & Environmental, etc. (excludes Tax & Insurance reserves Includes LC’s for reserves. to be completed if field CREL54 (‘Collection of Other Reserves’) is equal to ‘Y’ = Yes.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL62
Reserve Balance Currency
Reserve account currency denomination.
NO
YES
CREL63
Escrow Trigger Event Occurred
Enter Y if an event has occurred which has caused reserve amounts to be established. Enter N if payments are built up as a normal condition of the underlying exposure agreement.
NO
NO
CREL64
Amounts Added To Escrows In Current Period
Amount that has been added to any escrows or reserves between the previous data cut-off date and the data cut-off date of this data submission.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL65
Revenue
Total revenues from all sources for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months) for all the properties. May be normalised if required by the applicable servicing agreement.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
CREL66
Operating Expenses At Securitisation Date
Total underwritten operating expenses for all the properties as described in the Offering Circular. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the landlord; capital expenditures and leasing commissions are excluded. If multiple properties exist, total the operating expenses of the underlying properties.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL67
Capital Expenditures At Securitisation Date
Anticipated capex over the life of the securitised underlying exposure at Securitisation Date (as opposed to repairs and maintenance) if identified in the Offering Circular.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL68
Financial Statement Currency
The currency used in the initial financial reporting of fields CREL65 — CREL66.
YES
NO
CREL69
Obligor Reporting Breach
Is obligor in breach of its obligation to deliver reports to underlying exposure servicer or lender? Y = Yes or N = No.
YES
NO
CREL70
Debt Service Coverage Ratio Method
Define the calculation of the Debt Service Coverage Ratio financial covenant requirement, the inferred method of calculation. If the calculation method differs between the whole loan and the A-loan, then enter the A-loan method.
Current Period (CRRP)
Projection - 6 month forward calculation (PRSF)
Projection - 12 month forward calculation (PRTF)
Combo 6 — Current period and a 6 month forward calculation (CMSF)
Combo 12 — Current period and a 6 month forward calculation (CMTF)
Historical - 6 month forward calculation (HISF)
Historical - 12 month forward calculation (HITF)
Modified — Includes a reserve injection or a percentage rental income probability calculation (MODI)
Multiple Period — Consecutive period calculation (MLTP)
Other (OTHR)
YES
NO
CREL71
Debt Service Coverage Ratio Indicator At Securitisation Date
How the Debt Service Coverage Ratio is calculated or applied when an underlying exposure relates to multiple properties:
Partial — Not all properties received financials, servicer to leave empty (PRTL)
Average — Not all properties received financials, servicer allocates debt service only to properties where financials are received (AVER)
Full — All statements collected for all properties (FULL)
Worst Case — Not all properties received financials, servicer allocates 100 % of debt service to all properties where financials are received (WCAS)
None Collected — No financials were received (NCOT)
Consolidated — All properties reported on one ‘rolled up’ financial from the obligor (COND)
Whole loan based on loan agreements (WLAG)
Whole loan based on other method (WLOT)
Trust Note based on loan agreement (TNAG)
Trust Note based on other method (TNOT)
Other (OTHR)
NO
YES
CREL72
Most Recent Debt Service Coverage Ratio Indicator
How the Debt Service Coverage Ratio is calculated or applied when an underlying exposure relates to multiple properties:
Partial — Not all properties received financials, servicer to leave empty (PRTL)
Average — Not all properties received financials, servicer allocates debt service only to properties where financials are received (AVER)
Full — All statements collected for all properties (FULL)
Worst Case — Not all properties received financials, servicer allocates 100 % of debt service to all properties where financials are received (WCAS)
None Collected — No financials were received (NCOT)
Consolidated — All properties reported on one ‘rolled up’ financial from the obligor (COND)
Whole loan based on loan agreements (WLAG)
Whole loan based on other method (WLOT)
Trust Note based on loan agreement (TNAG)
Trust Note based on other method (TNOT)
Other (OTHR)
NO
YES
CREL73
Debt Service Coverage Ratio At The Securitisation Date
The Debt Service Coverage Ratio calculation for the securitised underlying exposure, at the Securitisation Date, based on the underlying exposure documentation.
YES
NO
CREL74
Current Debt Service Coverage Ratio
Current Debt Service Coverage Ratio calculation for the securitised underlying exposure, based on the underlying exposure documentation.
YES
NO
CREL75
Original Loan-To-Value
The Loan to Value ratio (LTV) for the entire lending arrangement (i.e. not just reflecting the securitised loan amount), as at the Securitisation Date.
YES
NO
CREL76
Current Loan-To-Value
Current Loan to Value ratio (LTV) for the entire lending arrangement (i.e. not just reflecting the securitised loan amount).
YES
NO
CREL77
Interest Coverage Ratio At The Securitisation Date
The Interest Coverage Ratio calculation for the securitised underlying exposure, at the Securitisation Date.
YES
NO
CREL78
Current Interest Coverage Ratio
Current Interest Coverage Ratio calculation for the securitised underlying exposure.
YES
NO
CREL79
Interest Coverage Ratio Method
Define the calculation of the Interest Coverage Ratio financial covenant requirement at the level of the securitised underlying exposure (or the whole underlying exposure level if not specified for any specific underlying exposure arrangements within the overall lending arrangement), the inferred method of calculation:
Current Period (CRRP)
Projection - 6 month forward calculation (PRSF)
Projection - 12 month forward calculation (PRTF)
Combo 6 — Current period and a 6 month forward calculation (CMSF)
Combo 12 — Current period and a 6 month forward calculation (CMTF)
Historical - 6 month forward calculation (HISF)
Historical - 12 month forward calculation (HITF)
Modified — Includes a reserve injection or a percentage rental income probability calculation (MODI)
Multiple Period — Consecutive period calculation (MLTP)
Other (OTHR)
NO
YES
CREL80
Number Of Properties At Securitisation Date
The number of properties that serve as security for the underlying exposure at the Securitisation Date.
NO
YES
CREL81
Number Of Properties At Data Cut-Off Date
The number of properties that serve as security for the underlying exposure.
YES
NO
CREL82
Properties Collateralised To The Underlying Exposure
Enter the unique collateral identifiers (CREC4) of the properties that serve as security for the underlying exposure at the data cut-off date. If multiple properties enter all of the identifiers as set out in the XML schema.
NO
NO
CREL83
Property Portfolio Value At Securitisation Date
The valuation of the properties securing the underlying exposure at the Securitisation Date as described in the Offering Circular. If multiple properties then sum the value of the properties.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL84
Property Portfolio Valuation Currency At Securitisation Date
The currency of the valuation in CREL83.
NO
YES
CREL85
Status Of Properties
Status of properties. Where multiple situations from the list below exist, choose the situation which best represents the overall set of properties.
Lasting Power of Attorney (LPOA)
Receivership (RCVR)
In Foreclosure (FCLS)
Real Estate Owned (REOW)
Defeased (DFSD)
Partial Release (PRLS)
Released (RLSD)
Same as at Securitisation Date (SCDT)
In special servicing (SSRV)
Other (OTHR)
NO
YES
CREL86
Valuation Date At Securitisation Date
The date the valuation was prepared for the values disclosed in the Offering Circular. For multiple properties, if several dates, take the most recent date.
NO
YES
CREL87
Amortisation Type
Type of amortisation of the underlying exposure including principal and interest.
French — i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX)
German — i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)
Fixed amortisation schedule — i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)
Bullet — i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)
Other (OTHR)
YES
NO
CREL88
Principal Grace Period End Date
If applicable as at the data cut-off date, indicate the principal grace period end date.
NO
YES
CREL89
Grace Days Allowed
The number of days after a payment is due in which the lender will not consider the missed payment to be an Event of Default. This refers to missed payments due to non-technical reasons (i.e. missed payments not due to systems failures for example).
NO
YES
CREL90
Scheduled Principal Payment Frequency
Frequency of principal payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
CREL91
Scheduled Interest Payment Frequency
Frequency of interest payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
CREL92
Number Of Payments Before Securitisation
Enter the number of payments made prior to the exposure being transferred to the securitisation.
YES
NO
CREL93
Prepayment Terms Description
Must reflect the information in offering circular. For instance, if the prepayment terms are the payment of a 1 % fee in year one, 0,5 % in year two and 0,25 % in year three of the loan this may be shown in the offering circular as: 1 %(12), 0,5 %(24), 0,25 %(36).
YES
YES
CREL94
Prepayment Lock-Out End Date
The date after which the lender allows prepayment of the underlying exposure.
YES
YES
CREL95
Yield Maintenance End Date
Date after which underlying exposure can be prepaid without yield maintenance.
NO
YES
CREL96
Prepayment Fee
Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL97
Prepayment Fee End Date
The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.
YES
YES
CREL98
Unscheduled Principal Collections
Unscheduled payments of principal received in the most recent collection period. Other principal payments received during the interest period that will be used to pay down the underlying exposure. This may relate to sales proceeds, voluntary prepayments, or liquidation amounts.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL99
Liquidation/Prepayment Date
The most recent date on which an unscheduled principal payment was received or liquidation proceeds are received.
NO
YES
CREL100
Liquidation/Prepayment Code
Code assigned to any unscheduled principal payments or liquidation proceeds received during the collection period:
Partial Liquidation (Curtailment) (PTLQ)
Payoff Prior to Maturity (PTPY)
Liquidation or Disposition (LQDP)
Repurchase or Substitution (RPSB)
Full Payoff at Maturity (FLPY)
Discounted Payoff (DPOX)
Payoff with Penalty (PYPN)
Payoff with Yield Maintenance (YLMT)
Curtailment with Penalty (CTPL)
Curtailment with Yield Maintenance (CTYL)
Other (OTHR)
NO
YES
CREL101
Prepayment Interest Excess/Shortfall
Shortfall or excess of actual interest payment from the scheduled interest payment that is not related to an underlying exposure default. Results from a prepayment received on a date other than a scheduled payment due date: Shortfall – The difference by which the amount of interest paid is less than the scheduled interest that was due on the underlying exposure Payment Date, (this would only apply if there is a shortfall after the obligor has paid any break costs). Excess – Interest collected in excess of the accrued interest due for the underlying exposure interest accrual period. A negative number represents a shortfall and excess is represented as a positive number.
Refers to the entire lending arrangement (i.e. not just reflecting the securitised underlying exposure amount)
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL102
Payment Date
The most recent date principal and interest is paid to the SSPE as at the data cut-off date, this would normally be the interest payment date of the underlying exposure.
NO
YES
CREL103
Next Payment Adjustment Date
For adjustable rate underlying exposures, the next date on which the amount of scheduled principal and/or interest is due to change. For fixed rate underlying exposures, enter the next payment date.
NO
YES
CREL104
Next Payment Date
Date of next underlying exposure payment.
NO
YES
CREL105
Payment Due
This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL106
Original Interest Rate
Underlying exposure all-in interest rate at the date of origination of the securitised underlying exposure.
YES
NO
CREL107
Interest Rate At The Securitisation Date
The total interest rate (e.g. EURIBOR + Margin) that is being used to calculate interest due on the securitised underlying exposure for the first Interest Payment Date after the Securitisation Date.
YES
NO
CREL108
First Payment Adjustment Date
For adjustable rate underlying exposures, the first date on which the amount of scheduled principal and/or interest is due to change. For fixed rate underlying exposures, enter the first date on which the amount of scheduled principal or interest is due (not the first date after securitisation on which it could change).
YES
YES
CREL109
Interest Rate Type
Interest rate type:
Floating rate underlying exposure (for life) (FLIF)
Floating rate underlying exposure linked to one index that will revert to another index in the future (FINX)
Fixed rate underlying exposure (for life) (FXRL)
Fixed with future periodic resets (FXPR)
Fixed rate underlying exposure with compulsory future switch to floating (FLCF)
Floating rate underlying exposure with floor (FLFL)
Floating rate underlying exposure with cap (CAPP)
Floating rate underlying exposure with both floor and cap (FLCA)
Discount (DISC)
Switch Optionality (SWIC)
Obligor Swapped (OBLS)
Modular (MODE)
Other (OTHR)
NO
YES
CREL110
Current Interest Rate
Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised.
NO
YES
CREL111
Current Interest Rate Index
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
CREL112
Current Interest Rate Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
NO
YES
CREL113
Current Interest Rate Margin
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.
NO
YES
CREL114
Interest Rate Reset Interval
Number of months between each interest rate reset date on the underlying exposure.
NO
YES
CREL115
Current Index Rate
The index rate used to determine the current securitised underlying exposure interest rate. The interest rate (before margin) used to calculate the interest paid on the securitised underlying exposure payment date in field CREL102.
NO
YES
CREL116
Index Determination Date
If the underlying exposure Agreement states specific dates for the index to be set, enter the next index determination date.
NO
YES
CREL117
Rounding Increment
The incremental percentage by which an index rate is to be rounded in determining the interest rate as set out in the underlying exposure agreement.
NO
YES
CREL118
Interest Rate Cap
Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
NO
YES
CREL119
Interest Rate Floor
Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
NO
YES
CREL120
Current Default Interest Rate
Interest rate used to calculate the default interest paid on the securitised underlying exposure payment date in field CREL102.
NO
YES
CREL121
Accrual Of Interest Allowed
Do the documents describing the terms and conditions of the underlying exposure allow for interest to be accrued and capitalised?
YES
NO
CREL122
Day Count Convention
The ‘days’ convention used to calculate interest:
30/360 (A011)
Actual/365 (A005)
Actual/360 (A004)
Actual/Actual ICMA (A006)
Actual/Actual ISDA (A008)
Actual/Actual AFB (A010)
Actual/366 (A009)
Other (OTHR)
NO
YES
CREL123
Total Scheduled Principal & Interest Due
Scheduled principal & interest payment due on the securitised underlying exposure on the most recent payment date, as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
CREL124
Total Scheduled Principal & Interest Paid
Scheduled Principal & Interest payment paid on the securitised underlying exposure on the most recent payment date, as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
CREL125
Negative Amortisation
Negative amortisation/deferred interest/capitalised interest without penalty. Negative amortisation occurs when interest accrued during a payment period is greater than the scheduled payment and the excess amount is added to the outstanding underlying exposure balance. Refers to the entire lending arrangement (i.e. not just reflecting the securitised underlying exposure amount)
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
CREL126
Deferred Interest
Deferred interest on the whole loan (i.e. including the securitised loan and any other loan belonging to the lending arrangement with the obligor). Deferred interest is the amount by which the interest an obligor is required to pay on a mortgage loan, less than the amount of interest accrued on the outstanding principal balance.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
CREL127
Total Shortfalls In Principal & Interest Outstanding
Cumulative outstanding principal and interest amounts due on the entire lending arrangement (i.e. not just the securitised underlying exposure) as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL128
Date Last In Arrears
Date the obligor was last in arrears.
YES
YES
CREL129
Arrears Balance
Current balance of arrears, which is defined as:
Total payments due to date
PLUS any amounts capitalised
PLUS any fees applied to the account
LESS total payments received to date.
If no arrears then enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
CREL130
Number Of Days In Arrears
Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.
NO
NO
CREL131
Reason for Default or Foreclosure
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)
In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)
In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)
YES
YES
CREL132
Default Amount
Total gross default amount before the application of sale proceeds and recoveries and inclusive of any capitalised fees/penalties/etc. If not in default, enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL133
Default Date
The date of default.
NO
YES
CREL134
Interest In Arrears
Is the interest that accrues on the underlying exposure paid in arrears?
NO
NO
CREL135
Actual Default Interest
Actual default interest paid between the previous data cut-off date and the data cut-off date of this data submission. Total amount of default interest paid by the obligor during the interest period or on the underlying exposure payment date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL136
Account Status
Current status of the underlying exposure that has been securitised:
Performing (PERF)
Restructured — No Arrears (RNAR)
Restructured — Arrears (RARR)
Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)
Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)
Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)
Defaulted only under another definition of default being met (DADB)
Arrears (ARRE)
Repurchased by Seller – Breach of Representations and Warranties (REBR)
Repurchased by Seller – Defaulted (REDF)
Repurchased by Seller – Restructured (RERE)
Repurchased by Seller – Special Servicing (RESS)
Repurchased by Seller – Other Reason (REOT)
Redeemed (RDMD)
Other (OTHR)
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.
NO
NO
CREL137
Allocated Losses
The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL138
Net Proceeds Received On Liquidation
Net proceeds received on liquidation used to determine loss to the SSPE per the Securitisation Documents. The amount of the net proceeds of sale received, this will determine whether there is a loss or shortfall on the underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL139
Liquidation Expense
Expenses associated with the liquidation to be netted from the other assets of issuer to determine loss per the Securitisation Documents. Amount of any liquidation expenses that will be paid out of the net sales proceeds to determine whether there will be any loss.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL140
Expected Timing Of Recoveries
The underlying exposure servicer’s expected recovery timing in months.
NO
YES
CREL141
Cumulative Recoveries
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL142
Enforcement Start Date
The date on which foreclosure or administration proceedings or alternative enforcement procedures were initiated against or agreed by the obligor.
NO
YES
CREL143
Workout Strategy Code
Work-out strategy:
Modification (MODI)
Enforcement (ENFR)
Receivership (RCVR)
Insolvency (NSOL)
Extension (XTSN)
Loan Sale (LLES)
Discounted Pay Off (DPFF)
Property in Possession (PPOS)
Resolved (RSLV)
Pending Return to Servicer (PRTS)
Deed in Lieu of Foreclosure (DLFR)
Full Pay Off (FPOF)
Representations and Warranties (REWR)
Other (OTHR)
NO
YES
CREL144
Modification
Type of modification:
Maturity Date Extension (MEXT)
Amortisation Change (AMMC)
Principal Write-off (PWOF)
Temporary Rate Reduction (TMRR)
Capitalisation of Interest (CINT)
Capitalisation of Costs Advanced (e.g. insurance, ground rent) (CPCA)
Combination (COMB)
Other (OTHR)
NO
YES
CREL145
Special Servicing Status
As of the underlying exposure Payment Date is the underlying exposure currently being specially serviced?
NO
NO
CREL146
Most Recent Special Servicer Transfer Date
The date an underlying exposure was transferred to the special Servicer following a servicing transfer event. Note: If the underlying exposure has had multiple transfers, this is the last date transferred to special servicing.
NO
YES
CREL147
Most Recent Primary Servicer Return Date
The date an underlying exposure becomes a ‘corrected mortgage underlying exposure’, which is the date the underlying exposure was returned to the master/primary Servicer from the special Servicer. Note: If the underlying exposure has had multiple transfers, this is the last date returned to the master/primary Servicer from special servicing.
NO
YES
CREL148
Non Recoverability Determined
Indicator (Yes/No) as to whether the Servicer or Special Servicer has determined that there will be a shortfall in recovering any advances it has made and the outstanding underlying exposure balance and any other amounts owing on the underlying exposure from proceeds upon sale or liquidation of the property or underlying exposure.
YES
YES
CREL149
Covenant Breach/Trigger
Type of Covenant Breach/Trigger:
Interest Coverage Ratio (ICRX)
Debt Service Coverage Ratio (DSCR)
Loan-to-Value (LLTV)
Interest Coverage Ratio or Debt Service Coverage Ratio (ICDS)
Interest Coverage Ratio or Debt Service Coverage Ratio or Loan-to-Value (ICDL)
Property Level Breach (PROP)
Obligor Level Breach (OBLG)
Tenant or Vacancy Level Breach (TENT)
Other (OTHR)
NO
YES
CREL150
Date Of Breach
The date on which any breach of the underlying exposure terms and conditions occurred. If multiple breaches, the date of the earliest breach.
YES
YES
CREL151
Date Of Breach Cure
The date on which any breach reported in field CREL150 cured. If multiple breaches, the date which the last breach cured.
NO
YES
CREL152
Servicer Watchlist Code
If the underlying exposure has been entered onto the servicer watchlist, enter the most appropriate corresponding code from Table 2 in Annex I of this Regulation. If multiple criteria are applicable, list the most detrimental code.
NO
YES
CREL153
Servicer Watchlist Date
Determination date on which an underlying exposure was placed on the Watchlist. If underlying exposure came off the Watchlist in a prior period and is now coming back on, use the new entry date.
NO
YES
CREL154
Interest Rate Swap Provider
If there is an interest rate swap on the underlying exposure, provide the full legal name of the interest rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
YES
CREL155
Interest Rate Swap Provider Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure interest rate swap provider.
NO
YES
CREL156
Interest Rate Swap Maturity Date
Date of maturity for the interest rate underlying exposure level swap.
NO
YES
CREL157
Interest Rate Swap Notional
Interest rate underlying exposure level swap notional amount
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL158
Currency Swap Provider
If there is an exchange rate swap on the underlying exposure, provide the full legal name of the exchange rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
YES
CREL159
Currency Swap Provider Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure currency swap provider.
NO
YES
CREL160
Currency Swap Maturity Date
Date of maturity for the currency underlying exposure level swap.
NO
YES
CREL161
Currency Swap Notional
Currency underlying exposure level swap notional amount
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL162
Exchange Rate For Swap
The exchange rate that has been set for a currency underlying exposure level swap.
NO
YES
CREL163
Other Swap Provider
The full legal name of the swap provider for the underlying exposure, where the swap is neither an interest rate nor currency swap. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
YES
CREL164
Other Swap Provider Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure ‘other’ swap provider.
NO
YES
CREL165
Obligor Must Pay Breakage On Swap
Extent to which the obligor is obligated to pay breakage costs to the underlying exposure swap provider. In the event of multiple swaps, enter the most appropriate value.
Total Indemnification from obligor (TOTL)
Partial Indemnification from obligor (PINO)
No Indemnification from obligor (NOPE)
YES
NO
CREL166
Full Or Partial Termination Event Of Swap For Current Period
If underlying exposure swap has been terminated between the previous data cut-off date and the data cut-off date of the current report submission, identify reason. In the event of multiple swaps, enter the most appropriate value.
Swap Terminated due to Ratings Downgrade of Underlying Exposure Swap Provider (RTDW)
Swap Terminated due to Payment Default to Underlying Exposure Swap Provider (PYMD)
Swap Terminated due to Other Type of Default by Underlying Exposure Swap Counterparty (CNTD)
Swap Terminated due to Full or Partial Prepayment by Obligor (PRPY)
Swap Terminated due to Other Type of Default by Obligor (OBGD)
Other (OTHR)
NO
YES
CREL167
Net Periodic Payment Made By Swap Provider
Net amount of payment made by the swap counterparty securitised underlying exposure, on the underlying exposure Payment Date as required by the swap contract. This does not include any breakage or termination payments. In the event of multiple swaps, enter the sum across all swaps.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL168
Breakage Costs Due To Underlying Exposure Swap Provider
Amount of any payment due from the obligor to the swap counterparty for partial of full termination of the swap. In the event of multiple swaps, enter the most appropriate value.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL169
Shortfall In Payment Of Breakage Costs On Swap
Amount of any shortfall, if any, of breakage costs resulting from the full or partial termination of the swap, paid by the obligor. In the event of multiple swaps, enter the sum across all swaps.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL170
Breakage Costs Due From Swap Counterparty
Amount of any gains paid by the swap counterparty to the obligor on full or partial termination. In the event of multiple swaps, enter the most appropriate value.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREL171
Next Swap Reset Date
Date of next reset date on the underlying exposure level swap. In the event of multiple swaps, enter the most appropriate value.
NO
YES
CREL172
Sponsor
The name of the underlying exposure sponsor.
NO
YES
CREL173
Agent Bank Of Syndication Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the agent bank of syndication, i.e. the entity acting as an interface between the obligor and the lending parties involved in the syndicated underlying exposure.
NO
YES
CREL174
Servicer Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure servicer.
NO
YES
CREL175
Servicer Name
Give the full legal name of the underlying exposure servicer. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
YES
CREL176
Originator Name
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
CREL177
Originator Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.
NO
NO
CREL178
Originator Establishment Country
Country where the underlying exposure originator is established.
NO
NO
CREL179
Original Lender Name
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
YES
YES
CREL180
Original Lender Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.
Where no Legal Entity Identifier is available, enter ND5.
YES
YES
CREL181
Original Lender Establishment Country
Country where the original lender is established.
YES
YES
Collateral-level information section
CREC1
Unique Identifier
Report the same unique identifier here as the one entered into field CREL1.
NO
NO
CREC2
Underlying Exposure Identifier
Unique underlying exposure identifier. This must match the identifier in field CREL5. The reporting entity must not amend this unique identifier.
NO
NO
CREC3
Original Collateral Identifier
The original unique identifier assigned to the collateral. The reporting entity must not amend this unique identifier.
NO
NO
CREC4
New Collateral Identifier
If the original identifier in field CREC3 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREC3. The reporting entity must not amend this unique identifier.
NO
NO
CREC5
Collateral Type
The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.
Automobile (CARX)
Industrial Vehicle (INDV)
Commercial Truck (CMTR)
Rail Vehicle (RALV)
Nautical Commercial Vehicle (NACM)
Nautical Leisure Vehicle (NALV)
Aeroplane (AERO)
Machine Tool (MCHT)
Industrial Equipment (INDE)
Office Equipment (OFEQ)
IT Equipment (ITEQ)
Medical Equipment (MDEQ)
Energy Related Equipment (ENEQ)
Commercial Building (CBLD)
Residential Building (RBLD)
Industrial Building (IBLD)
Other Vehicle (OTHV)
Other Equipment (OTHE)
Other Real Estate (OTRE)
Other goods or inventory (OTGI)
Securities (SECU)
Guarantee (GUAR)
Other Financial Asset (OTFA)
Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)
Other (OTHR)
NO
NO
CREC6
Property Name
The name of the property that serves as security for the underlying exposure.
If the collateral being reported is not property collateral, enter ND5.
NO
YES
CREC7
Property Address
The address of the property that serves as security for the underlying exposure.
If the collateral being reported is not property collateral, enter ND5.
NO
YES
CREC8
Geographic Region — Collateral
The geographic region (NUTS3 classification) where the physical collateral is located. 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’.
YES
YES
CREC9
Property Post Code
The primary property full postal code.
If the collateral being reported is not property collateral, enter ND5.
NO
YES
CREC10
Lien
Highest lien position held by the originator in relation to the collateral.
YES
YES
CREC11
Property Status
Status of property:
Lasting Power of Attorney (LPOA)
Receivership (RCVR)
In Foreclosure (FCLS)
Real Estate Owned (REOW)
Defeased (DFSD)
Partial Release (PRLS)
Released (RLSD)
Same as at Securitisation Date (SCDT)
In Special Servicing (SSRV)
Other (OTHR)
If the collateral being reported is not property collateral, enter ND5.
NO
YES
CREC12
Property Type
Property type:
Caravan Park (CRVP)
Car Park (CARP)
Health Care (HEAL)
Hospitality or Hotel (HOTL)
Industrial (IDSR)
Land Only (LAND)
Leisure (LEIS)
Multifamily (MULF)
Mixed Use (MIXD)
Office (OFFC)
Pub (PUBX)
Retail (RETL)
Self Storage (SSTR)
Warehouse (WARE)
Various (VARI)
Other (OTHR)
If the collateral being reported is not property collateral, enter ND5.
NO
YES
CREC13
Property Form Of Title
The relevant form of property title. A lease on land only, in which the obligor usually owns a building or is required to build as specified in the lease. Such leases are usually long-term net leases; the obligor’s rights and obligations continue until the lease expires or is terminated through default:
Leasehold (LESH)
Freehold (FREE)
Mixed (MIXD)
Other (OTHR)
If the collateral being reported is not property collateral, enter ND5.
NO
YES
CREC14
Current Valuation Date
The date of the most recent valuation.
YES
YES
CREC15
Current Valuation Amount
The most recent valuation of the property as assessed by an independent external or internal appraiser; if such assessment is not available, the current value of the property can be estimated using a real estate value index sufficiently granular with respect to geographical location and type of property; if such real estate value index is also not available, a real estate price index sufficiently granular with respect to geographical location and type of property can be used after application of a suitably chosen mark-down to account for the depreciation of the property.
If the collateral being reported is not property collateral, enter the most recent valuation of the collateral as assessed by an independent external or internal appraiser or, if not available, by the originator.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CREC16
Current Valuation Method
The most recent method of calculating the value of the collateral provided in field CREC15.
Full, internal and external inspection (FALL)
Full, only external inspection (FEXT)
Drive-by (DRVB)
Automated Valuation Model (AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent/Estate Agent (MAEA)
Tax Authority (TXAT)
Other (OTHR)
YES
NO
CREC17
Current Valuation Basis
The most recent Valuation Basis:
Open Market (OPEN)
Vacant Possession (VCNT)
Other (OTHR)
YES
NO
CREC18
Original Valuation Method
The method of calculating the value of the collateral at the time of underlying exposure origination:
Full, internal and external inspection (FALL)
Full, only external inspection (FEXT)
Drive-by (DRVB)
Automated Valuation Model (AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent/Estate Agent (MAEA)
Tax Authority (TXAT)
Other (OTHR)
YES
NO
CREC19
Collateral Securitisation Date
Date the property/collateral was contributed as security for the underlying exposure. If this property/collateral has been substituted, enter the date of the substitution. If the property/collateral was part of the original securitisation, this will be the Securitisation Date.
YES
NO
CREC20
Allocated Percentage Of Underlying Exposure At Securitisation Date
Allocated underlying exposure % attributable to property/collateral at Securitisation Date where there is more than one property/collateral item securing the underlying exposure. This may be set out in the underlying exposure Agreement, otherwise assign by valuation or Net Operating Income.
YES
YES
CREC21
Current Allocated Underlying Exposure Percentage
Allocated underlying exposure % attributable to the collateral at the underlying exposure payment date. Where there is more than one collateral item securing the underlying exposure, the sum of all percentages is equal to 100 %. This may be set out in the underlying exposure agreement, otherwise assign by valuation (Net Operating Income).
NO
YES
CREC22
Valuation At Securitisation
The valuation of the property/collateral securing the underlying exposure at Securitisation Date as described in the Offering Circular.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREC23
Name Of Valuer At Securitisation
Name of valuation firm who performed the property/collateral valuation at the Date of Securitisation.
NO
YES
CREC24
Date Of Valuation At Securitisation
The date the valuation was prepared for the values disclosed in the Offering Circular.
NO
YES
CREC25
Year Built
Year the property was built per the valuation report or underlying exposure document.
YES
YES
CREC26
Year Last Renovated
Year that last major renovation/new construction was completed on the property per the valuation report or underlying exposure document.
YES
YES
CREC27
Number Of Units
For property type Multifamily enter number of units, for Hospitality/Hotel/Healthcare — beds, for Caravan Parks — units, Lodging = rooms, Self Storage = units.
NO
YES
CREC28
Net Square Metres
The total net rentable area of the property in square metres that serve as security for the underlying exposure per the most recent valuation report.
NO
YES
CREC29
Commercial Area
The total net Commercial rentable area of the property in square metres that serves as security for the underlying exposure per the most recent valuation report.
NO
YES
CREC30
Residential Area
The total net Residential rentable area of the property in square metres that serves as security for the loan per the most recent valuation report.
NO
YES
CREC31
Net Internal Floor Area Validated
Has the valuer (of the most recent valuation) verified the net internal floor area of the property?
YES
YES
CREC32
Occupancy As Of Date
Date of most recently received rent roll/tenancy schedule. For hospitality (hotels), and health care properties use average occupancy for the period for which the financial statements are reported.
NO
YES
CREC33
Economic Occupancy At Securitisation
The percentage of rentable space with signed leases in place at Securitisation Date if disclosed in Offering Circular (tenants may not be in occupation but are paying rent).
NO
YES
CREC34
Physical Occupancy At Securitisation
At securitisation, the available percentage of rentable space actually occupied (i.e. where tenants are actually in occupation and not vacated), if disclosed in Offering Circular. To be derived from a rent roll or other document indicating occupancy consistent with most recent financial year information.
NO
YES
CREC35
Vacant Possession Value At Securitisation Date
Vacant possession value at Date of Securitisation.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREC36
Date Of Financials At Securitisation
The end date of the financials for the information used in the Offering Circular (e.g. year to date, annual, quarterly or trailing 12 months).
YES
YES
CREC37
Net Operating Income At Securitisation
Revenue less Operating Expenses at Securitisation Date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CREC38
Most Recent Financials As Of Start Date
The first day of the period covered in the most recent financial operating statement available (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months).
YES
YES
CREC39
Most Recent Financials As Of End Date
The end date of the financials used for the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months).
YES
YES
CREC40
Most Recent Revenue
Total revenues for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CREC41
Most Recent Operating Expenses
Total operating expenses for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the landlord; capital expenditures and leasing commissions are excluded.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CREC42
Most Recent Capital Expenditure
Total Capital Expenditure (as opposed to repairs and maintenance) for the period covered by the most recent financial operating statement e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CREC43
Ground Rent Payable
If property is leasehold, provide the current annual leasehold rent payable to the lessor.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREC44
Weighted Average Lease Terms
Weighted average lease terms in years, using as weights the latest-available outstanding value of the lease.
NO
YES
CREC45
Property Leasehold Expiry
Provide the earliest date the leasehold interest expires.
NO
YES
CREC46
Contractual Annual Rental Income
The contractual annual rental income derived from the most recent obligor tenancy schedule.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CREC47
Income Expiring 1-12 Months
Percentage of income expiring in 1 to 12 months.
YES
YES
CREC48
Income Expiring 13-24 Months
Percentage of income expiring in 13 to 24 months.
YES
YES
CREC49
Income Expiring 25-36 Months
Percentage of income expiring in 25 to 36 months.
YES
YES
CREC50
Income Expiring 37-48 Months
Percentage of income expiring in 37 to 48 months.
YES
YES
CREC51
Income Expiring 49+ Months
Percentage of income expiring in 49 or more months.
YES
YES
Tenant-level information section
CRET1
Unique Identifier
Report the same unique identifier here as the one entered into field CREL1.
NO
NO
CRET2
Underlying Exposure Identifier
Unique underlying exposure identifier. This must match the identifier in field CREL5. The reporting entity must not amend this unique identifier.
NO
NO
CRET3
Collateral Identifier
Unique identifier for the collateral. This field must match CREC4, to allow mapping.
NO
NO
CRET4
Tenant Identifier
Unique identifier for the tenant. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
CRET5
Tenant Name
Name of current tenant. If tenant is a natural person, then this field must be entered with the same entry as field CRET4.
YES
NO
CRET6
NACE Industry Code
Tenant industry NACE Code, as set out in Regulation (EC) No 1893/2006 of the European Parliament and of the Council. ( 1 )
YES
YES
CRET7
Date Of Lease Expiration
Expiration date of lease of current tenant.
NO
YES
CRET8
Rent Payable
Annual Rent payable by current tenant.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRET9
Rent Currency
Rent currency denomination.
NO
YES
( 1 ) Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains ( OJ L 393, 30.12.2006, p. 1 ).
UNDERLYING EXPOSURES INFORMATION — CORPORATE
ANNEX IVSupplementary provisions
ANNEX IV
UNDERLYING EXPOSURES INFORMATION — CORPORATE
Field code
Field name
Content to report
ND1-ND4 allowed?
ND5 allowed?
Underlying exposures information section
CRPL1
Unique Identifier
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.
NO
NO
CRPL2
Original Underlying Exposure Identifier
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
CRPL3
New Underlying Exposure Identifier
If the original identifier in field CRPL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CRPL2. The reporting entity must not amend this unique identifier.
NO
NO
CRPL4
Original Obligor Identifier
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
CRPL5
New Obligor Identifier
If the original identifier in field CRPL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CRPL4. The reporting entity must not amend this unique identifier.
NO
NO
CRPL6
Data Cut-Off Date
The data cut-off date for this data submission.
NO
NO
CRPL7
Pool Addition Date
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.
NO
YES
CRPL8
Date Of Repurchase
Date on which the underlying exposure was repurchased from the pool.
NO
YES
CRPL9
Redemption Date
Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.
NO
YES
CRPL10
Geographic Region — Obligor
The geographic region (NUTS3 classification) where the obligor is located. 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’.
YES
NO
CRPL11
Geographic Region Classification
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.
YES
NO
CRPL12
Credit Impaired Obligor
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
(a)
has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:
(i)
a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and
(ii)
the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;
(b)
was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or
(c)
has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
NO
YES
CRPL13
Customer Type
Customer type at origination:
New customer and not an employee/affiliated with the originator’s group (CNEO)
New customer and an employee/affiliated with the originator’s group (CEMO)
New customer and employee/affiliation not recorded (CNRO)
Existing customer and not an employee/affiliated with the originator’s group (ENEO)
Existing customer and an employee/affiliated with the originator’s group (EEMO)
Existing customer and employee/affiliation not recorded (ENRO)
Other (OTHR)
YES
NO
CRPL14
NACE Industry Code
Obligor industry NACE Code, as set out in Regulation (EC) No 1893/2006.
YES
YES
CRPL15
Obligor Basel III Segment
Obligor Basel III Segment:
Corporate (CORP)
Small and Medium Enterprise Treated as Corporate (SMEX)
Retail (RETL)
Other (OTHR)
YES
YES
CRPL16
Enterprise Size
Classification of enterprises by size, in accordance with the Annex to Commission Recommendation 2003/361/EC:
Micro Enterprise (MICE) - employs fewer than 10 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 2 million
Small Enterprise (SMAE) - employs fewer than 50 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 10 million
Medium Enterprise (MEDE) - employs fewer than 250 persons and which has an annual turnover not exceeding EUR 50 million, and/or an annual balance sheet total not exceeding EUR 43 million
Large Enterprise (LARE) - an enterprise that is neither a micro, small, or medium enterprise.
Natural Person (NATP)
Other (OTHR)
YES
NO
CRPL17
Revenue
Annual sales volume net of all discounts and sales taxes of the obligor in accordance with Recommendation 2003/361/EC. Equivalent to the concept of ‘total annual sales’ in Article 153(4) of Regulation (EU) No 575/2013.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
CRPL18
Total Debt
Total gross debt of the obligor, including the financing provided in the present underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
CRPL19
EBITDA
Recurring earnings from continuing operations plus interest, taxes, depreciation, and amortisation.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
CRPL20
Enterprise Value
Enterprise value i.e. market capitalisation plus debt, minority interest and preferred shares, minus total cash and cash equivalents.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
CRPL21
Free Cashflow
Net income plus non-cash charges plus interest x (1 — tax rate) plus long-term investments less investments in working capital. Non-cash charges include depreciation, amortisation, depletion, stock-based compensation and asset impairments.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
CRPL22
Date Of Financials
The date of the financial information (e.g. EBITDA) on the obligor of this underlying exposure.
YES
YES
CRPL23
Financial Statement Currency
The reporting currency of the financial statements.
YES
NO
CRPL24
Debt Type
Debt Type:
Loan or Lease (LOLE)
Guarantee (DGAR)
Promissory Notes (PRMS)
Participation Rights (PRTR)
Overdraft (ODFT)
Letter of Credit (LCRE)
Working Capital Facility (WCFC)
Equity (EQUI)
Other (OTHR)
NO
NO
CRPL25
Securitised Receivables
What receivables associated with this underlying exposure have been securitised:
Principal and Interest (PRIN)
Principal Only (PRPL)
Interest Only (INTR)
Other (OTHR)
NO
NO
CRPL26
International Securities Identification Number
The ISIN code assigned to this underlying exposure, where applicable.
NO
YES
CRPL27
Seniority
Debt Instrument Seniority:
Senior Debt (SNDB)
Mezzanine Debt (MZZD)
Junior Debt (JUND)
Subordinated Debt (SBOD)
Other (OTHR)
NO
YES
CRPL28
Syndicated
Is the underlying exposure syndicated?
YES
NO
CRPL29
Leveraged Transaction
Is the underlying exposure a leveraged transaction, as defined in https://www.bankingsupervision.europa.eu/ecb/pub/pdf/ssm.leveraged_transactions_guidance_201705.en.pdf
NO
NO
CRPL30
Managed by CLO
Is the underlying exposure also being managed by the CLO manager?
NO
YES
CRPL31
Payment in Kind
Underlying exposure currently paying in kind? (i.e. interest is paid in the form of capitalised principal)
YES
NO
CRPL32
Special Scheme
If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.
YES
YES
CRPL33
Origination Date
Date of original underlying exposure advance.
YES
NO
CRPL34
Maturity Date
The date of maturity of the underlying exposure or expiry of the lease.
NO
YES
CRPL35
Origination Channel
Origination channel of the underlying exposure:
Office or Branch Network (BRAN)
Broker (BROK)
Internet (WEBI)
Other (OTHR)
YES
YES
CRPL36
Purpose
underlying exposure Purpose:
Overdraft or Working Capital (OVRD)
New Plant and Equipment Investment (EQPI)
New Information Technology Investment (INFT)
Refurbishment of Existing Plant, Equipment, or Technology (RFBR)
Merger and Acquisition (MGAQ)
Other Expansionary Purpose (OEXP)
Other (OTHR)
YES
NO
CRPL37
Currency Denomination
The underlying exposure currency denomination.
NO
NO
CRPL38
Original Principal Balance
Original underlying exposure balance (inclusive of fees).
This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CRPL39
Current Principal Balance
Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRPL40
Prior Principal Balances
Total balances ranking prior to this underlying exposure (including those held with other lenders). If there are no prior balances, enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CRPL41
Market Value
For Collateralised Loan Obligation securitisations, enter the market value of the security.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRPL42
Total Credit Limit
For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding.
This field is only to be populated for underlying exposures that have flexible or further drawing characteristics.
This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRPL43
Purchase Price
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.
NO
YES
CRPL44
Put Date
If there exists an option to sell back the underlying exposure, enter the date at which the option can be exercised. If the date is unknown (e.g. the option is an American option), enter the equivalent of 31 December 2099.
NO
YES
CRPL45
Put Strike
If there exists an option to sell back the underlying exposure, enter the strike (exercise) price. If the strike price is moveable (e.g. the option is a lookback option), enter the best estimate of the strike price as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRPL46
Amortisation Type
Type of amortisation of the underlying exposure including principal and interest.
French — i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX)
German — i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)
Fixed amortisation schedule — i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)
Bullet — i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)
Other (OTHR)
YES
NO
CRPL47
Principal Grace Period End Date
If applicable as at the data cut-off date, indicate the principal grace period end date.
YES
YES
CRPL48
Scheduled Principal Payment Frequency
Frequency of principal payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
CRPL49
Scheduled Interest Payment Frequency
Frequency of interest payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
CRPL50
Payment Due
This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRPL51
Balloon Amount
Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CRPL52
Interest Rate Type
Interest rate type:
Floating rate underlying exposure (for life) (FLIF)
Floating rate underlying exposure linked to one index that will revert to another index in the future (FINX)
Fixed rate underlying exposure (for life) (FXRL)
Fixed with future periodic resets (FXPR)
Fixed rate underlying exposure with compulsory future switch to floating (FLCF)
Floating rate underlying exposure with floor (FLFL)
Floating rate underlying exposure with cap (CAPP)
Floating rate underlying exposure with both floor and cap (FLCA)
Discount (DISC)
Switch Optionality (SWIC)
Obligor Swapped (OBLS)
Modular (MODE)
Other (OTHR)
NO
YES
CRPL53
Current Interest Rate
Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised.
NO
YES
CRPL54
Current Interest Rate Index
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
CRPL55
Current Interest Rate Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
NO
YES
CRPL56
Current Interest Rate Margin
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.
NO
YES
CRPL57
Interest Rate Reset Interval
Number of months between each interest rate reset date on the underlying exposure.
NO
YES
CRPL58
Interest Rate Cap
Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
NO
YES
CRPL59
Interest Rate Floor
Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
NO
YES
CRPL60
Revision Margin 1
The margin for the underlying exposure at the 1st revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).
The full revised margin must be entered in this field, not the change in the margin.
YES
YES
CRPL61
Interest Revision Date 1
Date interest rate next changes (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).
YES
YES
CRPL62
Revision Margin 2
The margin for the underlying exposure at the 2nd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).
The full revised margin must be entered in this field, not the change in the margin.
YES
YES
CRPL63
Interest Revision Date 2
Date of 2nd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).
YES
YES
CRPL64
Revision Margin 3
The margin for the underlying exposure at the 3rd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).
The full revised margin must be entered in this field, not the change in the margin.
YES
YES
CRPL65
Interest Revision Date 3
Date of 3rd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).
YES
YES
CRPL66
Revised Interest Rate Index
Next interest rate index.
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
YES
YES
CRPL67
Revised Interest Rate Index Tenor
Tenor of the next interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
YES
YES
CRPL68
Number Of Payments Before Securitisation
Enter the number of payments made prior to the exposure being transferred to the securitisation.
YES
NO
CRPL69
Percentage Of Prepayments Allowed Per Year
Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.
YES
YES
CRPL70
Prepayment Lock-Out End Date
The date after which the lender allows prepayment of the underlying exposure.
YES
YES
CRPL71
Prepayment Fee
Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRPL72
Prepayment Fee End Date
The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.
YES
YES
CRPL73
Prepayment Date
The latest date on which an unscheduled principal payment was received.
YES
YES
CRPL74
Cumulative Prepayments
Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CRPL75
Date Of Restructuring
Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
In the event of multiple dates, all dates must be provided in accordance with the XML schema.
YES
YES
CRPL76
Date Last In Arrears
Date the obligor was last in arrears.
YES
YES
CRPL77
Arrears Balance
Current balance of arrears, which is defined as:
Total payments due to date
PLUS any amounts capitalised
PLUS any fees applied to the account
LESS total payments received to date.
If no arrears then enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
CRPL78
Number Of Days In Arrears
Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.
NO
NO
CRPL79
Account Status
Current status of the underlying exposure that has been securitised:
Performing (PERF)
Restructured — No Arrears (RNAR)
Restructured — Arrears (RARR)
Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)
Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)
Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)
Defaulted only under another definition of default being met (DADB)
Arrears (ARRE)
Repurchased by Seller – Breach of Representations and Warranties (REBR)
Repurchased by Seller – Defaulted (REDF)
Repurchased by Seller – Restructured (RERE)
Repurchased by Seller – Special Servicing (RESS)
Repurchased by Seller – Other Reason (REOT)
Redeemed (RDMD)
Other (OTHR)
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.
NO
NO
CRPL80
Reason for Default or Foreclosure
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)
In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)
In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)
YES
YES
CRPL81
Default Amount
Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRPL82
Default Date
The date of default.
NO
YES
CRPL83
Allocated Losses
The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRPL84
Cumulative Recoveries
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRPL85
Recovery Source
The source of the recoveries:
Liquidation of Collateral (LCOL)
Enforcement of Guarantees (EGAR)
Additional Lending (ALEN)
Cash Recoveries (CASR)
Mixed (MIXD)
Other (OTHR)
NO
YES
CRPL86
Recourse
Is there recourse (full or limited) to the obligor’s assets beyond the proceeds of any collateral for this underlying exposure?
YES
YES
CRPL87
Deposit Amount
The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool.
Use the same currency denomination as that used for this underlying exposure.
If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure, and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRPL88
Interest Rate Swap Notional
If there is an interest rate swap on the underlying exposure, enter the notional amount.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRPL89
Interest Rate Swap Provider Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure interest rate swap provider.
NO
YES
CRPL90
Interest Rate Swap Provider
If there is an interest rate swap on the underlying exposure, provide the full legal name of the interest rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
YES
CRPL91
Interest Rate Swap Maturity Date
If there is an interest rate swap on the underlying exposure, enter the maturity date of the swap.
NO
YES
CRPL92
Currency Swap Notional
If there is an exchange rate swap on the underlying exposure, enter the notional amount.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRPL93
Currency Swap Provider Legal Entity Identifier
If there is an exchange rate swap on the underlying exposure, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the swap provider.
NO
YES
CRPL94
Currency Swap Provider
If there is an exchange rate swap on the underlying exposure, provide the full legal name of the exchange rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
YES
CRPL95
Currency Swap Maturity Date
If there is an exchange rate swap on the underlying exposure, enter the maturity date of the swap.
NO
YES
CRPL96
Original Lender Name
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
YES
YES
CRPL97
Original Lender Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.
Where no Legal Entity Identifier is available, enter ND5.
YES
YES
CRPL98
Original Lender Establishment Country
Country where the original lender is established.
YES
YES
CRPL99
Originator Name
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
CRPL100
Originator Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.
NO
NO
CRPL101
Originator Establishment Country
Country where the underlying exposure originator is established.
NO
NO
Collateral-level information section
CRPC1
Unique Identifier
Report the same unique identifier here as the one entered into field CRPL1.
NO
NO
CRPC2
Underlying Exposure Identifier
Unique underlying exposure identifier. This must match the identifier in field CRPL3. The reporting entity must not amend this unique identifier.
NO
NO
CRPC3
Original Collateral Identifier
The original unique identifier assigned to the collateral or guarantee. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
CRPC4
New Collateral Identifier
If the original identifier in field CRPC3 cannot be maintained in this field enter the new identifier here. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. If there has been no change in the identifier, enter the same identifier as field CRPC3. The reporting entity must not amend this unique identifier.
NO
NO
CRPC5
Geographic Region — Collateral
The geographic region (NUTS3 classification) where the collateral is located. 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’.
YES
YES
CRPC6
Security Type
The type of security:
Collateral (COLL)
Guarantee backed by further collateral (GCOL)
Guarantee not backed by further collateral (GNCO)
Other (OTHR)
NO
NO
CRPC7
Charge Type
Type of security over the collateral. Where there is a guarantee, this field refers to any security for any collateral that is supporting that guarantee. ‘No charge but an irrevocable power of attorney or similar’ refers to when the originator or original lender, as applicable, is irrevocably and unconditionally authorised to unilaterally create a charge over the collateral at any time in the future, without the need for any further approval from the obligor or guarantor:
Fixed charge (FXCH)
Floating charge (FLCH)
No charge (NOCG)
No charge but an irrevocable power of attorney or similar (ATRN)
Other (OTHR)
NO
YES
CRPC8
Lien
Highest lien position held by the originator in relation to the collateral.
YES
YES
CRPC9
Collateral Type
The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.
Automobile (CARX)
Industrial Vehicle (INDV)
Commercial Truck (CMTR)
Rail Vehicle (RALV)
Nautical Commercial Vehicle (NACM)
Nautical Leisure Vehicle (NALV)
Aeroplane (AERO)
Machine Tool (MCHT)
Industrial Equipment (INDE)
Office Equipment (OFEQ)
IT Equipment (ITEQ)
Medical Equipment (MDEQ)
Energy Related Equipment (ENEQ)
Commercial Building (CBLD)
Residential Building (RBLD)
Industrial Building (IBLD)
Other Vehicle (OTHV)
Other Equipment (OTHE)
Other Real Estate (OTRE)
Other goods or inventory (OTGI)
Securities (SECU)
Guarantee (GUAR)
Other Financial Asset (OTFA)
Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)
Other (OTHR)
NO
NO
CRPC10
Current Valuation Amount
The most recent valuation of the collateral. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to the collateral that is supporting that guarantee.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CRPC11
Current Valuation Method
The method of calculating the most recent value of the collateral, as provided in field CRPC10.
Full Appraisal (FAPR)
Drive-by (DRVB)
Automated Value Model (AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent or Estate Agent (MAEA)
Purchase Price (PPRI)
Haircut (HCUT)
Mark to Market (MTTM)
Obligor’s valuation (OBLV)
Other (OTHR)
YES
YES
CRPC12
Current Valuation Date
The date of the most recent valuation of the collateral as provided in field CRPC10.
YES
YES
CRPC13
Original Valuation Amount
The original valuation of the collateral as of the initial underlying exposure origination date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CRPC14
Original Valuation Method
The method of calculating the value of the collateral at the time of underlying exposure origination, as provided in field CRPC13.
Full Appraisal (FAPR)
Drive-by (DRVB)
Automated Value Model (AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent or Estate Agent (MAEA)
Purchase Price (PPRI)
Haircut (HCUT)
Mark to market (MTTM)
Obligor’s valuation (OBLV)
Other (OTHR)
YES
YES
CRPC15
Original Valuation Date
The date of the original valuation of the physical or financial collateral provided in field CRPC13.
YES
YES
CRPC16
Date Of Sale
The date of sale of the collateral.
NO
YES
CRPC17
Sale Price
Price achieved on sale of collateral in case of foreclosure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CRPC18
Collateral Currency
This is the currency in which the valuation amount provided in CRPC10 is denominated.
NO
YES
CRPC19
Guarantor Country
The jurisdiction where the guarantor is established.
NO
YES
CRPC20
Guarantor ESA Subsector
The ESA 2010 classification of the guarantor according to Regulation (EU) No 549/2013 of the European Parliament and of the Council (‘ESA 2010’) ( 1 ) . This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation.
NO
YES
( 1 ) Regulation (EU) No 549/2013 of the European Parliament and of the Council of 21 May 2013 on the European system of national and regional accounts in the European Union ( OJ L 174, 26.6.2013, p. 1 ).
UNDERLYING EXPOSURES INFORMATION — AUTOMOBILE
ANNEX VSupplementary provisions
ANNEX V
UNDERLYING EXPOSURES INFORMATION — AUTOMOBILE
Field code
Field name
Content to report
ND1-ND4 allowed?
ND5 allowed?
Underlying exposures information section
AUTL1
Unique Identifier
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.
NO
NO
AUTL2
Original Underlying Exposure Identifier
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
AUTL3
New Underlying Exposure Identifier
If the original identifier in field AUTL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in AUTL2. The reporting entity must not amend this unique identifier.
NO
NO
AUTL4
Original Obligor Identifier
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
AUTL5
New Obligor Identifier
If the original identifier in field AUTL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in AUTL4. The reporting entity must not amend this unique identifier.
NO
NO
AUTL6
Data Cut-Off Date
The data cut-off date for this data submission.
NO
NO
AUTL7
Pool Addition Date
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.
NO
YES
AUTL8
Date Of Repurchase
Date on which the underlying exposure was repurchased from the pool.
NO
YES
AUTL9
Redemption Date
Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.
NO
YES
AUTL10
Geographic Region — Obligor
The geographic region (NUTS3 classification) where the obligor is located. 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’.
YES
NO
AUTL11
Geographic Region Classification
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.
YES
NO
AUTL12
Employment Status
Employment status of the primary obligor:
Employed — Private Sector (EMRS)
Employed — Public Sector (EMBL)
Employed — Sector Unknown (EMUK)
Unemployed (UNEM)
Self-employed (SFEM)
No Employment, Obligor is Legal Entity (NOEM)
Student (STNT)
Pensioner (PNNR)
Other (OTHR)
YES
NO
AUTL13
Credit Impaired Obligor
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
(a)
has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:
(i)
a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and
(ii)
the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;
(b)
was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or
(c)
has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
NO
YES
AUTL14
Obligor Legal Type
Legal form of customer:
Public Company (PUBL)
Limited Company (LLCO)
Partnership (PNTR)
Individual (INDV)
Government Entity (GOVT)
Other (OTHR)
YES
NO
AUTL15
Customer Type
Customer type at origination:
New customer and not an employee/affiliated with the originator’s group (CNEO)
New customer and an employee/affiliated with the originator’s group (CEMO)
New customer and employee/affiliation not recorded (CNRO)
Existing customer and not an employee/affiliated with the originator’s group (ENEO)
Existing customer and an employee/affiliated with the originator’s group (EEMO)
Existing customer and employee/affiliation not recorded (ENRO)
Other (OTHR)
YES
NO
AUTL16
Primary Income
Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor’s annual revenue.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
AUTL17
Primary Income Type
Indicate what income in AUTL16 is displayed:
Gross annual income (GRAN)
Net annual income (net of tax and social security) (NITS)
Net annual income (net of tax only) (NITX)
Net annual income (net of social security only) (NTIN)
Estimated net annual income (net of tax and social security) (ENIS)
Estimated net annual income (net of tax only) (EITX)
Estimated net annual income (net of social security only) (EISS)
Disposable Income (DSPL)
Borrower is legal entity (CORP)
Other (OTHR)
YES
NO
AUTL18
Primary Income Currency
Currency in which the primary obligor’s income is paid. Where the primary obligor is a legal person/entity, enter the currency of the revenue provided in field AUTL20.
YES
YES
AUTL19
Primary Income Verification
Primary Income Verification:
Self-certified no Checks (SCRT)
Self-certified with Affordability Confirmation (SCNF)
Verified (VRFD)
Non-Verified Income or Fast Track (NVRF)
Credit Bureau Information or Scoring (SCRG)
Other (OTHR)
YES
NO
AUTL20
Revenue
Annual sales volume net of all discounts and sales taxes of the obligor in accordance with Recommendation 2003/361/EC. Equivalent to the concept of ‘total annual sales’ in Article 153(4) of Regulation (EU) No 575/2013.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
AUTL21
Financial Statement Currency
The reporting currency of the financial statements.
YES
YES
AUTL22
Special Scheme
If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.
YES
YES
AUTL23
Product Type
The classification of the lease, per lessor’s definitions:
(Personal) Contract Purchase (PPUR)
(Personal) Contract Hire (PHIR)
Hire Purchase (HIRP)
Lease Purchase (LEAP)
Finance Lease (FNLS)
Operating Lease (OPLS)
Other (OTHR)
NO
YES
AUTL24
Origination Date
Date of original underlying exposure advance.
YES
NO
AUTL25
Maturity Date
The date of maturity of the underlying exposure or expiry of the lease.
NO
YES
AUTL26
Original Term
Original contractual term (number of months) at the origination date.
YES
YES
AUTL27
Origination Channel
Origination channel of the underlying exposure:
Automobile dealer (ADLR)
Broker (BROK)
Direct (DIRE)
Indirect (IDRT)
Other (OTHR)
YES
YES
AUTL28
Currency Denomination
The underlying exposure currency denomination.
NO
NO
AUTL29
Original Principal Balance
Obligor’s underlying exposure principal balance or discounted lease balance (inclusive of capitalised fees) at origination.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
AUTL30
Current Principal Balance
Obligor’s underlying exposure (or discounted lease) balance outstanding as of the data cut-off date. This includes any amounts that are secured against the vehicle. For example, if fees have been added to the balance and are part of the principal in the securitisation these are to be added. Exclude any interest arrears or penalty amounts.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
AUTL31
Purchase Price
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.
NO
YES
AUTL32
Amortisation Type
Type of amortisation of the underlying exposure including principal and interest.
French – i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX)
German – i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)
Fixed amortisation schedule – i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)
Bullet – i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)
Other (OTHR)
YES
NO
AUTL33
Principal Grace Period End Date
If applicable as at the data cut-off date, indicate the principal grace period end date.
NO
YES
AUTL34
Scheduled Principal Payment Frequency
Frequency of principal payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
AUTL35
Scheduled Interest Payment Frequency
Frequency of interest payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
AUTL36
Payment Method
Usual method of payment (can be based upon last payment received):
Direct Debit (CDTX)
Standing Order (SORD)
Cheque (CHKX)
Cash (CASH)
Bank Transfer (neither direct debit nor standing order) (BTRA)
Other (OTHR)
YES
NO
AUTL37
Payment Due
This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
AUTL38
Balloon Amount
Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
AUTL39
Down Payment Amount
Amount of deposit/down payment on origination of underlying exposure (this includes the value of traded-in vehicles etc.)
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
AUTL40
Current Interest Rate
Total gross current interest or discount rate applicable to the underlying exposure. Rates calculated on a period-by-period basis must be annualised.
NO
YES
AUTL41
Current Interest Rate Index
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
AUTL42
Current Interest Rate Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
NO
YES
AUTL43
Current Interest Rate Margin
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.
NO
YES
AUTL44
Interest Rate Reset Interval
Number of months between each interest rate reset date on the underlying exposure.
NO
YES
AUTL45
Interest Rate Cap
Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
NO
YES
AUTL46
Interest Rate Floor
Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
NO
YES
AUTL47
Number Of Payments Before Securitisation
Enter the number of payments made prior to the exposure being transferred to the securitisation.
YES
NO
AUTL48
Percentage Of Prepayments Allowed Per Year
Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.
YES
YES
AUTL49
Prepayment Fee
Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
AUTL50
Prepayment Fee End Date
The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.
YES
YES
AUTL51
Prepayment Date
The latest date on which an unscheduled principal payment was received.
YES
YES
AUTL52
Cumulative Prepayments
Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
AUTL53
Manufacturer
Brand name of the vehicle manufacturer
E.g. enter ‘Skoda’, not ‘Volkswagen’.
YES
NO
AUTL54
Model
Name of the car model.
YES
NO
AUTL55
Year Of Registration
Year the car was registered.
YES
YES
AUTL56
New Or Used
Condition of vehicle at point of underlying exposure origination:
New (NEWX)
Used (USED)
Demo (DEMO)
Other (OTHR)
YES
NO
AUTL57
Energy Performance Certificate Value
The energy performance certificate value of the collateral at the time of origination:
A (EPCA)
B (EPCB)
C (EPCC)
D (EPCD)
E (EPCE)
F (EPCF)
G (EPCG)
Other (OTHR)
YES
YES
AUTL58
Energy Performance Certificate Provider Name
Enter the full legal name of the energy performance certificate provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
YES
YES
AUTL59
Original Loan-To-Value
The ratio of the underlying exposure balance at origination relative to the automobile value at origination.
YES
NO
AUTL60
Original Valuation Amount
List price of the vehicle at date of underlying exposure origination. For a non-new car, enter the trade value or the sale price of the car.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
AUTL61
Original Residual Value Of Vehicle
The estimated residual value of the asset at the date of lease origination.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
AUTL62
Option To Buy Price
The amount the obligor has to pay at the end of the lease or underlying exposure in order to take ownership of the vehicle, other than the payment referred to in AUTL63.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
AUTL63
Securitised Residual Value
Residual value amount which has been securitised only.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
AUTL64
Updated Residual Value Of Vehicle
If the residual value has been securitised, enter the most recent estimated residual value of vehicle at end of contract. If no update has been performed, enter the original estimated residual value.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
AUTL65
Date Of Updated Residual Valuation Of Vehicle
If the residual value has been securitised, enter the date on which the most recent updated estimation of the residual value of the vehicle was calculated. If no update has been performed, enter the date of the original valuation.
NO
YES
AUTL66
Date Of Restructuring
Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
In the event of multiple dates, all dates must be provided in accordance with the XML schema.
YES
YES
AUTL67
Date Last In Arrears
Date the obligor was last in arrears.
YES
YES
AUTL68
Arrears Balance
Current balance of arrears, which is defined as:
Total payments due to date
PLUS any amounts capitalised
PLUS any fees applied to the account
LESS total payments received to date.
If no arrears then enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
AUTL69
Number Of Days In Arrears
Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.
NO
NO
AUTL70
Account Status
Current status of the underlying exposure that has been securitised:
Performing (PERF)
Restructured – No Arrears (RNAR)
Restructured – Arrears (RARR)
Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)
Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)
Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)
Defaulted only under another definition of default being met (DADB)
Arrears (ARRE)
Repurchased by Seller – Breach of Representations and Warranties (REBR)
Repurchased by Seller – Defaulted (REDF)
Repurchased by Seller – Restructured (RERE)
Repurchased by Seller – Special Servicing (RESS)
Repurchased by Seller – Other Reason (REOT)
Redeemed (RDMD)
Other (OTHR)
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.
NO
NO
AUTL71
Reason for Default or Foreclosure
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)
In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)
In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)
YES
YES
AUTL72
Default Amount
Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
AUTL73
Default Date
The date of default.
NO
YES
AUTL74
Allocated Losses
The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
AUTL75
Residual Value Losses
Residual value loss arising on turn-in of vehicle. If the residual value has not been securitised, enter ND5.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
AUTL76
Cumulative Recoveries
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
AUTL77
Sale Price
Price achieved on sale of vehicle in case of foreclosure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
AUTL78
Deposit Amount
The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool.
Use the same currency denomination as that used for this underlying exposure.
If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure, and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
AUTL79
Original Lender Name
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
YES
YES
AUTL80
Original Lender Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.
Where no Legal Entity Identifier is available, enter ND5.
YES
YES
AUTL81
Original Lender Establishment Country
Country where the original lender is established.
YES
YES
AUTL82
Originator Name
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
AUTL83
Originator Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.
NO
NO
AUTL84
Originator Establishment Country
Country where the underlying exposure originator is established.
NO
NO
UNDERLYING EXPOSURES INFORMATION — CONSUMER
ANNEX VISupplementary provisions
ANNEX VI
UNDERLYING EXPOSURES INFORMATION — CONSUMER
Field code
Field name
Content to report
ND1-ND4 allowed?
ND5 allowed?
Underlying exposures information section
CMRL1
Unique Identifier
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.
NO
NO
CMRL2
Original Underlying Exposure Identifier
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
CMRL3
New Underlying Exposure Identifier
If the original identifier in field CMRL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CMRL2. The reporting entity must not amend this unique identifier.
NO
NO
CMRL4
Original Obligor Identifier
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
CMRL5
New Obligor Identifier
If the original identifier in field CMRL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CMRL4. The reporting entity must not amend this unique identifier.
NO
NO
CMRL6
Data Cut-Off Date
The data cut-off date for this data submission.
NO
NO
CMRL7
Pool Addition Date
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.
NO
YES
CMRL8
Date Of Repurchase
Date on which the underlying exposure was repurchased from the pool.
NO
YES
CMRL9
Redemption Date
Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.
NO
YES
CMRL10
Geographic Region – Obligor
The geographic region (NUTS3 classification) where the obligor is located. 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’.
YES
NO
CMRL11
Geographic Region Classification
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.
YES
NO
CMRL12
Employment Status
Employment status of the primary obligor:
Employed – Private Sector (EMRS)
Employed – Public Sector (EMBL)
Employed – Sector Unknown (EMUK)
Unemployed (UNEM)
Self-employed (SFEM)
No Employment, Obligor is Legal Entity (NOEM)
Student (STNT)
Pensioner (PNNR)
Other (OTHR)
YES
NO
CMRL13
Credit Impaired Obligor
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
(a)
has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:
(i)
a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and
(ii)
the information provided by the originator, sponsor and SSPE in accordance with points (a) and e(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;
(b)
was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or
(c)
has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
NO
YES
CMRL14
Customer Type
Customer type at origination:
New customer and not an employee/affiliated with the originator’s group (CNEO)
New customer and an employee/affiliated with the originator’s group (CEMO)
New customer and employee/affiliation not recorded (CNRO)
Existing customer and not an employee/affiliated with the originator’s group (ENEO)
Existing customer and an employee/affiliated with the originator’s group (EEMO)
Existing customer and employee/affiliation not recorded (ENRO)
Other (OTHR)
YES
NO
CMRL15
Primary Income
Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor’s annual revenue.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
CMRL16
Primary Income Type
Indicate what income in CMRL15 is displayed:
Gross annual income (GRAN)
Net annual income (net of tax and social security) (NITS)
Net annual income (net of tax only) (NITX)
Net annual income (net of social security only) (NTIN)
Estimated net annual income (net of tax and social security) (ENIS)
Estimated net annual income (net of tax only) (EITX)
Estimated net annual income (net of social security only) (EISS)
Disposable Income (DSPL)
Borrower is legal entity (CORP)
Other (OTHR)
YES
NO
CMRL17
Primary Income Currency
Currency in which the primary o’ligor’s income or revenue is paid.
YES
NO
CMRL18
Primary Income Verification
Primary Income Verification:
Self-certified no Checks (SCRT)
Self-certified with Affordability Confirmation (SCNF)
Verified (VRFD)
Non-Verified Income or Fast Track (NVRF)
Credit Bureau Information or Scoring (SCRG)
Other (OTHR)
YES
NO
CMRL19
Secured By Salary/Pension Assignment
Does the personal underlying exposure fall under the category of pension-backed underlying exposures/salary-backed underlying exposures (i.e. cessione del quinto)?
YES
NO
CMRL20
Special Scheme
If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.
YES
YES
CMRL21
Origination Date
Date of original underlying exposure advance.
YES
NO
CMRL22
Maturity Date
The date of maturity of the underlying exposure or expiry of the lease.
NO
YES
CMRL23
Original Term
Original contractual term (number of months) at the origination date.
YES
YES
CMRL24
Origination Channel
Channel of Origination:
Internet (WEBI)
Branch (BRCH)
Telesale (TLSL)
Stand (STND)
Post (POST)
White Label (WLBL)
Magazine (MGZN)
Automobile Dealer (ADLR)
Other (OTHR)
YES
YES
CMRL25
Purpose
Loan Purpose:
Tuition (TUIT)
Living Expenses (LEXP)
Medical (MDCL)
Home Improvement (HIMP)
Appliance or Furniture (APFR)
Travel (TRVL)
Debt Consolidation (DCON)
New Car (NCAR)
Used Car (UCAR)
Other Vehicle (OTHV)
Equipment (EQUP)
Property (PROP)
Other (OTHR)
YES
NO
CMRL26
Currency Denomination
The underlying exposure currency denomination.
NO
NO
CMRL27
Original Principal Balance
Original underlying exposure principal balance (inclusive of capitalised fees) at origination. This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CMRL28
Current Principal Balance
Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these must be added. Excluding any interest arrears or penalty amounts.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CMRL29
Total Credit Limit
For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding.
This field is only to be populated for underlying exposures that have flexible or further drawing characteristics.
This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CMRL30
Revolving End Date
For underlying exposures with flexible re-draw/revolving characteristics – the date when the flexible features are expected to expire i.e. when the revolving period will end.
NO
YES
CMRL31
Purchase Price
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.
NO
YES
CMRL32
Amortisation Type
Type of amortisation of the underlying exposure including principal and interest.
French — i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX)
German — i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)
Fixed amortisation schedule — i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)
Bullet — i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)
Other (OTHR)
YES
NO
CMRL33
Principal Grace Period End Date
If applicable as at the data cut-off date, indicate the principal grace period end date.
NO
YES
CMRL34
Scheduled Principal Payment Frequency
Frequency of principal payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
CMRL35
Scheduled Interest Payment Frequency
Frequency of interest payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
CMRL36
Payment Due
This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CMRL37
Current Interest Rate
Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised.
NO
YES
CMRL38
Current Interest Rate Index
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
CMRL39
Current Interest Rate Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
NO
YES
CMRL40
Current Interest Rate Margin
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.
NO
YES
CMRL41
Interest Rate Reset Interval
Number of months between each interest rate reset date on the underlying exposure.
NO
YES
CMRL42
Interest Rate Cap
Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
NO
YES
CMRL43
Interest Rate Floor
Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
NO
YES
CMRL44
Number Of Payments Before Securitisation
Enter the number of payments made prior to the exposure being transferred to the securitisation.
YES
NO
CMRL45
Percentage Of Prepayments Allowed Per Year
Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.
YES
YES
CMRL46
Prepayment Lock-Out End Date
The date after which the lender allows prepayment of the underlying exposure.
YES
YES
CMRL47
Prepayment Fee
Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CMRL48
Prepayment Fee End Date
The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.
YES
YES
CMRL49
Prepayment Date
The latest date on which an unscheduled principal payment was received.
YES
YES
CMRL50
Cumulative Prepayments
Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
CMRL51
Date Of Restructuring
Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
In the event of multiple dates, all dates must be provided in accordance with the XML schema.
YES
YES
CMRL52
Date Last In Arrears
Date the obligor was last in arrears.
YES
YES
CMRL53
Arrears Balance
Current balance of arrears, which is defined as:
Total payments due to date
PLUS any amounts capitalised
PLUS any fees applied to the account
LESS total payments received to date.
If no arrears then enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
CMRL54
Number Of Days In Arrears
Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.
NO
NO
CMRL55
Account Status
Current status of the underlying exposure that has been securitised:
Performing (PERF)
Restructured — No Arrears (RNAR)
Restructured — Arrears (RARR)
Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)
Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)
Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)
Defaulted only under another definition of default being met (DADB)
Arrears (ARRE)
Repurchased by Seller – Breach of Representations and Warranties (REBR)
Repurchased by Seller – Defaulted (REDF)
Repurchased by Seller – Restructured (RERE)
Repurchased by Seller – Special Servicing (RESS)
Repurchased by Seller – Other Reason (REOT)
Redeemed (RDMD)
Other (OTHR)
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.
NO
NO
CMRL56
Reason for Default or Foreclosure
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)
In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)
In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)
YES
YES
CMRL57
Default Amount
Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CMRL58
Default Date
The date of default.
NO
YES
CMRL59
Allocated Losses
The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CMRL60
Cumulative Recoveries
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CMRL61
Deposit Amount
The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool.
Use the same currency denomination as that used for this underlying exposure.
If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure, and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CMRL62
Original Lender Name
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
YES
YES
CMRL63
Original Lender Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.
Where no Legal Entity Identifier is available, enter ND5.
YES
YES
CMRL64
Original Lender Establishment Country
Country where the original lender is established.
YES
YES
CMRL65
Originator Name
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
CMRL66
Originator Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.
NO
NO
CMRL67
Originator Establishment Country
Country where the underlying exposure originator is established.
NO
NO
CMRL68
Energy Performance Certificate Value
The energy performance certificate value of the collateral at the time of origination:
A (EPCA)
B (EPCB)
C (EPCC)
D (EPCD)
E (EPCE)
F (EPCF)
G (EPCG)
Other (OTHR)
YES
YES
CMRL69
Energy Performance Certificate Provider Name
Enter the full legal name of the energy performance certificate provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
YES
YES
UNDERLYING EXPOSURES INFORMATION — CREDIT CARD
ANNEX VIISupplementary provisions
ANNEX VII
UNDERLYING EXPOSURES INFORMATION — CREDIT CARD
Field code
Field name
Content to report
ND1-ND4 allowed?
ND5 allowed?
Underlying exposures information section
CCDL1
Unique Identifier
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.
NO
NO
CCDL2
Original Underlying Exposure Identifier
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
CCDL3
New Underlying Exposure Identifier
If the original identifier in field CCDL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CCDL2. The reporting entity must not amend this unique identifier.
NO
NO
CCDL4
Original Obligor Identifier
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
CCDL5
New Obligor Identifier
If the original identifier in field CCDL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CCDL4. The reporting entity must not amend this unique identifier.
NO
NO
CCDL6
Data Cut-Off Date
The data cut-off date for this data submission.
NO
NO
CCDL7
Pool Addition Date
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.
NO
YES
CCDL8
Date Of Repurchase
Date on which the underlying exposure was repurchased from the pool.
NO
YES
CCDL9
Geographic Region — Obligor
The geographic region (NUTS3 classification) where the obligor is located. 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’.
YES
NO
CCDL10
Geographic Region Classification
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.
YES
NO
CCDL11
Employment Status
Employment status of the primary obligor:
Employed — Private Sector (EMRS)
Employed — Public Sector (EMBL)
Employed — Sector Unknown (EMUK)
Unemployed (UNEM)
Self-employed (SFEM)
No Employment, Obligor is Legal Entity (NOEM)
Student (STNT)
Pensioner (PNNR)
Other (OTHR)
YES
NO
CCDL12
Credit Impaired Obligor
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
(a)
has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:
(i)
a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and
(ii)
the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;
(b)
was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or
(c)
has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
NO
YES
CCDL13
Customer Type
Customer type at origination:
New customer and not an employee/affiliated with the originator’s group (CNEO)
New customer and an employee/affiliated with the originator’s group (CEMO)
New customer and employee/affiliation not recorded (CNRO)
Existing customer and not an employee/affiliated with the originator’s group (ENEO)
Existing customer and an employee/affiliated with the originator’s group (EEMO)
Existing customer and employee/affiliation not recorded (ENRO)
Other (OTHR)
YES
NO
CCDL14
Primary Income
Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor’s annual revenue.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
CCDL15
Primary Income Type
Indicate what income in CCDL14 is displayed:
Gross annual income (GRAN)
Net annual income (net of tax and social security) (NITS)
Net annual income (net of tax only) (NITX)
Net annual income (net of social security only) (NTIN)
Estimated net annual income (net of tax and social security) (ENIS)
Estimated net annual income (net of tax only) (EITX)
Estimated net annual income (net of social security only) (EISS)
Disposable Income (DSPL)
Borrower is legal entity (CORP)
Other (OTHR)
YES
NO
CCDL16
Primary Income Currency
Currency in which the primary obligor’s income or revenue is paid.
YES
NO
CCDL17
Primary Income Verification
Primary Income Verification:
Self-certified no Checks (SCRT)
Self-certified with Affordability Confirmation (SCNF)
Verified (VRFD)
Non-Verified Income or Fast Track (NVRF)
Credit Bureau Information or Scoring (SCRG)
Other (OTHR)
YES
NO
CCDL18
Special Scheme
If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.
YES
YES
CCDL19
Origination Date
The date on which the account was opened.
YES
NO
CCDL20
Origination Channel
Channel of Origination:
Internet (WEBI)
Branch (BRCH)
Telesale (TLSL)
Stand (STND)
Post (POST)
White Label (WLBL)
Magazine (MGZN)
Other (OTHR)
YES
YES
CCDL21
Currency Denomination
The underlying exposure currency denomination.
NO
NO
CCDL22
Current Principal Balance
Enter the total current amount owed by the obligor (including all fees and interest) on the account.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CCDL23
Total Credit Limit
For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding.
This field is only to be populated for underlying exposures that have flexible or further drawing characteristics.
This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CCDL24
Purchase Price
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.
NO
YES
CCDL25
Principal Grace Period End Date
If applicable as at the data cut-off date, indicate the principal grace period end date.
NO
YES
CCDL26
Scheduled Principal Payment Frequency
Frequency of principal payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
CCDL27
Scheduled Interest Payment Frequency
Frequency of interest payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
CCDL28
Payment Due
The next minimum scheduled payment due from the obligor.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CCDL29
Current Interest Rate
Total weighted average annualised yield including all fees applicable at last billing date (i.e. this is billed, not cash yield).
NO
YES
CCDL30
Current Interest Rate Index
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
CCDL31
Current Interest Rate Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
NO
YES
CCDL32
Number Of Payments Before Securitisation
Enter the number of payments made prior to the exposure being transferred to the securitisation.
YES
NO
CCDL33
Date Of Restructuring
Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
In the event of multiple dates, all dates must be provided in accordance with the XML schema.
YES
YES
CCDL34
Date Last In Arrears
Date the account was last in arrears.
YES
YES
CCDL35
Number Of Days In Arrears
Number of days the account is in arrears as of the data cut-off date. If the account is not in arrears enter 0.
NO
NO
CCDL36
Arrears Balance
Current balance of arrears, which is defined as:
Total payments due to date
PLUS any amounts capitalised
PLUS any fees applied to the account
LESS total payments received to date.
If no arrears then enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
CCDL37
Account Status
Current status of the underlying exposure that has been securitised:
Performing (PERF)
Restructured — No Arrears (RNAR)
Restructured — Arrears (RARR)
Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)
Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)
Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)
Defaulted only under another definition of default being met (DADB)
Arrears (ARRE)
Repurchased by Seller – Breach of Representations and Warranties (REBR)
Repurchased by Seller – Defaulted (REDF)
Repurchased by Seller – Restructured (RERE)
Repurchased by Seller – Special Servicing (RESS)
Repurchased by Seller – Other Reason (REOT)
Redeemed (RDMD)
Other (OTHR)
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.
NO
NO
CCDL38
Reason for Default or Foreclosure
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)
In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)
In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)
YES
YES
CCDL39
Default Amount
Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CCDL40
Default Date
The date of default.
NO
YES
CCDL41
Cumulative Recoveries
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
CCDL42
Original Lender Name
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
YES
YES
CCDL43
Original Lender Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.
Where no Legal Entity Identifier is available, enter ND5.
YES
YES
CCDL44
Original Lender Establishment Country
Country where the original lender is established.
YES
YES
CCDL45
Originator Name
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
CCDL46
Originator Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.
NO
NO
CCDL47
Originator Establishment Country
Country where the underlying exposure originator is established.
NO
NO
UNDERLYING EXPOSURES INFORMATION — LEASING
ANNEX VIIISupplementary provisions
ANNEX VIII
UNDERLYING EXPOSURES INFORMATION — LEASING
Field code
Field name
Content to report
ND1-ND4 allowed?
ND5 allowed?
Underlying exposures information section
LESL1
Unique Identifier
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.
NO
NO
LESL2
Original Underlying Exposure Identifier
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
LESL3
New Underlying Exposure Identifier
If the original identifier in field LESL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in LESL2. The reporting entity must not amend this unique identifier.
NO
NO
LESL4
Original Obligor Identifier
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
LESL5
New Obligor Identifier
If the original identifier in field LESL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in LESL4. The reporting entity must not amend this unique identifier.
NO
NO
LESL6
Data Cut-Off Date
The data cut-off date for this data submission.
NO
NO
LESL7
Pool Addition Date
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.
NO
YES
LESL8
Date Of Repurchase
Date on which the underlying exposure was repurchased from the pool.
NO
YES
LESL9
Redemption Date
Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.
NO
YES
LESL10
Geographic Region — Obligor
The geographic region (NUTS3 classification) where the obligor is located. 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’.
YES
NO
LESL11
Geographic Region Classification
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.
YES
NO
LESL12
Credit Impaired Obligor
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
(a)
has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:
(i)
a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and
(ii)
the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;
(b)
was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or
(c)
has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
NO
YES
LESL13
Obligor Basel III Segment
Obligor Basel III Segment:
Corporate (CORP)
Small and Medium Enterprise Treated as Corporate (SMEX)
Retail (RETL)
Other (OTHR)
YES
YES
LESL14
Customer Type
Customer type at origination:
New customer and not an employee/affiliated with the originator’s group (CNEO)
New customer and an employee/affiliated with the originator’s group (CEMO)
New customer and employee/affiliation not recorded (CNRO)
Existing customer and not an employee/affiliated with the originator’s group (ENEO)
Existing customer and an employee/affiliated with the originator’s group (EEMO)
Existing customer and employee/affiliation not recorded (ENRO)
Other (OTHR)
YES
NO
LESL15
NACE Industry Code
Lessee industry NACE Code, as set out in Regulation (EC) No 1893/2006.
YES
YES
LESL16
Enterprise Size
Classification of enterprises by size, in accordance with the Annex to Commission Recommendation 2003/361/EC:
Micro Enterprise (MICE) - employs fewer than 10 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 2 million
Small Enterprise (SMAE) - employs fewer than 50 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 10 million
Medium Enterprise (MEDE) - employs fewer than 250 persons and which has an annual turnover not exceeding EUR 50 million, and/or an annual balance sheet total not exceeding EUR 43 million
Large Enterprise (LARE) – an enterprise that is neither a micro, small, or medium enterprise.
Natural Person (NATP)
Other (OTHR)
YES
YES
LESL17
Revenue
Annual sales volume net of all discounts and sales taxes of the obligor in accordance with Recommendation 2003/361/EC. Equivalent to the concept of ‘total annual sales’ in Article 153(4) of Regulation (EU) No 575/2013.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
LESL18
Financial Statement Currency
The reporting currency of the financial statements.
YES
YES
LESL19
Product Type
The classification of the underlying exposure, per lessor’s definitions:
(Personal) Contract Purchase (PPUR)
(Personal) Contract Hire (PHIR)
Hire Purchase (HIRP)
Lease Purchase (LEAP)
Finance Lease (FNLS)
Operating Lease (OPLS)
Other (OTHR)
NO
YES
LESL20
Syndicated
Is the underlying exposure syndicated?
YES
NO
LESL21
Special Scheme
If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.
YES
YES
LESL22
Origination Date
Date of original lease advance.
YES
NO
LESL23
Maturity Date
The date of maturity of the underlying exposure or expiry of the lease.
NO
YES
LESL24
Original Term
Original contractual term (number of months) at the origination date.
YES
YES
LESL25
Origination Channel
Origination channel of the underlying exposure:
Office or Branch Network (BRAN)
Broker (BROK)
Internet (WEBI)
Other (OTHR)
YES
YES
LESL26
Currency Denomination
The underlying exposure currency denomination.
NO
NO
LESL27
Original Principal Balance
Original Principal (or discounted) lease balance (inclusive of capitalised fees) at origination. This is referring to the balance of the lease at the origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
LESL28
Current Principal Balance
Obligor’s lease or discounted lease balance outstanding as of the data cut-off date. This includes any amounts that are secured against the asset. For example, if fees have been added to the balance and are part of the principal in the securitisation these are to be added. Exclude any interest arrears or penalty amounts.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
LESL29
Purchase Price
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.
NO
YES
LESL30
Securitised Residual Value
Residual value amount which has been securitised only.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
LESL31
Amortisation Type
Type of amortisation of the underlying exposure including principal and interest.
French — i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX)
German — i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)
Fixed amortisation schedule — i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)
Bullet — i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)
Other (OTHR)
YES
NO
LESL32
Principal Grace Period End Date
If applicable as at the data cut-off date, indicate the principal grace period end date.
NO
YES
LESL33
Scheduled Principal Payment Frequency
Frequency of principal payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
LESL34
Scheduled Interest Payment Frequency
Frequency of interest payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
LESL35
Payment Due
This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
LESL36
Current Interest Rate
Total gross current interest rate or discount rate applicable to the underlying exposure. Rates calculated on a period-by-period basis must be annualised.
NO
YES
LESL37
Current Interest Rate Index
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
LESL38
Current Interest Rate Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
NO
YES
LESL39
Current Interest Rate Margin
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.
NO
YES
LESL40
Interest Rate Reset Interval
Number of months between each interest rate reset date on the underlying exposure.
NO
YES
LESL41
Interest Rate Cap
Maximum rate that the obligor must pay on a floating rate lease as required under the terms of the underlying exposure agreement.
NO
YES
LESL42
Interest Rate Floor
Minimum rate that the obligor must pay on a floating rate lease as required under the terms of the lease agreement.
NO
YES
LESL43
Number Of Payments Before Securitisation
Enter the number of payments made prior to the exposure being transferred to the securitisation.
YES
NO
LESL44
Percentage Of Prepayments Allowed Per Year
Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.
YES
YES
LESL45
Prepayment Lock-Out End Date
The date after which the lender allows prepayment of the underlying exposure.
YES
YES
LESL46
Prepayment Fee
Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the lease Payment Date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
LESL47
Prepayment Fee End Date
The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.
YES
YES
LESL48
Prepayment Date
The latest date on which an unscheduled principal payment was received.
YES
YES
LESL49
Cumulative Prepayments
Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
LESL50
Option To Buy Price
The amount the lessee has to pay at the end of the lease in order to take ownership of the asset, other than the payment referred to in LESL30.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
LESL51
Down Payment Amount
Amount of deposit/down payment on origination of the underlying exposure (this includes the value of traded-in equipment etc.).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
LESL52
Current Residual Value Of Asset
Most recent forecast residual value of the asset at the end of the lease term. If no update has been performed, enter the original estimated residual value.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
LESL53
Date Of Restructuring
Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
In the event of multiple dates, all dates must be provided in accordance with the XML schema.
YES
YES
LESL54
Date Last In Arrears
Date the obligor was last in arrears.
YES
YES
LESL55
Arrears Balance
Current balance of arrears, which is defined as:
Total payments due to date
PLUS any amounts capitalised
PLUS any fees applied to the account
LESS total payments received to date.
If no arrears then enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
LESL56
Number Of Days In Arrears
Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.
NO
NO
LESL57
Account Status
Current status of the underlying exposure that has been securitised:
Performing (PERF)
Restructured — No Arrears (RNAR)
Restructured — Arrears (RARR)
Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)
Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)
Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)
Defaulted only under another definition of default being met (DADB)
Arrears (ARRE)
Repurchased by Seller – Breach of Representations and Warranties (REBR)
Repurchased by Seller – Defaulted (REDF)
Repurchased by Seller – Restructured (RERE)
Repurchased by Seller – Special Servicing (RESS)
Repurchased by Seller – Other Reason (REOT)
Redeemed (RDMD)
Other (OTHR)
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.
NO
NO
LESL58
Reason for Default or Foreclosure
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)
In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)
In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)
YES
YES
LESL59
Default Amount
Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
LESL60
Default Date
The date of default.
NO
YES
LESL61
Allocated Losses
The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
LESL62
Cumulative Recoveries
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
LESL63
Recovery Source
The source of the recoveries:
Liquidation of Collateral (LCOL)
Enforcement of Guarantees (EGAR)
Additional Lending (ALEN)
Cash Recoveries (CASR)
Mixed (MIXD)
Other (OTHR)
NO
YES
LESL64
Deposit Amount
The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool.
Use the same currency denomination as that used for this underlying exposure.
If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure, and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
LESL65
Geographic Region — Collateral
The geographic region (NUTS3 classification) where the asset is located. 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’.
YES
YES
LESL66
Manufacturer
Name of the asset manufacturer.
YES
NO
LESL67
Model
Name of the asset/model.
YES
NO
LESL68
Year Of Manufacture/Construction
Year of manufacture.
YES
YES
LESL69
New Or Used
Condition of asset at point of underlying exposure origination:
New (NEWX)
Used (USED)
Demo (DEMO)
Other (OTHR)
YES
NO
LESL70
Original Residual Value Of Asset
The estimated residual value of the asset at the date of underlying exposure origination.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
LESL71
Collateral Type
The primary (in terms of value) type of asset securing the underlying exposure:
Automobile (CARX)
Industrial Vehicle (INDV)
Commercial Truck (CMTR)
Rail Vehicle (RALV)
Nautical Commercial Vehicle (NACM)
Nautical Leisure Vehicle (NALV)
Aeroplane (AERO)
Machine Tool (MCHT)
Industrial Equipment (INDE)
Office Equipment (OFEQ)
Medical Equipment (MDEQ)
Energy Related Equipment (ENEQ)
Commercial Building (CBLD)
Residential Building (RBLD)
Industrial Building (IBLD)
Other Vehicle (OTHV)
Other Equipment (OTHE)
Other Real Estate (OTRE)
Other goods or inventory (OTGI)
Security (SECU)
Guarantee (GUAR)
Other Financial Asset (OTFA)
IT Equipment (ITEQ)
Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)
Other (OTHR)
NO
NO
LESL72
Original Valuation Amount
Valuation of asset at underlying exposure origination.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
NO
LESL73
Original Valuation Method
The method of calculating the value of the asset at the time of underlying exposure origination:
Full Appraisal (FAPR)
Drive-by (DRVB)
Automated Value Model (AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent or Estate Agent (MAEA)
Purchase Price (PPRI)
Haircut (HCUT)
Other (OTHR)
YES
NO
LESL74
Original Valuation Date
Date of asset valuation at origination.
YES
NO
LESL75
Current Valuation Amount
Latest asset valuation. If no revaluation has occurred since origination, enter original valuation.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
LESL76
Current Valuation Method
The method of calculating the most recent value of the asset. If no revaluation has occurred since origination, enter original valuation type:
Full Appraisal (FAPR)
Drive-by (DRVB)
Automated Value Model (AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent or Estate Agent (MAEA)
Purchase Price (PPRI)
Haircut (HCUT)
Other (OTHR)
YES
NO
LESL77
Current Valuation Date
Date of latest asset valuation. If no revaluation has occurred since origination, enter original valuation date.
YES
YES
LESL78
Number Of Leased Objects
The number of individual assets covered by this underlying exposure.
YES
NO
LESL79
Original Lender Name
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
YES
YES
LESL80
Original Lender Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.
Where no Legal Entity Identifier is available, enter ND5.
YES
YES
LESL81
Original Lender Establishment Country
Country where the original lender is established.
YES
YES
LESL82
Originator Name
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
LESL83
Originator Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.
NO
NO
LESL84
Originator Establishment Country
Country where the underlying exposure originator is established.
NO
NO
UNDERLYING EXPOSURES INFORMATION — ESOTERIC
ANNEX IXSupplementary provisions
ANNEX IX
UNDERLYING EXPOSURES INFORMATION — ESOTERIC
Field code
Field name
Content to report
ND1-ND4 allowed?
ND5 allowed?
Underlying exposures information section
ESTL1
Unique Identifier
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.
NO
NO
ESTL2
Original Underlying Exposure Identifier
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
ESTL3
New Underlying Exposure Identifier
If the original identifier in field ESTL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in ESTL2. The reporting entity must not amend this unique identifier.
NO
NO
ESTL4
Original Obligor Identifier
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
ESTL5
New Obligor Identifier
If the original identifier in field ESTL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in ESTL4. The reporting entity must not amend this unique identifier.
NO
NO
ESTL6
Data Cut-Off Date
The data cut-off date for this data submission.
NO
NO
ESTL7
Pool Addition Date
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.
NO
YES
ESTL8
Date Of Repurchase
Date on which the underlying exposure was repurchased from the pool.
NO
YES
ESTL9
Redemption Date
Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.
NO
YES
ESTL10
Description
Describe in a few words the underlying exposure (e.g. ‘Electricity Tariff Receivables’, ‘Future Flow’). All underlying exposures of this type in the data submission must use identical language.
NO
NO
ESTL11
Geographic Region — Obligor
The geographic region (NUTS3 classification) where the obligor is located. 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’.
YES
YES
ESTL12
Geographic Region Classification
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.
YES
YES
ESTL13
Employment Status
Employment status of the primary obligor:
Employed — Private Sector (EMRS)
Employed — Public Sector (EMBL)
Employed — Sector Unknown (EMUK)
Unemployed (UNEM)
Self-employed (SFEM)
No Employment, Obligor is Legal Entity (NOEM)
Student (STNT)
Pensioner (PNNR)
Other (OTHR)
YES
YES
ESTL14
Credit Impaired Obligor
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
(a)
has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:
(i)
a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and
(ii)
the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;
(b)
was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or
(c)
has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
YES
YES
ESTL15
Obligor Legal Type
Legal form of customer:
Public Company (PUBL)
Limited Company (LLCO)
Partnership (PNTR)
Individual (INDV)
Government Entity (GOVT)
Other (OTHR)
YES
YES
ESTL16
NACE Industry Code
Obligor industry NACE Code, as set out in Regulation (EC) No 1893/2006.
YES
YES
ESTL17
Primary Income
Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter in that obligor’s annual revenue.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTL18
Primary Income Type
Indicate what income in ESTL17 is displayed:
Gross annual income (GRAN)
Net annual income (net of tax and social security) (NITS)
Net annual income (net of tax only) (NITX)
Net annual income (net of social security only) (NTIN)
Estimated net annual income (net of tax and social security) (ENIS)
Estimated net annual income (net of tax only) (EITX)
Estimated net annual income (net of social security only) (EISS)
Disposable Income (DSPL)
Borrower is legal entity (CORP)
Other (OTHR)
YES
YES
ESTL19
Primary Income Currency
Currency in which the primary obligor’s income or revenue is paid.
YES
YES
ESTL20
Primary Income Verification
Primary Income Verification:
Self-certified no Checks (SCRT)
Self-certified with Affordability Confirmation (SCNF)
Verified (VRFD)
Non-Verified Income or Fast Track (NVRF)
Credit Bureau Information or Scoring (SCRG)
Other (OTHR)
YES
YES
ESTL21
Revenue
Annual sales volume net of all discounts and sales taxes of the obligor in accordance with Recommendation 2003/361/EC. Equivalent to the concept of ‘total annual sales’ in Article 153(4) of Regulation (EU) No 575/2013.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTL22
Financial Statement Currency
The reporting currency of the financial statements.
YES
YES
ESTL23
International Securities Identification Number
The ISIN code assigned to this underlying exposure, where applicable.
YES
YES
ESTL24
Origination Date
Date of original underlying exposure advance.
YES
YES
ESTL25
Maturity Date
The date of maturity of the underlying exposure or expiry of the lease.
YES
YES
ESTL26
Currency Denomination
The underlying exposure currency denomination.
NO
YES
ESTL27
Original Principal Balance
Original underlying exposure principal balance (inclusive of capitalised fees) at origination. This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTL28
Current Principal Balance
Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTL29
Total Credit Limit
For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding.
This field is only to be populated for underlying exposures that have flexible or further drawing characteristics.
This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTL30
Purchase Price
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.
NO
YES
ESTL31
Amortisation Type
Type of amortisation of the underlying exposure including principal and interest.
French — i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX)
German — i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)
Fixed amortisation schedule — i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)
Bullet — i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)
Other (OTHR)
YES
NO
ESTL32
Principal Grace Period End Date
If applicable as at the data cut-off date, indicate the principal grace period end date.
YES
YES
ESTL33
Scheduled Principal Payment Frequency
Frequency of principal payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
YES
YES
ESTL34
Scheduled Interest Payment Frequency
Frequency of interest payments due, i.e. period between payments:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
YES
YES
ESTL35
Payment Due
This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTL36
Debt To Income Ratio
Debt defined as the amount of underlying exposure outstanding as of data cut-off date, This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts.
Income defined as in field code ESTL17, plus any other relevant income (e.g. secondary income).
YES
YES
ESTL37
Balloon Amount
Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTL38
Interest Rate Reset Interval
Number of months between each interest rate reset date on the underlying exposure.
YES
YES
ESTL39
Current Interest Rate
Current interest rate.
YES
YES
ESTL40
Current Interest Rate Index
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
YES
YES
ESTL41
Current Interest Rate Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
YES
YES
ESTL42
Current Interest Rate Margin
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.
YES
YES
ESTL43
Interest Rate Cap
Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
YES
YES
ESTL44
Interest Rate Floor
Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
YES
YES
ESTL45
Number Of Payments Before Securitisation
Enter the number of payments made prior to the exposure being transferred to the securitisation.
YES
YES
ESTL46
Percentage Of Prepayments Allowed Per Year
Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.
YES
YES
ESTL47
Prepayment Lock-Out End Date
The date after which the lender allows prepayment of the underlying exposure.
YES
YES
ESTL48
Prepayment Fee
Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTL49
Prepayment Fee End Date
The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.
YES
YES
ESTL50
Prepayment Date
The latest date on which an unscheduled principal payment was received.
YES
YES
ESTL51
Cumulative Prepayments
Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTL52
Date Last In Arrears
Date the obligor was last in arrears.
YES
YES
ESTL53
Arrears Balance
Current balance of arrears, which is defined as:
Total payments due to date
PLUS any amounts capitalised
PLUS any fees applied to the account
LESS total payments received to date.
If no arrears then enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTL54
Number Of Days In Arrears
Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.
YES
YES
ESTL55
Account Status
Current status of the underlying exposure that has been securitised:
Performing (PERF)
Restructured — No Arrears (RNAR)
Restructured — Arrears (RARR)
Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)
Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)
Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)
Defaulted only under another definition of default being met (DADB)
Arrears (ARRE)
Repurchased by Seller – Breach of Representations and Warranties (REBR)
Repurchased by Seller – Defaulted (REDF)
Repurchased by Seller – Restructured (RERE)
Repurchased by Seller – Special Servicing (RESS)
Repurchased by Seller – Other Reason (REOT)
Redeemed (RDMD)
Other (OTHR)
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.
NO
NO
ESTL56
Reason for Default or Foreclosure
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)
In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)
In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)
YES
YES
ESTL57
Default Amount
Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTL58
Default Date
The date of default.
YES
YES
ESTL59
Allocated Losses
The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTL60
Cumulative Recoveries
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTL61
Originator Name
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
ESTL62
Originator Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.
NO
NO
ESTL63
Originator Establishment Country
Country where the underlying exposure originator is established.
NO
NO
ESTL64
Original Lender Name
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
YES
YES
ESTL65
Original Lender Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.
Where no Legal Entity Identifier is available, enter ND5.
YES
YES
ESTL66
Original Lender Establishment Country
Country where the original lender is established.
YES
YES
Collateral-level information section
ESTC1
Unique Identifier
Report the same unique identifier here as the one entered into field ESTL1.
NO
NO
ESTC2
Underlying Exposure Identifier
Unique underlying exposure identifier. This must match the identifier in field ESTL3. The reporting entity must not amend this unique identifier.
NO
NO
ESTC3
Original Collateral Identifier
The original unique identifier assigned to the collateral or guarantee. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.
NO
NO
ESTC4
New Collateral Identifier
If the original identifier in field ESTC3 cannot be maintained in this field enter the new identifier here. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. If there has been no change in the identifier, enter the same identifier as in ESTC3. The reporting entity must not amend this unique identifier.
NO
NO
ESTC5
Geographic Region — Collateral
The geographic region (NUTS3 classification) where the collateral is located. 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’.
YES
YES
ESTC6
Security Type
The type of security:
Collateral (COLL)
Guarantee backed by further collateral (GCOL)
Guarantee not backed by further collateral (GNCO)
Other (OTHR)
NO
NO
ESTC7
Charge Type
Type of security over the collateral. Where there is a guarantee, this field refers to any security for any collateral that is supporting that guarantee. ‘No charge but an irrevocable power of attorney or similar’ refers to when the originator or original lender, as applicable, is irrevocably and unconditionally authorised to unilaterally create a charge over the collateral at any time in the future, without the need for any further approval from the obligor or guarantor:
Fixed charge (FXCH)
Floating charge (FLCH)
No charge (NOCG)
No charge but an irrevocable power of attorney or similar (ATRN)
Other (OTHR)
YES
YES
ESTC8
Lien
Highest lien position held by the originator in relation to the collateral.
YES
YES
ESTC9
Collateral Type
The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.
Automobile (CARX)
Industrial Vehicle (INDV)
Commercial Truck (CMTR)
Rail Vehicle (RALV)
Nautical Commercial Vehicle (NACM)
Nautical Leisure Vehicle (NALV)
Aeroplane (AERO)
Machine Tool (MCHT)
Industrial Equipment (INDE)
Office Equipment (OFEQ)
IT Equipment (ITEQ)
Medical Equipment (MDEQ)
Energy Related Equipment (ENEQ)
Commercial Building (CBLD)
Residential Building (RBLD)
Industrial Building (IBLD)
Other Vehicle (OTHV)
Other Equipment (OTHE)
Other Real Estate (OTRE)
Other goods or inventory (OTGI)
Securities (SECU)
Guarantee (GUAR)
Other Financial Asset (OTFA)
Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)
Other (OTHR)
NO
NO
ESTC10
Current Valuation Amount
The most recent valuation of the collateral. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to the collateral that is supporting that guarantee.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTC11
Current Valuation Method
The method of calculating the most recent value of the collateral, as provided in field ESTC10.
Full Appraisal (FAPR)
Drive-by (DRVB)
Automated Value Model (AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent or Estate Agent (MAEA)
Purchase Price (PPRI)
Haircut (HCUT)
Mark to Market (MTTM)
Obligor’s valuation (OBLV)
Other (OTHR)
YES
YES
ESTC12
Current Valuation Date
The date of the most recent valuation of the collateral as provided in field ESTC10.
YES
YES
ESTC13
Current Loan-To-Value
Current loan to Value ratio (LTV). For non-first lien loans this is to be the combined or total LTV. Where the current loan balance is negative, enter 0.
YES
YES
ESTC14
Original Valuation Amount
The original valuation of the collateral as of the initial underlying exposure origination date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
ESTC15
Original Valuation Method
The method of calculating the value of the collateral provided in field ESTC14 at the time of underlying exposure origination:
Full Appraisal (FAPR)
Drive-by (DRVB)
Automated Value Model (AUVM)
Indexed (IDXD)
Desktop (DKTP)
Managing Agent or Estate Agent (MAEA)
Purchase Price (PPRI)
Haircut (HCUT)
Mark to market (MTTM)
Obligor’s valuation (OBLV)
Other (OTHR)
YES
YES
ESTC16
Original Valuation Date
The date of the original valuation of the physical or financial collateral provided in field ESTC14.
YES
YES
ESTC17
Original Loan-To-Value
Originator’s original underwritten loan To Value ratio (LTV). For non-first lien loans, this is the combined or total LTV.
YES
YES
ESTC18
Date Of Sale
The date of sale of the collateral.
NO
YES
ESTC19
Sale Price
Price achieved on sale of collateral in case of foreclosure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
ESTC20
Collateral Currency
This is the currency in which the valuation amount provided in ESTC10 is denominated.
NO
YES
UNDERLYING EXPOSURES INFORMATION — ASSET-BACKED COMMERCIAL PAPER
ANNEX XISupplementary provisions
ANNEX XI
UNDERLYING EXPOSURES INFORMATION — ASSET-BACKED COMMERCIAL PAPER
Field code
Field name
Content to report
ND1-ND4 allowed?
ND5 allowed?
Underlying exposures information section
IVAL1
Unique Identifier — ABCP Programme
The unique identifier assigned by the reporting entity to this ABCP programme in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.
NO
NO
IVAL2
Unique Identifier — ABCP Transaction
The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) 2020/1224.
NO
NO
IVAL3
Original Underlying Exposure Identifier
Unique underlying exposure type identifier. The reporting entity must not amend this unique identifier.
NO
NO
IVAL4
New Underlying Exposure Identifier
If the original identifier in field IVAL3 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in IVAL3. The reporting entity must not amend this unique identifier.
NO
NO
IVAL5
Underlying Exposure Type
Select the type of underlying exposure that exists in this transaction:
Trade Receivables (TREC)
Automobile Loans or Leases (ALOL)
Consumer loans (CONL)
Equipment Leases (EQPL)
Floorplan financed (FLRF)
Insurance Premia (INSU)
Credit-Card Receivables (CCRR)
Residential Mortgages (RMRT)
Commercial Mortgages (CMRT)
Small and Medium Enterprise Loans (SMEL)
Non Small and Medium Enterprise Corporate Loans (NSML)
Future Flow (FUTR)
Leverage Fund (LVRG)
Collateralised Bond Obligation (CBOB)
Collateralised Loan Obligation (CLOB)
Other (OTHR)
NO
NO
IVAL6
Data Cut-Off Date
The data cut-off date for this data submission.
NO
NO
IVAL7
Geographic Region — Largest Exposure Concentration 1
The geographic region where the largest amount of underlying exposures (by current value of exposures as at the data cut-off date) of this type are located, in terms of the location of the collateral (for secured underlying exposures) or obligor (for unsecured underlying exposures). 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’.
YES
YES
IVAL8
Geographic Region — Largest Exposure Concentration 2
The geographic region where the second-largest amount of underlying exposures (by current value of exposures as at the data cut-off date) of this type are located, in terms of the location of the collateral (for secured underlying exposures) or obligor (for unsecured underlying exposures). 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’.
YES
YES
IVAL9
Geographic Region — Largest Exposure Concentration 3
The geographic region where the third-largest amount of underlying exposures (by current value of exposures as at the data cut-off date) of this type are located, in terms of the location of the collateral (for secured underlying exposures) or obligor (for unsecured underlying exposures). 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’.
YES
YES
IVAL10
Geographic Region Classification
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.
YES
YES
IVAL11
Current Principal Balance
The total outstanding principal balance as of the data cut-off date for this exposure type. This includes any amounts that are classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL12
Number Of Underlying Exposures
Number of underlying exposures of this exposure type being securitised.
YES
NO
IVAL13
EUR Exposures
The total outstanding principal balance of exposures of this type that are denominated in EUR as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL14
GBP Exposures
The total outstanding principal balance of exposures of this type that are denominated in GBP as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL15
USD Exposures
The total outstanding principal balance of exposures of this type that are denominated in USD as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL16
Other Exposures
The total outstanding principal balance of exposures of this type that are denominated in currencies different to EUR, GBP, and USD as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL17
Maximum Residual Maturity
The longest residual maturity in months, as at the data cut-off date, of any exposure of this exposure type.
YES
YES
IVAL18
Average Residual Maturity
The average residual maturity in months, as at the data cut-off date and weighted by the current balance as at the data cut-off date, of all exposures of this exposure type.
YES
YES
IVAL19
Current Loan-To-Value
Weighted average, using the current balances of all exposures of this type as at the data cut-off date, current loan to value (LTV) ratio. For non-first lien loans, this is the combined or total LTV.
YES
YES
IVAL20
Debt To Income Ratio
Weighted average, using the current balances of all exposures of this type as at the data cut-off date, obligor debt to income ratio. Debt defined as the total outstanding principal balance of underlying exposure outstanding as of data cut-off date. This includes any amounts classified as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts.
Income defined as combined income, sum of primary and (where applicable) secondary income.
YES
YES
IVAL21
Amortisation Type
The total outstanding principal balance of exposures of this type where the amortisation is either bullet, balloon, or some other arrangement besides French, German, or a fixed amortisation schedule. For the purposes of this field:
—
French Amortisation is defined as amortisation in which the total amount — principal plus interest — repaid in each instalment is the same;
—
German Amortisation is defined as amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest;
—
Fixed Amortisation Schedule is defined as amortisation in which the principal amount repaid in each instalment is the same;
—
Bullet Amortisation is defined as amortisation in which the full principal amount is repaid in the last instalment;
—
Balloon Amortisation is defined as amortisation consisting of partial principal repayments followed by a larger final principal amount; and
—
Other Amortisation is defined as any other amortisation type not captured by any of the categories listed above.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL22
Scheduled Principal Payment Frequency Above One Month
The total outstanding principal balance of exposures of this type where the frequency of principal payments due, i.e. period between payments, is greater than one month (e.g. quarterly, semi-annual, annual, bullet, zero-coupon, other).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL23
Scheduled Interest Payment Frequency Above One Month
The total outstanding principal balance of exposures of this type where the frequency of interest payments due, i.e. period between payments, is greater than one month (e.g. quarterly, semi-annual, annual, bullet, zero-coupon, other).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL24
Floating Rate Receivables
The total outstanding principal balance of exposures of this type, as at the data cut-off date, where the interest rate is generally understood as ‘floating’. ‘Floating’ refers to a rate indexed to any of the following: LIBOR (any currency and tenor), EURIBOR (any currency and tenor), any central bank base rate (BoE, ECB, etc.), the originator’s standard variable rate, or any similar arrangement.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL25
Financed Amount
Amount of underlying exposures purchased from the originator in this transaction that have been financed by commercial paper, between the previous data cut-off date and the data cut-off date of the present data submission.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL26
Dilutions
Total reductions in principal underlying exposures of this type during the period.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL27
Repurchased Exposures
The total outstanding principal balance of exposures of this type that have been repurchased (i.e. removed from the pool of underlying exposures by being bought back) by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL28
Defaulted Or Credit-Impaired Exposures At Securitisation
Pursuant to Article 24(9) of Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type that, at the time of securitisation, were either defaulted exposures or exposures to a credit-impaired debtor or guarantor in the meaning set out in that same Article.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL29
Defaulted Exposures
The total outstanding principal balance of exposures of this type in default as at the cut-off date, using the definition of default specified in the securitisation documentation
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL30
Defaulted Exposures CRR
The total outstanding principal balance of exposures of this type in default as at the cut-off date, using the definition of default specified in Article 178 of Regulation (EU) No 575/2013.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL31
Gross Charge Offs In The Period
Face value of gross principal charge-offs (i.e. before recoveries) for the period. Charge-off is as per securitisation definition, or alternatively per lender’s usual practice.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL32
Arrears 1-29 Days
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 1 and 29 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.
YES
YES
IVAL33
Arrears 30-59 Days
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 30 and 59 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.
YES
YES
IVAL34
Arrears 60-89 Days
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 60 and 89 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.
YES
YES
IVAL35
Arrears 90-119 Days
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 90 and 119 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.
YES
YES
IVAL36
Arrears 120-149 Days
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 120 and 149 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.
YES
YES
IVAL37
Arrears 150-179 Days
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 150 and 179 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.
YES
YES
IVAL38
Arrears 180+ Days
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period for 180 days or more as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.
YES
YES
IVAL39
Restructured Exposures
Enter the proportion of exposures of this type that have at any time been restructured by the originator/sponsor, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
Calculate the proportion as the total current balance of these exposures divided by total current balance of exposures of this type, as at the data cut-off date.
YES
YES
IVAL40
Restructured Exposures (0-1 years before transfer)
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time starting from, and less than 1 year before, the date of transfer or assignment to the SSPE, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL41
Restructured Exposures (1-3 years before transfer)
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time starting from 1 and less than 3 years before the date of transfer or assignment to the SSPE, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL42
Restructured Exposures (> 3 years before transfer)
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time starting from 3 years before the date of transfer or assignment to the SSPE, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL43
Restructured Exposures (Interest Rate)
Enter the total outstanding principal balance of exposures of this type whose interest rate has been restructured by the originator/sponsor, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.
Restructuring of interest rate refers to any changes made to the interest rate-related contractual terms of the underlying exposure agreement due to forbearance, including changes of interest rate basis or margins, fees, penalties, and/or other generally-accepted measures of interest rate-related restructuring due to forbearance.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL44
Restructured Exposures (Repayment Schedule)
Enter the total outstanding principal balance of exposures of this type whose repayment schedule has been restructured by the originator/sponsor, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.
Restructuring of repayment schedule refers to any changes made to the repayment schedule-related contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, repayment timing, and/or other generally-accepted repayment schedule-related measures of restructuring due to forbearance.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL45
Restructured Exposures (Maturity)
Enter the total outstanding principal balance of exposures of this type whose maturity profile has been restructured by the originator/sponsor, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.
Restructuring of maturity profile refers to any changes made to the maturity-related contractual terms of the underlying exposure agreement due to forbearance, including maturity extensions and/or other generally-accepted measures of maturity-related restructuring due to forbearance.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL46
Restructured Exposures (0-1 years before transfer and No New Arrears)
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor 1 year or earlier than the date of transfer or assignment to the SSPE AND have not at any time been in arrears (either regarding principal or interest payments) since the date of restructuring, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL47
Restructured Exposures (No New Arrears)
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time AND have not at any time been in arrears (either regarding principal or interest payments) since the date of restructuring, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL48
Restructured Exposures (New Arrears)
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time AND have at any time been in arrears (either regarding principal or interest payments) since the date of restructuring, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAL49
Restructured Exposures (Other)
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor, excluding restructurings already captured under fields IVAL43, IVAL44, and IVAL45, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
INVESTOR REPORT INFORMATION — NON-ASSET BACKED COMMERCIAL PAPER SECURITISATION
ANNEX XIISupplementary provisions
ANNEX XII
INVESTOR REPORT INFORMATION — NON-ASSET BACKED COMMERCIAL PAPER SECURITISATION
Field code
Field name
Content to report
ND1-ND4 allowed?
ND5 allowed?
Securitisation information section
IVSS1
Unique Identifier
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.
NO
NO
IVSS2
Data Cut-Off Date
The data cut-off date for this data submission. This must match the data cut-off date in the applicable underlying exposure templates submitted.
NO
NO
IVSS3
Securitisation Name
Enter the name of the securitisation
NO
NO
IVSS4
Reporting Entity Name
The full legal name of the entity designated as per Article 7(2) of Regulation (EU) 2017/2402; this name must match the name entered in for that entity in field SESP3 in the counterparty information section. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
IVSS5
Reporting Entity Contact Person
First and Last name of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed.
NO
NO
IVSS6
Reporting Entity Contact Telephone
Direct telephone number(s) of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed.
NO
NO
IVSS7
Reporting Entity Contact Emails
Direct email address(es) of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed.
NO
NO
IVSS8
Risk Retention Method
Method for complying with risk retention requirements in the EU (e.g. Article 6 of Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) No 575/2013):
Vertical slice — i.e. Article 6(3)(a) (VSLC)
Seller’s share — i.e. Article 6(3)(b) (SLLS)
Randomly-selected exposures kept on balance sheet — i.e. Article 6(3)(c) (RSEX)
First loss tranche — i.e. Article 6(3)(d) (FLTR)
First loss exposure in each asset — i.e. Article 6(3)(e) (FLEX)
No compliance with risk retention requirements (NCOM)
Other (OTHR)
NO
NO
IVSS9
Risk Retention Holder
Which entity is retaining the material net economic interest, as specified in Article 6 of Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) No 575/2013):
Originator (ORIG)
Sponsor (SPON)
Original Lender (OLND)
Seller (SELL)
No Compliance with Risk Retention Requirement (NCOM)
Other (OTHR)
NO
NO
IVSS10
Underlying Exposure Type
Enter the type of underlying exposures of the securitisation. If multiple types from the list below are present, enter ‘Mixed’ (with the exception of securitisations whose underlying exposures consist exclusively of a combination of consumer loans and automobile loans or leases--for these securitisations the value corresponding to ‘Consumer loans’ must be entered):
Automobile Loan or Lease (ALOL)
Consumer Loan (CONL)
Commercial Mortgage (CMRT)
Credit-Card Receivable (CCRR)
Lease (LEAS)
Residential Mortgage (RMRT)
Mixed (MIXD)
Small and Medium Enterprise (SMEL)
Non Small and Medium Enterprise Corporate (NSML)
Other (OTHR)
NO
NO
IVSS11
Risk Transfer Method
In accordance with Article 242(13) and (14) of Regulation (EU) No 575/2013, the securitisation risk transfer method is ‘traditional’ (i.e. ‘true sale’).
NO
NO
IVSS12
Trigger Measurements/Ratios
Has any underlying exposure-related trigger event occurred? These include any delinquency, dilution, default, loss, stop-substitution, stop-revolving, or similar exposure-related events which impact the securitisation, as at the data cut-off date. This also includes if there is a debit balance on any PDL or an asset deficiency.
NO
NO
IVSS13
Revolving/Ramp-Up Period End-Date
Enter the date at which the securitisation’s revolving or ramp-up period is scheduled to cease. Enter the securitisation maturity date if there is a revolving period with no scheduled end date.
NO
YES
IVSS14
Principal Recoveries In The Period
Gross principal recoveries received during the period.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
IVSS15
Interest Recoveries In The Period
Gross interest recoveries received during the period.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
IVSS16
Principal Collections In The Period
Collections treated as principal in the period.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
IVSS17
Interest Collections In The Period
Collections treated as revenue in the period.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
IVSS18
Drawings Under Liquidity Facility
If the securitisation has a liquidity facility confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date.
NO
YES
IVSS19
Securitisation Excess Spread
The amount of funds left over after application of all currently-applicable stages of the waterfall, commonly referred to as ‘excess spread’.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
IVSS20
Excess Spread Trapping Mechanism
Excess spread is currently trapped in the securitisation (e.g. accumulated in a separate reserve account)
NO
NO
IVSS21
Current Overcollateralisation
Current overcollateralisation of the securitisation, calculated as the ratio of (the sum of the outstanding principal balance of all underlying exposures, excluding underlying exposures classified as defaulted, as at the data cut-off date) to (the sum of the outstanding principal balance of all tranches/bonds as at the data cut-off date).
NO
NO
IVSS22
Annualised Constant Prepayment Rate
The annualised Constant Prepayment Rate (CPR) of the underlying exposures based upon the most recent periodic CPR. Periodic CPR is equal to the [(total unscheduled principal received at the end of the most recent collection period)/(the total principal balance at the start of the collection period)]. The Periodic CPR is then annualised as follows:
100*(1-((1-Periodic CPR)^number of collection periods in a year))
‘Periodic CPR’ refers to the CPR during the last collection period i.e. for a securitisation with quarterly paying bonds this will usually be the prior three month period.
NO
NO
IVSS23
Dilutions
Total reductions in principal exposures during the period.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
IVSS24
Gross Charge Offs In The Period
Total amount of gross principal charge-offs (i.e. before recoveries) for the period. Charge-off is as per securitisation definition, or alternatively per lender’s usual practice.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
IVSS25
Repurchased Exposures
The total outstanding principal amount of underlying exposures that have been repurchased by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVSS26
Restructured Exposures
The total outstanding principal amount of underlying exposures that have been restructured by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
IVSS27
Annualised Constant Default Rate
The annualised Constant Default Rate (CDR) for the underlying exposures based on the periodic CDR. Periodic CDR is equal to the [(total current balance of underlying exposures classified as defaulted during the period)/(total current balance of non-defaulted underlying exposures at the beginning of the period)]. This value is then annualised as follows:
100*(1-((1-Periodic CDR)^number of collection periods in a year))
‘Periodic CDR’ refers to the CDR during the last collection period, i.e. for a securitisation with quarterly paying bonds this will usually be the prior three month period.
NO
NO
IVSS28
Defaulted Exposures
The total outstanding principal amount as at the data cut-off date of exposures in default as at the cut-off date, using the definition of default specified in the securitisation documentation
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
IVSS29
Defaulted Exposures CRR
The total outstanding principal amount as at the data cut-off date of exposures in default as at the cut-off date, using the definition of default specified in Article 178 of Regulation (EU) No 575/2013.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVSS30
Risk Weight Approach
Indicate which risk weight approach was used by the originator to produce the risk weight attached to the underlying exposures, in accordance with Regulation (EU) No 575/2013:
Standardised Approach (STND)
Foundation Internal Ratings-Based (FIRB)
Advanced Internal Ratings-Based (ADIR)
NO
YES
IVSS31
Obligor Probability Of Default in Range [0,00 %,0,10 %)
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0,00 % <= x < 0,10 %. This estimate can either come from the originator or the relevant national central bank.
Where there is no regulatory requirement to calculate Probability of Default, enter ND5.
NO
YES
IVSS32
Obligor Probability Of Default in Range [0,10 %,0,25 %)
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0,10 % <= x < 0,25 %. This estimate can either come from the originator or the relevant national central bank.
Where there is no regulatory requirement to calculate Probability of Default, enter ND5.
NO
YES
IVSS33
Obligor Probability Of Default in Range [0,25 %,1,00 %)
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0,25 % <= x < 1,00 %. This estimate can either come from the originator or the relevant national central bank.
Where there is no regulatory requirement to calculate Probability of Default, enter ND5.
NO
YES
IVSS34
Obligor Probability Of Default in Range [1,00 %,7,50 %)
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 1,00 % <= x < 7,50 %. This estimate can either come from the originator or the relevant national central bank.
Where there is no regulatory requirement to calculate Probability of Default, enter ND5.
NO
YES
IVSS35
Obligor Probability Of Default in Range [7,50 %,20,00 %)
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 7,50 % <= x < 20,00 %. This estimate can either come from the originator or the relevant national central bank.
Where there is no regulatory requirement to calculate Probability of Default, enter ND5.
NO
YES
IVSS36
Obligor Probability Of Default in Range [20,00 %,100,00 %]
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 20,00 % <= x <= 100,00 %. This estimate can either come from the originator or the relevant national central bank.
Where there is no regulatory requirement to calculate Probability of Default, enter ND5.
NO
YES
IVSS37
Internal Loss Given Default Estimate
The originator’s latest Loss Given Default estimate for the underlying exposure in a downturn scenario, weighted using the total outstanding principal balance of the underlying exposures as at the data cut-off date.
Where there is no regulatory requirement to calculate Loss Given Default, enter ND5.
NO
YES
IVSS38
Arrears 1-29 Days
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 1 and 29 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.
NO
NO
IVSS39
Arrears 30-59 Days
The percentage of exposures in arrears on principal and/or interest payments due for a period between 30 and 59 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.
NO
NO
IVSS40
Arrears 60-89 Days
The percentage of exposures in arrears on principal and/or interest payments due for a period between 60 and 89 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.
NO
NO
IVSS41
Arrears 90-119 Days
The percentage of exposures in arrears on principal and/or interest payments due for a period between 90 and 119 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.
NO
NO
IVSS42
Arrears 120-149 Days
The percentage of exposures in arrears on principal and/or interest payments due for a period between 120 and 149 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.
NO
NO
IVSS43
Arrears 150-179 Days
The percentage of exposures in arrears on principal and/or interest payments due for a period between 150 and 179 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.
NO
NO
IVSS44
Arrears 180+ Days
The percentage of exposures in arrears on principal and/or interest payments due for a period for 180 days or more as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.
NO
NO
Tests/Events/Triggers information section
IVSR1
Unique Identifier
Report the same unique identifier here as the one entered into field IVSS1.
NO
NO
IVSR2
Original Test/Event/Trigger Identifier
The original unique test/event/trigger identifier. The reporting entity must not amend this unique identifier.
NO
NO
IVSR3
New Test/Event/Trigger Identifier
If the original identifier in field IVSR2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in IVSR2. The reporting entity must not amend this unique identifier.
NO
NO
IVSR4
Description
Describe the test/event/trigger, including any formulae. This is a free text field, however the description of the test/event/trigger includes any formulae and key definitions to allow an investor/potential investor to form a reasonable view of the test/event/trigger and any conditions and consequences attached to it.
NO
NO
IVSR5
Threshold Level
Enter the level at which the test is deemed to have been met, the trigger is deemed to have been breached, or at which any other action is deemed to occur, as applicable given the type of test/event/trigger being reported. In the event of non-numerical tests/events/triggers, enter ND5.
NO
YES
IVSR6
Actual Value
Enter the current value of the measure being compared against the threshold level. In the event of non-numerical tests/events/triggers, enter ND5. Where percentages are being entered, these are to be entered in the form of percentage points, e.g. 99.50 for 99,50 %, e.g. 0.006 for 0,006 %.
NO
YES
IVSR7
Status
Is this status of the test/event/trigger set to ‘Breach’ (i.e. the test has not been met or the trigger conditions have been met) at the data cut-off date?
NO
NO
IVSR8
Cure Period
Enter the maximum number of days granted for this test/trigger to be brought back into compliance with the required level. If no time is granted (i.e. there is no Cure Period), enter 0.
NO
YES
IVSR9
Calculation Frequency
Enter the number of calendar days’ interval for calculating the test. Use round numbers, for example 7 for weekly, 30 for monthly, 90 for quarterly, and 365 yearly.
NO
YES
IVSR10
Consequence for Breach
Enter the consequence, as per the securitisation documentation, for this test/event/trigger not being satisfied (i.e. being breached):
Change in the priority of payments (CHPP)
Replacement of a counterparty (CHCP)
Both change in the priority of payments and replacement of a counterparty (BOTH)
Other consequence (OTHR)
NO
NO
Cash-flow information section
IVSF1
Unique Identifier
Report the same unique identifier here as the one entered into field IVSS1.
NO
NO
IVSF2
Original Cashflow Item Identifier
The original unique cashflow item identifier. The reporting entity must not amend this unique identifier.
NO
NO
IVSF3
New Cashflow Item Identifier
If the original identifier in field IVSF2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in IVSF2. The reporting entity must not amend this unique identifier.
NO
NO
IVSF4
Cashflow Item
List the cashflow item. This field is to be completed in the order of the applicable priority of receipts or payments as at the data cut-off date. That is, each source of cash inflows must be listed in turn, after which sources of cash outflows must be listed.
NO
NO
IVSF5
Amount Paid During Period
What are the funds paid out as per the priority of payments for this item? Enter negative values for funds paid out, positive values for funds received. Note that the ‘Amount Paid During Period’ value entered in a given line (e.g. in line B) plus the ‘Available Funds Post’ value entered in the preceding line (e.g. line A) together equal the ‘Available Funds Post’ value entered in this line (e.g. line B).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
IVSF6
Available Funds Post
What are the funds available to the priority of payments after to the application of the cashflow item? Note that the ‘Amount Paid During Period’ value entered in a given line (e.g. in line B) plus the ‘Available Funds Post’ value entered in the preceding line (e.g. line A) together equal the ‘Available Funds Post’ value entered in this line (e.g. line B).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
INVESTOR REPORT INFORMATION — ASSET BACKED COMMERCIAL PAPER SECURITISATION
ANNEX XIIISupplementary provisions
ANNEX XIII
INVESTOR REPORT INFORMATION — ASSET BACKED COMMERCIAL PAPER SECURITISATION
Field code
Field name
Content to report
ND1-ND4 allowed?
ND5 allowed?
Programme information section
IVAS1
Unique Identifier — ABCP Programme
The unique identifier assigned by the reporting entity to this ABCP programme in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.
NO
NO
IVAS2
Data Cut-Off Date
The data cut-off date for this data submission.
NO
NO
IVAS3
Reporting Entity Name
The full Legal name of the entity designated as per Article 7(2) of Regulation (EU) 2017/2402; that name must match the name entered in for that entity in field SEAP3 in the counterparty information section. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
IVAS4
Reporting Entity Contact Person
First and Last name of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed.
NO
NO
IVAS5
Reporting Entity Contact Telephone
Direct telephone number(s) of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed.
NO
NO
IVAS6
Reporting Entity Contact Emails
Direct email address(es) of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed.
NO
NO
IVAS7
Trigger Measurements/Ratios
Has any underlying exposure-related trigger event occurred? These include any delinquency, dilution, default, loss, stop-substitution, stop-revolving, or similar exposure-related events which impact the securitisation, as at the data cut-off date. This also includes if there is a debit balance on any Principal Deficiency Ledger or an asset deficiency.
NO
YES
IVAS8
Non-Compliant Exposures
Pursuant to Article 26(1) of Regulation (EU) 2017/2402, enter the total value of exposures, using the current balance as at the data cut-off date, not compliant with Article 24(9), 24(10), and 24(11) of Regulation (EU) 2017/2402.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
YES
YES
IVAS9
Weighted Average Life
Enter the remaining weighted average life of the pool of exposures underlying this ABCP programme, expressed in years.
YES
YES
IVAS10
Risk Retention Method
Method for complying with risk retention requirements in the EU (e.g. Article 6 of Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) No 575/2013):
Vertical slice — i.e. Article 6(3)(a) (VSLC)
Seller’s share — i.e. Article 6(3)(b) (SLLS)
Randomly-selected exposures kept on balance sheet — i.e. Article 6(3)(c) (RSEX)
First loss tranche — i.e. Article 6(3)(d) (FLTR)
First loss exposure in each asset — i.e. Article 6(3)(e) (FLEX)
No compliance with risk retention requirements (NCOM)
Other (OTHR)
NO
YES
IVAS11
Risk Retention Holder
Which entity is retaining the material net economic interest, as specified in Article 6 of Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) No 575/2013):
Originator (ORIG)
Sponsor (SPON)
Original Lender (OLND)
Seller (SELL)
No Compliance with Risk Retention Requirement (NCOM)
Other (OTHR)
NO
YES
Transaction information section
IVAN1
Unique Identifier — ABCP Programme
Report the same unique ABCP programme identifier here as the one entered into field IVAS1.
NO
NO
IVAN2
Unique Identifier — ABCP Transaction
The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) 2020/1224.
NO
NO
IVAN3
Data Cut-Off Date
The data cut-off date for this data submission. This must match the data cut-off date in the underlying exposure templates submitted under Annex XI.
NO
NO
IVAN4
NACE Industry Code
Originator industry NACE Code, as set out in Regulation (EC) No 1893/2006.
NO
YES
IVAN5
Risk Retention Method
Method for complying with risk retention requirements in the EU (e.g. Article 6 of Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) No 575/2013):
Vertical slice — i.e. Article 6(3)(a) (VSLC)
Seller’s share — i.e. Article 6(3)(b) (SLLS)
Randomly-selected exposures kept on balance sheet — i.e. Article 6(3)(c) (RSEX)
First loss tranche — i.e. Article 6(3)(d) (FLTR)
First loss exposure in each asset — i.e. Article 6(3)(e) (FLEX)
No compliance with risk retention requirements (NCOM)
Other (OTHR)
NO
YES
IVAN6
Risk Retention Holder
Which entity is retaining the material net economic interest, as specified in Article 6 of Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) No 575/2013):
Originator (ORIG)
Sponsor (SPON)
Original Lender (OLND)
Seller (SELL)
No Compliance with Risk Retention Requirement (NCOM)
Other (OTHR)
NO
YES
IVAN7
Weighted Average Life
Enter the remaining weighted average life of the pool of exposures underlying this transaction, expressed in years.
YES
YES
Tests/Events/Triggers information section
IVAR1
Unique Identifier — ABCP Transaction
Report the same unique ABCP transaction identifier here as the one entered into field IVAN2.
NO
NO
IVAR2
Original Test/Event/Trigger Identifier
The original unique test/event/trigger identifier. The reporting entity must not amend this unique identifier.
NO
NO
IVAR3
New Test/Event/Trigger Identifier
If the original identifier in field IVAR2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in IVAR2. The reporting entity must not amend this unique identifier.
NO
NO
IVAR4
Description
Describe the test/event/trigger, including any formulae. This is a free text field, however the description of the test/event/trigger includes any formulae and key definitions to allow an investor/potential investor to form a reasonable view of the test/event/trigger and any conditions and consequences attached to it.
NO
NO
IVAR5
Status
Has the test been met as at the data cut-off date? In the event of a trigger, is the trigger not being breached?
NO
NO
IVAR6
Consequence for Breach
Enter the consequence, as per the securitisation documentation, for this test/event/trigger not being satisfied (i.e. being breached):
Change in the priority of payments (CHPP)
Replacement of a counterparty (CHCP)
Both change in the priority of payments and replacement of a counterparty (BOTH)
Other consequence (OTHR)
NO
NO
INSIDE INFORMATION OR SIGNIFICANT EVENT INFORMATION — NON-ASSET BACKED COMMERCIAL PAPER SECURITISATION
ANNEX XIVSupplementary provisions
ANNEX XIV
INSIDE INFORMATION OR SIGNIFICANT EVENT INFORMATION — NON-ASSET BACKED COMMERCIAL PAPER SECURITISATION
Field code
Field name
Content to report
ND1-ND4 allowed?
ND5 allowed?
Securitisation information section
SESS1
Unique Identifier
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.
NO
NO
SESS2
Data Cut-Off Date
The data cut-off date for this data submission. When submitted alongside an underlying exposures and investor report data submission, this must match the data cut-off date in the applicable underlying exposure and investor report templates submitted.
NO
NO
SESS3
No Longer STS
Has the securitisation ceased to meet STS requirements? If the securitisation has never had STS status, then enter ND5.
NO
YES
SESS4
Remedial Actions
Have competent authorities taken any remedial actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5.
NO
YES
SESS5
Administrative Actions
Have competent authorities taken any administrative actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5.
NO
YES
SESS6
Material Amendment to Transaction Documents
Describe any material amendments made to transaction documents, including the name and item code (pursuant to Table 3 in Annex I) of the document as well as a detailed description of the amendments.
NO
YES
SESS7
Perfection Of Sale
Pursuant to Article 20(5) of Regulation (EU) 2017/2402, is the transfer of underlying exposures to the SSPE (i.e. perfection of sale) being performed after the securitisation closing date?
NO
YES
SESS8
Current Waterfall Type
Choose, from the list below, the closest waterfall arrangement currently applicable to the securitisation:
Turbo Waterfall (TRWT)
Sequential Waterfall (SQWT)
Pro-rata Waterfall (PRWT)
Currently Sequential, with Possibility to Switch to Pro-rata in the Future (SQPR)
Currently Pro-rata, with Possibility to Switch to Sequential in the Future (PRSQ)
Other (OTHR)
NO
NO
SESS9
Master Trust Type
If the securitisation has a master trust structure, select the most appropriate description of the structure:
Each SSPE is independent from other SSPEs with respect to note issuance and cashflow distribution (a.k.a. ‘capitalist structure’) (CSTR)
Losses are shared across all SSPEs and single classes of notes are issued independently from more senior or junior classes (a.k.a. ‘socialist structure’ or ‘de-linked master trust’) (SSTR)
Other (OTHR)
NO
YES
SESS10
SSPE Value
If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal and charges) in which the trust or SSPE has a beneficial interest at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SESS11
SSPE Principal Value
If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal only) in which the trust had a beneficial interest at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SESS12
SSPE Number Of Accounts
If the securitisation has a master trust structure, enter the number of accounts in which the trust or SSPE has a beneficial interest at the data cut-off date.
NO
YES
SESS13
Note Principal Balance
If the securitisation has a master trust structure, enter the face value of all asset-backed notes, collateralised by the underlying exposures in the trust.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SESS14
Seller Share
If the securitisation has a master trust structure, enter the originator’s interest in the trust, expressed as a percentage. In the event of multiple originators, enter the aggregate interest across all originators.
NO
YES
SESS15
Funding Share
If the securitisation has a master trust structure, enter the SSPE’s interest of this series in the trust at the data cut-off date, expressed as a percentage.
NO
YES
SESS16
Revenue Allocated To This Series
If the securitisation has a master trust structure, enter the revenue amounts allocated to this series from the trust.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SESS17
Interest Rate Swap Benchmark
Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to:
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
SESS18
Interest Rate Swap Maturity Date
Date of maturity for the interest rate swap.
NO
YES
SESS19
Interest Rate Swap Notional
Interest rate swap notional amount as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SESS20
Currency Swap Payer Currency
Enter the currency that the payer leg of the swap is paying.
NO
YES
SESS21
Currency Swap Receiver Currency
Enter the currency that the receiver leg of the swap is paying.
NO
YES
SESS22
Exchange Rate For Currency Swap
The exchange rate that has been set for a currency swap.
NO
YES
SESS23
Currency Swap Maturity Date
Date of maturity for the currency swap.
NO
YES
SESS24
Currency Swap Notional
Currency swap notional amount as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
Tranche/bond-level information section
SEST1
Unique Identifier
Report the same unique identifier here as the one entered into field SESS1.
NO
NO
SEST2
Original Tranche Identifier
The original unique identifier assigned to this instrument. The reporting entity must not amend this unique identifier.
NO
NO
SEST3
New Tranche Identifier
If the original identifier in field SEST2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the value in field SEST2. The reporting entity must not amend this unique identifier.
NO
NO
SEST4
International Securities Identification Number
The ISIN code assigned to this tranche, where applicable.
NO
YES
SEST5
Tranche Name
The designation (typically a letter and/or number) given to this tranche of bonds (or class of securities) which exhibit the same rights, priorities and characteristics as defined in the prospectus i.e. Series 1, Class A1 etc.
NO
YES
SEST6
Tranche/Bond Type
Select the most appropriate option to describe the repayment profile of the instrument:
Hard bullet (i.e. fixed maturity date) (HBUL)
Soft bullet (i.e. scheduled maturity date can be extended to the legal maturity date) (SBUL)
Scheduled amortisation (i.e. repayment of principal on scheduled amortisation dates) (SAMO)
Controlled amortisation (i.e. repayment of principal begins at a specified period) (CAMM)
Other (OTHR)
NO
NO
SEST7
Currency
The currency denomination of this instrument.
NO
NO
SEST8
Original Principal Balance
The Original Principal Balance of this tranche at issuance
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SEST9
Current Principal Balance
The par, or notional, balance of this tranche after the current Principal Payment Date
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SEST10
Interest Payment Frequency
The frequency with which interest is due to be paid on this instrument:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
NO
SEST11
Interest Payment Date
The first occurring date, after the data cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche.
NO
YES
SEST12
Principal Payment Date
The first occurring date, after the data cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche.
NO
YES
SEST13
Current Coupon
The coupon on the instrument in basis points.
NO
NO
SEST14
Current Interest Rate Margin/Spread
The coupon spread applied to the reference interest index as defined in the offering document applicable to the specific instrument in basis points.
NO
YES
SEST15
Coupon Floor
The coupon floor of the instrument.
NO
YES
SEST16
Coupon Cap
The coupon cap of the instrument.
NO
YES
SEST17
Step-Up/Step-Down Coupon Value
If any, what is the value of the Step-up/Step-down coupon as per the terms and conditions of the securitisation/programme?
NO
YES
SEST18
Step-Up/Step-Down Coupon Date
If any, what is the date on which the coupon definition is supposed to change as per the terms and conditions of the securitisation/programme?
NO
YES
SEST19
Business Day Convention
Business day convention used for the calculation of interest due:
Following (FWNG)
Modified Following (MODF)
Nearest (NEAR)
Preceding (PREC)
Other (OTHR)
NO
YES
SEST20
Current Interest Rate Index
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
SEST21
Current Interest Rate Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
NO
YES
SEST22
Issue Date
Date on which this instrument was issued.
NO
NO
SEST23
Disbursement Date
First date starting on which the amount of interest payable on the instrument is calculated.
NO
YES
SEST24
Legal Maturity
The date before which this instrument must be repaid in order not to be in default.
NO
YES
SEST25
Extension Clause
Select the most appropriate option to describe which party has the right to extend the maturity of the instrument, as per the terms and conditions of the securitisation/programme:
SSPE only (ISUR)
Noteholder (NHLD)
Either SSPE or noteholder (ISNH)
No option (NOPT)
NO
YES
SEST26
Next Call Date
What is the next date on which the instrument can be called as per the terms and conditions of the securitisation/programme? This excludes clean-up arrangements.
NO
YES
SEST27
Clean-Up Call Threshold
What is the clean-up call threshold as per the terms and conditions of the securitisation/programme?
NO
YES
SEST28
Next Put date
What is the next put date as per the terms and conditions of the securitisation/programme?
NO
YES
SEST29
Day Count Convention
The ‘days’ convention used to calculate interest:
30/360 (A011)
Actual/365 (A005)
Actual/360 (A004)
Actual/Actual ICMA (A006)
Actual/Actual ISDA (A008)
Actual/Actual AFB (A010)
Actual/366 (A009)
Other (OTHR)
NO
YES
SEST30
Settlement Convention
Usual settlement convention for the tranche:
T Plus One (TONE)
T Plus Two (TTWO)
T Plus Three (TTRE)
As soon as possible (ASAP)
At the end of the Contract (ENDC)
End of Month (MONT)
Future (FUTU)
Next Day (NXTD)
Regular (REGU)
T Plus Five (TFIV)
T Plus Four (TFOR)
When and if issued (WHIF)
When Distributed (WDIS)
When Issued (WISS)
When Issued or Distributed (WHID)
Other (OTHR)
NO
YES
SEST31
Current Attachment Point
The current tranche attachment point, calculated as per Article 256 of Regulation (EU) No 575/2013, and multiplied by 100.
NO
NO
SEST32
Original Attachment Point
The tranche attachment point at the time of issuance of the tranche notes, calculated as per Article 256 of Regulation (EU) No 575/2013, and multiplied by 100.
NO
YES
SEST33
Current Credit Enhancement
The current tranche credit enhancement, calculated as per the originator/sponsor/SSPE’s definition
NO
NO
SEST34
Original Credit Enhancement
The tranche credit enhancement at the time of issuance of the tranche notes, calculated as per the originator/sponsor/SSPE’s definition
NO
YES
SEST35
Credit Enhancement Formula
Describe/Enter the formula used to calculate the tranche credit enhancement.
NO
NO
SEST36
Pari-Passu Tranches
Enter the ISINs of all tranches (including this one) that, as at the data cut-off date, rank pari-passu with the current tranche according to the securitisation priority of payments as at the data cut-off date. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema.
NO
YES
SEST37
Senior Tranches
Enter the ISINs of all tranches that, as at the data cut-off date, rank senior to the current tranche according to the securitisation priority of payments as at the data cut-off date. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema.
NO
YES
SEST38
Outstanding Principal Deficiency Ledger Balance
The unpaid Principal Deficiency Ledger balance of the tranche in question.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEST39
Guarantor Legal Entity Identifier
If the tranche has been guaranteed, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the guarantor. If not guaranteed, enter ND5.
NO
YES
SEST40
Guarantor Name
Give the full legal name of the guarantor. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. If not guaranteed, enter ND5.
NO
YES
SEST41
Guarantor ESA Subsector
The ESA 2010 classification of the guarantor according to Regulation (EU) No 549/2013 ‘ESA 2010’). This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation. If not guaranteed, enter ND5.
NO
YES
SEST42
Protection Type
List the type of protection instrument used:
Credit Default Swap (CDSX)
Credit-Linked Note (CLKN)
Total Return Swap (TRES)
Financial Guarantee (a.k.a. unfunded credit risk mitigation) (FGUA)
Credit Insurance (CINS)
Other (OTHR)
NO
YES
Account-level information section
SESA1
Unique Identifier
Report the same unique identifier here as the one entered into field SESS1.
NO
NO
SESA2
Original Account Identifier
The original unique account identifier. The reporting entity must not amend this unique identifier.
NO
NO
SESA3
New Account Identifier
If the original identifier in field SESA2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in SESA2. The reporting entity must not amend this unique identifier.
NO
NO
SESA4
Account Type
The type of account:
Cash Reserve Account (CARE)
Commingling Reserve Account (CORE)
Set-off Reserve Account (SORE)
Liquidity Facility (LQDF)
Margin Account (MGAC)
Other Account (OTHR)
NO
NO
SESA5
Account Target Balance
The amount of funds that would be on deposit in the account in question when it is fully funded pursuant to the securitisation documentation.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SESA6
Account Actual Balance
The balance of funds on deposit in the account in question at the Accrual End Date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESA7
Amortising Account
Is the account amortising over the lifetime of the securitisation?
NO
NO
Counterparty-level information section
SESP1
Unique Identifier
Report the same unique identifier here as the one entered into field SESS1.
NO
NO
SESP2
Counterparty Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty.
NO
NO
SESP3
Counterparty Name
Give the full legal name of the counterparty. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
SESP4
Counterparty Type
The type of counterparty:
Account Bank (ABNK)
Backup Account Bank (BABN)
Account Bank Facilitator (ABFC)
Account Bank Guarantor (ABGR)
Collateral Agent (CAGT)
Paying Agent (PAYA)
Calculation Agent (CALC)
Administration Agent (ADMI)
Administration Sub-Agent (ADSA)
Transfer Agent (RANA)
Verification agent (VERI)
Security agent (SECU)
Cash Advance Provider (CAPR)
Collateral Provider (COLL)
Guaranteed Investment Contract Provider (GICP)
Insurance Policy Credit Provider (IPCP)
Liquidity Facility Provider (LQFP)
Backup Liquidity Facility Provider (BLQP)
Savings Mortgage Participant (SVMP)
Issuer (ISSR)
Originator (ORIG)
Seller (SELL)
Sponsor of the Securitisation Special Purpose Entity (SSSP)
Servicer (SERV)
Backup Servicer (BSER)
Backup Servicer Facilitator (BSRF)
Special Servicer (SSRV)
Subscriber (SUBS)
Interest Rate Swap Provider (IRSP)
Backup Interest Rate Swap Provider (BIPR)
Currency Swap Provider (CSPR)
Backup Currency Swap Provider (BCSP)
Auditor (AUDT)
Counsel (CNSL)
Trustee (TRUS)
Representative of Noteholders (REPN)
Underwriter (UNDR)
Arranger (ARRG)
Dealer (DEAL)
Manager (MNGR)
Letter of Credit Provider (LCPR)
Multi-Seller Conduit (MSCD)
Securitisation Special Purpose Entity (SSPE)
Liquidity or Liquidation Agent (LQAG)
Equity owner of conduit/SSPE (EQOC)
Swingline Facility Provider (SWNG)
Start-up Loan or Lease Provider (SULP)
Repurchase Agreement Counterparty (RAGC)
Cash Manager (CASM)
Collection Account Bank (CACB)
Collateral Account Bank (COLA)
Subordinated Loan Provider (SBLP)
Collateralised Loan Obligation Manager (CLOM)
Portfolio Advisor (PRTA)
Substitution Agent (SUBA)
Other (OTHR)
NO
NO
SESP5
Counterparty Country Of Establishment
Country where the counterparty is established.
NO
NO
SESP6
Counterparty Rating Threshold
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating threshold as at the data cut-off date.
In the event of multiple ratings, all ratings are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
NO
YES
SESP7
Counterparty Rating
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating as at the data cut-off date.
In the event of multiple rating thresholds, all rating thresholds are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
NO
YES
SESP8
Counterparty Rating Source Legal Entity Identifier
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the Legal Entity Identifier of the provider of the counterparty rating (as specified in the Global Legal Entity Foundation (GLEIF) database) as at the data cut-off date.
In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
NO
YES
SESP9
Counterparty Rating Source Name
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the full name of the provider of the counterparty rating as at the data cut-off date. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
NO
YES
CLO Securitisation information section
SESC1
Unique Identifier
Report the same unique identifier here as the one entered into field SESS1.
NO
NO
SESC2
Non-Call Period End-Date
Enter the date at which any non-call period ends (e.g. when any tranche holders are prohibited from calling for the SSPE to liquidate the portfolio and redeem all tranches, to reset or refinance the tranches, etc.).
NO
YES
SESC3
CLO Type
The CLO type that best describes this transaction:
Balance Sheet Collateralized Loan Obligation (BCLO)
Arbitrage Collateralized Loan Obligation (ACLO)
Other (OTHR)
NO
YES
SESC4
Current Period
The current period status of the CLO:
Warehouse (WRHS)
Ramp-up (RMUP)
Reinvestment (RINV)
Post-reinvestment (PORI)
Other (OTHR)
NO
NO
SESC5
Current Period Start Date
Enter the date in which the current period was entered into.
NO
YES
SESC6
Current Period End Date
Enter the date in which the current period will/is expected to cease.
NO
YES
SESC7
Concentration Limit
Enter the concentration limit, in percentage of the portfolio par value, that applies to any counterparty/obligor, as set out in the transaction documentation. In the event of multiple limits, enter the maximum limit (e.g. if there are two limits, depending on the rating, of 10 % and 20 %, then enter 20 %).
NO
YES
SESC8
Restrictions — Legal Maturity
Allowed percentage (vs. portfolio par balance) of exposures with legal final maturity that exceed the shortest legal final maturity of the tranches? (assuming clean-up option is exercised)
NO
YES
SESC9
Restrictions —Subordinated Exposures
Allowed percentage (vs. portfolio par balance) of non first-lien exposures that can be purchased?
NO
YES
SESC10
Restrictions — Non-Performing Exposures
Allowed percentage (vs. portfolio par balance) of non-performing exposures that can be purchased?
NO
YES
SESC11
Restrictions — PIK Exposures
Allowed percentage (vs. portfolio par balance) of pay-in-kind exposures that can be held at any time?
NO
YES
SESC12
Restrictions — Zero-Coupon Exposures
Allowed percentage (vs. portfolio par balance) of zero-coupon exposures that can be held at any time?
NO
YES
SESC13
Restrictions — Equity Exposures
Allowed percentage (vs. portfolio par balance) of equity or debt-convertible-to-equity that can be purchased?
NO
YES
SESC14
Restrictions —Participation Exposures
Allowed percentage (vs. portfolio par balance) of loan participations that can be purchased?
NO
YES
SESC15
Restrictions —Discretionary Sales
Allowed percentage (vs. portfolio par balance) of discretionary sales per year?
NO
YES
SESC16
Discretionary Sales
Actual discretionary sales, year to date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESC17
Reinvestments
Amount reinvested, year to date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESC18
Restrictions — Credit Enhancement
Can the CLO manager withdraw or monetise any surplus credit enhancement?
NO
NO
SESC19
Restrictions — Quotes
Can the CLO manager obtain quotes with dealers other than the arranger?
NO
NO
SESC20
Restrictions — Trades
Can the CLO manager obtain trade with dealers other than the arranger?
NO
NO
SESC21
Restrictions —Issuances
Are there restrictions on the additional issuance of notes?
NO
NO
SESC22
Restrictions —Redemptions
Are there restrictions on the origin of funds used to selectively buyback/redeem notes? (e.g. cannot use principal proceeds to effect a redemption; any redemptions must occur in the order of the notes’ payment priority; must maintain or improve OC test ratios after purchase)
NO
NO
SESC23
Restrictions —Refinancing
Are there restrictions when notes can be refinanced?
NO
NO
SESC24
Restrictions — Note Remuneration
Are noteholders able to surrender their notes to the trustee for cancellation without receiving payment in return?
NO
NO
SESC25
Restrictions — Credit Protection
Is the CLO manager able to buy or sell credit protection on underlying assets?
NO
NO
SESC26
Collateral Liquidation Period
Enter the number of calendar days after which collateral must be liquidated. In case of a range or multiple possible periods, enter the minimum number of calendar days.
NO
YES
SESC27
Collateral Liquidation — Waiver
Can some or all noteholders choose to waive the collateral liquidation period?
NO
NO
CLO Manager information section
SESL1
Unique Identifier
Report the same unique identifier here as the one entered into field SESS1.
NO
NO
SESL2
CLO Manager Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the CLO manager.
NO
NO
SESL3
Manager Name
Give the full legal name of the CLO manager. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
SESL4
Establishment Date
Date of CLO manager incorporation/establishment
NO
YES
SESL5
Registration Date
Date of registration within the EU as an investment adviser
NO
YES
SESL6
Employees
Total number of employees
NO
NO
SESL7
Employees — CLOs
Total number of employees dedicated to loan trading and management of CLO portfolios
NO
NO
SESL8
Employees —Workout
Total employees dedicated to working out distressed credits
NO
NO
SESL9
AUM
Assets under management
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESL10
AUM — Leveraged Loans
Total leveraged loan assets under management
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESL11
AUM — CLOs
Total CLO assets under management
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESL12
AUM — EU
Total EU assets under management
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESL13
AUM — EU CLOs
Total EU CLOs under management
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESL14
Number EU CLOs
Number EU CLOs under management
NO
NO
SESL15
Capital
Total capital
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESL16
Capital — Risk Retention
Capital for funding risk retention
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESL17
Settlement Time
Average time needed, in calendar days, for trade settlement
NO
NO
SESL18
Pricing Frequency
Frequency (in number of days) of pricing/re-pricing portfolios. If there are different frequencies applied, enter the weighted average frequency, using as weights the assets under management of each category, rounded to the nearest day.
NO
NO
SESL19
Default Rate - 1 year
Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 1 year.
NO
NO
SESL20
Default Rate - 5 years
Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 5 years.
NO
NO
SESL21
Default Rate - 10 years
Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 10 years.
NO
NO
Synthetic coverage information section
SESV1
Unique Identifier
Report the same unique identifier here as the one entered into field SESS1.
NO
NO
SESV2
Protection Instrument Identifier
The unique identifier of the protection instrument. The reporting entity must not amend this unique identifier.
NO
NO
SESV3
Protection Type
List the type of protection instrument used:
Credit Default Swap (CDSX)
Credit-Linked Note (CLKN)
Total Return Swap (TRES)
Financial Guarantee (a.k.a. unfunded credit risk mitigation) (FGUA)
Credit Insurance (CINS)
Other (OTHR)
NO
NO
SESV4
Protection Instrument International Securities Identification Number
Enter the ISIN code of the protection instrument, where applicable.
NO
YES
SESV5
Protection Provider Name
Enter the full legal name of the protection provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
SESV6
Protection Provider Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the protection provider.
NO
NO
SESV7
Public Entity With Zero Risk Weight
Is the protection provider a public entity classified under Articles 113(4), 117(2), or 118 of Regulation (EU) No 575/2013 (or as otherwise amended)?
NO
NO
SESV8
Governing Law
Jurisdiction governing the protection agreement.
NO
NO
SESV9
ISDA Master Agreement
Basis for protection documentation:
ISDA Agreement 2002 (ISDA)
ISDA Agreement 2014 (IS14)
ISDA Agreement Other (ISOT)
Rhamenvertrag (DERV)
Other (OTHR)
NO
NO
SESV10
Default And Termination Events
Where are the protection arrangement events of default and termination events listed?
Schedule to the ISDA 2002 (ISDA)
Schedule to the ISDA 2014 (IS14)
Other — Bespoke (OTHR)
NO
YES
SESV11
Synthetic Securitisation Type
Is this a ‘balance sheet synthetic securitisation’?
NO
NO
SESV12
Protection Currency
Protection currency denomination.
NO
NO
SESV13
Current Protection Notional
Total amount of coverage under the protection agreement, as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESV14
Maximum Protection Notional
Maximum amount of coverage under the protection agreement.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESV15
Protection Attachment Point
In terms of the pool principal, enter the percentage attachment point at which protection coverage begins.
NO
YES
SESV16
Protection Detachment Point
In terms of the pool principal, enter the percentage detachment point at which protection coverage ends.
NO
YES
SESV17
International Securities Identification Number Of Notes Covered
If protection is provided to cover specific tranches (e.g. a guarantee), enter the ISIN of each tranche covered by the specific protection agreement. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema.
NO
YES
SESV18
Protection Coverage
Report the option that best describes the coverage of the protection amount:
Covers loss of principal only (PRNC)
Covers loss of principal, loss of accrued interest (PACC)
Covers loss of principal, loss of accrued interest, interest penalties (PAPE)
Covers loss of principal, loss of accrued interest, cost of foreclosure (PINF)
Covers loss of principal, loss of accrued interest, interest penalties, cost of foreclosure (PIPF)
Other (OTHR)
NO
YES
SESV19
Protection Termination Date
Enter the contractual date at which the protection is scheduled to expire/be terminated.
NO
YES
SESV20
Materiality Thresholds
Are there materiality thresholds before protection payouts can be made? For example, is there a minimum amount of credit deterioration in the cashflow-generating assets necessary before a claim on the protection seller can be made?
NO
NO
SESV21
Payment Release Conditions
The conditions relating to the release of payments made by the protection seller:
Immediately after a credit event for the full amount of defaulted asset (IFAM)
Immediately after a credit event for the full amount of defaulted assets net of expected recovery (IFAR)
After a predetermined period allowed for collection activity (ACOL)
After a predetermined period allowed for collection activities, for a sum equal to the actual loss minus the expected recovery (APCR)
After full workout of loss, for the actual loss (AWRK)
Other (OTHR)
NO
YES
SESV22
Adjustment Payments Possible
Do the terms and conditions of the credit protection agreement provide for the payment of adjustment payments to the protection buyer (e.g. if, after the maturity of the credit protection agreement, there are discrepancies in previously estimated and exchanged amounts)?
NO
NO
SESV23
Length Of Workout Period
If, as regards the timing of payments, a predetermined period is allowed for collection activities to take place and any adjustments to be made to the initial loss settlement, enter the number of days that this period is stipulated to last.
NO
YES
SESV24
Obligation To Repay
Is the protection buyer under any obligation to repay any protection payments previously received (besides at termination of the derivative, or as a result of a credit event trigger, or for breach of warranty in relation to the reference obligations)?
NO
NO
SESV25
Collateral Substitutable
Where collateral is held, can the assets in the collateral portfolio be substituted? This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments).
NO
NO
SESV26
Collateral Coverage Requirements
Where collateral is held, enter the % (in terms of protection notional) coverage requirement, as stipulated in the securitisation documentation. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments).
NO
YES
SESV27
Collateral Initial Margin
If a repo is used, enter the initial margin required for eligible investments (collateral), as stipulated in the securitisation documentation. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SESV28
Collateral Delivery Deadline
If a repo is used, enter the deadline (in days), as per the securitisation documentation, by which collateral must be delivered, in the event it must be released. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments).
NO
YES
SESV29
Settlement
Compensation to be delivered:
Cash (CASH)
Physical settlement (PHYS)
NO
YES
SESV30
Maximum Maturity Date Permitted
If physical settlement, provide the maximum maturity date stipulated in the securitisation documentation for any securities that can be delivered.
NO
YES
SESV31
Current Index For Payments To Protection Buyer
Current interest rate index (the reference rate off of which payments to the protection buyer are set). This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap:
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
SESV32
Current Index For Payments To Protection Buyer Tenor
Tenor of the interest rate index used for payments to the protection buyer:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
NO
YES
SESV33
Payment Reset Frequency — To Protection Buyer
Frequency with which payments to the protection buyer are reset according to the credit protection agreement:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
SESV34
Current Interest Rate Margin For Payments To Protection Buyer
Current interest rate margin applied on floating-rate payments to the protection buyer over (or, if under, input as a negative) the index rate used as a reference off of which payments to the protection buyer are set. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap.
NO
YES
SESV35
Current Interest Rate For Payments To Protection Buyer
Current interest rate applied on payments to the protection buyer. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap.
NO
YES
SESV36
Current Index For Payments To Protection Seller
Current interest rate index (the reference rate off of which payments to the protection seller are set):
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
SESV37
Current Index For Payments To Protection Seller Tenor
Tenor of the interest rate index used for payments to the protection seller:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
NO
YES
SESV38
Payment Reset Frequency — To Protection Seller
Frequency with which payments to the protection seller are reset according to the credit protection agreement:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
YES
SESV39
Current Interest Rate Margin For Payments To Protection Seller
Current interest rate margin applied on floating-rate payments to the protection seller over (or, if under, input as a negative) the index rate used as a reference off of which payments to the protection buyer are set. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap.
NO
YES
SESV40
Current Interest Rate For Payments To Protection Seller
Current interest rate applied on payments to the protection seller.
NO
YES
SESV41
Excess Spread Support
Is excess spread used as a credit enhancement to the most junior class of notes?
NO
NO
SESV42
Excess Spread Definition
According to the securitisation documentation, the excess spread definition is best described as Fixed Excess Spread (e.g. amount of available excess spread is predetermined, usually in the form of a fixed percentage)
NO
NO
SESV43
Current Protection Status
The current status of the protection, as at the data cut-off date?
Active (ACTI)
Cancelled (CANC)
Deactivated (DEAC)
Expired (EXPI)
Inactive (INAC)
Withdrawn (WITH)
Other (OTHR)
NO
NO
SESV44
Bankruptcy Is Credit Event
Is bankruptcy of the reference credit/obligor included in the protection agreement’s definition of credit events?
NO
NO
SESV45
Failure To Pay Is Credit Event
Is obligor failure to pay after 90 days included in the protection agreement’s definition of credit events?
NO
NO
SESV46
Restructuring Is Credit Event
Is restructuring of the reference credit/obligor included in the protection agreement’s definition of credit events?
NO
NO
SESV47
Credit Event
Has a credit event notice been given?
NO
NO
SESV48
Cumulative Payments To Protection Buyer
Total amount of payments made to the protection buyer by the protection seller, as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESV49
Cumulative Adjustment Payments To Protection Buyer
Total amount of adjustment payments made to the protection buyer by the protection seller, as at the data cut-off date (for example, to compensate for the difference between initial payments for expected losses and subsequent actual losses realised on impaired cashflow-generating assets).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESV50
Cumulative Payments To Protection Seller
Total amount of payments made to the protection seller by the protection buyer, as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESV51
Cumulative Adjustment Payments To Protection Seller
Total amount of adjustment payments made to the protection seller by the protection buyer, as at the data cut-off date (for example, to compensate for the difference between initial payments for expected losses and subsequent actual losses realised on impaired cashflow-generating assets).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESV52
Synthetic Excess Spread Ledger Amount
Total amount of the synthetic excess spread ledger, as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
Issuer collateral information section
SESI1
Unique Identifier
Report the same unique identifier here as the one entered into field SESS1.
NO
NO
SESI2
Protection Instrument Identifier
Report the same unique identifier here as the one entered into field SESV2.
NO
NO
SESI3
Original Collateral Instrument Identifier
The original unique identifier assigned to the collateral instrument. The reporting entity must not amend this unique identifier.
NO
NO
SESI4
New Collateral Identifier
If the original identifier in field SESI3 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in SESI3. The reporting entity must not amend this unique identifier.
NO
NO
SESI5
Collateral Instrument International Securities Identification Number
Enter the ISIN code of the collateral instrument, where applicable.
NO
YES
SESI6
Collateral Instrument Type
Type of collateral instrument:
Cash (CASH)
Government Bond (GBND)
Commercial Paper (CPAP)
Unsecured Bank Debt (UBDT)
Senior Unsecured Corporate Debt (SUCD)
Junior Unsecured Corporate Debt (JUCD)
Covered Bond (CBND)
Asset-Backed Security (ABSE)
Other (OTHR)
NO
NO
SESI7
Collateral Issuer ESA Subsector
The ESA 2010 classification of the collateral according to Regulation (EU) No 549/2013 (‘ESA 2010’). This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation.
NO
YES
SESI8
Collateral Issuer Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the collateral issuer.
NO
NO
SESI9
Collateral Issuer Affiliated With Originator?
Do the collateral issuer and main securitisation originator share the same ultimate parent?
NO
NO
SESI10
Current Outstanding Balance
Total outstanding principal balance of the collateral item, as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SESI11
Instrument Currency
Currency denomination of the instrument.
NO
NO
SESI12
Maturity Date
Maturity date of the collateral item.
NO
YES
SESI13
Haircut
Enter the % haircut (applied to the current outstanding principal balance) to this collateral item, as stipulated in the securitisation documentation.
NO
YES
SESI14
Current Interest Rate Index
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
SESI15
Current Interest Rate Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
NO
YES
SESI16
Current Interest Rate on Cash Deposits
Where the collateral instrument type is cash deposits, enter the current interest rate on those deposits. In the event of multiple deposit accounts per currency, enter the weighted average current interest rate, using the current balance of cash deposits in the respective accounts as weights.
NO
YES
SESI17
Repo Counterparty Name
If the collateral item forms part of a repurchase agreement (‘repo’), provide the full legal name of the counterparty to the securitisation. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
YES
SESI18
Repo Counterparty Legal Entity Identifier
If the collateral item forms part of a repurchase agreement (‘repo’), provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty where the cash is deposited.
NO
YES
SESI19
Repo Maturity Date
If the collateral item forms part of a repurchase agreement (‘repo’), provide the maturity date of the securitisation.
NO
YES
Any other information section
SESO1
Unique Identifier
The unique identifier entered into field SESS1.
NO
NO
SESO2
Any Other Information Line Number
Enter the line number of the other information
NO
NO
SESO3
Any Other Information
The other information, line by line
NO
NO
INSIDE INFORMATION OR SIGNIFICANT EVENT INFORMATION — ASSET BACKED COMMERCIAL PAPER SECURITISATION
ANNEX XVSupplementary provisions
ANNEX XV
INSIDE INFORMATION OR SIGNIFICANT EVENT INFORMATION — ASSET BACKED COMMERCIAL PAPER SECURITISATION
Field code
Field name
Content to report
ND1-ND4 allowed?
ND5 allowed?
Programme information section
SEAS1
Unique Identifier — ABCP Programme
The unique identifier assigned by the reporting entity to this ABCP programme in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.
NO
NO
SEAS2
Data Cut-Off Date
The data cut-off date for this data submission. When submitted alongside an underlying exposures and investor report data submission, this must match the data cut-off date in the applicable underlying exposure and investor report templates submitted.
NO
NO
SEAS3
No Longer STS
Has the ABCP programme ceased to meet STS requirements? If the ABCP programme has never had STS status, then enter ND5.
NO
YES
SEAS4
Remedial Actions
Have competent authorities taken any remedial actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5.
NO
YES
SEAS5
Administrative Actions
Have competent authorities taken any administrative actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5.
NO
YES
SEAS6
Material Amendment to Transaction Documents
Describe any material amendments made to transaction documents, including the name and item code (pursuant to Table 3 in Annex I) of the document as well as a detailed description of the amendments.
NO
YES
SEAS7
Governing Law
Jurisdiction governing the programme.
NO
NO
SEAS8
Length Of The Liquidity Facility
Period during which the programme-level liquidity facility provides coverage to the programme (in days).
NO
YES
SEAS9
Liquidity Facility Coverage
Maximum funding amount (in percentage of the programme underlying exposures) covered by the respective programme-level liquidity facility.
NO
YES
SEAS10
Liquidity Facility Coverage Interval
The maximum number of days’ interval before the programme-level liquidity facility begins to fund the transaction, following any trigger breach generating liquidity facility payouts.
NO
YES
SEAS11
Liquidity Facility Maturity Date
Date at which the programme-level liquidity facility will expire.
NO
YES
SEAS12
Drawings Under Liquidity Facility
If the securitisation has a programme-level liquidity facility confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date.
NO
YES
SEAS13
Total Issuance
Total programme issuance outstanding, converted into EUR.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SEAS14
Maximum Issuance
If there is a limit to the amount of issuance of the ABCP programme at any time, enter it here.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
Transaction information section
SEAR1
Unique Identifier — ABCP Programme
Report the same unique ABCP programme identifier here as the one entered into field SEAS1.
NO
NO
SEAR2
Unique Identifier — ABCP Transaction
The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) 2020/1224.
NO
NO
SEAR3
Number Of Programmes Funding The Transaction
Number of ABCP programmes that are funding this transaction.
NO
NO
SEAR4
No Longer STS
Has the ABCP transaction ceased to meet STS requirements? If the ABCP transaction has never had STS status, then enter ND5.
NO
YES
SEAR5
Originator A Client Of The Programme Sponsor
Have the originator and programme sponsor been, at the time of the transfer of assets, in a client relationship?
NO
NO
SEAR6
Security Interest Granted
Does the relevant SSPE/bankruptcy-remote subsidiary of the originator grant security interest over its assets to the purchaser (SSPE)?
NO
NO
SEAR7
Revenue
Total originator revenues for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEAR8
Operating Expenses
Total originator operating expenses provided by the most recent financial operating statement (i.e. year to date or trailing 12 months).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEAR9
Current Assets
Originator current assets (maturing within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEAR10
Cash
Originator cash holdings, as of the most recent financial operating statement.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEAR11
Marketable Securities
Originator marketable securities, as of the most recent financial operating statement.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEAR12
Accounts Receivable
Originator accounts receivable, as of the most recent financial operating statement.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEAR13
Current Liabilities
Originator current liabilities (due within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEAR14
Total Debt
Originator total debt, as of the most recent financial operating statement.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEAR15
Total Equity
Originator total equity, as of the most recent financial operating statement.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEAR16
Financial Statement Currency
The currency used in the financial reporting of fields SEAR7 — SEAR15.
NO
YES
SEAR17
Sponsor Supports Transaction
At what level is the sponsor providing support:
Transaction Level (TRXN)
Programme Level (PRGM)
Other (OTHR)
NO
YES
SEAR18
Sponsor Support Type
Is the sponsor providing full support to this transaction?
NO
YES
SEAR19
Length Of The Liquidity Facility
Period during which the transaction-level liquidity facility provides coverage to the transaction (in days).
NO
YES
SEAR20
Liquidity Facility Drawn Amount
Amount drawn on the liquidity agreement between the previous data cut-off date and the data cut-off date of the present data submission.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEAR21
Liquidity Facility Coverage
Maximum funding amount (in percentage of the transaction underlying exposures) covered by the respective transaction-level liquidity facility.
NO
YES
SEAR22
Liquidity Facility Coverage Interval
The maximum number of days interval before the liquidity facility begins to fund the transaction, following any trigger breach generating liquidity facility payouts.
NO
YES
SEAR23
Liquidity Facility Type
Type of transaction-level liquidity facility:
Asset Purchase (ASPR)
Repurchase Agreement (RPAG)
Loan Facility (LOFA)
Participation Agreement (PAGR)
Other (OTHR)
NO
YES
SEAR24
Liquidity Facility Repurchase Agreement Maturity Date
If the transaction-level liquidity facility uses repurchase agreements, enter the date at which the repurchase agreement will expire.
NO
YES
SEAR25
Liquidity Facility Currency
The currency in which funds from the transaction-level liquidity facility can be drawn.
NO
YES
SEAR26
Liquidity Facility Maturity Date
Date at which the transaction-level liquidity facility will expire.
NO
YES
SEAR27
Liquidity Facility Provider Name
Enter the full legal name of the transaction-level liquidity facility provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
YES
SEAR28
Liquidity Facility Provider Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the transaction-level liquidity facility provider.
NO
YES
SEAR29
Overcollateralisation/Subordinated Interest
The percentage of subordinated interest retained in the underlying exposures sold by the seller (alternatively: the discount granted by the seller on the purchase price of the underlying exposures). Where the percentage of subordinated interest varies across the underlying exposures, the minimum OC across all of the underlying exposures are to be provided.
NO
NO
SEAR30
Transaction Excess Spread
The amount of funds left over after application of all currently-applicable payments, costs, fees, etc., commonly referred to as ‘excess spread’.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SEAR31
Letter Of Credit Provider Name
Enter the full legal name of the letter of credit provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
YES
SEAR32
Letter Of Credit Provider Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the letter of credit provider for the transaction.
NO
YES
SEAR33
Letter Of Credit Currency
Letter of credit currency denomination.
NO
YES
SEAR34
Maximum Letter Of Credit Protection
Maximum amount of coverage, in percentage of the transaction underlying exposures, under the letter of credit protection agreement.
NO
YES
SEAR35
Guarantor Name
Enter the full legal name of the guarantor--this includes arrangements whereby an institution commits to buy defaulted receivables from the seller. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
YES
SEAR36
Guarantor Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the guarantor--this includes arrangements whereby an institution commits to buy defaulted receivables from the seller.
NO
YES
SEAR37
Maximum Guarantee Coverage
Maximum amount of coverage under the guarantee/purchasing agreement.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEAR38
Guarantee Currency
The currency in which funds from the guarantee are provided.
NO
YES
SEAR39
Guarantee Maturity Date
Date at which the guarantee will expire.
NO
YES
SEAR40
Receivables Transfer Type
How has the transfer of underlying exposures to the purchaser been achieved?
True sale (1)
Secured loan (2)
Other (3)
NO
NO
SEAR41
Repurchase Agreement Maturity Date
Date at which any repurchase agreement governing the transfer of underlying exposures to the purchaser will expire.
NO
YES
SEAR42
Purchased Amount
Amount of underlying exposures purchased from the originator in this transaction between the previous data cut-off date and the data cut-off date of the present data submission.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SEAR43
Maximum Funding Limit
Maximum funding limit that can be provided to the originator under the transaction, as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEAR44
Interest Rate Swap Benchmark
Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted interest rate swap.
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
SEAR45
Interest Rate Swap Maturity Date
Date of maturity for the transaction-level interest rate swap.
In the event of multiple swaps in this transaction, enter the maturity date of the most recent swap.
NO
YES
SEAR46
Interest Rate Swap Notional
Transaction-level interest rate swap notional amount.
In the event of multiple swaps in this transaction, enter the notional of the most recent interest rate swap.
NO
YES
SEAR47
Currency Swap Payer Currency
Enter the currency that the payer leg of the swap is paying. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted currency rate swap.
NO
YES
SEAR48
Currency Swap Receiver Currency
Enter the currency that the receiver leg of the swap is paying. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted currency rate swap.
NO
YES
SEAR49
Exchange Rate For Currency Swap
The exchange rate that has been set for a transaction-level currency swap.
In the event of multiple swaps in this transaction, enter the exchange rate set for the most recent swap.
NO
YES
SEAR50
Currency Swap Maturity Date
Date of maturity for the transaction-level currency swap.
In the event of multiple swaps in this transaction, enter the maturity date of the most recently-concluded swap.
NO
YES
SEAR51
Currency Swap Notional
Transaction-level currency swap notional amount.
In the event of multiple swaps in this transaction, enter the amount covered by the most recently-contracted swap.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
Tranche/bond-level information section
SEAT1
Unique Identifier — ABCP Programme
Report the same unique ABCP programme identifier here as the one entered into field SEAS1.
NO
NO
SEAT2
Original Bond Identifier
The original unique identifier assigned to this instrument. The reporting entity must not amend this unique identifier.
NO
NO
SEAT3
New Bond Identifier
If the original identifier in field SEAT2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the value in field SEAT2. The reporting entity must not amend this unique identifier.
NO
NO
SEAT4
International Securities Identification Number
The ISIN code assigned to this instrument, where applicable.
NO
YES
SEAT5
Tranche/Bond Type
Select the most appropriate option to describe the repayment profile of the instrument:
Hard bullet (i.e. fixed maturity date) (HBUL)
Soft bullet (i.e. scheduled maturity date can be extended to the legal maturity date) (SBUL)
Scheduled amortisation (i.e. repayment of principal on scheduled amortisation dates) (SAMO)
Controlled amortisation (i.e. repayment of principal begins at a specified period) (CAMM)
Other (OTHR)
NO
NO
SEAT6
Issue Date
Date on which this instrument was issued.
NO
NO
SEAT7
Legal Maturity
The date before which this instrument must be repaid in order not to be in default.
NO
YES
SEAT8
Currency
The currency denomination of this instrument.
NO
NO
SEAT9
Current Principal Balance
The par, or notional, balance of this instrument after the current Principal Payment Date
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SEAT10
Current Coupon
The coupon on the instrument in basis points.
NO
NO
SEAT11
Current Interest Rate Index
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
MuniAAA (MAAA)
FutureSWAP (FUSW)
LIBID (LIBI)
LIBOR (LIBO)
SWAP (SWAP)
Treasury (TREA)
Euribor (EURI)
Pfandbriefe (PFAN)
EONIA (EONA)
EONIASwaps (EONS)
EURODOLLAR (EUUS)
EuroSwiss (EUCH)
TIBOR (TIBO)
ISDAFIX (ISDA)
GCFRepo (GCFR)
STIBOR (STBO)
BBSW (BBSW)
JIBAR (JIBA)
BUBOR (BUBO)
CDOR (CDOR)
CIBOR (CIBO)
MOSPRIM (MOSP)
NIBOR (NIBO)
PRIBOR (PRBO)
TELBOR (TLBO)
WIBOR (WIBO)
Bank of England Base Rate (BOER)
European Central Bank Base Rate (ECBR)
Lender’s Own Rate (LDOR)
Other (OTHR)
NO
YES
SEAT12
Current Interest Rate Index Tenor
Tenor of the current interest rate index:
Overnight (OVNG)
IntraDay (INDA)
1 day (DAIL)
1 week (WEEK)
2 week (TOWK)
1 month (MNTH)
2 month (TOMN)
3 month (QUTR)
4 month (FOMN)
6 month (SEMI)
12 month (YEAR)
On Demand (ONDE)
Other (OTHR)
NO
YES
SEAT13
Interest Payment Frequency
The frequency with which interest is due to be paid on this instrument:
Monthly (MNTH)
Quarterly (QUTR)
Semi Annual (SEMI)
Annual (YEAR)
Other (OTHR)
NO
NO
SEAT14
Current Credit Enhancement
The current instrument credit enhancement, calculated as per the originator/sponsor/SSPE’s definition
NO
NO
SEAT15
Credit Enhancement Formula
Describe/Enter the formula used to calculate the bond-level credit enhancement.
NO
YES
Account-level information section
SEAA1
Unique Identifier — ABCP Transaction
Report the same unique ABCP transaction identifier here as the one entered into field SEAR2.
NO
NO
SEAA2
Original Account Identifier
The original unique account identifier. The reporting entity must not amend this unique identifier.
NO
NO
SEAA3
New Account Identifier
If the original identifier in field SEAA2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in SEAA2. The reporting entity must not amend this unique identifier.
NO
NO
SEAA4
Account Type
The type of account:
Cash Reserve Account (CARE)
Commingling Reserve Account (CORE)
Set-off Reserve Account (SORE)
Liquidity Facility (LQDF)
Margin Account (MGAC)
Other Account (OTHR)
NO
NO
SEAA5
Account Target Balance
The amount of funds that would be on deposit in the account in question when it is fully funded pursuant to the securitisation documentation.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
YES
SEAA6
Account Actual Balance
The balance of funds on deposit in the account in question at the Accrual End Date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NO
NO
SEAA7
Amortising Account
Is the account amortising over the lifetime of the securitisation?
NO
NO
Counterparty-level information section
SEAP1
Unique Identifier — ABCP Transaction
Report the same unique ABCP transaction identifier here as the one entered into field SEAR2.
NO
NO
SEAP2
Counterparty Legal Entity Identifier
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty.
NO
NO
SEAP3
Counterparty Name
Give the full legal name of the counterparty. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
NO
NO
SEAP4
Counterparty Type
The type of counterparty:
Account Bank (ABNK)
Backup Account Bank (BABN)
Account Bank Facilitator (ABFC)
Account Bank Guarantor (ABGR)
Collateral Agent (CAGT)
Paying Agent (PAYA)
Calculation Agent (CALC)
Administration Agent (ADMI)
Administration Sub-Agent (ADSA)
Transfer Agent (RANA)
Verification agent (VERI)
Security agent (SECU)
Cash Advance Provider (CAPR)
Collateral Provider (COLL)
Guaranteed Investment Contract Provider (GICP)
Insurance Policy Credit Provider (IPCP)
Liquidity Facility Provider (LQFP)
Backup Liquidity Facility Provider (BLQP)
Savings Mortgage Participant (SVMP)
Issuer (ISSR)
Originator (ORIG)
Seller (SELL)
Sponsor of the Securitisation Special Purpose Entity (SSSP)
Servicer (SERV)
Backup Servicer (BSER)
Backup Servicer Facilitator (BSRF)
Special Servicer (SSRV)
Subscriber (SUBS)
Interest Rate Swap Provider (IRSP)
Backup Interest Rate Swap Provider (BIPR)
Currency Swap Provider (CSPR)
Backup Currency Swap Provider (BCSP)
Auditor (AUDT)
Counsel (CNSL)
Trustee (TRUS)
Representative of Noteholders (REPN)
Underwriter (UNDR)
Arranger (ARRG)
Dealer (DEAL)
Manager (MNGR)
Letter of Credit Provider (LCPR)
Multi-Seller Conduit (MSCD)
Securitisation Special Purpose Entity (SSPE)
Liquidity or Liquidation Agent (LQAG)
Equity owner of conduit/SSPE (EQOC)
Swingline Facility Provider (SWNG)
Start-up Loan or Lease Provider (SULP)
Repurchase Agreement Counterparty (RAGC)
Cash Manager (CASM)
Collection Account Bank (CACB)
Collateral Account Bank (COLA)
Subordinated Loan Provider (SBLP)
Collateralised Loan Obligation Manager (CLOM)
Portfolio Advisor (PRTA)
Substitution Agent (SUBA)
Other (OTHR)
NO
NO
SEAP5
Counterparty Country Of Establishment
Country where the counterparty is established.
NO
NO
SEAP6
Counterparty Rating Threshold
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating threshold as at the data cut-off date.
In the event of multiple ratings, all ratings are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
NO
YES
SEAP7
Counterparty Rating
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating as at the data cut-off date.
In the event of multiple rating thresholds, all rating thresholds are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
NO
YES
SEAP8
Counterparty Rating Source Legal Entity Identifier
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the Legal Entity Identifier of the provider of the counterparty rating (as specified in the Global Legal Entity Foundation (GLEIF) database) as at the data cut-off date.
In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
NO
YES
SEAP9
Counterparty Rating Source Name
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the full name of the provider of the counterparty rating as at the data cut-off date. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
NO
YES
Any other information section
SEAO1
Unique Identifier
The unique identifier entered into field SEAS1.
NO
NO
SEAO2
Any Other Information Line Number
Enter the line number of the other information
NO
NO
SEAO3
Any Other Information
The other information, line by line
NO
NO
Source: EUR-Lex (Publications Office of the EU), © European Union, reuse permitted under Commission Decision 2011/833/EU.
