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Document 32015R0003

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Commission Delegated Regulation (EU) 2015/3 of 30 September 2014 supplementing Regulation (EC) No 1060/2009 of the European Parliament and of the Council with regard to regulatory technical standards on disclosure requirements for structured finance instruments Text with EEA relevance
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6.1.2015   

EN

Official Journal of the European Union

L 2/57


COMMISSION DELEGATED REGULATION (EU) 2015/3

of 30 September 2014

supplementing Regulation (EC) No 1060/2009 of the European Parliament and of the Council with regard to regulatory technical standards on disclosure requirements for structured finance instruments

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies (1), and in particular the third subparagraph of Article 8b(3) thereof,

Whereas:

(1)

In accordance with Article 8b of Regulation (EC) No 1060/2009, investors should receive sufficient information on the quality and performance of their underlying assets with a view to enabling them to perform an informed assessment of the creditworthiness of structured finance instruments. This would also reduce investors’ dependence on credit ratings and should facilitate the issuance of unsolicited credit ratings.

(2)

This Regulation should apply to all financial instruments or other assets resulting from a securitisation transaction or scheme referred to in Article 4(1)(61) of Regulation (EU) No 575/2013 of the European Parliament and of the Council (2) on condition that the issuer, originator or sponsor, is established, and for that purpose has its statutory seat, in the Union. Therefore, this Regulation should only cover financial instruments or other assets resulting from any transaction or scheme whereby the credit risk associated with an exposure or pool of exposures is tranched and has the characteristics referred to in that Article. Therefore, in line with that Regulation, an exposure that creates a direct payment obligation for a transaction or scheme used to finance or operate physical assets should not be considered an exposure to a securitisation, even if the transaction or scheme has payment obligations of different seniority.

(3)

The scope of this Regulation should not be limited to the issuance of structured finance instruments that qualify as securities, but also should include other financial instruments and assets resulting from a securitisation transaction or scheme, such as money-market instruments, including asset-backed commercial paper programmes. In addition, this Regulation should apply to structured finance instruments with and without credit ratings assigned by a credit rating agency registered in the Union. Private and bilateral transactions should also be within the scope of this Regulation, as well as transactions that are not offered to the public or admitted to trading on a regulated market.

(4)

This Regulation contains standardised disclosure templates for a number of asset class categories. Without prejudice to the scope of this Regulation and until reporting obligations have been developed by ESMA and adopted by the Commission, those standardised disclosure templates and all reporting obligations under this Regulation should apply only to structured finance instruments that are backed by underlying assets which are included in the list of underlying asset class categories specified in this Regulation and which in addition are not of a private or bilateral nature.

(5)

When complying with this Regulation, issuers, originators and sponsors should comply with national and Union legislation governing the protection of confidentiality of information sources or the processing of personal data in order to avoid potential breaches of such legislation.

(6)

The issuer, originator and sponsor may designate an entity responsible for reporting the information to the website to be set up by ESMA in accordance with Article 8b(4) of Regulation (EC) No 1060/2009 (the SFIs website). Outsourcing the reporting obligation to another entity, for example a servicer, should also be possible. This should be without prejudice to the responsibility of the issuer, originator and sponsor under this Regulation.

(7)

A number of technical reporting instructions concerning, among others, the transmission or the format of the files to be submitted by issuers, originators and sponsors should be communicated by ESMA on its website. ESMA should communicate those technical reporting instructions in due course before the date of application of the reporting obligations laid down in this Regulation, in order to enable issuers, originators, sponsors and other parties involved to be given enough time to develop adequate systems and procedures following the technical instructions provided by ESMA.

(8)

The information to be provided pursuant to this Regulation should be compiled in a standard format to allow for automatic processing of the data on the SFIs website. The information should also be published in a format that is easily accessible for any user of the SFIs website. ESMA should ensure that sectoral competent authorities have access to the SFIs website so as to carry out the tasks assigned to them under Regulation (EC) No 1060/2009.

(9)

This Regulation is based on the draft regulatory technical standards submitted by ESMA to the Commission in accordance with Article 10 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (3).

(10)

ESMA has conducted an open public consultation on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010.

(11)

A reasonable time is necessary in order to allow the issuers, the originators and the sponsors of a structured finance instrument established in the Union to adapt and take the necessary steps to comply with this Regulation and to allow ESMA to develop the SFIs website on which disclosure of the information required by this Regulation should take place. Therefore, this Regulation should apply from 1 January 2017. However, ESMA should communicate necessary technical reporting instructions in a timely manner before the date of application of this Regulation. This is necessary in order to enable the issuers, the originators and the sponsors of a structured finance instrument established in the Union to be given enough time to develop adequate systems and procedures following those technical instructions with a view to ensuring complete and correct reporting and to take into account further developments in the financial markets in the Union,

HAS ADOPTED THIS REGULATION:

Article 1

Scope

This Regulation shall apply to structured finance instruments where the issuer, the originator or the sponsor is established in the Union and which are issued after the date of entry into force of this Regulation.

Article 2

Reporting entity

1.   The issuer, the originator and the sponsor of a structured finance instrument may designate one or multiple reporting entities that publish the information required pursuant to Articles 3 and 4, and Article 5(3) of this Regulation on the website referred to in Article 8b(4) of Regulation (EC) No 1060/2009 (the SFIs website). Those entities shall publish the required information on the SFIs website in accordance with Articles 4 to 7 of this Regulation.

2.   The issuer, the originator and the sponsor of a structured finance instrument that has designated the entity or entities referred to in paragraph 1 shall notify ESMA without undue delay of any entity designated in accordance with that paragraph. That designation shall be without prejudice to the responsibility of the issuer, the originator and the sponsor to comply with Article 8b of Regulation (EC) No 1060/2009.

Article 3

Information to be reported

Where a structured finance instrument is backed by any of the underlying assets referred to in Article 4, the reporting entity shall provide the following information to the SFIs website:

(a)

loan level information through the standardised disclosure templates included in Annexes I to VII;

(b)

where applicable to a structured finance instrument, the following documents, including a detailed description of the waterfall of payments of the structured finance instrument:

(i)

the final offering document or prospectus, together with the closing transaction documents, including any public documents referenced in the prospectus or which govern the workings of the transaction and excluding legal opinions;

(ii)

the asset sale agreement, assignment, novation or transfer agreement and any relevant declaration of trust;

(iii)

the servicing, back-up servicing, administration and cash management agreements;

(iv)

the trust deed, security deed, agency agreement, account bank agreement, guaranteed investment contract, incorporated terms or master trust framework or master definitions agreement;

(v)

any relevant inter-creditor agreements, swap documentation, subordinated loan agreements, start-up loan agreements and liquidity facility agreements;

(vi)

any other underlying documentation that is essential for the understanding of the transaction;

(c)

where a prospectus has not been drawn up in compliance with Directive 2003/71/EC of the European Parliament and of the Council (4), a transaction summary or overview of the main features of a structured finance instrument, including:

(i)

deal structure;

(ii)

the asset characteristics, cash flows, credit enhancement and liquidity support features;

(iii)

the note holder voting rights, the relationship between note holders and other secured creditors in a transaction;

(iv)

a list of all triggers and events referred to in the documents provided to the SFIs website in accordance with point (b) that could have a material impact on the performance of the structured finance instruments;

(v)

the structure diagrams containing an overview of the transaction, the cash flows and the ownership structure;

(d)

the investor reports, containing the information included in Annex VIII.

Article 4

Underlying assets

The information requirements set out in Article 3 shall apply to structured finance instruments backed by the following underlying assets:

(a)

residential mortgages: this class of structured finance instruments includes structured finance instruments backed by prime and non-prime mortgages and home equity loans. For this class of structured finance instruments, the information included in the template in Annex I shall be provided to the SFIs website;

(b)

commercial mortgages: this class of structured finance instruments includes structured finance instruments backed by retail or office property loans, hospital loans, care residences, storage facilities, hotel loans, nursing facilities, industrial loans, and multifamily properties. For this class of structured finance instruments, the information included in the template in Annex II shall be provided to the SFIs website;

(c)

loans to small and medium-sized enterprises: for this class of structured finance instruments, the information included in the template in Annex III shall be provided to the SFIs website;

(d)

auto-loans: for this class of structured finance instruments, the information included in the template in Annex IV shall be provided to the SFIs website;

(e)

consumer loans: for this class of structured finance instruments, the information included in the template in Annex V shall be provided to the SFIs website;

(f)

credit card-loans: for this class of structured finance instruments, the information included in the template in Annex VI shall be provided to the SFIs website;

(g)

leases to individuals and/or businesses: for this class of structured finance instruments, the information included in the template in Annex VII shall be provided to the SFIs website.

Article 5

Frequency of reporting

1.   The information set out in Article 3(a) and (d) shall be made available on a quarterly basis, no later than one month following the due date for payment of interest on the structured finance instrument concerned.

2.   The information set out in Article 3(b) and (c) shall be made available without delay after the issuance of a structured finance instrument.

3.   In addition to the requirements set out in paragraphs 1 and 2:

(a)

where the requirements laid down in Article 17 of Regulation (EU) No 596/2014 of the European Parliament and of the Council (5) on insider dealing and market manipulation (market abuse) apply also in relation to a structured finance instrument, any disclosure of information pursuant to that article shall also subsequently be published without delay on the SFIs website by the reporting entity;

(b)

where point (a) does not apply, the reporting entity shall disclose without delay on the SFIs website any significant change or event in any of the following cases:

(i)

a breach of the obligations laid down in the documents provided in accordance with Article 3(b);

(ii)

structural features that can materially impact on the performance of the structured finance instrument;

(iii)

the risk characteristics of the structured finance instrument and of the underlying assets.

Article 6

Reporting procedures

1.   The reporting entity shall submit data files in accordance with the reporting system of the SFIs website and the technical instructions to be provided by ESMA on its website.

2.   ESMA shall publish those technical instructions on its website at the latest on 1 July 2016.

3.   The reporting entity shall store the files sent to and received by the SFIs website in electronic form for at least five years. Upon request, those files shall be made available by the reporting entity or the issuer, the originator or the sponsor to the sectoral competent authorities as defined in Article 3(1)(r) of Regulation (EC) No 1060/2009.

4.   Where the reporting entity or the issuer, the originator or the sponsor, identifies factual errors in the data that has been provided to the SFIs website they shall correct the relevant data without undue delay.

Article 7

Reporting between the date of entry into force and the date of application

1.   With respect to the structured finance instruments issued in the time period between the date of entry into force and the date of application of this Regulation, the issuer, the originator and the sponsor shall comply with the reporting requirements laid down in this Regulation only in relation to the structured finance instruments which are still outstanding at the date of application of this Regulation.

2.   The issuer, the originator and the sponsor shall not be required to keep a backlog of the information required pursuant to this Regulation between the date of entry into force and the date of application of this Regulation.

Article 8

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.

It shall apply from 1 January 2017.

However, Article 6(2) shall apply from the date of entry into force of this Regulation.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 30 September 2014.

For the Commission

The President

José Manuel BARROSO


(1)  OJ L 302, 17.11.2009, p. 1.

(2)  Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).

(3)  Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).

(4)  Directive 2003/71/EC of the European Parliament and of the Council of 4 November 2003 on the prospectus to be published when securities are offered to the public or admitted to trading and amending Directive 2001/34/EC (OJ L 345, 31.12.2003, p. 64).

(5)  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).


ANNEX I

Reporting template for structured finance instruments backed by residential mortgages

ASSETS:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Pool Cut-off Date

Dynamic

Date

Pool or portfolio cut-off date. All dates take YYYY-MM-DD format.

Pool Identifier

Static

Text/Numeric

Pool or portfolio identifier/name of transaction.

Loan Identifier

Static

Text/Numeric

Unique identifier (ID) for each loan. The loan ID should not change through the life of the transaction.

Originator

Static

Text

Lender that advanced the original loan.

Servicer Identifier

Static

Text/Numeric

Unique identifier per servicer to flag which entity is servicing the loan.

Borrower Identifier

Static

Text/Numeric

Unique identifier (ID) per borrower (not showing the real name) — to enable borrowers with multiple loans in the pool to be identified (e.g. further advances/second liens are shown as separate entries). The borrower ID should not change over the life of the transaction.

Property Identifier

Static

Text/Numeric

Unique identifier per property to enable properties with multiple loans in the pool to be identified (e.g. further advances/second liens are shown as separate entries).

Borrower Information

Borrower’s Employment Status

Static

List

Employment status of the primary applicant.

Primary Income

Static

Numeric

Primary borrower underwritten gross annual income (not rent).

Income Verification for Primary Income

Static

List

Income verification for primary income.

Loan Characteristics

Loan Origination Date

Static

Date/Numeric

Date of original loan advance.

Date of Loan Maturity

Dynamic

Date/Numeric

The date of loan maturity.

Purpose

Static

List

Loan purpose.

Loan Term

Static

Numeric

Original contractual term (number of months).

Loan Currency Denomination

Static

List

The loan currency denomination.

Original Balance

Static

Numeric

Original loan balance (inclusive of fees).

Current Balance

Dynamic

Numeric

Amount of loan outstanding as of pool cut-off date, This should include any amounts that are secured by the mortgage and will be classed as principal in the transaction.

Repayment Method

Static

List

Type of principal repayment.

Payment Frequency

Static

List

Frequency of payments due, i.e. number of months between payments.

Payment Due

Dynamic

Numeric

Periodic contractual payment due (the payment due if there are no other payment arrangements in force).

Payment Type

Static

List

Principal payment type.

Interest Rate

Interest Rate Type

Static

List

Interest rate type.

Current Interest Rate Index

Dynamic

List

Current interest rate index (the reference rate off which the mortgage interest rate is set).

Current Interest Rate

Dynamic

Numeric

Current interest rate (%).

Current Interest Rate Margin

Dynamic

Numeric

Current interest rate margin (for fixed rate loans this is the same as the current interest rate, for floating rate loans this is the margin over (or under if input as a negative) the index rate).

Interest Rate Reset Interval

Dynamic

Numeric

The interval in months at which the interest rate is adjusted (for floating loans).

Revision Margin 1

Dynamic

Numeric

The margin (%) for the loan at the first revision date.

Interest Revision Date 1

Dynamic

Date/Numeric

Date interest rate next changes (e.g. discount margin changes, fixed period ends, loan re-fixed etc. This is not the next LIBOR reset date).

Revision Margin 2

Dynamic

Numeric

The margin (%) for the loan at the second revision date.

Interest Revision Date 2

Dynamic

Date/Numeric

Date of second interest rate change.

Revision Margin 3

Dynamic

Numeric

The margin (%) for the loan at the third revision date.

Interest Revision Date 3

Dynamic

Date/Numeric

Date of third interest rate change.

Revised Interest Rate Index

Dynamic

List

Next interest rate index.

Property and Additional Collateral

Property Postcode

Static

Text/Numeric

First two or three characters must be provided at a minimum.

Property Type

Static

List

Property type.

Original Loan to Value

Static

Numeric

Originator’s original underwritten Loan To Value ratio (LTV). For second lien loans this should be the combined or total LTV.

Valuation Amount

Static

Numeric

Property value as of date of latest loan advance prior to a securitisation. Valuation amounts should be in the same currency as the loan.

Original Valuation Type

Static

List

Valuation type at origination.

Valuation Date

Static

Date/Numeric

Date of latest property valuation at time of latest loan advance prior to a securitisation.

Current Loan to Value

Dynamic

Numeric

Originator’s current Loan to Value ratio (LTV). For second lien loans this should be the combined or total LTV.

Current Valuation Amount

Dynamic

Numeric

Most recent valuation amount (if, for example, at repossession there were multiple valuations, this should reflect the lowest). Valuation amounts should be in the same currency as the loan.

Current Valuation Type

Dynamic

List

Current valuation type.

Current Valuation Date

Dynamic

Date/Numeric

The date of most recent valuation.

Performance Information

Account Status

Dynamic

List

Current status of account.

Arrears Balance

Dynamic

Numeric

Current balance of arrears. Arrears defined as: total payments due to date LESS total payments received to date LESS any amounts capitalised. This should not include any fees applied to the account.

Number Months in Arrears

Dynamic

Numeric

Number of months this loan is in arrears (at pool cut-off date) according to the definition of the issuer.

Arrears 1 Month Ago

Dynamic

Numeric

Arrears balance (defined as per ‘arrears balance’) for the previous month.

Arrears 2 Months Ago

Dynamic

Numeric

Arrears balance (defined as per ‘arrears balance’) two months ago.

Litigation

Dynamic

Y/N

Flag to indicate litigation proceedings underway.

Redemption Date

Dynamic

Date/Numeric

Date on which account redeemed.

Default or Foreclosure

Dynamic

Numeric

Total default amount before the application of sale proceeds and recoveries.

Date of Default or Foreclosure

Dynamic

Numeric

The date of default or foreclosure.

Sale Price lower limit

Dynamic

Numeric

Price achieved on sale of property in case of foreclosure, rounded down to nearest 10k.

Loss on Sale

Dynamic

Numeric

Total loss net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries).

Cumulative Recoveries

Dynamic

Numeric

Cumulative recoveries — only relevant for cases with losses.


BOND INFO:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Fields at Security or Bond Level Data

Report Date

Dynamic

Date

The date on which the transaction report was issued. All dates take YYYY-MM-DD format.

Issuer

Static

Text

Name of issuer and issue series, if applicable.

Drawings under Liquidity Facility

Dynamic

Y/N

Confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date.

Fields at Collateral Level Data

Trigger Measurements/Ratios

Dynamic

Y/N

The status of various delinquency, dilution, default, loss and similar collateral measurements and ratios in relation to their early amortisation or other trigger event levels, as at the current determination date. Has any trigger event occurred?

Average Constant Pre-payment Rate

Dynamic

Numeric

The report shall include the Average (Avg) Constant Pre-payment Rate (CPR) speed of the underlying residential mortgage loans. In some jurisdictions, the mortgage pool may also include commercial loans. Avg CPR speed is the amount expressed as an annualised percentage of principal prepaid in excess of scheduled repayments. The Avg CPR speed is calculated by first dividing the Current Residential Mortgage Loan Principal Balance (i.e. the actual balance) by the Scheduled Residential Mortgage Loan Principal Balance assuming no pre-payments have been made (i.e. only scheduled repayments have been made). This quotient is then raised to a power whereby the exponent is the quantity twelve divided by the number of months since issue. Subtract this result from one then multiply it by one hundred (100) to determine the Avg CPR speed. This calculation is expressed as follows:

Formula

Transaction Report Contact Information

Point Contact

Static

Text

Name of the department or the point person(s) of the information sources.

Contact Information

Static

Text

Telephone number and e-mail address.


BOND INFO BY TRANCHE:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Fields at Tranche Level

Bond Class Name

Static

Text/Numeric

The designation (typically a letter and/or number) given to a tranche of RMBS which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1 etc.

International Securities Identification Number

Static

Text/Numeric

The international security identification code or codes, or if no ISIN, then any other unique securities code such as a CUSIP, assigned to this tranche by an exchange or other entity. If more than one code, enter comma-delimited.

Interest Payment Date

Dynamic

Date

The periodic date on which a payment of interest to holders of a specific tranche of residential mortgage backed structured finance instrument is scheduled to occur.

Principal Payment Date

Dynamic

Date

The periodic date on which a payment of principal to holders of a specific tranche of residential mortgage backed structured finance instrument is scheduled to occur.

Currency

Static

Text

The unit(s) of exchange in which security-level balance(s) and payments are reported.

Reference Rate

Static

List

The base reference interest index as defined in the offering document (e.g. three months Euribor) applicable to a specific tranche of residential mortgage backed structured finance instrument.

Bond Issue Date

Static

Date

Date the bonds were issued.


ANNEX II

Loan Level Data — Reporting template for structured finance instruments backed by commercial mortgages

LOAN:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Loan Identifiers

Transaction Pool Identifier

Static

Text/Numeric

The unique transaction or deal name.

Pool Cut-off Date

Dynamic

Date

Current pool or portfolio cut-off date.

Securitisation Date

Static

Date

Date of issue of the deal — First bond listing date

Original Loan Terms

Group Identifier

Static

Text/Numeric

The alpha-numeric code assigned to each loan group within an issue.

Loan Servicer Identifier

Static

Text/Numeric

The loan servicer unique identification string assigned to the loan.

Offering Circular Loan Identifier

Static

Text/Numeric

The offering circular or prospectus unique number or transaction loan name assigned to the loan within the transaction or pool.

Loan Sponsor

Static

Text/Numeric

Loan sponsor.

Loan Origination Date

Static

Date

Date of original loan advance.

Loan Currency

Static

List

Loan currency denomination.

Whole Loan Balance at Origination Date

Static

Numeric

Whole loan balance at origination representing 100 % full facility, i.e. securitised and unsecuritised/owned and un-owned amount (in loan currency).

Original Term of Loan

Static

Numeric

Contractual term (in months) at Origination date.

Start Date of Amortisation

Static

Date

The date that amortisation will commence on the whole loan (this may be a date prior to the securitisation date).

Interest Rate Index Code

Static

List

Current interest rate index (the reference rate off which the mortgage interest rate is set).

Original Loan Interest Rate

Static

Numeric

Loan all-in interest rate at loan origination date. If multiple tranches with different interest rates then apply a weighted average rate.

First Interest Payment Due Date

Static

Date

The date that the first interest payment was due on the loan following origination date.

Loan Country

Static

List

Country of the loan.

Loan Purpose

Static

List

Loan purpose.

Mortgage Security

Static

Y/N

Is the loan secured by mortgages on the properties?

Loan Statistics at Securitisation Date

Debt Service Coverage Ratio for the loan (whole) at the Securitisation Date

Static

Numeric

The Debt Service Coverage Ratio for the loan (whole) at the Securitisation Date.

Loan to Value Ratio for the loan (whole) at the Securitisation Date

Static

Numeric

The Loan to Value Ratio for the loan (whole) at the Securitisation Date.

Securitisation Date Interest Cover Ratio (A-Loan)

Static

Numeric

At securitisation interest coverage ratio calculation for the A-Loan based on the offering documentation.

Securitisation Date Debt Service Cover Ratio (A-Loan)

Static

Numeric

At securitisation debt service coverage ratio calculation for the A-Loan based on the offering documentation.

Securitisation Date Loan to Value Ratio (A-Loan)

Static

Numeric

At securitisation Loan to Value ratio (LTV) for the A-Loan based on the offering documentation.

Committed Principal Balance at Securitisation Date

Static

Numeric

The committed balance, including any undrawn amounts, of the whole loan at Securitisation Date.

Actual Principal Balance at Securitisation Date (Whole Loan)

Static

Numeric

Actual Principal Balance of the whole loan at the Securitisation Date as identified in the offering circular.

Periodic Principal and Interest Payment at Securitisation Date

Static

Numeric

The scheduled principal and interest amount that is due on the next Loan Payment Date as at the Securitisation Date.

Loan Rate at Securitisation Date

Static

Numeric

The total interest rate (e.g. Libor + Margin) that is being used to calculate interest due on the loan at the Securitisation Date.

Ranking of Charge at Securitisation Date

Static

List

Is the security granted to the Securitisation a first ranking security?

Remaining Term at Securitisation Date

Static

Numeric

Remaining number of months (excluding any extension options) until maturity of loan at Securitisation Date.

Remaining Amortisation Term at Securitisation Date

Static

Numeric

The number of months remaining to maturity of the loan of the amortisation term. If amortisation has not commenced at the Securitisation Date this will be less than the Remaining Term at Securitisation Date.

Loan Maturity Date at Securitisation Date

Static

Date

The maturity date of the loan as defined in the loan agreement. This would not take into account any extended maturity date that may be allowed under the loan agreement, but the initial maturity date.

Actual Principal Balance at Securitisation Date (A-Loan)

Static

Numeric

Actual Principal Balance of the A Note loan at the Securitisation Date as identified in the offering circular.

Extension Option

Dynamic

Y/N

Indicate whether there is an option to extend the term of the loan and push out the maturity date.

Duration of Shortest Extension Option

Static

Numeric

Duration in months of the shortest extension option available to the loan.

Nature of extension option

Static

List

Type of extension option.

Collateral Details

Number of Properties at Securitisation Date

Static

Numeric

The number of properties that serve as security for the loan at the Securitisation Date.

Number of Properties at Pool cut-off Date

Dynamic

Numeric

The number of properties that serve as security for the loan at the pool cut-off date.

Properties Collateralised to the Loan at Securitisation

Static

Text/Numeric

Enter the unique property identifiers (PC1) of the properties that served as security for the loan at the Securitisation Date.

Properties Collateralised to the Loan at Pool cut-off date

Dynamic

Text/Numeric

Enter the unique property identifiers (PC1) of the properties that serve as security for the loan at the cut-off date.

Loan Covenant Details

Interest Coverage Ratio Method (Whole Loan)

Static

List

Please define calculation of ICR financial covenant requirement at the whole loan level, the inferred method of calculation.

Debt Service Coverage Ratio Method (Whole Loan)

Static

List

Please define calculation of DSCR financial covenant requirement at the whole loan level, the inferred method of calculation.

Loan to Value Method (Whole)

Static

List

Please define calculation of LTV financial covenant requirement at the whole loan level, the inferred method of calculation.

Other Financial Covenant Code (Whole)

Static

List

If there is another code required for ICR or DSCR financial covenant requirement at the whole loan level.

Interest Coverage Ratio Method (A-Loan)

Static

List

Please define the A-Loan Interest Coverage Ratio method of calculation.

Debt Service Coverage Ratio Method (A-Loan)

Static

List

Please define the A-Loan Debt Service Coverage Ratio method of calculation.

Loan to Value Method (A-Loan)

Static

List

Please define the A-Loan Loan to Value Method of calculation.

Underlying Property Statistics at Securitisation Date

Revenue at Securitisation Date

Static

Numeric

The total underwritten revenue from all sources for a property as described in the offering circular. If multiple properties, sum the values of the properties.

Operating Expenses at Securitisation Date

Static

Numeric

Total underwritten operating expenses for 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.

NOI at Securitisation Date

Static

Numeric

Revenue less Operating Expenses at Securitisation Date (Field ‘Revenue at Securitisation Date’ minus ‘Operating Expenses at Securitisation Date’). If multiple properties, sum the values.

Capital Expenditures at Securitisation Date

Static

Numeric

Capex at Securitisation Date (as opposed to repairs and maintenance) if identified in the offering circular.

NCF at Securitisation Date

Static

Numeric

NOI less Capex at Securitisation Date (Field ‘NOI at Securitisation Date’ less ‘Capital Expenditures at Securitisation Date’).

Currency of Financial Reporting at Securitisation

Static

List

The currency used in the initial financial reporting of Fields ‘Revenue at Securitisation Date’ — ‘NCF at Securitisation Date’.

ICR/DSCR Indicator at Securitisation Date

Static

List

How the DSCR is calculated/applied when a loan has multiple properties.

Property Portfolio Value at Securitisation Date

Static

Numeric

The valuation of the properties securing the loan at Securitisation Date as described in the Offering Circular. If multiple properties sum the value of the properties.

Property Portfolio Valuation Currency at Securitisation Date

Static

List

The currency of the valuation in ‘Property Portfolio Value at Securitisation Date’.

Valuation Date at Securitisation Date

Static

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.

Economic Occupancy at Securitisation Date

Static

Numeric

The percentage of rentable space with signed leased in place at Securitisation Date if disclosed in offering circular (tenants may not be in occupation but are paying rent). If multiple properties use weighted average by using the calculation {Current Allocated % (Prop) × (Occupancy)} for each property.

Amounts Held in Escrow at Securitisation Date

Static

Numeric

Total balance of the legally charged reserve accounts at the loan level at the Securitisation Date.

Collection Of Escrows

Static

Y/N

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 loan agreement, if this is not done enter N.

Collection Of Other Reserves

Static

Y/N

Are any amounts other than ground rents taxes or insurance held in reserve accounts as required under the terms of the loan agreement for tenant improvements, leasing commissions and similar items in respect of the related property or for purpose of providing additional collateral for such loan?

Escrow Held Upon Trigger Event

Static

Y/N

Does the loan agreement require reserve amounts to be made upon the occurrence of any trigger events?

Trigger for Escrow to be Held

Static

List

Type of trigger event.

Target Escrow Amounts/Reserves

Static

Numeric

Target escrow amounts/reserves.

Escrow Account Release Conditions

Static

Text

Release conditions of the escrow account.

Conditions of Drawing Cash Reserve

Static

List

When can the Cash Reserve be used.

Escrow Currency

Static

List

Currency of the Escrow payments. Fields ‘Amounts Held in Escrow at Securitisation Date’ and ‘Target Escrow Amounts/Reserves’.

Loan Grouping and Substitutions Details

Cross-Collateralised Loan

Static

Y/N

Indicate if this is a cross collateralised loan (Example: loans 1 and 44 are cross collateralised as are loans 4 and 47).

Substituted Loan

Dynamic

Y/N

Is this loan a substitute for another loan on a date after the Securitisation Date?

Date of Substitution

Dynamic

Date

If loan was substituted after the Securitisation Date, the date of such substitution.

Grace Days Allowed

Static

Numeric

The number of days after a payment is due in which the lender will not charge a late penalty or report the payment as late.

Additional Financing Indicator

Static

List

Has the whole loan had additional financing/mezzanine debt?

Loan Interest Rate Details (at Securitisation Date)

Interest Rate Type

Static

List

Type of interest rate applied to the loan.

Interest Accrual Method Code

Static

List

The ‘days’ convention used to calculate interest.

Interest in Arrears

Static

Y/N

Is the interest that accrues on the loan paid in arrears?

A-Loan Amortisation Type (if applicable)

Static

List

A-Loan amortisation type.

Whole Loan Amortisation Details (at Securitisation Date)

Whole Loan Amortisation Type (if applicable)

Static

List

Whole loan amortisation type.

Accrual of Interest Allowed

Static

Y/N

Do the loan documents allow for interest to be accrued and capitalised?

Prepayment Lock-out End Date

Static

Date

The date after which the lender allows prepayment of the loan.

Yield Maintenance End Date

Static

Date

The date after which the lender allows prepayment of the loan without requirement for a prepayment fee or yield maintenance to be paid. Date after which loan can be prepaid without yield maintenance.

Prepayment Premium End Date

Static

Date

The date after which the lender allows prepayment of the loan without requirement for a prepayment fee to be paid.

Prepayment Terms Description

Static

Text/Numeric

Should 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).

Do Non-payments on Prior Ranking Claims Constitute a Default of the Loan?

Static

Y/N

Do Non-payments on Prior Ranking Claims Constitute a Default of the Loan?

Non-payments on Equal Ranking Loans Constitute Default of Property?

Static

Y/N

Do Non-payments on Equal Ranking Loans Constitute Default of Property?

Loan Hedging Details (at Securitisation Date)

Lifetime Rate Cap

Static

Numeric

Maximum rate that the borrower must pay on a floating rate loan as required under the terms of the loan agreement.

Lifetime Rate Floor

Static

Numeric

Minimum rate that the borrower must pay on a floating rate loan as required under the terms of the loan agreement.

Type of Loan Level Swap

Static

List

Describe the type of loan level swap that applies.

Loan Swap Provider

Dynamic

Text

Name of loan swap provider.

Type of Interest Rate Loan Level Swap

Static

List

Describe the type of interest rate swap that applies to the loan.

Type of Currency Loan Level Swap

Static

List

Describe the type of currency rate swap.

Exchange Rate for Loan Level Swap

Static

Numeric

The exchange rate that has been set for a currency loan level swap.

Start Date of Loan Level Swap

Static

Date

Start Date of Loan Level Swap.

End Date of Loan Level Swap

Static

Date

End Date of Loan Level Swap.

Borrower Obligation to Pay Breakage on Loan Level Swap

Static

List

Extent to which Borrower is obligated to pay breakage costs to loan swap provider.

Loan Rate Adjustment Details (at Securitisation Date)

Payment Frequency

Static

List

Frequency of interest and amortisation payments on Loan according to original loan documents.

Rate Reset Frequency

Static

List

Frequency with which the interest rate is reset according to original loan documents.

Pay Reset Frequency

Static

List

Frequency with which the P&I payment is reset according to original loan documents.

Index Look Back In Days

Static

Numeric

The number of days prior to the interest payment date that the interest rate is set (e.g. Euribor set two days prior to interest payment date).

Index Determination Date

Static

Date

If the Loan Agreement states specific dates for the index to be set, enter the next index determination date.

Loan Syndication and Participation Details

Loan Structure

Static

List

Use the Loan Structure Code to describe what structure applies to this loan, e.g. whole loan, A/B splits, syndicated.

Syndicated Loan

Static

Y/N

Is the loan part of a syndicated loan?

Percentage of Total Loan Facility being Securitised

Static

Numeric

Percentage of total loan in securitisation at Securitisation Date.

Rights of Controlling Party for Material Decisions

Static

Y/N

Does owner of any participation other than the issuer have the right to make major decisions?

Agent Bank of Syndication

Static

Text

Agent bank.

Miscellaneous Loan Details

Remedy for Breach of Financial Covenant

Static

List

The remedy for the financial covenant breach.

Loan Originator

Static

Text

Name of the originator/Lender that sold the loan to the Issuer. Name of entity ultimately responsible for the representations and warranties of the loan.

Financial Information Submission Penalties

Static

List

Indicator for penalties for borrower’s failure to submit required financial information (Op. Statement, Schedule, etc.) as per loan documents.

Loan Recourse

Static

Y/N

Is there recourse to another party (e.g. guarantor) if the event the borrower defaults on an obligation under the loan agreement?

Rounding Code

Static

List

The method for rounding the interest rate.

Rounding Increment

Static

Numeric

The incremental percentage by which an index rate should be rounded in determining the interest rate as set out in the loan agreement.

Special Servicer Name at Securitisation Date

Static

Text

Special Servicer name at Securitisation date.

Servicing Standard

Static

List

Servicing Standard (Choice). Does the servicer of the loan service the Whole Loan (both the A and B components) or just the A or B component?

Payment Date Details

Loan Payment Date

Dynamic

Date

The date principal and interest is paid to the Issuer, this would normally be the interest payment date of the loan.

Paid through Date

Dynamic

Date

The date at which all payments have been paid in full with no shortfalls. On a performing loan this will be the Loan Payment Date immediately prior to the date entered in field ‘Loan Payment Date’.

Index Rate Reset Date

Dynamic

Date

For adjustable rate loans, the next date that the interest rate is due to change. For fixed rate loans, enter the next interest payment date.

Next Payment Adjustment Date

Dynamic

Date

For adjustable rate loans, the next date that the amount of scheduled principal and/or interest is due to change. For fixed rate loans, enter the next payment date.

Loan Maturity Date

Dynamic

Date

The current maturity date of the loan as defined in the loan agreement. This would not take into account any approved maturity date extensions that may be allowed under the loan agreement.

Next Loan Payment Date

Dynamic

Date

Date of next loan payment.

Rate Details

Current Index Rate (Whole Loan)

Dynamic

Numeric

The index rate used to determine the current whole loan interest rate. The interest rate (before margin) used to calculate the interest paid on the (Whole) Loan Payment Date in Field ‘Loan Payment Date’.

Current Margin Rate (Whole Loan)

Dynamic

Numeric

Margin used to determine the current whole loan interest rate. The margin being used to calculate the interest paid on the (Whole) Loan Payment Date in Field ‘Loan Payment Date’.

Current Interest Rate (Whole Loan)

Dynamic

Numeric

The total interest rate being used to calculate the interest paid on the (Whole) Loan Payment Date in Field ‘Loan Payment Date’ (sum of Field ‘Current Index Rate (Whole Loan)’ and ‘Current Margin Rate (Whole Loan)’ for floating loans).

Current Interest Rate (A-Loan)

Dynamic

Numeric

Gross rate per annum used to calculate the current period scheduled interest on the A portion of the loan.

Next Index Rate (Whole Loan)

Dynamic

Numeric

The next period index rate used to determine the current whole loan interest rate. The interest rate (before margin) used to calculate the interest paid based on the Actual Ending Loan Balance (Whole Loan) ‘Actual Ending Loan Balance (Whole Loan)’.

Current Default Rate (Whole Loan)

Dynamic

Numeric

Total interest being used to calculate the default interest paid on the loan payment date in field ‘Loan Payment Date’.

Principal Details

Current Beginning Opening Balance (Whole Loan)

Dynamic

Numeric

Outstanding balance at beginning of current period. The outstanding balance of the loan at the beginning of the interest period used to calculate the interest due on the Loan Payment Date in Field ‘Loan Payment Date’.

Scheduled Principal Amount (Whole Loan)

Dynamic

Numeric

Scheduled principal payment due on the loan for the current period. The principal payment due to be paid to the Issuer on the Loan Payment Date in Field ‘Loan Payment Date’ e.g. amortisation but not prepayments.

Current Ending Scheduled Balance (Whole Loan)

Dynamic

Numeric

Outstanding scheduled principal balance of loan at end of current period following amortisation but prior to any prepayments. The principal balance of the loan that would be outstanding following the scheduled principal payment but prior to any prepayments (Field ‘Current Beginning Opening Balance (Whole Loan)’ minus ‘Scheduled Principal Amount (Whole Loan)’).

Unscheduled Principal Collections (Whole Loan)

Dynamic

Numeric

Unscheduled payments of principal received during the current period. Other principal payments received during the interest period that will be used to pay down the loan. This may relate to sales proceeds, voluntary prepayments, or liquidation amounts.

Other Principal Adjustments (Whole Loan)

Dynamic

Numeric

Unscheduled principal adjustments for interest period, not associated with movement of cash. Any other amounts that would cause the balance of the loan to be decreased or increased in the current period which are not considered Unscheduled Principal Collections and are not Scheduled Principal.

Actual principal paid

Dynamic

Numeric

The actual principal paid as of the most recent IPD.

Actual Ending Loan Balance (Whole Loan)

Dynamic

Numeric

Outstanding actual principal balance at the end of the current period. The actual balance of the loan outstanding for the next interest period following all principal payments.

Current Beginning Balance (A-Loan)

Dynamic

Numeric

Outstanding balance (A-Loan) at beginning of current period. The outstanding balance of the A-Loan at the beginning of the interest period used to calculate the interest due on the Loan Payment Date.

Total Principal Collections (A-Loan)

Dynamic

Numeric

All payments of principal (A-Loan) received during the current period. The principal payment of the A-Loan due to be paid to the Issuer on the Loan Payment Date in Field ‘Loan Payment Date’ e.g. amortisation but not prepayments.

Actual Ending Loan Balance (A-Loan)

Dynamic

Numeric

Outstanding actual principal balance (A-Loan) at the end of the current period. The principal balance of the A-Loan that would be outstanding following the scheduled principal payment.

Committed Undrawn Facility Loan Balance (Whole Loan)

Dynamic

Numeric

The total whole loan (senior debt) remaining facility/ Undrawn balance at the end of the period. The total whole loan (senior debt) remaining facility at the end of the Interest Payment Date that the borrower can still draw upon.

Interest Details

Scheduled Interest Amount Due (Whole Loan)

Dynamic

Numeric

Gross interest for period assuming no repayment in current period for the whole loan. The total interest that is due on the Loan Payment Date, assuming no prepayments are made during the interest period. Interest should be based on the underlying rate as per the loan agreement.

Prepayment Interest Excess/ Shortfall

Dynamic

Numeric

Shortfall or excess of actual interest payment from the scheduled interest payment for the current period that is not related to a loan default. Results from a prepayment received on a date other than a scheduled payment due date.

Other Interest Adjustment

Dynamic

Numeric

Companion field for Other Principal Adjustments (Field ‘Other Principal Adjustments (Whole Loan)’) to show unscheduled interest adjustments for the related collection period.

Negative Amortisation

Dynamic

Numeric

Negative amortisation/deferred interest/capitalised interest without penalty.

Actual Interest Paid (Whole Loan)

Dynamic

Numeric

Whole Loan actual interest paid current period. Total amount of interest paid by the borrower during the interest period or on the Loan Payment Date.

Actual Interest Paid (A-Loan)

Dynamic

Numeric

Total amount of interest paid to the A-Loan during the interest period or on the Loan Payment Date.

Actual Default Interest

Dynamic

Numeric

Whole loan actual default interest paid in current period. Total amount of default interest paid by the borrower during the interest period or on the loan payment date.

Deferred Interest (Whole Loan)

Dynamic

Numeric

Deferred interest on the whole loan. Deferred interest is the amount by which the interest a borrower is required to pay on a mortgage loan is less than the amount of interest accrued on the outstanding principal balance.

Capitalised Interest (Whole Loan)

Dynamic

Numeric

Capitalised interest on the whole loan. Capitalised interest is where interest is added to the loan balance at the end of the interest period in accordance with loan agreement.

Principal and Interest Details

Total Scheduled Principal and Interest due (Whole Loan)

Dynamic

Numeric

Scheduled principal and interest payment due on the loan for the current period for the Issuer (whole loan). The total scheduled principal and interest due on the Loan Payment Date (sum of Fields ‘Scheduled Principal Amount (Whole Loan)’ and ‘Scheduled Interest Amount Due (Whole Loan)’) — can be used for DSCR calculations.

Total Shortfalls in Principal and Interest Outstanding (Whole Loan)

Dynamic

Numeric

Cumulative outstanding P&I amounts due on loan at the end of the current period. The cumulative amount of any unpaid principal and interest on the Loan Payment Date.

Total Other Amounts Outstanding

Dynamic

Numeric

Cumulative outstanding amounts on loan (e.g. insurance premium, ground rents, cap ex) at the end of the current period that have been expended by Issuer/Servicer. The cumulative amount of any property protection advances or other sums that have been advanced by the Servicer or Issuer and not yet reimbursed by the borrower.

Cumulative Amount Outstanding

Dynamic

Numeric

The sum of Field ‘Total Shortfalls in Principal and Interest Outstanding (Whole Loan)’ and ‘Total Other Amounts Outstanding’.

Amortisation Trigger Reached

Dynamic

Y/N

Has the amortisation trigger been reached?

Current Amortisation Type

Dynamic

List

The type of amortisation that applies to the A-Loan.

Total Scheduled Principal and Interest Paid (A-Loan)

Dynamic

Numeric

Scheduled Principal and Interest payment due on the A-Loan for the current period for the Issuer.

Most Recent YTD Financial Details

Borrower Reporting Breach

Dynamic

Y/N

Is Borrower in breach of its obligation to deliver reports to loan servicer or lender?

Most Recent Revenue

Dynamic

Numeric

Total revenues for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months) for all the properties.

Most Recent Loan to Value Ratio (Whole Loan)

Dynamic

Numeric

Most recent Loan to Value (LTV) for the loan (whole) based on the loan documentation.

Most Recent Debt Service Cover Ratio (Whole Loan)

Dynamic

Numeric

Most recent Debt Service Coverage Ratio (DSCR) for the loan (whole) based on the loan documentation.

Most Recent Interest Cover Ratio (Whole Loan)

Dynamic

Numeric

Most recent Interest Coverage Ratio (ICR) for the loan (whole) based on the loan documentation.

Most Recent Interest Cover Ratio (A-Loan)

Dynamic

Numeric

Most recent interest coverage ratio calculation for the A-Loan based on the offering documentation.

Most Recent Debt Service Cover Ratio (A-Loan)

Dynamic

Numeric

Most recent debt service coverage ratio calculation for the A-Loan based on the offering documentation.

Most Recent Loan to Value Ratio (A-Loan)

Dynamic

Numeric

Most recent Loan to Value ratio (LTV) for the A-Loan based on the offering documentation.

Reserve and Escrow Details

Total Reserve Balance

Dynamic

Numeric

Total balance of the reserve accounts at the loan level at the Loan Payment Date. Includes Maintenance, Repairs and Environmental, etc. (excludes Tax and Insurance reserves Includes LC’s for reserves. Should be completed if Field ‘Collection of Other Reserves’ in Loan Set up is ‘Y’ = Yes.

Escrow Trigger Event Occurred

Dynamic

Y/N

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 loan agreement.

Amounts Added to Escrows in Current Period

Dynamic

Numeric

Amount that has been added to any escrows or reserves during Current Period.

Reserve Balance Currency

Dynamic

List

Reserve account currency denomination.

Escrow Currency

Static

List

Escrow account currency denomination.

Liquidation and Prepayment Details

Liquidation/Prepayment Date

Dynamic

Date

The date on which an unscheduled principal payment or liquidation proceeds are received.

Liquidation/Prepayment Code

Dynamic

List

Code assigned to any unscheduled principal payments or liquidation proceeds received during the collection period.

Borrower Level Hedging Details

Name of Loan Swap Provider (Borrower Level)

Dynamic

Text

The name of the Swap provider for the loan if the Borrower has the direct contract with the swap counterparty.

Actual Ratings of Loan Swap Provider (Borrower Level)

Dynamic

Text/Numeric

Identify the ratings of the Swap Counterparty as of the Loan Payment Date.

Full or Partial Termination Event of Loan Level Swap for Current Period (Borrower Level)

Dynamic

List

If loan swap has been terminated during current period, identify reason.

Net Periodic Payment due to Loan Swap Provider (Borrower Level)

Dynamic

Numeric

Amount of payment made by the borrower to the swap counterparty on the Loan Payment Date as required by the Swap contract.

Net Periodic Payment due from Loan Swap Provider (Borrower Level)

Dynamic

Numeric

Amount of payment made by the swap counterparty to the borrower on the Loan Payment Date as required by the Swap contract.

Breakage Costs Due to Loan Swap Provider

Dynamic

Numeric

Amount of any payment due from the borrower to the swap counterparty for partial of full termination of the Swap.

Shortfall in Payment of Breakage Costs on Loan Level Swap

Dynamic

Numeric

Amount of any shortfall, if any, of breakage costs resulting from the full or partial termination of the swap, paid by the borrower.

Breakage Costs Due from Loan Level Swap Counterparty

Dynamic

Numeric

Amount of any gains paid by the swap counterparty to the borrower on full or partial termination.

Next Reset Date for the Loan Level Swap

Dynamic

Date

Date of next reset date on the loan level swap.

Swap Details

Dynamic

Text

Details of the Swap.

Delinquent Loan Status Details

Status of Properties

Dynamic

List

Status of properties.

Loan Status

Dynamic

List

Loan status (i.e. current, non-payment etc.). If a loan has multiple Status Codes triggered, Servicer discretion to determine which code reported.

Enforcement Start Date

Dynamic

Date

The date on which foreclosure or administration proceedings or alternative enforcement procedures were initiated against or agreed by the borrower.

Workout Strategy Code

Dynamic

List

Work-out strategy.

Expected Timing of Recoveries

Dynamic

Numeric

Expected recovery timing in months.

In Insolvency

Dynamic

Y/N

Insolvency Status of Loan (if in insolvency ‘Y’, else ‘N’).

Insolvency Date

Dynamic

Date

Date of Insolvency.

Property Possession Date

Dynamic

Date

The date on which title to (or an alternative form of effective control and ability to dispose of) the collateral property was obtained.

Net Proceeds Received on Liquidation

Dynamic

Numeric

Net proceeds received on liquidation used to determine loss to the Issuer per the Transaction Documents. The amount of the net proceeds of sale received, this will determine whether there is a loss or shortfall on the loan.

Liquidation Expense

Dynamic

Numeric

Expenses associated with the liquidation to be netted from the other assets of issuer to determine loss per the Transaction Documents. Amount of any liquidation expenses that will be paid out of the net sales proceeds to determine whether there will be any loss.

Realised Loss to Securitisation

Dynamic

Numeric

Outstanding balance of loan (plus Liquidation Expenses) less net Liquidation Proceeds Received. The amount of any loss to the Issuer after deducting liquidation expenses from the net sales proceeds.

Number of months in Arrears

Dynamic

Numeric

Number of months this loan is in arrears at the end of the current period according to the definition of the issuer.

Default Amount

Dynamic

Numeric

Total default amount before the application of sale proceeds and recoveries.

Cumulative Recoveries

Dynamic

Numeric

Total recoveries including all sale proceeds.

Special Servicing Status

Dynamic

Y/N

As of the Loan Payment Date is the loan currently being specially serviced?

Default Date

Dynamic

Date

Date the loan defaulted.

Liquidation Currency

Dynamic

List

Liquidation currency denomination.

Currency of Losses

Dynamic

List

Losses currency denomination.

Default/Arrears Currency

Dynamic

List

Default/Arrears currency denomination.

Loan Modification Details

Noteholder Consent

Dynamic

Y/N

Is Noteholder consent needed in a restructuring?

Noteholder Meeting Scheduled

Dynamic

Date

What date is the next noteholder meeting scheduled for?

Last Loan Sale Date

Dynamic

Date

The date the loan was sold to the Issuer, if the loan was part of the original securitisation, then this will be the Securitisation Date.

Last Property Securitisation Date

Dynamic

Date

Date the latest property or properties were contributed to this securitisation. If any properties have been substituted, enter the date of the last substitution. If the properties were part of the original transaction, this will be the Securitisation Date.

Date of Assumption

Dynamic

Date

Date the assignment/novation or assumption was executed by the new borrower.

Appraisal Reduction Amount Date

Dynamic

Date

Date the Appraisal Reduction Amount was calculated and approved (initial or updated calculation as of date).

Date of Last Modification

Dynamic

Date

Last effective date the loan was modified.

Modification Code

Dynamic

List

Type of modification.

Modified Payment Rate

Dynamic

Numeric

If the loan has been restructured (probably during a workout process), and the amortisation schedule has been amended, then the new amount, expressed as a percentage of the loan balance, should be entered.

Modified Loan Interest Rate

Dynamic

Numeric

If the loan has been restructured (probably during a workout process), and the interest rate/margin has been amended, then the new rate should be entered.

Special Servicing Details

Servicer Watchlist

Dynamic

Date

Determination Date that a loan was placed on the Watchlist. If loan came off the Watchlist in a prior period and is now coming back on, use the new entry date.

Most Recent Special Servicer Transfer Date

Dynamic

Date

The date a loan was transferred to the special Servicer following a servicing transfer event. Note: If the loan has had multiple transfers, this should be the last date transferred to special servicing.

Most Recent Primary Servicer Return Date

Dynamic

Date

The date a loan becomes a ‘corrected mortgage loan’, which is the date the loan was returned to the master/primary Servicer from the special Servicer.

Non-Recoverability Determined

Dynamic

Y/N

Indicator (Yes/No) as to whether the Servicer/Special has determined that there will be a shortfall in recovering any advances it has made and the outstanding loan balance and any other amounts owing on the loan from proceeds upon sale or liquidation of the property or Loan.

Date of Loan Breach

Dynamic

Date

The date the breach occurred. If multiple breaches, the date of the earliest breach.

Date of Loan Breach Cure

Dynamic

Date

The date the breach cured. If multiple breaches, the date which the last breach cured.

Watchlist Criteria Code

Dynamic

List

Servicer Watchlist Code. If multiple criteria are applicable, please list the most detrimental code.

Currency of Fees

Dynamic

List

Fees currency denomination.

Special Servicer Details

Special Servicer Name

Dynamic

Text

Special Servicer name.

Special Servicer Change?

Dynamic

Y/N

Has there been a change in the Special Servicer since the prior reporting period?

Other Ranking Lender Enforcement Involvement

Dynamic

Y/N

Is another ranking lender involved in enforcement?

Defaulted Loan Status Details

Default or Foreclosure

Dynamic

Y/N

Is the loan currently in default or foreclosure?

Default Reason

Dynamic

 

Reason for default.

Covenant Breach/Trigger

Dynamic

List

Type of Covenant Breach/Trigger.

Capital Requirement Directive Information

Specify Originator compliance with one of four retention options

Dynamic

List

Type of retention.

Retained by Originator

Dynamic

Numeric

Net economic interest retained by the originator in percentage (%) terms as under Article 405 of Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (CRR).


PROPERTY:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Property Collateral Details

Property Identifier

Static

Text/Numeric

Unique identifier for the property. If multiple properties (such as a block of apartments) this should be a unique identifier which identifies them collectively.

Property Cross-Collateralised Loan Grouping

Dynamic

Text/Numeric

Please enter relevant Offering Circular Loan Identifiers, if one property secures several loans within the transaction or pool then separate IDs with comma delimiters.

Property Name

Static

Text/Numeric

The name of the property that serves as security for the loan. If multiple properties (such as a block of apartments) this should be the name which identifies them collectively.

Property Address

Static

Text/Numeric

The address of the property that serves as security for the loan.

Property City Town

Static

Text

City or town name where the property is located.

Property Post Code

Static

Text/Numeric

The primary property postal code. First 2-4 characters must be provided at a minimum.

Property Country

Static

List

The country where the property is located.

Property Type Code

Static

List

The property type or use reference defined in the valuation report or offering documentation.

Year Built

Static

Date

Year the property was built per the valuation report or offering document.

Year Last Renovated

Dynamic

Date

Year that last major renovation/new construction was completed on the property per the valuation report or offering document.

Net Square Metres At Securitisation Date

Dynamic

Numeric

The total net rentable area of the properties in square metres that serve as security for the loan per the most recent valuation report. For multiple properties sum the area.

Net Internal Floor Area Validated

Dynamic

Y/N

Has a valuer verified the net internal floor area of the property?

Number of Units/Beds/Rooms

Static

Numeric

For property type Multifamily enter number of units, for Hospitality/Hotel/Healthcare — beds, for Caravan Parks — units, Lodging rooms, Self-Storage units. For Multiple properties, if all the same Property Type, sum the values.

Property Status

Dynamic

List

Most recent loan status of property.

Property Form of Title

Static

List

The relevant form of property title. A lease on land only, in which the borrower usually owns a building or is required to build as specified in the lease.

Property Leasehold Expiry

Static

Date

Provide the earliest date the leasehold interest expires.

Ground Rent Payable

Dynamic

Numeric

If property is leasehold, please provide the current annual leasehold rent payable to the lessor.

Date of Most Recent Valuation

Dynamic

Date

Date of the last property valuation.

Most Recent Valuation

Dynamic

Numeric

The most recent valuation of the property.

Most Recent Valuation Basis

Dynamic

List

The most recent Valuation Basis.

Ground Rent Currency

Dynamic

List

Currency of the Ground Rent (‘Ground Rent Payable’).

Most Recent Valuation Currency

Dynamic

List

Currency of the Most Recent Valuation (‘Most Recent Valuation’).

Securitisation Date Details

Property Securitisation Date

Static

Date

Date the property was contributed to this securitisation. If this property has been substituted, enter the date of the substitution. If the property was part of the original transaction, this will be the Securitisation Date.

Allocated Percentage of Loan at Securitisation Date

Static

Numeric

Allocated loan % attributable to property at Securitisation Date where there is more than one property securing the loan.

Date of Financials at Securitisation Date

Static

Date

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).

Net Operating Income at Securitisation Date

Dynamic

Numeric

Revenue less Operating Expenses at Securitisation Date.

Valuation at Securitisation Date

Static

Numeric

The valuation of the properties securing the loan at Securitisation Date as described in the Offering Circular.

Name of Valuer at Securitisation

Static

Text

Name of valuation firm who performed the property valuation at securitisation.

Date of Valuation at Securitisation Date

Dynamic

Date

The date the valuation was prepared for the values disclosed in the offering circular.

Vacant Possession Value at Date of Securitisation

Dynamic

Numeric

Vacant possession value at Date of Securitisation.

Commercial Area

Dynamic

Numeric

The total net Commercial rentable area of the property in square metres that serves as security for the loan per the most recent valuation report.

Residential Area

Dynamic

Numeric

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.

Currency of Financials

Dynamic

List

Loan currency denomination.

Property Most Recent YTD Financial Details

Current Allocated Loan Percentage

Dynamic

Numeric

Allocated loan % attributable to property at Loan Payment Date where there is more than one property securing the loan, the sum of all % should total 100 %. This may be set out in the Loan Agreement.

Current Allocated Ending Loan Amount

Dynamic

Numeric

Apply the Current Allocated % to the Actual Balance outstanding on the Loan.

Most Recent Financial As of Start Date

Dynamic

Date

The first day of the financials used for the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months).

Most Recent Financial As of End Date

Dynamic

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).

Last Month of Year used for Reporting Financials

Dynamic

Text/Numeric

Enter the month that the financials for each year (most recent, preceding and second preceding) will end.

Most Recent Financial Indicator

Dynamic

List

This field is used to describe the period for which the most recent financial data is reflected.

Most Recent Revenue

Dynamic

Numeric

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 all the properties. For multiple properties then sum the revenue.

Most Recent Operating Expenses

Dynamic

Numeric

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 all properties.

Most Recent Net Operating Income

Dynamic

Numeric

Total revenues less total operating expenses for the period covered by the most recent financial operating statement.

Most Recent Capital Expenditure

Dynamic

Numeric

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 all the properties.

Most Recent Net Cash Flow

Dynamic

Numeric

Total Net Operating Income less Capital Expenses for the period covered by the most recent financial operating statement.

Most Recent Debt Service Amount

Dynamic

Numeric

Total scheduled payments of principal and interest due during the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months).

Most Recent DSCR (NOI)

Dynamic

Numeric

Calculate the DSCR based on NOI for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months).

Contractual Annual Rental Income

Dynamic

Numeric

The contractual annual rental income derived from the most recent Borrower tenancy schedule.

Property Occupancy Details

Occupancy as of Date

Dynamic

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).

Physical Occupancy at Securitisation Date

Dynamic

Numeric

At Securitisation the available percentage of rentable space actually occupied (i.e. where tenants are actually in occupation and not vacated). Should be derived from a rent roll or other document indicating occupancy consistent with most recent financial year information.

Most Recent Physical Occupancy

Dynamic

Numeric

The most recent available percentage of rentable space actually occupied (i.e. where tenants are actually in occupation and not vacated). Should be derived from a rent roll or other document indicating occupancy consistent with most recent financial year information.

Available Tenant by Tenant Data

Dynamic

Y/N

Is the tenant information available on a tenant by tenant basis?

Weighted Average Lease Terms

Dynamic

Numeric

Weighted average lease terms in years.

Weighted Average Lease Terms (1st Break)

Dynamic

Numeric

Weighted average lease terms (in years) after all 1st Break options

Top Three Tenant Details

% Income expiring 1-12 months

Dynamic

Numeric

Percentage of income expiring in 1 to 12 months.

% Income expiring 13-24 months

Dynamic

Numeric

Percentage of income expiring in 13 to 24 months.

% Income expiring 25-36 months

Dynamic

Numeric

Percentage of income expiring in 25 to 36 months.

% Income expiring 37-48 months

Dynamic

Numeric

Percentage of income expiring in 37 to 48 months.

% Income expiring 49+ months

Dynamic

Numeric

Percentage of income expiring in 49 or more months.

Largest Tenant by income (Net)

Dynamic

Text/Numeric

Name of largest current tenant by net rent.

Date of Lease Expiration of Largest Tenant

Dynamic

Date

Expiration date of lease of largest current tenant (by net rent).

Rent Payable by Largest Tenant

Dynamic

Numeric

Annual Rent payable by largest current tenant.

2nd Largest Tenant by Income (Net)

Dynamic

Text/Numeric

Name of second largest current tenant (by net rent).

Date of Lease Expiration of 2nd Largest Tenant

Dynamic

Date

Expiration date of lease of second largest current tenant (net annual rent).

Rent Payable by 2nd Largest Tenant

Dynamic

Numeric

Rent Payable by second largest current tenant.

3rd Largest Tenant by Income (Net)

Dynamic

Text/Numeric

Name of third largest current tenant (by net rent).

Date of Lease Expiration of 3rd Largest Tenant

Dynamic

Date

Expiration date of lease of third largest current tenant (net annual rent).

Rent Payable by 3rd Largest Tenant

Dynamic

Numeric

Rent Payable by third largest current tenant.

Rent Currency

Dynamic

List

Rent currency denomination.

Foreclosure Details

Date Asset Expected to Be Resolved or Foreclosed

Dynamic

Date

Estimated date the Special Servicer expects resolution. If multiple properties, enter latest date from the affiliated properties. If in foreclosure = Expected Date of Foreclosure and if Property Possession = Expected Sale Date.

Possession Proceedings Start Date

Dynamic

Date

The date on which foreclosure proceedings or alternative enforcement procedures were initiated against or agreed by the borrower.

Date of Receivership

Dynamic

Date

The date on which title to (or an alternative form of effective control and ability to dispose of) the collateral property was obtained.


BOND INFO:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Bond General Details

Transaction Pool Identifier

Static

Text/Numeric

The unique transaction or pool identification string.

Distribution Date

Static

Date

The interest and principal payment date of the bond tranche.

Record Date

Static

Date

Date note class must be held as of to be considered holder of record.

Bond Class Name

Static

Text/Numeric

The designation (typically a letter and/or number) given to a tranche of commercial mortgage backed structured finance instrument which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1 etc.

CUSIP (Rule 144A)

Static

Text/Numeric

The security identification code assigned to each note class or tranche pursuant to standards established by the Committee on Uniform Security Identification Procedures number for Rule 144A requirements or other securities code established by an exchange or other entity.

International Securities Identification Number

Static

Text/Numeric

The security identification code assigned to each note class or tranche pursuant to standards established by the International Standards Organisation (ISIN) or other securities code established by an exchange or other entity.

Common Code (Rule 144A)

Static

Text/Numeric

Nine-digit identification code issued for each note class or tranche jointly by CEDEL and Euroclear.

International Securities Identification Number (Reg. S)

Static

Text/Numeric

The security identification code assigned to each note class or tranche pursuant to standards established by the International Standards Organisation (ISIN) for Regulation S requirements or other securities code established by an exchange or other entity.

Common Code (Reg. S)

Static

Text/Numeric

The security identification code assigned to each note class or tranche pursuant to standards established by the Committee on Uniform Security Identification Procedures number for Regulation S requirements or other securities code established by an exchange or other entity.

Bond Issuance Date

Static

Date

Date of bond issuance.

Legal Maturity Date

Static

Date

The date which note class specific or tranche of must be repaid in order not to be in default.

Currency

Static

List

Type of currency in which the note class or tranche monetary value is expressed.

Original Principal Balance

Static

Numeric

The original principal balance of the specific note class or tranche at the issuance date.

Bond Principal Details

Notional Flag

Static

Y/N

‘Y’ for Notional, ‘N’ if this note class or tranche is interest only, i.e. an IO strip.

Beginning Principal Balance

Static

Numeric

The outstanding principal balance of the note class or tranche at the beginning of the current period.

Scheduled Principal

Static

Numeric

The scheduled principal paid to the note class or tranche during the period.

Unscheduled Principal

Dynamic

Numeric

The unscheduled principal paid to the note class or tranche during the period.

Total Principal Distribution

Dynamic

Numeric

The total principal (scheduled and unscheduled) paid to the note class or tranche during the period.

Amortisation Type

Static

List

The amortisation method in which the note class or tranche is paid periodically.

Interest Only Period Duration

Static

Numeric

Length of interest only period in months.

Capitalised Interest

Dynamic

Numeric

Any interest added to the class balance including negative amortisation.

Principal Loss

Dynamic

Numeric

The total principal loss for the reporting period.

Cumulative Principal Losses

Dynamic

Numeric

Principal losses allocated cumulative-to-date.

Ending Principal Balance

Dynamic

Numeric

The outstanding principal balance of the note class or tranche at the end of the current period.

Payment Note factor

Dynamic

Numeric

Principal paid on the note class or tranche in the reporting period as a fraction of the note or tranche original (initial) balance (0<x<1), up to 12 decimal points.

Ending Note factor

Dynamic

Numeric

Ending note class or tranche principal after the payments of the current reporting period as a fraction of the note or tranche original (initial) balance (0<x<1), up to 12 decimal points.

Next Note Payment Date

Dynamic

Date

The next period note class or tranche payment/distribution date.

Bond Interest Details

Index Rate Type

Static

List

The base reference interest index as defined in the offering document applicable to the specific note class or tranche. Current interest rate index.

Current Index Rate

Dynamic

Numeric

The current value of the index rate applied to the specific note class or tranche during the current accrual period, to a minimum of 5 decimal places.

Accrual Method

Static

List

The accrual method in which the note class or tranche is calculated periodically.

Current Accrual Days

Dynamic

Numeric

The number of accrual days applicable to the calculation of current period remittance interest.

Interest Accrued

Dynamic

Numeric

The amount of accrued interest.

Available Funds Cap Applicable

Static

Y/N

Does the Note class benefit an Available Funds Cap (AFC) mechanism?

Appraisal Reduction Amount

Dynamic

Numeric

Current appraisal reduction allocated to this class.

Cumulative Appraisal Reduction

Dynamic

Numeric

Total cumulative appraisal reduction allocated.

Other Interest Distribution

Dynamic

Numeric

Other specific additions to interest.

Current Interest Shortfall

Dynamic

Numeric

Interest shortfall amount for this reporting period for this class.

Cumulative Interest Shortfall

Dynamic

Numeric

Cumulative Interest Shortfall to date.

Total Interest Distribution

Dynamic

Numeric

The total interest payment made.

Beginning Unpaid Interest Balance

Dynamic

Numeric

Outstanding interest shortfall at the beginning of the current period.

Short-Term Unpaid Interest

Dynamic

Numeric

Any interest deferred in the current period and payable on the next Payment Date.

Long-Term Unpaid Interest

Dynamic

Numeric

Any interest deferred in the current period and payable on the Maturity Date.

Available Funds Cap Trigger Event

Dynamic

Y/N

Has an Available Funds Cap (AFC) event been triggered?

Next Period Index Rate

Dynamic

Numeric

The next period value of the Index rate.

Next Index Reset Date

Dynamic

Date

The next period Index Rate reset date.

Liquidity Facility Details

Liquidity Facility - Beginning Balance

Dynamic

Numeric

The beginning balance of the liquidity facility.

Adjustments To The Liquidity Facility

Dynamic

Numeric

Any adjustments to the liquidity facility.

Drawdowns On The Liquidity Facility

Dynamic

Numeric

Amount of drawdown on the liquidity facility.

Repayments To The Liquidity Facility

Dynamic

Numeric

Repayment amounts to the liquidity facility.

Closing Liquidity Facility Balance

Dynamic

Numeric

The closing balance.

Liquidity Facility Currency

Dynamic

List

Currency of the liquidity facility.


ANNEX III

Loan Level Data — Reporting template for structured finance instruments backed by loans to small and medium-sized enterprises

ASSETS:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Pool Cut-off Date

Dynamic

Date

Current pool or portfolio cut-off date.

Pool Identifier

Static

Text/Numeric

The unique transaction or pool identification string/transaction name.

Loan Identifier

Static

Text/Numeric

Unique identifier for each loan.

Originator

Static

Text

Lender that advanced the original loan.

Servicer Identifier

Static

Text/Numeric

Unique identifier per servicer to flag which entity is servicing the loan.

Servicer Name

Dynamic

Text

Servicer name.

Borrower Identifier

Static

Text/Numeric

Unique identifier per borrower — to enable borrowers with multiple loans in the pool to be identified (e.g. further advances/other loans shown as separate entries)

Obligor Information

Country

Static

List

Country of permanent establishment.

Postcode

Static

Text

First two or three characters must be provided at a minimum. Do not supply the full postcode.

Obligor Legal Form/Business Type

Static

List

 

Borrower Basel III Segment

Static

List

 

Originator Affiliate?

Static

Y/N

Is the borrower an affiliate of the originator?

Asset Type

Static

List

 

Seniority

Dynamic

List

 

Bank Internal Loss Given Default (LGD) Estimate

Dynamic

Numeric

Loss Given Default in normal economic conditions.

NACE Industry Code

Static

Text/Numeric

Borrower industry NACE Code.

Lease characteristics

Loan Origination Date

Static

Date

Date of original loan advance.

Final Maturity Date

Static

Date

Final maturity date of the loan.

Loan Denomination Currency

Static

List

Loan denomination.

Loan Hedged

Dynamic

Y/N

Has the specific loan been hedged for currency risk?

Original Loan Balance

Static

Numeric

Original total loan balance.

Current Balance

Dynamic

Numeric

Amount of loan outstanding as of pool cut-off date, This should include any amounts that are classed as principal in the transaction. For example if fees have been added to the loan balance and are part of the principal in the transaction these should be added. Excluding any interest arrears or penalty amounts.

Securitised Loan Amount

Static

Numeric

Balance of the securitised loan as of the cut-off date

Principal Payment Frequency

Static

List

Frequency of principal payments due, i.e. number of months between payments.

Interest Payment Frequency

Static

List

Frequency of interest payments due, i.e. number of months between payments.

Amortisation Type

Dynamic

List

Amortisation type.

Type of Loan

Static

List

 

Balloon Amount

Dynamic

Numeric

The balloon payment amount

Payment type

Dynamic

List

 

Interest Rate

Current Interest Rate

Dynamic

Numeric

Current interest rate (%)

Interest Cap Rate

Dynamic

Numeric

Interest rate cap (%).

Interest Floor Rate

Static

Numeric

Interest rate floor (%).

Interest Rate Type

Dynamic

List

Interest Rate Type.

Current Interest Rate Index

Dynamic

List

Current interest rate index (the reference rate off which the mortgage interest rate is set).

Current Interest Rate Margin

Dynamic

Numeric

Current interest rate margin (for fixed rate loans this is the same as the current interest rate, for floating rate loans this is the margin over or under if input as a negative) the index rate.

Interest Reset Period

Static

List

 

Performance Information

Interest Arrears Amount

Dynamic

Numeric

Current balance of interest arrears.

Number of Days in Interest Arrears

Dynamic

Numeric

Number of days this loan is in arrears (at pool cut-off date) according to the definition of the issuer

Principal Arrears Amount

Dynamic

Numeric

Current balance of principal arrears. Arrears defined as: Total principal payments due to date LESS Total principal payments received to date LESS any amounts capitalised.

Number of Days in Principal Arrears

Dynamic

Numeric

Number of days this loan is in arrears (at pool cut-off date) according to the definition of the issuer.

Default or Foreclosure on the loan per the transaction definition

Dynamic

Y/N

Whether there has been a default or foreclosure on the loan per the transaction definition.

Default or Foreclosure on the loan per Basel III definition

Dynamic

Y/N

Whether there has been a default or foreclosure on the loan per Basel III definition.

Reason for Default (Basel II definition)

Dynamic

List

Using Basel II Definition Reason for default.

Default Date

Dynamic

Date

Date the loan defaulted per the transaction default definition.

Default Amount

Dynamic

Numeric

Total default amount (per the transaction default definition) before the application of sale proceeds and recoveries.

Cumulative Recoveries

Dynamic

Numeric

Total recoveries including all sale proceeds. Only relevant for loans that have defaulted/foreclosed.

Allocated Losses

Dynamic

Numeric

The allocated losses to date.

Date Loss Allocated

Dynamic

Date

The date when the loss was allocated.


AMORTISATION PROFILE:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Outstanding Balance Period 1

Dynamic

Numeric

Amortisation Profile with 0 % prepayments

Outstanding Balance Period 1 Date

Dynamic

Date

Date associated with Period 1 Balance

Outstanding Balance Period [2-120]

Dynamic

Numeric

Amortisation Profile with 0 % prepayments

Outstanding Balance Period [2-120] Date

Dynamic

Date

Date associated with Period [2-120] Balance


COLLATERAL:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Collateral

Collateral ID

Static

Text

Unique collateral code for the originating entity.

Loan Identifier

Static

Text/Numeric

Unique loan identifier associated with the collateral. These should match the identifiers from field ‘Loan Identifier’.

Security Type

Static

List

Is there a fixed or floating charge over the assets?

Collateral Type

Static

List

Collateral type.

Original Valuation Amount

Static

Numeric

Property value as of date of latest loan advance prior to a securitisation.

Original Valuation Date

Static

Date

Date of latest property valuation at time of latest loan advance prior to a securitisation.

Current Valuation Date

Dynamic

Date

This should be the date of the most recent valuation.

Original Valuation Type

Static

List

Valuation type at origination.

Ranking

Dynamic

Text

 

Property Postcode

Static

Text

First two or three characters must be provided at a minimum.

Origination Channel/Arranging Bank or Division

Static

List

 

Collateral Currency

Static

List

This should be the currency relating to the valuation amount in ‘Collateral Value’.

Number of Collateral Items Securing The Loan

Dynamic

Numeric

The total number of collateral pieces securing the loan. The number should reflect the number of collateral reports submitted for the loan in the current file.


BOND INFO:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Fields at Security or Bond Level Data

Report Date

Dynamic

Date

The date on which the transaction report was issued.

Issuer

Static

Text

Name of issuer and issue series, if applicable.

Drawings under Liquidity Facility

Dynamic

Y/N

If the transaction 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.

Fields at Collateral Level Data

Trigger Measurements/Ratios

Dynamic

Y/N

Have any trigger event occurred? The status of various delinquency, dilution, default, loss and similar collateral measurements and ratios in relation to their early amortisation or other trigger event levels, as at the current determination date.

Average Constant Pre-payment Rate

Dynamic

Numeric

The report shall include the Average (Avg) Constant Pre-payment Rate (CPR) speed of the underlying loans. Avg CPR speed is the amount expressed as an annualised percentage of principal prepaid in excess of scheduled repayments. The Avg CPR speed is calculated by first dividing the Current Loan Principal Balance (i.e. the actual balance) by the Scheduled Loan Principal Balance assuming no pre-payments have been made (i.e. only scheduled repayments have been made). This quotient is then raised to a power whereby the exponent is the quantity twelve divided by the number of months since issue. Subtract this result from one then multiply it by one hundred (100) to determine the Avg CPR speed.

Fields for Transaction Report Contact Information

Point Contact

Static

Text

Name of the department or the point person(s) of the information sources.

Contact Information

Static

Text

Telephone number and e-mail address.


BOND INFO BY TRANCHE:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Fields at Tranche Level

Bond Class Name

Static

Text/Numeric

The designation (typically a letter and/or number) given to a tranche of Bonds which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1, Class A1 etc.

International Securities Identification Number

Static

Text/Numeric

The security identification code assigned to each class of SME pursuant to standards established by the International Standards Organisation (ISIN) or other unique securities code established by an exchange or other entity.

Interest Payment Date

Dynamic

Date

The periodic date on which the last payment of interest to holders of a specific tranche of bonds is scheduled to occur.

Principal Payment Date

Dynamic

Date

The last periodic date on which a payment of principal to holders of a specific tranche of bonds is scheduled to occur.

Bond Currency

Static

Text

Bond denomination.

Reference Rate

Static

List

The base reference interest index as defined in the offering document (e.g. three-month Euribor) applicable to a specific tranche of bonds.

Legal Maturity

Static

Date

The date before which a specific tranche of bonds must be repaid in order not to be in default.

Bond Issue Date

Static

Date

Date the bonds were issued.


ANNEX IV

Loan Level Data — Reporting template for structured finance instruments backed by auto-loans

ASSETS:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Deal-Specific Information

Pool Cut-off Date

Dynamic

YYYY-MM-DD

Pool or portfolio cut-off date. This is the date at which the underlying asset data within the report is referenced.

Pool Identifier

Static

Text/Numeric

Pool or portfolio identifier/name of transaction.

Servicer Name

Dynamic

Text/Numeric

Unique identifier per servicer to flag which entity is servicing the loan or lease.

Backup Servicer Name

Dynamic

Text

Name of the Backup Servicer.

Loan or Lease-Level Information

Loan or Lease Identifier

Static

Text/Numeric

Unique identifier for the loan or lease. The ID should not change through the life of the transaction.

Originator

Static

Text

Lender that advanced the original loan or lease.

Borrower Identifier

Static

Text/Numeric

Unique identifier for the borrower or lessee.

Group Company Identifier

Dynamic

Text

Unique group company identifier which identifies the borrower’s ultimate parent company.

Loan or Lease Currency Denomination

Static

List

The loan or lease currency denomination.

Borrower’s Employment Status

Static

List

Employment status of the primary applicant.

Primary Income

Static

9(11).99

Primary borrower underwritten gross annual income.

Primary Income Currency

Static

List

The income currency denomination

Amortisation Type

Dynamic

List

Amortisation type.

Income Verification for Primary Income

Static

List

Income verification for primary income.

Geographic Region

Static

List

The region where the borrower is located as at underwriting.

Origination Date

Static

YYYY-MM

Date of original loan advance or lease commencement.

Expected Loan or Lease Maturity

Dynamic

YYYY-MM

The expected date of maturity of the loan or expiry of the lease.

Original Loan or Lease Term

Static

Numeric

Original contractual term (number of months).

Pool Addition Date

Static

YYYY-MM

The date that the loan or lease was transferred to the SPV.

Original Principal Balance

Static

9(11).99

Borrower’s loan principal balance or discounted lease balance (inclusive of capitalised fees) at origination.

Current Principal Outstanding Balance

Dynamic

9(11).99

Borrower’s loan or discounted lease balance outstanding as of the pool cut-off date. This should include 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 transaction, these should be added.

Scheduled Payment Due

Dynamic

9(11).99

The next contractual scheduled payment due (the payment due if there are no other payment arrangements in force).

Scheduled Payment Frequency

Dynamic

List

Scheduled payment frequency.

Down Payment Amount

Static

9(11).99

Amount of deposit/down payment on origination of loan or lease (this should include the value of traded-in vehicles etc.)

Original Loan to Value

Static

9(3).99

The LTV of the vehicle at origination, which may be rounded to the nearest 5 per cent.

Product Type

Static

List

Product type.

Option to Buy Price

Static

9(11).99

The amount the borrower has to pay at the end of the lease or loan in order to take ownership of the vehicle.

Interest Rate Reset Interval

Static

9(2).99

Number of months between each interest rate reset date on the loan or lease.

Current Interest or Discount Rate

Dynamic

9(4).9(5)

Total current interest or discount rate (%) applicable to the loan or lease (may be rounded to the nearest half a per cent).

Current Interest Rate Basis

Dynamic

List

Current interest rate basis.

Current Interest Rate Margin

Dynamic

9(4).9(5)

Current interest rate (%) margin of the loan or lease (may be rounded to the nearest half a per cent). For fixed-rate loans, this is the same as Current Interest or Discount Rate. For floating rate loans this is the margin over (or under, in which case input as a negative) the index rate.

Discount Rate

Static

9(4).9(5)

Discount rate applied to the receivable when it was sold to the SPV (may be rounded to the nearest half per cent).

Car Manufacturer

Static

Text

Brand name of the vehicle manufacturer.

Car Model

Static

Text/Numeric

Name of the car model.

New or Used Car

Static

List

Condition of vehicle at point of loan or lease origination.

Original Residual Value of Vehicle

Static

9(11).99

The estimated residual value of the vehicle, at the date of loan or lease origination. Response may be rounded.

Securitised Residual Value

Static

9(11).99

Residual value amount which has been securitised only. Response may be rounded.

Updated Residual Value of Vehicle

Dynamic

9(11).99

Most recent estimated residual value of vehicle at end of contract. Response may be rounded.

Date of Updated Residual Valuation of Vehicle

Dynamic

YYYY-MM

The date that 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.

Customer Type

Static

List

Legal form of customer.

Payment method

Dynamic

List

Usual method of payment (can be based upon last payment received).

Date Removed from the Pool

Dynamic

YYYY-MM

Date that the loan or lease was removed from the pool, e.g. on repurchase, redemption, prepayment or end of recovery process.

Interest Cap Rate

Dynamic

9(4).9(8)

If there is a cap to the interest rate that can be charged on this account, enter this cap here — do not include the % symbol.

Interest Floor Rate

Dynamic

9(4).9(8)

If there is a floor to the interest rate that can be charged on this account, enter this floor here — do not include the % symbol.

Arrears Balance

Dynamic

9(11).99

Current balance of arrears.

Number of Months in Arrears

Dynamic

9(5).99

Number of months the loan or lease is in arrears as of the pool cut-off date.

Default Date

Dynamic

YYYY-MM

The date of default.

Gross Default Amount

Dynamic

9(11).99

Gross default amount on this account.

Sale Price

Dynamic

9(11).99

 

Loss on Sale

Dynamic

9(11).99

Gross default amount less sale proceeds (excluding prepayment charge if subordinate to principal recoveries).

Cumulative Recoveries

Dynamic

9(11).99

Cumulative recoveries on this account, net of costs.

Redemption Date

Dynamic

YYYY-MM

Date on which account redeemed or date that the recovery process was completed for defaulted loans.

Residual Value Losses

Dynamic

9(11).99

Residual value loss arising on turn-in of vehicle.

Account Status

Dynamic

List

Current status of account


BOND INFO:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Bond-Level Information

Report Date

Dynamic

YYYY-MM-DD

The date on which the transaction report was issued, i.e. the submission date of the completed loan-level data template to the data repository.

Issuer

Static

Text

Name of issuer and issue series, if applicable.

All Reserve Accounts at Target Balance

Dynamic

Y/N

Are all reserve accounts (cash reserve, commingling reserve, set-off reserve etc.) at their required levels?

Drawings under Liquidity Facility

Dynamic

Y/N

Has the liquidity facility been used to cover shortfalls in the period ending on the last interest payment date?

Trigger Measurements/Ratios

Dynamic

Y/N

Has any trigger event occurred?

Annualised Constant Prepayment Rate

Dynamic

9(3).99

The annualised Constant Prepayment Rate (CPR) of the underlying receivables based upon the most recent periodic CPR. Periodic CPR is equal to the total unscheduled principal received in the most recent period divided by the start of period principal balance.

Total Receivables Sold to SPV

Dynamic

9(11).99

Sum of principal amount of receivables sold to SPV (i.e. at closing and during the replenishment period if applicable) to date.

Cumulative Gross Defaults – Pool

Dynamic

9(11).99

Sum of all gross defaults since closing, in currency amount.

Cumulative Recoveries - Pool

Dynamic

9(11).99

Sum of all recoveries since closing, net of costs, in currency amount.

Revolving Period End Date

Dynamic

YYYY-MM

The date that the revolving period is expected to end, or actually ended.

Transaction Report Contact Information

Point Contact

Static

Text/Numeric

Name of the department and the point person(s) of the information sources.

Contact Information

Static

Text/Numeric

Telephone number and e-mail address.


BOND INFO BY TRANCHE:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Tranche Level Information

Bond Class Name

Static

Text/Numeric

The designation (typically a letter and/or number) given to this tranche of bonds which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1a etc.

International Securities Identification Number

Static

Text/Numeric

The international security identification code or codes, or if no ISIN, then any other unique securities code such as a CUSIP, assigned to this tranche by an exchange or other entity. If more than one code, enter comma- delimited.

Interest Payment Date

Dynamic

YYYY-MM-DD

The first occurring date, after the pool cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche.

Principal Payment Date

Dynamic

YYYY-MM-DD

The first occurring date, after the pool cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche.

Bond Currency

Static

List

The denomination of this tranche.

Reference Rate

Static

List

The base reference interest index as defined in the offering document (e.g. three months Euribor) applicable to this specific tranche.

Legal Maturity

Static

YYYY-MM-DD

The date before which this specific tranche must be repaid in order not to be in default.

Bond Issue Date

Static

YYYY-MM-DD

Date the bonds were issued.

Interest Payment Frequency

Static

List

The frequency with which interest is due to be paid on this tranche.


ANNEX V

Loan Level Data — Reporting template for structured finance instruments backed by loans to consumers

ASSETS:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Deal-Specific Information

Pool Cut-off Date

Dynamic

YYYY-MM-DD

Pool or Portfolio cut-off date. This is the date at which the underlying asset data within the report is referenced.

Pool Identifier

Static

Text/Numeric

Pool or Portfolio identifier/name of transaction.

Servicer Name

Dynamic

Text/Numeric

Unique identifier per servicer to flag which entity is servicing the loan.

Backup Servicer Name

Dynamic

Text

Name of the Backup Servicer.

Loan Level Information

Loan Identifier

Static

Text/Numeric

Unique identifier for a particular loan in the pool.

Originator

Static

Text

Lender that advanced the original loan.

Borrower Identifier

Static

Text/Numeric

Unique identifier for a borrower. This must be encrypted (i.e. not the actual identification number) to ensure anonymity of the borrower.

Loan Currency Denomination

Static

List

Loan currency denomination.

Total Credit Limit

Dynamic

9(11).99

For loans with flexible re-draw/revolving characteristics — the maximum loan amount that could potentially be outstanding.

Revolving End Date - Loan

Dynamic

YYYY-MM

For loans with flexible re-draw/revolving characteristics — the date when the flexible features are expected to expire, i.e. when the revolving period will end.

Borrower's Employment Status

Static

List

Employment status of the primary applicant.

Primary Income

Static

9(11).99

Primary borrower underwritten gross annual income (not rent). Should be rounded to the nearest 1 000 units.

Primary Income Currency

Static

List

The income currency denomination.

Income Verification for Primary Income

Static

List

Income verification for primary income.

Geographic Region

Static

List

The region where the borrower is located.

Origination Date

Static

YYYY-MM

Date of original loan advance.

Expected Loan Maturity

Dynamic

YYYY-MM

The expected date of maturity of the loan.

Original Loan Term

Static

Numeric

Original contractual term (number of months).

Pool Addition Date

Static

YYYY-MM

The date that the loan was transferred to the SPV.

Original Principal Balance

Static

9(11).99

Original loan principal balance (inclusive of capitalised fees) at origination.

Current Principal Outstanding Balance

Dynamic

9(11).99

The loan principal balance outstanding as of the pool cut-off date. Exclude any interest arrears or penalty amounts.

Scheduled Payment Due

Dynamic

9(11).99

The next contractual scheduled payment due (the payment due if there are no other payment arrangements in force).

Scheduled Payment Frequency

Dynamic

List

Payment frequency.

Repayment Method

Dynamic

List

Type of principal repayment.

Interest Rate Reset Interval

Static

9(2).99

Number of months between each interest rate reset date.

Current Interest Rate

Dynamic

9(4).9(8)

Total current interest rate (%) applicable to the loan. Do not include the % symbol.

Current Interest Rate Basis

Dynamic

List

Current interest rate basis.

Current Interest Rate Margin

Dynamic

9(4).9(5)

Current interest rate (%) margin of the loan. For fixed-rate loans, this is the same as Current Interest Rate.

Number of Borrowers

Dynamic

Numeric

Number of borrowers to the loan.

Percentage of Prepayments allowed

Dynamic

9(3).99

Maximum percentage of the outstanding balance allowed annually as a prepayment without incurring a penalty. Do not include the % symbol.

Early Repayment Charges

Dynamic

9(3).99

Percentage of the outstanding balance which is payable as a charge if the prepayment limit is exceeded. Do not include the % symbol.

Customer Type

Static

List

Customer type at origination.

Payment Method

Dynamic

List

Usual method of payment (can be based upon last payment received).

Date Removed from the Pool

Dynamic

YYYY-MM

Date that the loan was removed from the pool, e.g. on repurchase, redemption, prepayment or end of recovery process.

Employee

Static

Y/N

Is the borrower an employee of the originator?

Interest Cap Rate

Dynamic

9(4).9(8)

If there is a cap to the interest rate that can be charged on this account, enter this cap here.

Interest Floor Rate

Dynamic

9(4).9(8)

If there is a floor to the interest rate that can be charged on this account, enter this floor here.

Performance Information

Arrears Balance

Dynamic

9(11).99

Current balance of arrears, defined as the sum of minimum contractual payments due but unpaid by the borrower.

Number of Months in Arrears

Dynamic

9(5).99

Number of months the loan is in arrears as of the pool cut-off date.

Default Date

Dynamic

YYYY-MM

The date of default.

Gross Default Amount

Dynamic

9(11).99

Gross default amount on this account.

Cumulative Recoveries

Dynamic

9(11).99

Cumulative recoveries on this account, net of costs.

Redemption Date

Dynamic

YYYY-MM

Date on which account redeemed or the date that the recovery process was completed for defaulted loans.

Account Status

Dynamic

List

Current status of account.

Arrears Balance Capitalised

Dynamic

9(11).99

Sum of arrears capitalised to date.

Date of Most Recent Arrears Capitalisation

Dynamic

YYYY-MM

Most recent date that arrears were capitalised on this account.


BOND INFO:

Field Name

Dynamic/Static

Data Type

Field Definition and Criteria

Security or Bond Level Information

Report Date

Dynamic

YYYY-MM-DD

The date on which the transaction report was issued, i.e. the submission date of the completed loan-level data template to the data repository.

Issuer

Static

Text

Name of issuer and issue series, if applicable.

All Reserve Accounts at Target Balance

Dynamic

Y/N

Are all reserve accounts (cash reserve, commingling reserve, set-off reserve etc.) at their required levels?

Drawings under Liquidity Facility

Dynamic

Y/N

Has the liquidity facility been used to cover shortfalls in the period ending on the last interest payment date?

Trigger Measurements/Ratios

Dynamic

Y/N

Has any trigger event occurred?

Annualised Constant Prepayment Rate

Dynamic

9(3).99

The annualised Constant Prepayment Rate (CPR) of the underlying receivables based upon the most recent periodic CPR. Periodic CPR is equal to the total unscheduled principal received in the most recent period divided by the start of period principal balance. This is then annualised as follows:

 

1-((1-Periodic CPR)^number of periods in a year)

 

Do not include the % symbol.

Total Receivables Sold to SPV

Dynamic

9(11).99

Sum of principal amount of receivables sold to SPV (i.e. at closing and during the replenishment period if applicable) to date.

Cumulative Gross Defaults – Pool

Dynamic

9(11).99

Sum of all gross defaults since closing, in currency amount.

Cumulative Recoveries - Pool

Dynamic

9(11).99

Sum of all recoveries in the pool since closing, net of costs, in currency amount.

Revolving Period End Date

Dynamic

YYYY-MM

The date that the transaction revolving period is expected to end, or actually ended.

Transaction Report Contact Information

Point Contact

Static

Text/Numeric

Name of the department and the point person(s) of the information sources.

Contact Information

Static

Text/Numeric

Telephone number and e-mail address.


BOND INFO BY TRANCHE:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Tranche Level Information

Bond Class Name

Static

Text/Numeric

The designation (typically a letter and/or number) given to a tranche of bonds which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1a etc.

International Securities Identification Number

Static

Text/Numeric

The international security identification code or codes, or if no ISIN then any other unique securities code such as a CUSIP, assigned to this tranche by an exchange or other entity. If more than one code, enter comma-delimited.

Interest Payment Date

Dynamic

YYYY-MM-DD

The first occurring date, after the pool cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche.

Principal Payment Date

Dynamic

YYYY-MM-DD

The first occurring date, after the pool cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche.

Bond Currency

Static

List

The denomination of this tranche.

Reference Rate

Static

List

The base reference interest index as defined in the prospectus applicable to this specific tranche.

Legal Maturity

Static

YYYY-MM-DD

The date by which this specific tranche must be fully repaid in order not to be in default.

Bond Issue Date

Static

YYYY-MM-DD

Date the bonds were issued.

Interest Payment Frequency

Static

List

The frequency with which interest is due to be paid on this tranche.


ANNEX VI

Loan Level Data — Reporting template for structured finance instruments backed by credit card loans

ASSETS:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Deal-Specific Information

Pool Cut-Off Date

Dynamic

YYYY-MM-DD

Pool or portfolio cut-off date. This is the date at which the underlying asset data within the report is referenced.

Pool Identifier

Static

Text/Numeric

Pool or portfolio identifier, e.g. Master Issuer plc, or SPV 2012-1 plc.

Servicer Name

Static

Text/Numeric

Name of the entity servicing the account.

Backup Servicer Name

Dynamic

Text/Numeric

Name of the backup servicer.

Seller

Static

Text/Numeric

Name of Seller.

Type of Transaction

Static

List

Standalone, Master Trust — Capitalist, Master Trust — Socialist or Other.

Loan Level Information

Account Identifier

Static

Text/Numeric

Unique identifier for a particular account in the pool. It must be encrypted to ensure data protection.

Originator

Static

Text/Numeric

Lender that originated the account. If unknown, please enter Seller.

Borrower Identifier

Static

Text/Numeric

Unique identifier for a particular borrower; must be encrypted to ensure data protection. This may be the same as the Account Identifier.

Currency Denomination Of Receivable

Static

List

The currency in which the receivable is denominated.

Pool Addition Date

Static

YYYY-MM

Date that the account entered the pool.

Borrower’s Employment Status

Static

List

Employment status of the primary applicant.

Primary Income Currency

Static

List

Primary income currency denomination.

Income Verification For Primary Income

Static

List

Income verification for primary income.

Geographic Region

Dynamic

List

The region where the borrower is located.

Employee

Static

Y/N

Is the borrower an employee of the originator or seller?

Account Opening Date

Static

YYYY-MM

The date that the account was opened.

Total Current Balance

Dynamic

9(11).99

What is the total current amount owed by the borrower (including all fees and interest) on the account?

Total Credit Limit

Dynamic

9(11).99

What is the credit limit of the borrower on the account?

Scheduled Payment Frequency

Dynamic

List

What is the minimum frequency with which the borrower are obliged to make payments if they have a balance outstanding.

Next Minimum Contractual Payment

Dynamic

9(11).99

The next minimum scheduled payment due from the borrower.

Current Blended Yield

Dynamic

9(3).99

Total weighted average yield including all fees applicable at last billing date (i.e. this is billed, not cash yield) (%).

Current Interest Rate Basis

Dynamic

List

Current interest rate basis.

Account Status

Dynamic

List

Current status of account.

Arrears Balance

Dynamic

9(11).99

Current balance of arrears, defined as the sum of minimum contractual payments due but unpaid by the borrower.

Arrears Balance Capitalised

Dynamic

9(11).99

Sum of arrears capitalised to date.

Date of Most Recent Arrears Capitalisation

Dynamic

YYYY-MM

Most recent date that arrears were capitalised on this card.

Number Of Days In Arrears

Dynamic

Numeric

Number of days the account is in arrears as of the pool cut-off date.

Payment Method

Dynamic

List

Usual method of payment (can be based upon last payment received).

Date Of Charge Off

Dynamic

YYYY-MM

The date of default.

Original Charge Off Amount

Dynamic

9(11).99

The total balance on the account at the date the account was charged-off.

Cumulative Recoveries

Dynamic

9(11).99

Cumulative recoveries — only relevant for accounts that have charged-off. For accounts that have not been charged-off, enter 0.


POOL AND BOND INFO:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Collateral Level Data (To be completed for all structures)

Gross Charge Offs In The Period

Dynamic

9(11).99

Face value of gross principal charge-offs (i.e. before recoveries) for the period. Charge-off is as per transaction definition, or alternatively per lender’s usual practice.

Recoveries In The period

Dynamic

9(11).99

Gross recoveries received during the period.

Delinquencies 30-59 Days %

Dynamic

9(3).99

Based upon total balance of receivables, not number of accounts (%).

Delinquencies 60-89 Days %

Dynamic

9(3).99

Based upon total balance of receivables, not number of accounts (%).

Delinquencies 90-119 Days %

Dynamic

9(3).99

Based upon total balance of receivables, not number of accounts (%).

Delinquencies 120-149 Days %

Dynamic

9(3).99

Based upon total balance of receivables, not number of accounts (%).

Delinquencies 150-179 Days %

Dynamic

9(3).99

Based upon total balance of receivables, not number of accounts (%).

Delinquencies 180+ Days %

Dynamic

9(3).99

Based upon total balance of receivables, not number of accounts (%).

Dilutions

Dynamic

9(11).99

Total reductions in principal receivables during the period, i.e. inclusive of fraud claims.

Revenue Collections In The Period

Dynamic

9(11).99

Collections treated as revenue in the period.

Principal Collections In The Period

Dynamic

9(11).99

Collections treated as principal in the period.

Any Trigger Occurrence

Dynamic

Y/N

Has any trigger event occurred, that is still outstanding? e.g. any pay-out event, any trigger based upon the originator’s rating, status or value of delinquencies, yield, dilutions, defaults etc.

SPV Size - Value

Dynamic

9(11).99

Face value of all receivables (principal and charges) in which the trust or SPV has a beneficial interest at the cut-off date.

SPV Size - Number Of Accounts

Dynamic

9(11).99

Number of accounts in which the trust or SPV has a beneficial interest at the cut-off date.

SPV Size - Value - Principal Only

Dynamic

9(11).99

Face value of all receivables (principal only) in which the trust or SPV had a beneficial interest at the cut-off date.

Note Balance

Dynamic

9(11).99

Face value of all asset-backed notes, collateralised by the receivables in the trust or SPV.

Transferor Interest %

Dynamic

9(3).99

The actual transferor’s interest in the trust, expressed as a percentage.

Excess Spread Amount

Dynamic

9(11).99

The amount remaining after note interest and topping up of any reserve account.

Report Date

Dynamic

YYYY-MM-DD

The date on which the transaction report was issued.

Series Level Information (For master trusts only)

Series Name

Static

Text/Numeric

Name of series, if part of a master trust.

Investor Interest For This Series At End Of Period %

Dynamic

9(3).9(5)

The investor’s interest of this series in the trust, expressed as a percentage.

Revenue Allocated To This Series

Dynamic

9(11).99

Revenue amounts allocated to this series from the trust.

Excess Spread Amount

Dynamic

9(11).99

The amount remaining after the period’s collections have been fully applied to cover the issuer’s obligations per the revenue waterfall in the transaction documentation.

Transaction Report Contact Information

Point Contact

Static

Text/Numeric

Name of the department and the point person(s) of the information sources.

Contact Information

Static

Text/Numeric

Telephone number and email address.


BOND INFO BY TRANCHE:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Tranche Level Information (For this series only)

Bond Class Name

Static

Text/Numeric

The designation (typically a letter and/or number) given to a tranche of bonds which exhibit the same rights, priorities and characteristics as defined in the prospectus, e.g. 2012 Class A1a etc.

International Securities Identification Number

Static

Text/Numeric

The international security identification code or codes, or if no ISIN then any other unique securities code such as a CUSIP, assigned to this tranche by an exchange or other entity. If more than one code, enter comma-delimited.

Interest Payment Date

Dynamic

YYYY-MM-DD

The first occurring date, after the pool cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche.

Principal Payment Date

Dynamic

YYYY-MM-DD

The first occurring date, after the pool cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche.

Bond Currency

Static

List

The denomination of this tranche.

Reference Rate

Static

List

The base reference interest index as defined in the prospectus or final terms applicable to this specific tranche.

Legal Maturity

Static

YYYY-MM-DD

The date by which this specific tranche must be fully repaid in order not to be in default.

Bond Issue Date

Static

YYYY-MM-DD

Date this bond was issued.

Interest Payment Frequency

Static

List

The frequency with which interest is due to be paid on this specific tranche.

Series name

Static

Text/Numeric

Name of series, if part of a master trust. If standalone, use Pool Identifier.


ANNEX VII

Loan Level Data — Reporting template for structured finance instruments backed by leases to individuals or businesses

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Deal-Specific Information

Pool Cut-off Date

Dynamic

YYYY-MM-DD

Pool or Portfolio cut-off date. This is the date at which the underlying asset data within the report is referenced.

Pool Identifier

Static

Text/Numeric

Pool or Portfolio identifier/name of transaction.

Servicer Name

Dynamic

Text/Numeric

Servicer name.

Backup Servicer Name

Dynamic

Text

Name of the Backup Servicer.

Lease-Level Information

Lease Identifier

Static

Text/Numeric

Unique identifier (ID) for each Lease which should be encrypted to ensure anonymity. The Lease ID should not change through the life of the transaction.

Originator

Static

Text

Lender that advanced the original Lease. Where original originator is not known, for example in case of mergers, name of Seller to be provided.

Lessee Identifier

Static

Text/Numeric

Unique identifier (ID) per Lessee which should be encrypted (not showing the real name) to ensure anonymity — to enable Lessees with multiple Leases in the pool to be identified.

Group Company Identifier

Dynamic

Text/Numeric

Unique group company identifier.

Lease Currency Denomination

Static

List

Lease currency denomination.

Country

Static

List

Country of permanent establishment of the lessee.

Geographic Region

Static

List

The region where the obligor is located as at underwriting.

Lessee Legal Form/Business Type

Static

List

Legal form of lessee.

Borrower Basel III Segment

Static

List

Corporate (1).

Originator Affiliate?

Static

Y/N

Is the borrower an affiliate of the originator?

Syndicated?

Static

Y/N

Is the lease syndicated?

Bank Internal Rating

Dynamic

99(3).99

Bank internal 1 Year Probability of Default.

Last Internal Obligor Rating Review

Dynamic

YYYY-MM

Date of last internal review of obligor as referenced in ‘Bank Internal Rating’.

Bank Internal Loss Given Default (LGD) Estimate

Dynamic

9(3).99

Loss Given Default in normal economic conditions. Do not include the % symbol.

NACE Industry Code

Static

Text/Numeric

Borrower industry NACE Code.

Subsidised

Dynamic

Y/N

Is the lease subsidised (to the best of your knowledge)?

Date Removed from the Pool

Dynamic

YYYY-MM

Date that the lease was removed from the pool, e.g. on repurchase, expiry of lease term, prepayment or end of recovery process.

Lease Characteristics

Lease Origination Date

Static

YYYY-MM

Date of lease origination.

Date of Lease Maturity

Dynamic

YYYY-MM

The expected expiry date of the lease maturity.

Pool Addition Date

Static

YYYY-MM

Date that the lease was transferred to the SPV. For all leases in the pool as at the date of the pool cut-off.

Lease Term

Static

99(4).99

Original contractual term (number of months).

Original Principal Balance

Static

9(11).99

Original Principal (or discounted) lease balance (inclusive of capitalised fees) at origination.

Current Principal Outstanding Balance

Dynamic

9(11).99

Principal (or discounted) lease balance outstanding as of the pool cut-off date, including any amounts that have been added to the lease balance and are part of the principal in the transaction.

Securitised Residual Value

Static

9(11).99

Residual value amount which has been securitised only.

Repayment Method

Static

List

Type of principal repayment.

Principal Payment Frequency

Static

List

Frequency of principal payments due, i.e. number of months between payments.

Interest Payment Frequency

Static

List

Frequency of interest payments due, i.e. number of months between payments.

Payment Due

Dynamic

9(11).99

The next periodic contractual payment due (the payment due if there are no other payment arrangements in force).

Option to Buy Price

Static

9(11).99

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 field ‘Securitised Residual Value’.

Down Payment Amount

Static

9(11).99

Amount of deposit/down payment on origination of lease (this should include the value of traded-in equipment etc.).

Amortisation Type

Dynamic

List

Amortisation type.

Payment Method

Dynamic

List

Usual method of payment (can be based upon last payment received).

Product Type

Static

List

The classification of the lease, per lessor’s definitions.

Updated Residual Value of Asset

Dynamic

9(11).99

Most recent forecast residual value of the asset at the end of the lease term. Response may be rounded.

Date of Updated Residual Valuation of Asset

Dynamic

YYYY-MM

The date that the most recent updated estimation of the residual value of the asset was calculated.

Interest Rate

Interest Rate Reset Interval

Static

9(2).99

Number of months between each interest rate reset date.

Current Interest Rate or Discount Rate

Dynamic

9(4).9(5)

Total current interest rate (%) or discount rate applicable to the lease.

Current Interest Rate Basis

Dynamic

List

Current interest rate basis.

Current Interest Rate Margin

Dynamic

9(4).9(5)

Current interest rate margin of the lease.

Discount Rate

Static

9(4).9(5)

Discount rate applied to the receivable when it was sold to the SPV.

Interest Cap Rate

Dynamic

9(4).9(8)

If there is a cap to the interest rate that can be charged on this account, enter this cap here.

Interest Floor Rate

Dynamic

9(4).9(8)

If there is a floor to the interest rate that can be charged on this account, enter this floor here.

Performance Information

Arrears Balance

Dynamic

9(11).99

Current balance of arrears. Arrears defined as: Total payments due to date LESS Total payments received to date LESS any amounts capitalised. This should not include any fees applied to the account.

Number of Months in Arrears

Dynamic

9(5).99

Number of months this Lease is in arrears (at pool cut-off date) according to the definition of the issuer.

Default or Foreclosure on the Lease

Dynamic

Y/N

Whether there has been a default or foreclosure on the lease per the transaction definition, or alternatively, per the lessor’s usual definition.

Default or Foreclosure on the Lease per Basel III definition

Dynamic

Y/N

Whether there has been a default or foreclosure on the Lease per Basel III definition.

Reason for Default (Basel III definition)

Dynamic

List

Using Basel III definition, reason for default.

Default Date

Dynamic

YYYY-MM

Date the Lease defaulted per the transaction default definition, or alternatively, per the lessor’s usual definition.

Default Amount

Dynamic

9(11).99

Total default amount (per the transaction definition, or alternatively, per the lessor’s usual definition) before the application of sale proceeds and recoveries.

Cumulative Recoveries

Dynamic

9(11).99

Cumulative recoveries on this account, net of costs.

Allocated Losses

Dynamic

9(11).99

The allocated losses to date.

Redemption Date

Dynamic

YYYY-MM

Date on which account redeemed or the date that the recovery process was completed for defaulted leases.

Date Loss Allocated

Dynamic

YYYY-MM

The date when the loss was allocated.

Account Status

Dynamic

List

Current status of account.

Arrears 1 Month Ago

Dynamic

9(11).99

Arrears balance (defined as per ‘arrears balance’) for the previous month.

Arrears 2 Months Ago

Dynamic

9(11).99

Arrears balance (defined as per ‘arrears balance’) two months ago.

Litigation

Dynamic

Y/N

Flag to indicate litigation proceedings underway (if account has recovered and is no longer being actively litigated this should be re-set to N).

Sale Price

Dynamic

9(11).99

Price achieved on sale of asset in case of foreclosure, in same currency denomination as lease.

Loss on Sale

Dynamic

9(11).99

Total loss net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries).

Residual Value Losses

Dynamic

9(11).99

Residual value loss arising on turn-in of asset.

Collateral

Country of Asset

Static

List

The country where the asset is located.

Asset Manufacturer

Static

Text

Name of the manufacturer.

Asset Name/Model

Static

Text

Name of the asset/model.

New or Used Asset

Static

List

Condition of asset at point of lease origination.

Original Residual Value of Asset

Static

9(11).99

The estimated residual value of the asset at the date of lease origination.

Asset Type

Static

List

Asset type.

Original Valuation amount

Static

9(11).99

Valuation of asset at lease origination.

Original Valuation type

Static

List

Valuation type at lease origination.

Original Valuation date

Static

YYYY-MM

Date of asset valuation at origination.

Updated Valuation amount

Dynamic

9(11).99

Latest asset valuation.

Updated Valuation type

Dynamic

List

Valuation type at most recent valuation date.

Updated Valuation date

Dynamic

YYYY-MM

Date of latest asset valuation. If no revaluation has occurred since origination, enter original valuation date.


BOND INFO:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Security or Bond Level Information

Report Date

Dynamic

YYYY-MM-DD

The date on which the transaction report was issued, i.e. the submission date of the completed loan-level data template to the data repository.

Issuer

Static

Text

Name of issuer and issue series, if applicable.

All Reserve Accounts at Target Balance

Dynamic

Y/N

Are all reserve accounts (cash reserve, commingling reserve, set-off reserve etc.) at their required levels?

Drawings under Liquidity Facility

Dynamic

Y/N

Has the liquidity facility been used to cover shortfalls in the period ending on the last interest payment date?

Trigger Measurements/Ratios

Dynamic

Y/N

Has any trigger event occurred?

Annualised Constant Prepayment Rate

Dynamic

9(3).99

The annualised Constant Prepayment Rate (CPR) of the underlying receivables based upon the most recent periodic CPR. Periodic CPR is equal to the total unscheduled principal received in the most recent period divided by the start of period principal balance.

Total Receivables Sold to SPV

Dynamic

9(11).99

Sum of principal amount of receivables sold to SPV (i.e. at closing and during the replenishment period if applicable) to date.

Cumulative Gross Defaults - Pool

Dynamic

9(11).99

Sum of all gross defaults since closing, in currency amount.

Cumulative Recoveries - Pool

Dynamic

9(11).99

Sum of all recoveries since closing, in currency amount.

Revolving Period End Date

Dynamic

YYYY-MM

The date that the revolving period is expected to end, or actually ended.

Transaction Report Contact Information

Point Contact

Static

Text/Numeric

Name of the department and the point person(s) of the information sources.

Contact Information

Static

Text/Numeric

Telephone number and e-mail address.


BOND INFO BY TRANCHE:

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Tranche Level Information

Bond Class Name

Static

Text/Numeric

The designation (typically a letter and/or number) given to this tranche of bonds which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1a etc.

International Securities Identification Number

Static

Text/Numeric

The international security identification code or codes, or if no ISIN, then any other unique securities code such as a CUSIP, assigned to this tranche by an exchange or other entity.

Interest Payment Date

Dynamic

YYYY-MM-DD

The first occurring date, after the pool cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche.

Principal Payment Date

Dynamic

YYYY-MM-DD

The first occurring date, after the pool cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche.

Bond Currency

Static

List

The denomination of this tranche.

Reference Rate

Static

List

The base reference interest index as defined in the offering document applicable to this specific tranche of Bond.

Legal Maturity

Static

YYYY-MM-DD

The date before which this specific tranche must be repaid in order not to be in default.

Bond Issue Date

Static

YYYY-MM-DD

Date the bonds were issued.

Interest Payment Frequency

Static

List

The frequency with which interest is due to be paid on this tranche.


ANNEX VIII

Investor reports

The investor reports shall contain information on:

(a)

asset performance;

(b)

a detailed cash flow allocation;

(c)

a list of all triggers of the transaction and their status;

(d)

a list of all counterparties involved in a transaction, their role and their credit ratings;

(e)

details of cash injected into the transaction by the originator/sponsor or any other support provided to the transaction including any drawings under or utilisation of any liquidity or credit support and support provided by a third party;

(f)

amounts standing to the credit of guaranteed investment contract and other bank accounts;

(g)

details of any swaps (e.g. rates, payments and notionals) and other hedging arrangements to the transaction, including any related collateral postings;

(h)

definitions of key terms (such as delinquencies, defaults and pre-payments);

(i)

LEI, ISIN and other security or entity identification codes of the issuer and the structured finance instrument;

(j)

contact details of the entity producing the investor report.


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