EUR-Lex Access to European Union law

Back to EUR-Lex homepage

This document is an excerpt from the EUR-Lex website

Document 32020R1224

Commission Delegated Regulation (EU) 2020/1224 of 16 October 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE (Text with EEA relevance)

C/2019/7334

OJ L 289, 3.9.2020, p. 1–216 (BG, ES, CS, DA, DE, ET, EL, EN, FR, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force

ELI: http://data.europa.eu/eli/reg_del/2020/1224/oj

3.9.2020   

EN

Official Journal of the European Union

L 289/1


COMMISSION DELEGATED REGULATION (EU) 2020/1224

of 16 October 2019

supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

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

Having regard to Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (1), and in particular Articles 7(3) and 17(2)(a) thereof,

Whereas:

(1)

The scope of Article 7(3) of Regulation (EU) 2017/2402 refers to all securitisations, including securitisations where a prospectus has to be drawn up pursuant to Regulation (EU) 2017/1129 of the European Parliament and of the Council (2) (commonly referred to as ‘public’ securitisations) and securitisations where a prospectus does not have to be drawn up (commonly referred to as ‘private’ securitisations). Article 17(2)(a) of Regulation (EU) 2017/2402 refers to securitisations making information available via a securitisation repository, which does not include private securitisations. To reflect this distinction, this Regulation has been organised into separate sections specifying the information concerning all securitisations and the information concerning public securitisations only.

(2)

The disclosure of certain information relating to a securitisation is necessary for investors and potential investors so that they may effectively conduct due diligence and a proper risk-assessment of the credit risks of the underlying exposures, the model risk, the legal risk, the operational risk, the counterparty risk, the servicing risk, the liquidity risk, and the concentration risk. The information to be disclosed should also be sufficiently detailed so as to enable the entities listed in Article 17(1) of Regulation (EU) 2017/2402 to effectively monitor the overall functioning of securitisation markets, trends in underlying asset pools, securitisation structures, interconnectedness among counterparties and the effects of securitisation in the broader macro-financial landscape of the Union.

(3)

Securitisations accommodate many types of underlying exposures, such as loans, leases, debts, credits or other cash flow generating receivables. It is therefore appropriate to establish tailored reporting requirements for the underlying exposure types that are the most prominent in the Union, taking into account both outstanding amounts and presence across localities. Specific reporting requirements for ‘esoteric’ underlying exposures that do not conform to the most prominent types should also be established in order to ensure that all types of underlying exposures are disclosed.

(4)

An underlying exposure type may fall within several possible sets of reporting requirements under this Regulation. In line with current market practice, information on a pool of underlying exposures that is comprised entirely of automobile underlying exposures should be reported using the corresponding template on automobile underlying exposures set out in the Annexes to this Regulation, regardless of whether the underlying automobile underlying exposures are loans or leases. Equally, in line with current market practice, information on a pool of underlying exposures where the underlying exposures are entirely leases should be reported using the corresponding template on leasing underlying exposures set out in the Annexes to this Regulation, unless the pool of underlying exposures is comprised entirely of automobile leases in which case the template on automobile underlying exposures set out in the Annexes to this Regulation should be used to report information.

(5)

For reasons of consistency, terms relating to residential and commercial real estate lending which derive from Recommendation ESRB/2016/14 of the European Systemic Risk Board should be applied (3). In line with that Recommendation, a property that has a mixed commercial and residential use should be considered as different properties, where it is feasible to make such a breakdown. Where such a breakdown is not possible, the property should be classified according to its dominant use.

(6)

In order to provide continuity with existing templates for disclosures of certain information, terms relating to micro, small, and medium-sized enterprises which derive from Commission Recommendation (2003/361/EC) (4) should also be applied. Equally, terms relating to automobile, consumer, credit card, and leasing underlying exposures which derive from Commission Delegated Regulation (EU) 2015/3 (5) should be applied.

(7)

The granularity of the information to be disclosed for non-ABCP securitisation underlying exposures should reflect the loan/lease-level depth used in existing disclosure and data collection provisions. For due-diligence, monitoring, and supervisory purposes, disaggregated underlying exposure-level data is valuable for securitisation investors, potential investors, competent authorities and, with regard to public securitisations for the other entities listed in Article 17 of Regulation (EU) 2017/2402. Furthermore, disaggregated underlying exposure-level data is key to restoring public and investor confidence in securitisation markets. As regards ABCP, both the short-term nature of the liabilities and the presence of additional forms of support beyond underlying exposures reduce the need for loan/lease-level data.

(8)

It is less useful for investors, potential investors, competent authorities and, with regard to public securitisations, the other entities listed in Article 17(1) of Regulation (EU) 2017/2402, to continue receiving information on ‘inactive’ exposures. This is because ‘inactive’ exposures, such as loans that have defaulted with no further recoveries expected or loans that have been redeemed, prepaid, cancelled, repurchased or substituted, no longer contribute to the risk profile of the securitisation. It is therefore appropriate that information on the transition of inactive exposures from ‘active’ to ‘inactive’ status is reported for reasons of transparency, but there is no need to report such exposures thereafter.

(9)

It is possible that the reporting requirements under Regulation (EU) 2017/2402 require making available a substantial number and variety of documents and other items. In order to facilitate the tracking of such documentation, a set of item codes should be used by the originator, sponsor, or SSPE when making information available to a securitisation repository.

(10)

In accordance with best practices for reporting requirements and in order to assist investors, potential investors, competent authorities and, with regard to public securitisations, the other entities listed in Article 17(1) of Regulation (EU) 2017/2402 in tracking the relevant information, standardised identifiers should be assigned to the information made available. Furthermore, those standardised identifiers should be unique and permanent so that the evolution of securitisation information may be effectively monitored over time.

(11)

In order to allow investors, potential investors, competent authorities and, with regard to public securitisations, the other entities listed in Article 17(1) of Regulation (EU) 2017/2402 to satisfy their due diligence and other obligations under that Regulation, it is essential that information made available is complete, consistent and up-to-date. A change in the risk characteristics of the underlying exposures or in the aggregated cash flows generated by those underlying exposures or in other information set out in the investor report can materially impact the performance of the securitisation and have a significant effect on the prices of the tranches/bonds of that securitisation. Therefore, inside information or significant event information should be made available, for public securitisations, the moment information on underlying exposures and investor report is made available via a securitisation repository. Furthermore, for public securitisations, inside information or significant event information should include detailed information on the non-ABCP securitisation, the ABCP programme, the ABCP transaction, the tranches/bonds, the accounts, the counterparties and information on features that are relevant for synthetic or Collateralised Loan Obligation securitisations.

(12)

For reasons of transparency, where information cannot be made available or is not applicable, the originator, sponsor, or SSPE should signal and explain, in a standardised manner, the specific reason and circumstances why the data is not reported. A set of ‘No data’ options should therefore be developed for that purpose, reflecting existing practices for disclosures of securitisation information.

(13)

The set of ‘No data’ (‘ND’) options should only be used where information is not available for justifiable reasons, including where a specific reporting item is not applicable due to the heterogeneity of the underlying exposures for a given securitisation. The use of ND options should however in no way constitute a circumvention of reporting requirements. The use of ND options should therefore be objectively verifiable on an ongoing basis, in particular by providing explanations to competent authorities at any time, upon request, of the circumstances that have resulted in the use of the ND values.

(14)

For reasons of accuracy, reported information should be up-to-date. Therefore, information made available should reference a time period that is as close as possible to the date of submission, having due regard to the operational steps to be undertaken by the originator, sponsor, or SSPE to organise and submit the required information.

(15)

The provisions in this Regulation are closely linked, since they deal with the information about a securitisation that the originator, sponsor or SSPE of that securitisation are to make available to various parties as required under Regulation (EU) 2017/2402. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and efficient access to all the relevant information of a securitisation, it is necessary to include the regulatory technical standards in a single Regulation.

(16)

This Regulation is based on the draft regulatory technical standards submitted by European Securities and Markets Authority (ESMA) to the Commission.

(17)

ESMA has conducted 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 by Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (6),

HAS ADOPTED THIS REGULATION:

Article 1

Definitions

For the purposes of this Regulation, the following definitions shall apply:

(1)

‘reporting entity’ means the entity designated in accordance with the first subparagraph of Article 7(2) of Regulation (EU) 2017/2402;

(2)

‘data cut-off date’ means the reference date of the information being reported in accordance with this Regulation;

(3)

‘active underlying exposure’ means an underlying exposure which, at the data cut-off date, may be expected to generate cash inflows or outflows in the future;

(4)

‘inactive underlying exposure’ means an underlying exposure that has defaulted with no further recoveries expected or that has been redeemed, prepaid, cancelled, repurchased or substituted;

(5)

‘debt service coverage ratio’ means the annual rental income generated by commercial real estate that is wholly or partially financed by debt, net of taxes and net of any operational expenses to maintain the property’s value, relative to the annual combined interest and principal repayment on a borrower’s total debt over a given period on the loan secured by the property;

(6)

‘interest coverage ratio’ means the gross annual rental income, before operational expenses and taxes, accruing from a buy-to-let property or the net annual rental income accruing from a commercial real estate property or set of properties relative to the annual interest cost of the loan secured by the property or set of properties.

SECTION 1

Information to be made available for all securitisations

Article 2

Information on underlying exposures

1.   The information to be made available for a non-ABCP securitisation pursuant to Article 7(1)(a) of Regulation (EU) 2017/2402 is specified in:

(a)

Annex II for loans to private households secured by residential real estate, regardless of the purpose of those loans;

(b)

Annex III for loans for the purposes of acquiring commercial real estate or secured by commercial real estate;

(c)

Annex IV for corporate underlying exposures, including underlying exposures to micro, small- and medium-sized enterprises;

(d)

Annex V for automobile underlying exposures, including both loans and leases to legal or natural persons backed by automobiles;

(e)

Annex VI for consumer underlying exposures;

(f)

Annex VII for credit card underlying exposures;

(g)

Annex VIII for leasing underlying exposures;

(h)

Annex IX for underlying exposures that do not fall within any of the categories set out in points (a) to (g).

For the purposes of point (a), residential real estate means any immovable property, available for dwelling purposes (including buy-to-let housing or property), acquired, built or renovated by a private household and that is not qualified as commercial real estate.

For the purposes of point (b), commercial real estate means any income-producing real estate, either existing or under development, and excludes social housing and property owned by end-users.

2.   Where a non-ABCP securitisation includes more than one of the types of underlying exposures listed in paragraph 1, the reporting entity for that securitisation shall make available the information specified in the applicable Annex for each underlying exposure type.

3.   The reporting entity for a non-performing exposure securitisation shall make available the information specified in:

(a)

the Annexes referred to in points (a) to (h) of paragraph 1, as relevant to the underlying exposure type;

(b)

Annex X.

For the purposes of this paragraph, a ‘non-performing exposure securitisation’ shall be considered to be a non-ABCP securitisation the majority of whose active underlying exposures, measured in terms of outstanding principal balance as at the data cut-off date, are one of the following:

(a)

non-performing exposures as referred to in paragraphs 213 to 239 of Annex V, Part 2, to Commission Implementing Regulation (EU) No 680/2014 (7);

(b)

credit-impaired financial assets as defined in Appendix A to International Financial Reporting Standard 9 in Commission Regulation (EC) No 1126/2008 (8) or financial assets accounted for as credit impaired under national rules applying the Generally Accepted Accounting Principles (GAAP) based on Council Directive 86/635/EEC (9).

4.   The reporting entity for an ABCP transaction shall make available the information specified in Annex XI.

5.   For the purposes of this Article, the information to be made available pursuant to paragraphs 1 to 4 shall be on:

(a)

active underlying exposures as at the data cut-off date;

(b)

inactive underlying exposures that were active underlying exposures at the immediately-preceding data cut-off date.

Article 3

Information on investor reports

1.   The reporting entity for a non-ABCP securitisation shall make available the information on investor reports specified in Annex XII.

2.   The reporting entity for an ABCP securitisation shall make available the information on investor reports specified in Annex XIII.

Article 4

Information granularity

1.   The reporting entity shall make available the information specified in Annexes II to X and XII on the following:

(a)

underlying exposures, in relation to each individual underlying exposure;

(b)

collaterals, where any of the following conditions is met and in respect of each item of collateral securing each underlying exposure:

(i)

the underlying exposure is secured by a guarantee;

(ii)

the underlying exposure is secured by physical or financial collateral;

(iii)

the lender may unilaterally create security over the underlying exposure without the need for any further approval from the obligor or guarantor;

(c)

tenants, for each of the three largest tenants occupying a commercial real estate property, measured as the total annual rent payable by each tenant occupying the property;

(d)

historical collections, for each underlying exposure and for each month in the period from the data cut-off date up to 36 months prior to that date;

(e)

cashflows, for each inflow or outflow item in the securitisation, as set out in the applicable priority of receipts or payments as at the data cut-off date;

(f)

tests/events/triggers, for each test/event/trigger that triggers changes in the priority of payments or the replacement of any counterparties.

For the purposes of points (a) and (d), securitised loan parts shall be treated as individual underlying exposures.

For the purposes of point (b), each property acting as security for loans referred to in points (a) and (b) of Article 2(1) shall be treated as a single item of collateral.

2.   The reporting entity shall make available the information specified in Annexes XI and XIII on the following:

(a)

ABCP transactions, for as many ABCP transactions that exist in the ABCP programme as at the data cut-off date;

(b)

each ABCP programme that is funding the ABCP transactions for which information is made available pursuant to point (a), as at the data cut-off date;

(c)

tests/events/triggers, for each test/event/trigger in the ABCP securitisation that triggers changes in the priority of payments or the replacement of any counterparties;

(d)

underlying exposures, for each ABCP transaction on which information is made available pursuant to point (a) and for each exposure type that is present in that ABCP transaction as at the data cut-off date, in accordance with the list in field IVAL5 in Annex XI.

SECTION 2

Information to be made available for securitisations for which a prospectus has to be drawn up (public securitisations)

Article 5

Item codes

Reporting entities shall assign item codes to the information made available to securitisation repositories. For this purpose, reporting entities shall assign the item code specified in Table 3 of Annex I that best corresponds to that information.

Article 6

Inside information

1.   The reporting entity for a non-ABCP securitisation shall make available the inside information specified in Annex XIV.

2.   The reporting entity for an ABCP securitisation shall make available the inside information specified in Annex XV.

Article 7

Information on significant events

1.   The reporting entity for a non-ABCP securitisation shall make available the information on significant events specified in Annex XIV.

2.   The reporting entity for an ABCP securitisation shall make available the information on significant events specified in Annex XV.

Article 8

Information granularity

1.   The reporting entity shall make available the information specified in Annex XIV on the following:

(a)

the tranches/bonds in the securitisation, for each tranche issuance in the securitisation or other instrument to which an International Securities Identification Number has been assigned and for each subordinated loan in the securitisation;

(b)

accounts, for each account in the securitisation;

(c)

counterparties, for each counterparty in the securitisation;

(d)

where the securitisation is a synthetic non-ABCP securitisation:

(i)

synthetic coverage, for as many protection arrangements as exist in the securitisation;

(ii)

issuer collateral, for each individual collateral asset held by the SSPE on behalf of investors that exists for the given protection arrangement;

(e)

where the securitisation is a Collateralised Loan Obligation (CLO) non-ABCP securitisation:

(i)

the CLO manager, for each CLO manager in the securitisation;

(ii)

the CLO securitisation.

For the purposes of point (d)(ii), each asset for which an International Securities Identification Number exists shall be treated as an individual collateral asset, cash collateral of the same currency shall be aggregated and treated as an individual collateral asset, and cash collateral of different currencies shall be reported as separate collateral assets.

2.   The reporting entity shall make available the information specified in Annex XV on the following:

(a)

ABCP transactions, for as many ABCP transactions that exist in the ABCP programme as at the data cut-off date;

(b)

ABCP programmes, for as many ABCP programmes that, at the data cut-off date, are funding the ABCP transactions on which information is made available pursuant to point (a);

(c)

the tranches/bonds in the ABCP programme, for each tranche or commercial paper issuance in the ABCP programme or other instrument to which an International Securities Identification Number has been assigned and for each subordinated loan in the ABCP programme;

(d)

accounts, for each account in the ABCP securitisation;

(e)

counterparties, for each counterparty in the ABCP securitisation.

SECTION 3

Common provisions

Article 9

Information completeness and consistency

1.   The information made available pursuant to this Regulation shall be complete and consistent.

2.   Where the reporting entity identifies factual errors in any information that it has made available pursuant to this Regulation, it shall make available, without undue delay, a corrected report of all information about the securitisation required under this Regulation.

3.   Where permitted in the corresponding Annex, the reporting entity may report one of the following ‘No Data Option’ (‘ND’) values corresponding to the reason justifying the unavailability of the information to be made available:

(a)

value ‘ND1’, where the required information has not been collected because it was not required by the lending or underwriting criteria at the time of origination of the underlying exposure;

(b)

value ‘ND2’, where the required information has been collected at the time of origination of the underlying exposure but is not loaded into the reporting system of the reporting entity at the data cut-off date;

(c)

value ‘ND3’, where the required information has been collected at the time of origination of the underlying exposure but is loaded into a separate system from the reporting system of the reporting entity at the data cut-off date;

(d)

value ‘ND4-YYYY-MM-DD’, where the required information has been collected but it will only be possible to make it available at a date taking place after the data cut-off date. ‘YYYY-MM-DD’ shall respectively refer to the numerical year, month, and day corresponding to the future date at which the required information will be made available;

(e)

value ‘ND5’, where the required information is not applicable to the item being reported.

For the purposes of this paragraph, the report of any ND values shall not be used to circumvent the requirements in this Regulation.

Upon request by competent authorities, the reporting entity shall provide details of the circumstances that justify the use of those ND values.

Article 10

Information timeliness

1.   Where a securitisation is not an ABCP securitisation, the information made available pursuant to this Regulation shall not have a data cut-off date later than two calendar months prior to the submission date.

2.   Where a securitisation is an ABCP securitisation:

(a)

the information specified in Annex XI and in the ‘transaction information section’ in Annexes XIII and XV shall not have a data cut-off date later than two calendar months prior to the submission date;

(b)

the information specified in all sections of Annexes XIII and XV other than the ‘transaction information section’ shall not have a data cut-off date later than one calendar month prior to the submission date.

Article 11

Unique identifiers

1.   Each securitisation shall be assigned a unique identifier composed of the following elements, in sequential order:

(a)

the Legal Entity Identifier of the reporting entity;

(b)

the letter ‘A’ where the securitisation is an ABCP securitisation or the letter ‘N’ where the securitisation is a non-ABCP securitisation;

(c)

the four-digit year corresponding to:

(i)

the year in which the first securities of the securitisation were issued, where the securitisation is a non-ABCP securitisation;

(ii)

the year in which the first securities within the ABCP programme were issued, where the securitisation is an ABCP securitisation;

(d)

the number 01 or, where there is more than one securitisation with the same identifier as referred to in points (a), (b) and (c), a two-digit sequential number corresponding to the order in which information about each securitisation is made available. The order of simultaneous securitisations shall be discretionary.

2.   Each ABCP transaction in an ABCP programme shall be assigned a unique identifier composed of the following elements, in sequential order:

(a)

the Legal Entity Identifier of the reporting entity;

(b)

the letter ‘T’;

(c)

the four-digit year corresponding to the first closing date of the ABCP transaction;

(d)

the number 01 or, where there is more than one ABCP transaction with the same identifier as referred to in points (a), (b) and (c) of this paragraph, a two-digit sequential number corresponding to the order of the first closing date of each ABCP transaction. The order of simultaneous ABCP transactions shall be discretionary.

3.   Unique identifiers shall not be amended by the reporting entity.

Article 12

Classifications reporting

1.   The information relating to the European System of Accounts (ESA) 2010 classification referred to in Regulation (EU) No 549/2013 of the European Parliament and of the Council (10) shall be made available using the codes set out in Table 1 of Annex I.

2.   The information relating to the Servicer Watchlist classifications shall be made available using the codes set out in Table 2 of Annex I.

Article 13

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.

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

Done at Brussels, 16 October 2019.

For the Commission

The President

Jean Claude JUNCKER


(1)  OJ L 347, 28.12.2017, p. 35.

(2)  Regulation (EU) 2017/1129 of the European Parliament and of the Council of 14 June 2017 on the prospectus to be published when securities are offered to the public or admitted to trading on a regulated market, and repealing Directive 2003/71/EC (OJ L 168, 30.6.2017, p. 12).

(3)  Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) (OJ C 31, 31.1.2017, p. 1).

(4)  Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (2003/361/EC) (OJ L 124, 20.5.2003, p. 36).

(5)  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 (OJ L 2, 6.1.2015, p. 57).

(6)  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).

(7)  Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).

(8)  Commission Regulation (EC) No 1126/2008 of 3 November 2008 adopting certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council (OJ L 320, 29.11.2008, p. 1).

(9)  Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).

(10)  Regulation (EU) No 549/2013 of the European Parliament and of the Council of 21 May 2013 on the European system of national and regional accounts in the European Union (OJ L 174, 26.6.2013, p. 1).


ANNEX I

Table 1: European System of Accounts Secure Codes

Sectors

Sub-sectors

ESA Code

Non-financial corporations

Public non-financial corporations

S.11001

National private non-financial corporations

S.11002

Foreign controlled non-financial corporations

S.11003

Monetary financial institutions (MFIs)

Central bank

S.121

Public deposit-taking corporations except the central bank

S.12201

National private deposit-taking corporations except the central bank

S.12202

Foreign controlled deposit-taking corporations except the central bank

S.12203

Public money market funds (MMFs)

S.12301

National private money market funds (MMFs)

S.12302

Foreign controlled money market funds (MMFs)

S.12303

Financial corporations except MFIs and Insurance corporations and pension funds (ICPFs)

Public non-MMF investment funds

S.12401

National private non-MMF investment funds

S.12402

Foreign controlled non-MMF investment funds

S.12403

Public other financial intermediaries, except insurance corporations and pension funds

S.12501

National private other financial intermediaries, except insurance corporations and pension funds

S.12502

Foreign controlled other financial intermediaries, except insurance corporations and pension funds

S.12503

Public financial auxiliaries

S.12601

National private financial auxiliaries

S.12602

Foreign controlled financial auxiliaries

S.12603

Public captive financial institutions and money lenders

S.12701

National private captive financial institutions and money lenders

S.12702

Foreign controlled captive financial institutions and money lenders

S.12703

ICPFs

Public insurance corporations

S.12801

National private insurance corporations

S.12802

Foreign controlled insurance corporations

S.12803

Public pension funds

S.12901

National private pension funds

S.12902

Foreign controlled pension funds

S.12903

Other

General government

S.13

Central government (excluding social security funds)

S.1311

State government (excluding social security funds)

S.1312

Local government (excluding social security funds)

S.1313

Social security funds

S.1314

Households

S.14

Employers and own-account workers

S.141+S.142

Employees

S.143

Recipients of property and transfer income

S.144

Recipients of property income

S.1441

Recipients of pensions

S.1442

Recipients of other transfers

S.1443

Non-profit institutions serving households

S.15

Member States of the European Union

S.211

Institutions and bodies of the European Union

S.212

Non-member countries and international organisations non-resident in the European Union

S.22

Table 2: Servicer Watchlist Codes

Servicer Watchlist Code

Meaning

Inclusion Threshold

Release Threshold

1A

Delinquent P&I payment

2 payments behind

Arrears cleared and loan is current. Remain on Watchlist for 2 quarters/periods

1B

Delinquent insurance renewal or forced placed coverage

30 days overdue

Receipt of proof of satisfactory insurance

1C

Interest Coverage Ratio below dividend trap.

Interest Coverage Ratio < required loan covenant (cash trap or default level);

Interest Coverage Ratio < 1.00 on a loan by loan basis

Interest Coverage Ratio above threshold

1D

Debt Service Coverage Ratio absolute level

Debt Service Coverage Ratio < 1.00;

Debt Service Coverage Ratio < 1.20 for healthcare and lodging;

or on a loan by loan basis

Debt Service Coverage Ratio above threshold

1E

Debt Service Coverage Ratio decreases from ‘Securitisation Date’

Debt Service Coverage Ratio < 80 % of the ‘Securitisation Date’ Debt Service Coverage Ratio

Debt Service Coverage Ratio above threshold. Remain on Watchlist for 2 quarters/periods

1F

Defaulted, matured, or discovery of previous undisclosed subordinate lien including mezzanine loan.

When notice received by servicer

Default has been cured or subordinate debt approved by servicer

1G

Any unplanned draw on a letter of credit, debt service reserve, or working capital to pay debt service

Any occurrence on a loan by loan basis.

After funds or Letter of Credit replaced if required by the documents otherwise after two Interest Payment Dates with no further draws

2A

Absolute required repairs reserved for at closing, or otherwise disclosed to servicer, but not completed by due date

If required repair is not completed with 60 days following the due date (including extensions approved by the Servicer) and it is the lesser of 10 % of the unpaid principal balance or €250,000

Satisfactory verification that repairs have been completed

2B

Any required spending plan deficiencies (i.e.: capex, FF&E)

Any knowledge of deficiency that adversely affects the performance or value of property; on a loan by loan basis/material (> 5 % of loan outstanding balance)

When plan deficiencies are cured

2C

Occurrence of any trigger event in the mortgage loan documents. (e.g. required loan pay down, posting of additional reserves, minimum thresholds breached, etc.)

Any occurrence

Cure of the event that required action under the mortgage documents

2D

Verification of financial performance. Unsatisfactory or non-delivery of tenancy schedules or operating statements, etc.

Any occurrence for 6 months or greater

Cure of the event that required action under the mortgage documents

2E

Operating licence or franchise agreement default

When notice received by servicer

New franchise or licence in place, or default under franchise or licence has been cured — Relationship agreement

2F

Borrower/owner/sponsor bankruptcy or similar event (e.g. insolvency arrangement/proceedings, bankruptcy, receivership, liquidation, company voluntary arrangement (CVA)/individual voluntary arrangement (IVA)), becomes the subject of winding up order bankruptcy petition or other.

When notice received by servicer

Retain on Watchlist until Interest Payment Date following cure.

3A(i)

Inspection reveals poor condition

Any occurrence on a loan by loan basis/material 5 % > of net rental income (NRI)

In Servicer’s discretion that property deficiencies cured or access allowed and inspection completed

3A(ii)

Inspection reveals poor accessibility

Any occurrence on a loan by loan basis/material 5 % > of net rental income (NRI)

In Servicer’s discretion that property deficiencies cured or access allowed and inspection completed

3B

Inspection reveals harmful environmental issue

Any occurrence

In Servicer’s discretion that property deficiencies cured

3C

Properties affected by major casualty or compulsory purchase proceeding affecting future cash flows, value/blight/caution.

When servicer becomes aware of issue and it affects > 10 % of value or €500,000

In Servicer’s discretion that all necessary repairs have been completed satisfactorily or that condemnation proceedings have been completed and the asset can perform satisfactorily

4A

Overall property portfolio occupancy decrease

20 % less than ‘Securitisation Date’ level; on a loan by loan basis

When condition no longer exists

4B

Any 1 tenant or combination of TOP 3 TENANTS (based on gross rental) with leases > 30 % expiring within the next 12 months.

Only applies to office, industrial and retail.

When condition no longer exists or Servicer’s discretion.

4C

Major tenant lease or leases that are in default, terminated or are dark (Not occupied, but rent being paid)

> 30 % Net Rental Income

When condition no longer exists, or Servicer’s discretion.

5A

Pending loan maturity

< 180 days until maturity

Loan is paid off.

Table 3: Item types and codes

Item type

Article(s) of Regulation (EU) 2017/2402

Item code

Underlying exposures or underlying receivables or credit claims

7(1)(a)

1

Investor report

7(1)(e)

2

Final offering document; prospectus; closing transaction documents, excluding legal opinions

7(1)(b)(i)

3

Asset sale agreement; assignment; novation or transfer agreement; any relevant declaration of trust

7(1)(b)(ii)

4

Derivatives and guarantees agreements; any relevant documents on collateralisation arrangements where the exposures being securitised remain exposures of the originator

7(1)(b)(iii)

5

Servicing; back-up servicing; administration and cash management agreements

7(1)(b)(iv)

6

Trust deed; security deed; agency agreement; account bank agreement; guaranteed investment contract; incorporated terms or master trust framework or master definitions agreement or such legal documentation with equivalent legal value

7(1)(b)(v)

7

Inter-creditor agreements; derivatives documentation; subordinated loan agreements; start-up loan agreements and liquidity facility agreements

7(1)(b)(vi)

8

Any other underlying documentation that is essential for the understanding of the transaction

7(1)(b)

9

Simple, transparent and standardised notification pursuant to Article 27 of Regulation (EU) 2017/2402

7(1)(d)

10

Inside information relating to the securitisation that the originator, sponsor or SSPE is obliged to make public in accordance with Article 17 of Regulation (EU) No 596/2014 of the European Parliament and of the Council (1)

7(1)(f)

11

A significant event, such as:

(i)

a material breach of the obligations provided for in the documents made available in accordance with Article 7(1)(b) of Regulation (EU) 2017/2402, including any remedy, waiver or consent subsequently provided in relation to such a breach;

(ii)

a change in the structural features that can materially impact the performance of the securitisation;

(iii)

a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation;

(iv)

in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where competent authorities have taken remedial or administrative actions;

(v)

any material amendment to transaction documents.

7(1)(g)

12


(1)  Regulation (EU) No 596/2014 of the European Parliament and of the Council of 16 April 2014 on market abuse (market abuse regulation) and repealing Directive 2003/6/EC of the European Parliament and of the Council and Commission Directives 2003/124/EC, 2003/125/EC and 2004/72/EC (OJ L 173, 12.6.2014, p. 1).


ANNEX II

UNDERLYING EXPOSURES INFORMATION — RESIDENTIAL REAL ESTATE (RRE)

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

RREL1

Unique Identifier

The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Commission Delegated Regulation (EU) 2020/1224 (1).

NO

NO

RREL2

Original Underlying Exposure Identifier

Unique underlying exposure identifier. The identifier must be different from any external identification number to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

RREL3

New Underlying Exposure Identifier

If the original identifier in field RREL2 cannot be maintained in this field, enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in RREL2. The reporting entity must not amend this unique identifier.

NO

NO

RREL4

Original Obligor Identifier

Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

RREL5

New Obligor Identifier

If the original identifier in field RREL4 cannot be maintained in this field, enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in RREL4. The reporting entitymust not amend this unique identifier.

NO

NO

RREL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

RREL7

Pool Addition Date

The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available, enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.

NO

YES

RREL8

Date Of Repurchase

Date on which the underlying exposure was repurchased from the pool.

NO

YES

RREL9

Redemption Date

Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.

NO

YES

RREL10

Resident

Is the primary obligor a resident of the country in which the collateral and underlying exposure reside?

YES

NO

RREL11

Geographic Region — Obligor

The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’.

YES

NO

RREL12

Geographic Region Classification

Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.

YES

NO

RREL13

Employment Status

Employment status of the primary obligor:

 

Employed — Private Sector (EMRS)

 

Employed — Public Sector (EMBL)

 

Employed — Sector Unknown (EMUK)

 

Unemployed (UNEM)

 

Self-employed (SFEM)

 

No Employment, Obligor is Legal Entity (NOEM)

 

Student (STNT)

 

Pensioner (PNNR)

 

Other (OTHR)

YES

NO

RREL14

Credit Impaired Obligor

Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:

(a)

has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:

(i)

a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and

(ii)

the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

(b)

was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or

(c)

has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

NO

YES

RREL15

Customer Type

Customer type at origination:

 

New customer and not an employee/affiliated with the originator’s group (CNEO)

 

New customer and an employee/affiliated with the originator’s group (CEMO)

 

New customer and employee/affiliation not recorded (CNRO)

 

Existing customer and not an employee/affiliated with the originator’s group (ENEO)

 

Existing customer and an employee/affiliated with the originator’s group (EEMO)

 

Existing customer and employee/affiliation not recorded (ENRO)

 

Other (OTHR)

YES

NO

RREL16

Primary Income

Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor’s annual revenue.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

RREL17

Primary Income Type

Indicate what income in RREL16 is displayed:

 

Gross annual income (GRAN)

 

Net annual income (net of tax and social security) (NITS)

 

Net annual income (net of tax only) (NITX)

 

Net annual income (net of social security only) (NTIN)

 

Estimated net annual income (net of tax and social security) (ENIS)

 

Estimated net annual income (net of tax only) (EITX)

 

Estimated net annual income (net of social security only) (EISS)

 

Disposable Income (DSPL)

 

Borrower is legal entity (CORP)

 

Other (OTHR)

YES

NO

RREL18

Primary Income Currency

Currency in which the primary obligor’s income or revenue is paid.

YES

NO

RREL19

Primary Income Verification

Primary Income Verification:

 

Self-certified no Checks (SCRT)

 

Self-certified with Affordability Confirmation (SCNF)

 

Verified (VRFD)

 

Non-Verified Income or Fast Track (NVRF)

 

Credit Bureau Information or Scoring (SCRG)

 

Other (OTHR)

YES

NO

RREL20

Secondary Income

Secondary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the secondary obligory is a legal person/entity, enter that obligor’s annual revenue. When there are more than two obligors in this underlying exposure, indicate total annual combined income across all obligors in this field.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL21

Secondary Income Verification

Income verification for secondary income:

 

Self-certified no Checks (SCRT)

 

Self-certified with Affordability Confirmation (SCNF)

 

Verified (VRFD)

 

Non-Verified Income or Fast Track (NVRF)

 

Credit Bureau Information or Scoring (SCRG)

 

Other (OTHR)

YES

YES

RREL22

Special Scheme

If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.

YES

YES

RREL23

Origination Date

Date of original underlying exposure advance.

YES

NO

RREL24

Maturity Date

The date of maturity of the underlying exposure or expiry of the lease.

NO

YES

RREL25

Original Term

Original contractual term (number of months) at the origination date.

YES

YES

RREL26

Origination Channel

Origination channel of the underlying exposure:

 

Office or Branch Network (BRAN)

 

Central or Direct (DRCT)

 

Broker (BROK)

 

Internet (WEBI)

 

Package (TPAC)

 

Third Party Channel but Underwriting Performed Entirely by the Originator (TPTC)

 

Other (OTHR)

YES

YES

RREL27

Purpose

The reason for the obligor taking out the loan:

 

Purchase (PURC)

 

Remortgage (RMRT)

 

Renovation (RENV)

 

Equity Release (EQRE)

 

Construction (CNST)

 

Debt Consolidation (DCON)

 

Remortgage with Equity Release (RMEQ)

 

Business Funding (BSFN)

 

Combination Mortgage (CMRT)

 

Investment Mortgage (IMRT)

 

Right to Buy (RGBY)

 

Government Sponsored Loan (GSPL)

 

Other (OTHR)

YES

NO

RREL28

Currency Denomination

The underlying exposure currency denomination.

NO

NO

RREL29

Original Principal Balance

Original underlying exposure balance (inclusive of fees).

This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL30

Current Principal Balance

Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. It excludes any interest arrears or penalty amounts.

Current balance includes the principal arrears. However, savings amount is to be deducted if a subparticipation exists. (i.e. underlying exposure balance = underlying exposure +/- subparticipation; +/- 0 if no subparticipation).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL31

Prior Principal Balances

Total balances ranking prior to this underlying exposure (including those held with other lenders). If there are no prior balances, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL32

Pari Passu Underlying Exposures

Total value of underlying exposures to this obligor ranking pari passu with this underlying exposure (regardless of whether or not they are included in this pool). If there are no balances ranking pari passu, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL33

Total Credit Limit

For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding.

This field is only to be populated for underlying exposures that have flexible or further drawing characteristics.

This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL34

Purchase Price

Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.

NO

YES

RREL35

Amortisation Type

Type of amortisation of the underlying exposure including principal and interest.

French — i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX)

German — i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)

Fixed amortisation schedule — i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)

Bullet — i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)

Other (OTHR)

YES

NO

RREL36

Principal Grace Period End Date

If applicable as at the data cut-off date, indicate the principal grace period end date.

NO

YES

RREL37

Scheduled Principal Payment Frequency

Frequency of principal payments due, i.e. period between payments:

 

Monthly (MNTH)

 

Quarterly (QUTR)

 

Semi Annual (SEMI)

 

Annual (YEAR)

 

Other (OTHR)

NO

YES

RREL38

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

 

Monthly (MNTH)

 

Quarterly (QUTR)

 

Semi Annual (SEMI)

 

Annual (YEAR)

 

Other (OTHR)

NO

YES

RREL39

Payment Due

This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL40

Debt To Income Ratio

Debt defined as the amount of underlying exposure outstanding as of data cut-off date, this includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts.

Income defined as combined income, sum of primary and secondary income fields (field numbers RREL16 and RREL20) and any other income.

YES

YES

RREL41

Balloon Amount

Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL42

Interest Rate Type

Interest rate type:

 

Floating rate underlying exposure (for life) (FLIF)

 

Floating rate underlying exposure linked to one index that will revert to another index in the future (FINX)

 

Fixed rate underlying exposure (for life) (FXRL)

 

Fixed with future periodic resets (FXPR)

 

Fixed rate underlying exposure with compulsory future switch to floating (FLCF)

 

Floating rate underlying exposure with floor (FLFL)

 

Floating rate underlying exposure with cap (CAPP)

 

Floating rate underlying exposure with both floor and cap (FLCA)

 

Discount (DISC)

 

Switch Optionality (SWIC)

 

Obligor Swapped (OBLS)

 

Modular (MODE)

 

Other (OTHR)

NO

YES

RREL43

Current Interest Rate

Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised.

NO

YES

RREL44

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

 

MuniAAA (MAAA)

 

FutureSWAP (FUSW)

 

LIBID (LIBI)

 

LIBOR (LIBO)

 

SWAP (SWAP)

 

Treasury (TREA)

 

Euribor (EURI)

 

Pfandbriefe (PFAN)

 

EONIA (EONA)

 

EONIASwaps (EONS)

 

EURODOLLAR (EUUS)

 

EuroSwiss (EUCH)

 

TIBOR (TIBO)

 

ISDAFIX (ISDA)

 

GCFRepo (GCFR)

 

STIBOR (STBO)

 

BBSW (BBSW)

 

JIBAR (JIBA)

 

BUBOR (BUBO)

 

CDOR (CDOR)

 

CIBOR (CIBO)

 

MOSPRIM (MOSP)

 

NIBOR (NIBO)

 

PRIBOR (PRBO)

 

TELBOR (TLBO)

 

WIBOR (WIBO)

 

Bank of England Base Rate (BOER)

 

European Central Bank Base Rate (ECBR)

 

Lender’s Own Rate (LDOR)

 

Other (OTHR)

NO

YES

RREL45

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

 

Overnight (OVNG)

 

IntraDay (INDA)

 

1 day (DAIL)

 

1 week (WEEK)

 

2 week (TOWK)

 

1 month (MNTH)

 

2 month (TOMN)

 

3 month (QUTR)

 

4 month (FOMN)

 

6 month (SEMI)

 

12 month (YEAR)

 

On Demand (ONDE)

 

Other (OTHR)

NO

YES

RREL46

Current Interest Rate Margin

Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.

NO

YES

RREL47

Interest Rate Reset Interval

Number of months between each interest rate reset date on the underlying exposure.

NO

YES

RREL48

Interest Rate Cap

Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

RREL49

Interest Rate Floor

Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

RREL50

Revision Margin 1

The margin for the underlying exposure at the 1st revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).

The full revised margin must be entered in this field, not the change in the margin.

YES

YES

RREL51

Interest Revision Date 1

Date interest rate next changes (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).

YES

YES

RREL52

Revision Margin 2

The margin for the underlying exposure at the 2nd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).

The full revised margin must be entered in this field, not the change in the margin.

YES

YES

RREL53

Interest Revision Date 2

Date of 2nd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).

YES

YES

RREL54

Revision Margin 3

The margin for the underlying exposure at the 3rd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).

The full revised margin must be entered in this field, not the change in the margin.

YES

YES

RREL55

Interest Revision Date 3

Date of 3rd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).

YES

YES

RREL56

Revised Interest Rate Index

Next interest rate index.

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender’s Own Rate (LDOR)

Other (OTHR)

YES

YES

RREL57

Revised Interest Rate Index Tenor

Tenor of the next interest rate index:

 

Overnight (OVNG)

 

IntraDay (INDA)

 

1 day (DAIL)

 

1 week (WEEK)

 

2 week (TOWK)

 

1 month (MNTH)

 

2 month (TOMN)

 

3 month (QUTR)

 

4 month (FOMN)

 

6 month (SEMI)

 

12 month (YEAR)

 

On Demand (ONDE)

 

Other (OTHR)

YES

YES

RREL58

Number Of Payments Before Securitisation

Enter the number of payments made prior to the exposure being transferred to the securitisation.

YES

NO

RREL59

Percentage Of Prepayments Allowed Per Year

Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.

YES

YES

RREL60

Prepayment Lock-Out End Date

The date after which the lender allows prepayment of the underlying exposure.

YES

YES

RREL61

Prepayment Fee

Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date. This includes amounts collected that have not been securitised.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL62

Prepayment Fee End Date

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

YES

YES

RREL63

Prepayment Date

The latest date on which an unscheduled principal payment was received.

YES

YES

RREL64

Cumulative Prepayments

Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL65

Date Of Restructuring

Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

In the event of multiple dates, all dates must be provided in accordance with the XML schema.

YES

YES

RREL66

Date Last In Arrears

Date the underlying exposure was last in arrears.

YES

YES

RREL67

Arrears Balance

Current balance of arrears, which is defined as:

 

Total payments due to date

 

PLUS any amounts capitalised

 

PLUS any fees applied to the account

 

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

RREL68

Number Of Days In Arrears

Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.

NO

NO

RREL69

Account Status

Current status of the underlying exposure that has been securitised:

 

Performing (PERF)

 

Restructured — No Arrears (RNAR)

 

Restructured — Arrears (RARR)

 

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

 

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

 

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

 

Defaulted only under another definition of default being met (DADB)

 

Arrears (ARRE)

 

Repurchased by Seller – Breach of Representations and Warranties (REBR)

 

Repurchased by Seller – Defaulted (REDF)

 

Repurchased by Seller – Restructured (RERE)

 

Repurchased by Seller – Special Servicing (RESS)

 

Repurchased by Seller – Other Reason (REOT)

 

Redeemed (RDMD)

 

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

RREL70

Reason for Default or Foreclosure

If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:

 

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

 

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

 

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

RREL71

Default Amount

Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL72

Default Date

The date of default.

NO

YES

RREL73

Allocated Losses

The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL74

Cumulative Recoveries

Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL75

Litigation

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

NO

YES

RREL76

Recourse

Is there recourse (full or limited) to the obligor’s assets beyond the proceeds of any collateral for this underlying exposure?

YES

YES

RREL77

Deposit Amount

The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool.

Use the same currency denomination as that used for this underlying exposure.

If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL78

Insurance Or Investment Provider

Name of the insurance or investment provider (i.e. for life insurance or investment underlying exposures).

YES

YES

RREL79

Original Lender Name

Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

RREL80

Original Lender Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

RREL81

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

RREL82

Originator Name

Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

RREL83

Originator Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.

NO

NO

RREL84

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

Collateral-level information section

RREC1

Unique Identifier

Report the same unique identifier here as the one entered into field RREL1.

NO

NO

RREC2

Underlying Exposure Identifier

Unique identifier for each underlying exposure. This must match field RREL3.

NO

NO

RREC3

Original Collateral Identifier

The original unique identifier assigned to the collateral. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

RREC4

New Collateral Identifier

If the original identifier in field RREC2 cannot be maintained in this field enter the new identifier here. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. If there has been no change in the identifier, enter the same identifier as in RREC2. The reporting entity must not amend this unique identifier.

NO

NO

RREC5

Collateral Type

The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.

 

Automobile (CARX)

 

Industrial Vehicle (INDV)

 

Commercial Truck (CMTR)

 

Rail Vehicle (RALV)

 

Nautical Commercial Vehicle (NACM)

 

Nautical Leisure Vehicle (NALV)

 

Aeroplane (AERO)

 

Machine Tool (MCHT)

 

Industrial Equipment (INDE)

 

Office Equipment (OFEQ)

 

IT Equipment (ITEQ)

 

Medical Equipment (MDEQ)

 

Energy Related Equipment (ENEQ)

 

Commercial Building (CBLD)

 

Residential Building (RBLD)

 

Industrial Building (IBLD)

 

Other Vehicle (OTHV)

 

Other Equipment (OTHE)

 

Other Real Estate (OTRE)

 

Other goods or inventory (OTGI)

 

Securities (SECU)

 

Guarantee (GUAR)

 

Other Financial Asset (OTFA)

 

Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)

 

Other (OTHR)

NO

NO

RREC6

Geographic Region — Collateral

The geographic region (NUTS3 classification) where the physical collateral is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’.

YES

YES

RREC7

Occupancy Type

Type of property occupancy:

 

Owner Occupied i.e. owned by a private household with the purpose of providing shelter to its owner (FOWN)

 

Partially Owner Occupied (A property which is partly rented) (POWN)

 

Non-Owner Occupied or Buy-To-Let (TLET)

 

Holiday or Second Home (HOLD)

 

Other (OTHR)

If the collateral being reported is not property collateral, enter ND5.

YES

YES

RREC8

Lien

Highest lien position held by the originator in relation to the collateral.

If the collateral being reported is not property collateral, enter ND5.

YES

YES

RREC9

Property Type

Property type:

 

Residential (House, detached or semi-detached) (RHOS)

 

Residential (Flat or Apartment) (RFLT)

 

Residential (Bungalow) (RBGL)

 

Residential (Terraced House) (RTHS)

 

Multifamily House (properties with more than four units securing one underlying exposure) (MULF)

 

Partial Commercial use (property is used as a residence as well as for commercial use where less than 50 % of its value derived from commercial use, e.g. doctor’s surgery and house) (PCMM)

 

Commercial or Business Use (BIZZ)

 

Land Only (LAND)

 

Other (OTHR)

If the collateral being reported is not property collateral, enter ND5.

NO

YES

RREC10

Energy Performance Certificate Value

The energy performance certificate value of the collateral at the time of origination:

 

A (EPCA)

 

B (EPCB)

 

C (EPCC)

 

D (EPCD)

 

E (EPCE)

 

F (EPCF)

 

G (EPCG)

 

Other (OTHR)

YES

YES

RREC11

Energy Performance Certificate Provider Name

Enter the full legal name of the energy performance certificate provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

RREC12

Current Loan-To-Value

Current loan to Value ratio (LTV). For non-first lien loans this is the combined or total LTV. Where the current loan balance is negative, enter 0.

If the collateral being reported is not property collateral, enter ND5.

YES

YES

RREC13

Current Valuation Amount

The most recent valuation of the collateral as assessed by an independent external or internal appraiser. If such assessment is not available, the current value of the collateral can be estimated using a real estate value index sufficiently granular with respect to geographical location and type of collateral; if such real estate value index is also not available, a real estate price index sufficiently granular with respect to geographical location and type of collateral can be used after application of a suitably chosen mark-down to account for the depreciation of the collateral.

If the collateral being reported is not property collateral, enter the most recent valuation of the collateral as assessed by an independent external or internal appraiser or, if not available, by the originator.

If the collateral being reported is a guarantee, enter the amount of underlying exposure guaranteed by this collateral item to the benefit of the originator.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREC14

Current Valuation Method

The method of calculating the most recent value of the collateral, as provided in RREC13:

 

Full, internal and external inspection (FIEI)

 

Full, only external inspection (FOEI)

 

Drive-by (DRVB)

 

Automated Value Model (AUVM)

 

Indexed (IDXD)

 

Desktop (DKTP)

 

Managing Agent or Estate Agent (MAEA)

 

Tax Authority (TXAT)

 

Other (OTHR)

YES

NO

RREC15

Current Valuation Date

The date of the most recent valuation, as provided in RREC13.

YES

YES

RREC16

Original Loan-To-Value

Originator’s original underwritten loan To Value ratio (LTV). For non-first lien loans, this is the combined or total LTV.

If the collateral being reported is not property collateral, enter ND5.

YES

YES

RREC17

Original Valuation Amount

The original valuation of the collateral used when the underlying exposure was originated (i.e. before securitisation).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

RREC18

Original Valuation Method

The method of calculating the value of the collateral at the time of underlying exposure origination, as provided in RREC17:

 

Full, internal and external inspection (FIEI)

 

Full, only external inspection (FOEI)

 

Drive-by (DRVB)

 

Automated Valuation Model (AUVM)

 

Indexed (IDXD)

 

Desktop (DKTP)

 

Managing Agent/Estate Agent (MAEA)

 

Tax Authority (TXAT)

 

Other (OTHR)

YES

NO

RREC19

Original Valuation Date

The date of original valuation of the collateral, as provided in RREC17.

YES

NO

RREC20

Date Of Sale

The date of sale of the foreclosed collateral.

YES

YES

RREC21

Sale Price

Price achieved on sale of collateral in case of foreclosure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREC22

Collateral Currency

This is the currency in which the valuation amount provided in RREC13 is denominated.

NO

YES

RREC23

Guarantor Type

Guarantor Type:

 

No Guarantor (NGUA)

 

Individual — Family Relation (FAML)

 

Individual — Other (IOTH)

 

Government (GOVE)

 

Bank (BANK)

 

Insurance Product (INSU)

 

Nationale Hypotheek Garantie Guarantee Scheme (NHGX)

 

Fonds de Garantie de l’Accession Sociale (FGAS)

 

Caution (CATN)

 

Other (OTHR)

YES

NO


(1)  Commission Delegated Regulation (EU) 2020/1224 of 16 October 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE (OJ L 289, 3.9.2020, p. 1).


ANNEX III

UNDERLYING EXPOSURES INFORMATION — COMMERCIAL REAL ESTATE (CRE)

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

CREL1

Unique Identifier

The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224

NO

NO

CREL2

Original Obligor Identifier

Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

CREL3

New Obligor Identifier

If the original identifier in field CREL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREL2. The reporting entity must not amend this unique identifier.

NO

NO

CREL4

Original Underlying Exposure Identifier

Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

CREL5

New Underlying Exposure Identifier

If the original identifier in field CREL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREL4. The reporting entity must not amend this unique identifier.

NO

NO

CREL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

CREL7

Pool Addition Date

The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.

NO

YES

CREL8

Date Of Restructuring

Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

In the event of multiple dates, all dates must be provided in accordance with the XML schema.

YES

YES

CREL9

Date Of Repurchase

Date on which the underlying exposure was repurchased from the pool.

NO

YES

CREL10

Date Of Substitution

If underlying exposure was substituted for another underlying exposure after the Securitisation Date, the date of such substitution.

NO

YES

CREL11

Redemption Date

Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.

NO

YES

CREL12

Geographic Region — Obligor

The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’.

YES

NO

CREL13

Geographic Region Classification

Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.

YES

NO

CREL14

Special Scheme

If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.

YES

YES

CREL15

Origination Date

Date of original underlying exposure advance.

YES

NO

CREL16

Start Date Of Amortisation

The date on which amortisation will commence on the securitised underlying exposure (this can be a date prior to the securitisation date).

YES

YES

CREL17

Maturity Date At Securitisation Date

The maturity date of the underlying exposure as defined in the underlying exposure agreement. This would not take into account any extended maturity date on which may be allowed under the underlying exposure agreement.

NO

YES

CREL18

Maturity Date

The date of maturity of the underlying exposure or expiry of the lease.

NO

YES

CREL19

Original Term

Original contractual term (number of months) at the origination date.

YES

YES

CREL20

Duration Of Extension Option

Duration in months of any maturity extension option available to the underlying exposure. In the event of multiple maturity extensions available, enter the duration of the option that has the shortest extension period for the underlying exposure.

NO

YES

CREL21

Nature Of Extension Option

Reference thresholds involved for the possibility of triggering/exercising the extension option referred to in field CREL20:

 

Minimum Interest Coverage Ratio (MICR)

 

Minimum Debt Service Coverage Ratio (MDSC)

 

Maximum Loan-To-Value (MLTV)

 

Multiple Conditions (MLTC)

 

Other (OTHR)

NO

YES

CREL22

Currency Denomination

The underlying exposure currency denomination.

NO

NO

CREL23

Current Principal Balance

Outstanding principal balance of the securitised underlying exposure. This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. It excludes any interest arrears or penalty amounts.

Current balance includes the principal arrears. However, savings amount are to be deducted if a subparticipation exists. (i.e. underlying exposure balance = underlying exposure +/- subparticipation; +/- 0 if no subparticipation).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL24

Original Principal Balance

Original underlying exposure balance (inclusive of fees).

This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CREL25

Original Principal Balance At Securitisation Date

Original Principal Balance of the securitised underlying exposure at the Securitisation Date as identified in the Offering Circular.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CREL26

Committed Undrawn Facility Underlying Exposure Balance

The total whole underlying exposure remaining facility/Undrawn balance at the end of the period. The total whole underlying exposure remaining facility at the end of the Interest Payment date on which the obligor can still draw upon.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

CREL27

Total Other Amounts Outstanding

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

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL28

Purchase Price

Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.

NO

YES

CREL29

Latest Utilisation Date

Date of the most recent utilisation/drawdown of the underlying exposure facility agreement.

NO

YES

CREL30

Purpose

Underlying exposure purpose — In the event of multiple purposes, report the option that best describes the arrangement:

 

Acquisition for investment (ACQI)

 

Acquisition for Liquidation (ACQL)

 

Refinancing (RFIN)

 

Construction (CNST)

 

Redevelopment (RDVL)

 

Other (OTHR)

YES

NO

CREL31

Structure

Underlying Exposure Structure:

 

Whole loan — not split into subordinated debt items/notes (LOAN)

 

Participated mortgage underlying exposure with pari passu debt outside the issuance vehicle (PMLP)

 

Participated mortgage underlying exposure with subordinate debt outside the issuance vehicle (PMLS)

 

A Loan; as part of an A/B participation structure (AABP)

 

B Loan; as part of an A/B participation structure (BABP)

 

A Loan; as part of an A/B/C participation structure (AABC)

 

B Loan; as part of an A/B/C participation structure (BABC)

 

C Loan; as part of an A/B/C participation structure (CABC)

 

Structural mezzanine financing (MZZD)

 

Subordinate debt with separate loan documentation outside the issuance vehicle (SOBD)

 

Other (OTHR)

YES

NO

CREL32

Waterfall A-B Pre Enforcement Scheduled Interest Payments

Waterfall pre-enforcement schedule for interest payments:

 

Sequential (SQNL)

 

B loan first (BLLF)

 

Pro-Rata (PRAT)

 

Modified Pro-Rata (MPRT)

 

Other (OTHR)

NO

YES

CREL33

Waterfall A-B Pre Enforcement Scheduled Principal Payments

Waterfall pre-enforcement schedule for principal payments:

 

Sequential (SQNL)

 

B loan first (BLLF)

 

Pro-Rata (PRAT)

 

Modified Pro-Rata (MPRT)

 

Other (OTHR)

NO

YES

CREL34

Principal Payment Allocation To Senior Loan

Insert % of all periodical scheduled principal payments that go to the senior loan (e.g. A loan), if there are multiple loans in the lending arrangement (for example, if field CREL31 is completed with values PMLS, AABP, BABP, AABC, BABC, or CABC).

NO

YES

CREL35

Waterfall Type

Type of waterfall governing the overall lending arrangement:

 

Interest A, principal A, interest B, principal B (IPIP)

 

Interest A, interest B, principal A, principal B (IIPP)

 

Other (OTHR)

NO

YES

CREL36

Defaulted Underlying Exposure Purchase Price

If the subordinated loan holder (e.g. B loan holder) can purchase the senior loan in an event of default, enter the purchase price as per the applicable co-lender/intercreditor agreement.

NO

YES

CREL37

Cure Payments Possible?

Can the subordinated loan holder (e.g. B loan holder) make cure payments in lieu of the mortgage obligor? Select from the list below:

 

No possibility to make cure payment (NCPP)

 

Cure payment can be made up to a fixed number limit over the lifetime of the underlying exposure (FNLP)

 

Cure payment can be made without limit over the lifetime of the underlying exposure (NLCP)

 

Other (OTHR)

YES

NO

CREL38

Restrictions On Sale Of Subordinated Loan?

Are there any restrictions on the ability of the subordinated loan holder (e.g. B loan holder) to sell off the loan to a third party?

NO

YES

CREL39

Subordinated Loan Holder Affiliated To Obligor?

Is there a non-disenfranchised subordinated loan holder (e.g. B loan holder) affiliated (i.e. part of the same financial group) to the commercial mortgage obligor?

NO

YES

CREL40

Subordinated Loan Holder Control Of Workout Process

Can the subordinated loan holder (e.g. B loan holder) exercise control over the decision to and process to enforce and sell the loan collateral?

NO

YES

CREL41

Do Non-Payments On Prior Ranking Claims Constitute A Default Of The Underlying Exposure?

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

NO

YES

CREL42

Do Non-Payments On Equal Ranking Underlying Exposures Constitute Default Of Property?

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

NO

YES

CREL43

Noteholder Consent

Is Noteholder consent needed in any restructuring? Restructuring includes changes in the securitised underlying exposure’s payment terms (including interest rate, fees, penalties, maturity, repayment schedule, and/or other generally-accepted measures of payment terms)

YES

NO

CREL44

Noteholder Meeting Scheduled

What date is the next noteholder meeting scheduled for?

NO

YES

CREL45

Syndicated

Is the underlying exposure syndicated?

YES

NO

CREL46

Participation Of SSPE

Method used by the SSPE to acquire ownership in the syndicated underlying exposure:

 

Assignment (ASGN)

 

Novation (NOVA)

 

Equitable Assignment (EQTB)

 

Funded Participation (pari passu interest) (PARI)

 

Junior Participation Interest (JUNP)

 

Legal Assignment (LGAS)

 

Notified Assignment (NOTA)

 

Sub Participation (SUBP)

 

Risk Participation (RSKP)

 

Sale Event (SALE)

 

Other (OTHR)

NO

YES

CREL47

Consequence For Breach Of Financial Covenant

The consequence for the financial covenant breach:

 

Event of Default (EDFT)

 

Additional Amortisation (AAMR)

 

Cash Trap Reserve (CTRS)

 

Terminate Property Manager (TPRM)

 

Other (OTHR)

NO

YES

CREL48

Financial Information Non-Submission Penalties

Are there are monetary penalties for obligor’s failure to submit required financial information (Op. Statement, Schedule, etc.) as per underlying exposure documents?

YES

NO

CREL49

Recourse

Is there recourse (full or limited) to the obligor’s assets beyond the proceeds of any collateral for this underlying exposure?

YES

YES

CREL50

Recourse - 3rd Party

Is there recourse (full or limited) to another party (e.g. guarantor) in the event the obligor defaults on an obligation under the underlying exposure agreement?

YES

YES

CREL51

Servicing Standard

Does the servicer of this securitised underlying exposure also service the whole underlying exposure or only one/several components of the whole underlying exposure (e.g. A or B component; or one of the pari-passu components)?

NO

NO

CREL52

Amounts Held In Escrow

Total balance of the legally charged reserve accounts as at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL53

Collection Of Escrows

Enter Y if any payments are held in reserve accounts to cover ground lease payments, insurance or taxes only (not maintenance, improvements, capex etc.) as required under the underlying exposure agreement.

YES

NO

CREL54

Collection Of Other Reserves

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

NO

NO

CREL55

Trigger For Escrow To Be Held

Type of trigger event leading to amounts to be paid into escrow:

 

No Trigger (NONE)

 

Loan to Value Trigger (LVTX)

 

Interest Coverage Trigger (ICVR)

 

Debt Service Coverage Trigger (DSCT)

 

Net Operating Income Trigger (NOIT)

 

Other (OTHR)

YES

NO

CREL56

Target Escrow Amounts/Reserves

Target escrow amounts/reserves.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL57

Escrow Account Release Conditions

Release conditions of the escrow account. If multiple conditions, each condition must be provided in accordande with the XML schema.

NO

YES

CREL58

Conditions Of Drawing Cash Reserve

When the Cash Reserve can be used:

 

Financial Covenant Breach (FICB)

 

Trigger Event (TREV)

 

Other (OTHR)

NO

YES

CREL59

Escrow Account Currency

Escrow account currency denomination.

NO

YES

CREL60

Escrow Payments Currency

Currency of the Escrow payments. Fields CREL52 and CREL56.

NO

YES

CREL61

Total Reserve Balance

Total balance of the reserve accounts at the underlying exposure level at the underlying exposure Payment Date. Includes Maintenance, Repairs & Environmental, etc. (excludes Tax & Insurance reserves Includes LC’s for reserves. to be completed if field CREL54 (‘Collection of Other Reserves’) is equal to ‘Y’ = Yes.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL62

Reserve Balance Currency

Reserve account currency denomination.

NO

YES

CREL63

Escrow Trigger Event Occurred

Enter Y if an event has occurred which has caused reserve amounts to be established. Enter N if payments are built up as a normal condition of the underlying exposure agreement.

NO

NO

CREL64

Amounts Added To Escrows In Current Period

Amount that has been added to any escrows or reserves between the previous data cut-off date and the data cut-off date of this data submission.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL65

Revenue

Total revenues from all sources for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months) for all the properties. May be normalised if required by the applicable servicing agreement.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CREL66

Operating Expenses At Securitisation Date

Total underwritten operating expenses for all the properties as described in the Offering Circular. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the landlord; capital expenditures and leasing commissions are excluded. If multiple properties exist, total the operating expenses of the underlying properties.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL67

Capital Expenditures At Securitisation Date

Anticipated capex over the life of the securitised underlying exposure at Securitisation Date (as opposed to repairs and maintenance) if identified in the Offering Circular.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL68

Financial Statement Currency

The currency used in the initial financial reporting of fields CREL65 — CREL66.

YES

NO

CREL69

Obligor Reporting Breach

Is obligor in breach of its obligation to deliver reports to underlying exposure servicer or lender? Y = Yes or N = No.

YES

NO

CREL70

Debt Service Coverage Ratio Method

Define the calculation of the Debt Service Coverage Ratio financial covenant requirement, the inferred method of calculation. If the calculation method differs between the whole loan and the A-loan, then enter the A-loan method.

Current Period (CRRP)

Projection - 6 month forward calculation (PRSF)

Projection - 12 month forward calculation (PRTF)

Combo 6 — Current period and a 6 month forward calculation (CMSF)

Combo 12 — Current period and a 6 month forward calculation (CMTF)

Historical - 6 month forward calculation (HISF)

Historical - 12 month forward calculation (HITF)

Modified — Includes a reserve injection or a percentage rental income probability calculation (MODI)

Multiple Period — Consecutive period calculation (MLTP)

Other (OTHR)

YES

NO

CREL71

Debt Service Coverage Ratio Indicator At Securitisation Date

How the Debt Service Coverage Ratio is calculated or applied when an underlying exposure relates to multiple properties:

 

Partial — Not all properties received financials, servicer to leave empty (PRTL)

 

Average — Not all properties received financials, servicer allocates debt service only to properties where financials are received (AVER)

 

Full — All statements collected for all properties (FULL)

 

Worst Case — Not all properties received financials, servicer allocates 100 % of debt service to all properties where financials are received (WCAS)

 

None Collected — No financials were received (NCOT)

 

Consolidated — All properties reported on one ‘rolled up’ financial from the obligor (COND)

 

Whole loan based on loan agreements (WLAG)

 

Whole loan based on other method (WLOT)

 

Trust Note based on loan agreement (TNAG)

 

Trust Note based on other method (TNOT)

 

Other (OTHR)

NO

YES

CREL72

Most Recent Debt Service Coverage Ratio Indicator

How the Debt Service Coverage Ratio is calculated or applied when an underlying exposure relates to multiple properties:

 

Partial — Not all properties received financials, servicer to leave empty (PRTL)

 

Average — Not all properties received financials, servicer allocates debt service only to properties where financials are received (AVER)

 

Full — All statements collected for all properties (FULL)

 

Worst Case — Not all properties received financials, servicer allocates 100 % of debt service to all properties where financials are received (WCAS)

 

None Collected — No financials were received (NCOT)

 

Consolidated — All properties reported on one ‘rolled up’ financial from the obligor (COND)

 

Whole loan based on loan agreements (WLAG)

 

Whole loan based on other method (WLOT)

 

Trust Note based on loan agreement (TNAG)

 

Trust Note based on other method (TNOT)

 

Other (OTHR)

NO

YES

CREL73

Debt Service Coverage Ratio At The Securitisation Date

The Debt Service Coverage Ratio calculation for the securitised underlying exposure, at the Securitisation Date, based on the underlying exposure documentation.

YES

NO

CREL74

Current Debt Service Coverage Ratio

Current Debt Service Coverage Ratio calculation for the securitised underlying exposure, based on the underlying exposure documentation.

YES

NO

CREL75

Original Loan-To-Value

The Loan to Value ratio (LTV) for the entire lending arrangement (i.e. not just reflecting the securitised loan amount), as at the Securitisation Date.

YES

NO

CREL76

Current Loan-To-Value

Current Loan to Value ratio (LTV) for the entire lending arrangement (i.e. not just reflecting the securitised loan amount).

YES

NO

CREL77

Interest Coverage Ratio At The Securitisation Date

The Interest Coverage Ratio calculation for the securitised underlying exposure, at the Securitisation Date.

YES

NO

CREL78

Current Interest Coverage Ratio

Current Interest Coverage Ratio calculation for the securitised underlying exposure.

YES

NO

CREL79

Interest Coverage Ratio Method

Define the calculation of the Interest Coverage Ratio financial covenant requirement at the level of the securitised underlying exposure (or the whole underlying exposure level if not specified for any specific underlying exposure arrangements within the overall lending arrangement), the inferred method of calculation:

 

Current Period (CRRP)

 

Projection - 6 month forward calculation (PRSF)

 

Projection - 12 month forward calculation (PRTF)

 

Combo 6 — Current period and a 6 month forward calculation (CMSF)

 

Combo 12 — Current period and a 6 month forward calculation (CMTF)

 

Historical - 6 month forward calculation (HISF)

 

Historical - 12 month forward calculation (HITF)

 

Modified — Includes a reserve injection or a percentage rental income probability calculation (MODI)

 

Multiple Period — Consecutive period calculation (MLTP)

 

Other (OTHR)

NO

YES

CREL80

Number Of Properties At Securitisation Date

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

NO

YES

CREL81

Number Of Properties At Data Cut-Off Date

The number of properties that serve as security for the underlying exposure.

YES

NO

CREL82

Properties Collateralised To The Underlying Exposure

Enter the unique collateral identifiers (CREC4) of the properties that serve as security for the underlying exposure at the data cut-off date. If multiple properties enter all of the identifiers as set out in the XML schema.

NO

NO

CREL83

Property Portfolio Value At Securitisation Date

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

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL84

Property Portfolio Valuation Currency At Securitisation Date

The currency of the valuation in CREL83.

NO

YES

CREL85

Status Of Properties

Status of properties. Where multiple situations from the list below exist, choose the situation which best represents the overall set of properties.

Lasting Power of Attorney (LPOA)

Receivership (RCVR)

In Foreclosure (FCLS)

Real Estate Owned (REOW)

Defeased (DFSD)

Partial Release (PRLS)

Released (RLSD)

Same as at Securitisation Date (SCDT)

In special servicing (SSRV)

Other (OTHR)

NO

YES

CREL86

Valuation Date At Securitisation Date

The date the valuation was prepared for the values disclosed in the Offering Circular. For multiple properties, if several dates, take the most recent date.

NO

YES

CREL87

Amortisation Type

Type of amortisation of the underlying exposure including principal and interest.

French — i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX)

German — i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)

Fixed amortisation schedule — i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)

Bullet — i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)

Other (OTHR)

YES

NO

CREL88

Principal Grace Period End Date

If applicable as at the data cut-off date, indicate the principal grace period end date.

NO

YES

CREL89

Grace Days Allowed

The number of days after a payment is due in which the lender will not consider the missed payment to be an Event of Default. This refers to missed payments due to non-technical reasons (i.e. missed payments not due to systems failures for example).

NO

YES

CREL90

Scheduled Principal Payment Frequency

Frequency of principal payments due, i.e. period between payments:

 

Monthly (MNTH)

 

Quarterly (QUTR)

 

Semi Annual (SEMI)

 

Annual (YEAR)

 

Other (OTHR)

NO

YES

CREL91

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

 

Monthly (MNTH)

 

Quarterly (QUTR)

 

Semi Annual (SEMI)

 

Annual (YEAR)

 

Other (OTHR)

NO

YES

CREL92

Number Of Payments Before Securitisation

Enter the number of payments made prior to the exposure being transferred to the securitisation.

YES

NO

CREL93

Prepayment Terms Description

Must reflect the information in offering circular. For instance, if the prepayment terms are the payment of a 1 % fee in year one, 0,5 % in year two and 0,25 % in year three of the loan this may be shown in the offering circular as: 1 %(12), 0,5 %(24), 0,25 %(36).

YES

YES

CREL94

Prepayment Lock-Out End Date

The date after which the lender allows prepayment of the underlying exposure.

YES

YES

CREL95

Yield Maintenance End Date

Date after which underlying exposure can be prepaid without yield maintenance.

NO

YES

CREL96

Prepayment Fee

Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL97

Prepayment Fee End Date

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

YES

YES

CREL98

Unscheduled Principal Collections

Unscheduled payments of principal received in the most recent collection period. Other principal payments received during the interest period that will be used to pay down the underlying exposure. This may relate to sales proceeds, voluntary prepayments, or liquidation amounts.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL99

Liquidation/Prepayment Date

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

NO

YES

CREL100

Liquidation/Prepayment Code

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

 

Partial Liquidation (Curtailment) (PTLQ)

 

Payoff Prior to Maturity (PTPY)

 

Liquidation or Disposition (LQDP)

 

Repurchase or Substitution (RPSB)

 

Full Payoff at Maturity (FLPY)

 

Discounted Payoff (DPOX)

 

Payoff with Penalty (PYPN)

 

Payoff with Yield Maintenance (YLMT)

 

Curtailment with Penalty (CTPL)

 

Curtailment with Yield Maintenance (CTYL)

 

Other (OTHR)

NO

YES

CREL101

Prepayment Interest Excess/Shortfall

Shortfall or excess of actual interest payment from the scheduled interest payment that is not related to an underlying exposure default. Results from a prepayment received on a date other than a scheduled payment due date: Shortfall – The difference by which the amount of interest paid is less than the scheduled interest that was due on the underlying exposure Payment Date, (this would only apply if there is a shortfall after the obligor has paid any break costs). Excess – Interest collected in excess of the accrued interest due for the underlying exposure interest accrual period. A negative number represents a shortfall and excess is represented as a positive number.

Refers to the entire lending arrangement (i.e. not just reflecting the securitised underlying exposure amount)

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL102

Payment Date

The most recent date principal and interest is paid to the SSPE as at the data cut-off date, this would normally be the interest payment date of the underlying exposure.

NO

YES

CREL103

Next Payment Adjustment Date

For adjustable rate underlying exposures, the next date on which the amount of scheduled principal and/or interest is due to change. For fixed rate underlying exposures, enter the next payment date.

NO

YES

CREL104

Next Payment Date

Date of next underlying exposure payment.

NO

YES

CREL105

Payment Due

This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL106

Original Interest Rate

Underlying exposure all-in interest rate at the date of origination of the securitised underlying exposure.

YES

NO

CREL107

Interest Rate At The Securitisation Date

The total interest rate (e.g. EURIBOR + Margin) that is being used to calculate interest due on the securitised underlying exposure for the first Interest Payment Date after the Securitisation Date.

YES

NO

CREL108

First Payment Adjustment Date

For adjustable rate underlying exposures, the first date on which the amount of scheduled principal and/or interest is due to change. For fixed rate underlying exposures, enter the first date on which the amount of scheduled principal or interest is due (not the first date after securitisation on which it could change).

YES

YES

CREL109

Interest Rate Type

Interest rate type:

 

Floating rate underlying exposure (for life) (FLIF)

 

Floating rate underlying exposure linked to one index that will revert to another index in the future (FINX)

 

Fixed rate underlying exposure (for life) (FXRL)

 

Fixed with future periodic resets (FXPR)

 

Fixed rate underlying exposure with compulsory future switch to floating (FLCF)

 

Floating rate underlying exposure with floor (FLFL)

 

Floating rate underlying exposure with cap (CAPP)

 

Floating rate underlying exposure with both floor and cap (FLCA)

 

Discount (DISC)

 

Switch Optionality (SWIC)

 

Obligor Swapped (OBLS)

 

Modular (MODE)

 

Other (OTHR)

NO

YES

CREL110

Current Interest Rate

Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised.

NO

YES

CREL111

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

 

MuniAAA (MAAA)

 

FutureSWAP (FUSW)

 

LIBID (LIBI)

 

LIBOR (LIBO)

 

SWAP (SWAP)

 

Treasury (TREA)

 

Euribor (EURI)

 

Pfandbriefe (PFAN)

 

EONIA (EONA)

 

EONIASwaps (EONS)

 

EURODOLLAR (EUUS)

 

EuroSwiss (EUCH)

 

TIBOR (TIBO)

 

ISDAFIX (ISDA)

 

GCFRepo (GCFR)

 

STIBOR (STBO)

 

BBSW (BBSW)

 

JIBAR (JIBA)

 

BUBOR (BUBO)

 

CDOR (CDOR)

 

CIBOR (CIBO)

 

MOSPRIM (MOSP)

 

NIBOR (NIBO)

 

PRIBOR (PRBO)

 

TELBOR (TLBO)

 

WIBOR (WIBO)

 

Bank of England Base Rate (BOER)

 

European Central Bank Base Rate (ECBR)

 

Lender’s Own Rate (LDOR)

 

Other (OTHR)

NO

YES

CREL112

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

 

Overnight (OVNG)

 

IntraDay (INDA)

 

1 day (DAIL)

 

1 week (WEEK)

 

2 week (TOWK)

 

1 month (MNTH)

 

2 month (TOMN)

 

3 month (QUTR)

 

4 month (FOMN)

 

6 month (SEMI)

 

12 month (YEAR)

 

On Demand (ONDE)

 

Other (OTHR)

NO

YES

CREL113

Current Interest Rate Margin

Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.

NO

YES

CREL114

Interest Rate Reset Interval

Number of months between each interest rate reset date on the underlying exposure.

NO

YES

CREL115

Current Index Rate

The index rate used to determine the current securitised underlying exposure interest rate. The interest rate (before margin) used to calculate the interest paid on the securitised underlying exposure payment date in field CREL102.

NO

YES

CREL116

Index Determination Date

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

NO

YES

CREL117

Rounding Increment

The incremental percentage by which an index rate is to be rounded in determining the interest rate as set out in the underlying exposure agreement.

NO

YES

CREL118

Interest Rate Cap

Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

CREL119

Interest Rate Floor

Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

CREL120

Current Default Interest Rate

Interest rate used to calculate the default interest paid on the securitised underlying exposure payment date in field CREL102.

NO

YES

CREL121

Accrual Of Interest Allowed

Do the documents describing the terms and conditions of the underlying exposure allow for interest to be accrued and capitalised?

YES

NO

CREL122

Day Count Convention

The ‘days’ convention used to calculate interest:

 

30/360 (A011)

 

Actual/365 (A005)

 

Actual/360 (A004)

 

Actual/Actual ICMA (A006)

 

Actual/Actual ISDA (A008)

 

Actual/Actual AFB (A010)

 

Actual/366 (A009)

 

Other (OTHR)

NO

YES

CREL123

Total Scheduled Principal & Interest Due

Scheduled principal & interest payment due on the securitised underlying exposure on the most recent payment date, as at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

CREL124

Total Scheduled Principal & Interest Paid

Scheduled Principal & Interest payment paid on the securitised underlying exposure on the most recent payment date, as at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

CREL125

Negative Amortisation

Negative amortisation/deferred interest/capitalised interest without penalty. Negative amortisation occurs when interest accrued during a payment period is greater than the scheduled payment and the excess amount is added to the outstanding underlying exposure balance. Refers to the entire lending arrangement (i.e. not just reflecting the securitised underlying exposure amount)

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CREL126

Deferred Interest

Deferred interest on the whole loan (i.e. including the securitised loan and any other loan belonging to the lending arrangement with the obligor). Deferred interest is the amount by which the interest an obligor is required to pay on a mortgage loan, less than the amount of interest accrued on the outstanding principal balance.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CREL127

Total Shortfalls In Principal & Interest Outstanding

Cumulative outstanding principal and interest amounts due on the entire lending arrangement (i.e. not just the securitised underlying exposure) as at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL128

Date Last In Arrears

Date the obligor was last in arrears.

YES

YES

CREL129

Arrears Balance

Current balance of arrears, which is defined as:

 

Total payments due to date

 

PLUS any amounts capitalised

 

PLUS any fees applied to the account

 

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

CREL130

Number Of Days In Arrears

Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.

NO

NO

CREL131

Reason for Default or Foreclosure

If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:

 

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

 

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

 

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

CREL132

Default Amount

Total gross default amount before the application of sale proceeds and recoveries and inclusive of any capitalised fees/penalties/etc. If not in default, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL133

Default Date

The date of default.

NO

YES

CREL134

Interest In Arrears

Is the interest that accrues on the underlying exposure paid in arrears?

NO

NO

CREL135

Actual Default Interest

Actual default interest paid between the previous data cut-off date and the data cut-off date of this data submission. Total amount of default interest paid by the obligor during the interest period or on the underlying exposure payment date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL136

Account Status

Current status of the underlying exposure that has been securitised:

 

Performing (PERF)

 

Restructured — No Arrears (RNAR)

 

Restructured — Arrears (RARR)

 

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

 

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

 

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

 

Defaulted only under another definition of default being met (DADB)

 

Arrears (ARRE)

 

Repurchased by Seller – Breach of Representations and Warranties (REBR)

 

Repurchased by Seller – Defaulted (REDF)

 

Repurchased by Seller – Restructured (RERE)

 

Repurchased by Seller – Special Servicing (RESS)

 

Repurchased by Seller – Other Reason (REOT)

 

Redeemed (RDMD)

 

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

CREL137

Allocated Losses

The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL138

Net Proceeds Received On Liquidation

Net proceeds received on liquidation used to determine loss to the SSPE per the Securitisation Documents. The amount of the net proceeds of sale received, this will determine whether there is a loss or shortfall on the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL139

Liquidation Expense

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

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL140

Expected Timing Of Recoveries

The underlying exposure servicer’s expected recovery timing in months.

NO

YES

CREL141

Cumulative Recoveries

Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL142

Enforcement Start Date

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

NO

YES

CREL143

Workout Strategy Code

Work-out strategy:

 

Modification (MODI)

 

Enforcement (ENFR)

 

Receivership (RCVR)

 

Insolvency (NSOL)

 

Extension (XTSN)

 

Loan Sale (LLES)

 

Discounted Pay Off (DPFF)

 

Property in Possession (PPOS)

 

Resolved (RSLV)

 

Pending Return to Servicer (PRTS)

 

Deed in Lieu of Foreclosure (DLFR)

 

Full Pay Off (FPOF)

 

Representations and Warranties (REWR)

 

Other (OTHR)

NO

YES

CREL144

Modification

Type of modification:

 

Maturity Date Extension (MEXT)

 

Amortisation Change (AMMC)

 

Principal Write-off (PWOF)

 

Temporary Rate Reduction (TMRR)

 

Capitalisation of Interest (CINT)

 

Capitalisation of Costs Advanced (e.g. insurance, ground rent) (CPCA)

 

Combination (COMB)

 

Other (OTHR)

NO

YES

CREL145

Special Servicing Status

As of the underlying exposure Payment Date is the underlying exposure currently being specially serviced?

NO

NO

CREL146

Most Recent Special Servicer Transfer Date

The date an underlying exposure was transferred to the special Servicer following a servicing transfer event. Note: If the underlying exposure has had multiple transfers, this is the last date transferred to special servicing.

NO

YES

CREL147

Most Recent Primary Servicer Return Date

The date an underlying exposure becomes a ‘corrected mortgage underlying exposure’, which is the date the underlying exposure was returned to the master/primary Servicer from the special Servicer. Note: If the underlying exposure has had multiple transfers, this is the last date returned to the master/primary Servicer from special servicing.

NO

YES

CREL148

Non Recoverability Determined

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

YES

YES

CREL149

Covenant Breach/Trigger

Type of Covenant Breach/Trigger:

 

Interest Coverage Ratio (ICRX)

 

Debt Service Coverage Ratio (DSCR)

 

Loan-to-Value (LLTV)

 

Interest Coverage Ratio or Debt Service Coverage Ratio (ICDS)

 

Interest Coverage Ratio or Debt Service Coverage Ratio or Loan-to-Value (ICDL)

 

Property Level Breach (PROP)

 

Obligor Level Breach (OBLG)

 

Tenant or Vacancy Level Breach (TENT)

 

Other (OTHR)

NO

YES

CREL150

Date Of Breach

The date on which any breach of the underlying exposure terms and conditions occurred. If multiple breaches, the date of the earliest breach.

YES

YES

CREL151

Date Of Breach Cure

The date on which any breach reported in field CREL150 cured. If multiple breaches, the date which the last breach cured.

NO

YES

CREL152

Servicer Watchlist Code

If the underlying exposure has been entered onto the servicer watchlist, enter the most appropriate corresponding code from Table 2 in Annex I of this Regulation. If multiple criteria are applicable, list the most detrimental code.

NO

YES

CREL153

Servicer Watchlist Date

Determination date on which an underlying exposure was placed on the Watchlist. If underlying exposure came off the Watchlist in a prior period and is now coming back on, use the new entry date.

NO

YES

CREL154

Interest Rate Swap Provider

If there is an interest rate swap on the underlying exposure, provide the full legal name of the interest rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

CREL155

Interest Rate Swap Provider Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure interest rate swap provider.

NO

YES

CREL156

Interest Rate Swap Maturity Date

Date of maturity for the interest rate underlying exposure level swap.

NO

YES

CREL157

Interest Rate Swap Notional

Interest rate underlying exposure level swap notional amount

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL158

Currency Swap Provider

If there is an exchange rate swap on the underlying exposure, provide the full legal name of the exchange rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

CREL159

Currency Swap Provider Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure currency swap provider.

NO

YES

CREL160

Currency Swap Maturity Date

Date of maturity for the currency underlying exposure level swap.

NO

YES

CREL161

Currency Swap Notional

Currency underlying exposure level swap notional amount

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL162

Exchange Rate For Swap

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

NO

YES

CREL163

Other Swap Provider

The full legal name of the swap provider for the underlying exposure, where the swap is neither an interest rate nor currency swap. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

CREL164

Other Swap Provider Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure ‘other’ swap provider.

NO

YES

CREL165

Obligor Must Pay Breakage On Swap

Extent to which the obligor is obligated to pay breakage costs to the underlying exposure swap provider. In the event of multiple swaps, enter the most appropriate value.

Total Indemnification from obligor (TOTL)

Partial Indemnification from obligor (PINO)

No Indemnification from obligor (NOPE)

YES

NO

CREL166

Full Or Partial Termination Event Of Swap For Current Period

If underlying exposure swap has been terminated between the previous data cut-off date and the data cut-off date of the current report submission, identify reason. In the event of multiple swaps, enter the most appropriate value.

Swap Terminated due to Ratings Downgrade of Underlying Exposure Swap Provider (RTDW)

Swap Terminated due to Payment Default to Underlying Exposure Swap Provider (PYMD)

Swap Terminated due to Other Type of Default by Underlying Exposure Swap Counterparty (CNTD)

Swap Terminated due to Full or Partial Prepayment by Obligor (PRPY)

Swap Terminated due to Other Type of Default by Obligor (OBGD)

Other (OTHR)

NO

YES

CREL167

Net Periodic Payment Made By Swap Provider

Net amount of payment made by the swap counterparty securitised underlying exposure, on the underlying exposure Payment Date as required by the swap contract. This does not include any breakage or termination payments. In the event of multiple swaps, enter the sum across all swaps.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL168

Breakage Costs Due To Underlying Exposure Swap Provider

Amount of any payment due from the obligor to the swap counterparty for partial of full termination of the swap. In the event of multiple swaps, enter the most appropriate value.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL169

Shortfall In Payment Of Breakage Costs On Swap

Amount of any shortfall, if any, of breakage costs resulting from the full or partial termination of the swap, paid by the obligor. In the event of multiple swaps, enter the sum across all swaps.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL170

Breakage Costs Due From Swap Counterparty

Amount of any gains paid by the swap counterparty to the obligor on full or partial termination. In the event of multiple swaps, enter the most appropriate value.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL171

Next Swap Reset Date

Date of next reset date on the underlying exposure level swap. In the event of multiple swaps, enter the most appropriate value.

NO

YES

CREL172

Sponsor

The name of the underlying exposure sponsor.

NO

YES

CREL173

Agent Bank Of Syndication Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the agent bank of syndication, i.e. the entity acting as an interface between the obligor and the lending parties involved in the syndicated underlying exposure.

NO

YES

CREL174

Servicer Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure servicer.

NO

YES

CREL175

Servicer Name

Give the full legal name of the underlying exposure servicer. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

CREL176

Originator Name

Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

CREL177

Originator Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.

NO

NO

CREL178

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

CREL179

Original Lender Name

Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

CREL180

Original Lender Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

CREL181

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

Collateral-level information section

CREC1

Unique Identifier

Report the same unique identifier here as the one entered into field CREL1.

NO

NO

CREC2

Underlying Exposure Identifier

Unique underlying exposure identifier. This must match the identifier in field CREL5. The reporting entity must not amend this unique identifier.

NO

NO

CREC3

Original Collateral Identifier

The original unique identifier assigned to the collateral. The reporting entity must not amend this unique identifier.

NO

NO

CREC4

New Collateral Identifier

If the original identifier in field CREC3 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREC3. The reporting entity must not amend this unique identifier.

NO

NO

CREC5

Collateral Type

The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.

Automobile (CARX)

Industrial Vehicle (INDV)

Commercial Truck (CMTR)

Rail Vehicle (RALV)

Nautical Commercial Vehicle (NACM)

Nautical Leisure Vehicle (NALV)

Aeroplane (AERO)

Machine Tool (MCHT)

Industrial Equipment (INDE)

Office Equipment (OFEQ)

IT Equipment (ITEQ)

Medical Equipment (MDEQ)

Energy Related Equipment (ENEQ)

Commercial Building (CBLD)

Residential Building (RBLD)

Industrial Building (IBLD)

Other Vehicle (OTHV)

Other Equipment (OTHE)

Other Real Estate (OTRE)

Other goods or inventory (OTGI)

Securities (SECU)

Guarantee (GUAR)

Other Financial Asset (OTFA)

Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)

Other (OTHR)

NO

NO

CREC6

Property Name

The name of the property that serves as security for the underlying exposure.

If the collateral being reported is not property collateral, enter ND5.

NO

YES

CREC7

Property Address

The address of the property that serves as security for the underlying exposure.

If the collateral being reported is not property collateral, enter ND5.

NO

YES

CREC8

Geographic Region — Collateral

The geographic region (NUTS3 classification) where the physical collateral is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’.

YES

YES

CREC9

Property Post Code

The primary property full postal code.

If the collateral being reported is not property collateral, enter ND5.

NO

YES

CREC10

Lien

Highest lien position held by the originator in relation to the collateral.

YES

YES

CREC11

Property Status

Status of property:

 

Lasting Power of Attorney (LPOA)

 

Receivership (RCVR)

 

In Foreclosure (FCLS)

 

Real Estate Owned (REOW)

 

Defeased (DFSD)

 

Partial Release (PRLS)

 

Released (RLSD)

 

Same as at Securitisation Date (SCDT)

 

In Special Servicing (SSRV)

 

Other (OTHR)

If the collateral being reported is not property collateral, enter ND5.

NO

YES

CREC12

Property Type

Property type:

 

Caravan Park (CRVP)

 

Car Park (CARP)

 

Health Care (HEAL)

 

Hospitality or Hotel (HOTL)

 

Industrial (IDSR)

 

Land Only (LAND)

 

Leisure (LEIS)

 

Multifamily (MULF)

 

Mixed Use (MIXD)

 

Office (OFFC)

 

Pub (PUBX)

 

Retail (RETL)

 

Self Storage (SSTR)

 

Warehouse (WARE)

 

Various (VARI)

 

Other (OTHR)

If the collateral being reported is not property collateral, enter ND5.

NO

YES

CREC13

Property Form Of Title

The relevant form of property title. A lease on land only, in which the obligor usually owns a building or is required to build as specified in the lease. Such leases are usually long-term net leases; the obligor’s rights and obligations continue until the lease expires or is terminated through default:

 

Leasehold (LESH)

 

Freehold (FREE)

 

Mixed (MIXD)

 

Other (OTHR)

If the collateral being reported is not property collateral, enter ND5.

NO

YES

CREC14

Current Valuation Date

The date of the most recent valuation.

YES

YES

CREC15

Current Valuation Amount

The most recent valuation of the property as assessed by an independent external or internal appraiser; if such assessment is not available, the current value of the property can be estimated using a real estate value index sufficiently granular with respect to geographical location and type of property; if such real estate value index is also not available, a real estate price index sufficiently granular with respect to geographical location and type of property can be used after application of a suitably chosen mark-down to account for the depreciation of the property.

If the collateral being reported is not property collateral, enter the most recent valuation of the collateral as assessed by an independent external or internal appraiser or, if not available, by the originator.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CREC16

Current Valuation Method

The most recent method of calculating the value of the collateral provided in field CREC15.

Full, internal and external inspection (FALL)

Full, only external inspection (FEXT)

Drive-by (DRVB)

Automated Valuation Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent/Estate Agent (MAEA)

Tax Authority (TXAT)

Other (OTHR)

YES

NO

CREC17

Current Valuation Basis

The most recent Valuation Basis:

 

Open Market (OPEN)

 

Vacant Possession (VCNT)

 

Other (OTHR)

YES

NO

CREC18

Original Valuation Method

The method of calculating the value of the collateral at the time of underlying exposure origination:

 

Full, internal and external inspection (FALL)

 

Full, only external inspection (FEXT)

 

Drive-by (DRVB)

 

Automated Valuation Model (AUVM)

 

Indexed (IDXD)

 

Desktop (DKTP)

 

Managing Agent/Estate Agent (MAEA)

 

Tax Authority (TXAT)

 

Other (OTHR)

YES

NO

CREC19

Collateral Securitisation Date

Date the property/collateral was contributed as security for the underlying exposure. If this property/collateral has been substituted, enter the date of the substitution. If the property/collateral was part of the original securitisation, this will be the Securitisation Date.

YES

NO

CREC20

Allocated Percentage Of Underlying Exposure At Securitisation Date

Allocated underlying exposure % attributable to property/collateral at Securitisation Date where there is more than one property/collateral item securing the underlying exposure. This may be set out in the underlying exposure Agreement, otherwise assign by valuation or Net Operating Income.

YES

YES

CREC21

Current Allocated Underlying Exposure Percentage

Allocated underlying exposure % attributable to the collateral at the underlying exposure payment date. Where there is more than one collateral item securing the underlying exposure, the sum of all percentages is equal to 100 %. This may be set out in the underlying exposure agreement, otherwise assign by valuation (Net Operating Income).

NO

YES

CREC22

Valuation At Securitisation

The valuation of the property/collateral securing the underlying exposure at Securitisation Date as described in the Offering Circular.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREC23

Name Of Valuer At Securitisation

Name of valuation firm who performed the property/collateral valuation at the Date of Securitisation.

NO

YES

CREC24

Date Of Valuation At Securitisation

The date the valuation was prepared for the values disclosed in the Offering Circular.

NO

YES

CREC25

Year Built

Year the property was built per the valuation report or underlying exposure document.

YES

YES

CREC26

Year Last Renovated

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

YES

YES

CREC27

Number Of Units

For property type Multifamily enter number of units, for Hospitality/Hotel/Healthcare — beds, for Caravan Parks — units, Lodging = rooms, Self Storage = units.

NO

YES

CREC28

Net Square Metres

The total net rentable area of the property in square metres that serve as security for the underlying exposure per the most recent valuation report.

NO

YES

CREC29

Commercial Area

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

NO

YES

CREC30

Residential Area

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

NO

YES

CREC31

Net Internal Floor Area Validated

Has the valuer (of the most recent valuation) verified the net internal floor area of the property?

YES

YES

CREC32

Occupancy As Of Date

Date of most recently received rent roll/tenancy schedule. For hospitality (hotels), and health care properties use average occupancy for the period for which the financial statements are reported.

NO

YES

CREC33

Economic Occupancy At Securitisation

The percentage of rentable space with signed leases in place at Securitisation Date if disclosed in Offering Circular (tenants may not be in occupation but are paying rent).

NO

YES

CREC34

Physical Occupancy At Securitisation

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

NO

YES

CREC35

Vacant Possession Value At Securitisation Date

Vacant possession value at Date of Securitisation.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREC36

Date Of Financials At Securitisation

The end date of the financials for the information used in the Offering Circular (e.g. year to date, annual, quarterly or trailing 12 months).

YES

YES

CREC37

Net Operating Income At Securitisation

Revenue less Operating Expenses at Securitisation Date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CREC38

Most Recent Financials As Of Start Date

The first day of the period covered in the most recent financial operating statement available (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months).

YES

YES

CREC39

Most Recent Financials As Of End Date

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

YES

YES

CREC40

Most Recent Revenue

Total revenues for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CREC41

Most Recent Operating Expenses

Total operating expenses for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the landlord; capital expenditures and leasing commissions are excluded.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CREC42

Most Recent Capital Expenditure

Total Capital Expenditure (as opposed to repairs and maintenance) for the period covered by the most recent financial operating statement e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CREC43

Ground Rent Payable

If property is leasehold, provide the current annual leasehold rent payable t