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Document 32020R1225

Commission Implementing Regulation (EU) 2020/1225 of 29 October 2019 laying down implementing technical standards with regard to the format and standardised templates for making available the information and details of a securitisation by the originator, sponsor and SSPE (Text with EEA relevance)

C/2019/7624

OJ L 289, 3.9.2020, p. 217–284 (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_impl/2020/1225/oj

3.9.2020   

EN

Official Journal of the European Union

L 289/217


COMMISSION IMPLEMENTING REGULATION (EU) 2020/1225

of 29 October 2019

laying down implementing technical standards with regard to the format and standardised templates for making available the information and details of a securitisation 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(4) and 17(3) thereof,

Whereas:

(1)

The scope of Article 7(4) 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 (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(3) of Regulation (EU) 2017/2402 refers to securitisations making information available via a securitisation repository, which does not include private securitisations.

(2)

Securitisations are complex and heterogeneous. To allow for efficient data collection and assessment by investors, potential investors, competent authorities and, for public securitisations, the other entities listed in Article 17(1) of Regulation (EU) 2017/2402, the information referred to in points (a) and (e) of Article 7(1) and point (a) of Article 17(2) of Regulation (EU) 2017/2402 should be made available in a harmonised format. In addition, where the information is to be made available via a securitisation repository, a harmonised format also facilitates seamless aggregation and comparison across repositories.

(3)

Costs for market participants should be minimised. The reporting format for securitisations should therefore be similar, to the extent feasible, to the format prescribed for the reporting of derivatives contracts under Article 9 of Regulation (EU) No 648/2012 of the European Parliament and of the Council (3) and the reporting of the details of securities financing transactions (SFTs) under Article 4 of Regulation (EU) 2015/2365 of the European Parliament and of the Council (4). Furthermore, where information is made available via a securitisation repository, the reporting format should also take into account solutions developed by existing securitisation data collectors. Therefore, it is appropriate to require the use of the XML format, which is commonly employed for reporting information on loans and other similar underlying exposures, also in the context of reporting securitisations.

(4)

The provisions in this Regulation are closely linked, since they determine the format and templates whereby the originator, sponsor or SSPE of a securitisation are to make available information about that securitisation 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 these implementing technical standards in a single Regulation.

(5)

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

(6)

ESMA has conducted an open public consultation on the draft implementing 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 (5),

HAS ADOPTED THIS REGULATION:

SECTION 1

TEMPLATES FOR ALL SECURITISATIONS

Article 1

Underlying exposures templates

1.   The information referred to in paragraphs 1 and 2 of Article 2 of Commission Delegated Regulation (EU) 2020/1224 (6) shall be made available using the following templates:

(a)

the template set out in Annex II to this Regulation for loans to private households secured by residential real estate, regardless of the purpose of those loans;

(b)

the template set out in Annex III to this Regulation for loans for the purposes of acquiring commercial real estate or secured by commercial real estate;

(c)

the template set out in Annex IV to this Regulation for corporate underlying exposures, including underlying exposures to micro, small- and medium-sized enterprises;

(d)

the template set out in Annex V to this Regulation for automobile underlying exposures, including loans and leases to legal or natural persons that are backed by automobiles;

(e)

the template set out in Annex VI to this Regulation for consumer underlying exposures;

(f)

the template set out in Annex VII to this Regulation for credit card underlying exposures;

(g)

the template set out in Annex VIII to this Regulation for leasing underlying exposures;

(h)

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

2.   The information referred to in Article 2(3) of Delegated Regulation (EU) 2020/1224 shall be made available using the following templates:

(a)

the templates set out in paragraph 1 of this Article, as relevant to the underlying exposure type;

(b)

the template set out in Annex X for non-performing exposure securitisations as referred to in the second subparagraph of Article 2(3) of Delegated Regulation (EU) 2020/1224.

3.   The information referred to in Article 2(4) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XI.

Article 2

Investor report templates

1.   The information referred to in Article 3(1) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XII.

2.   The information referred to in Article 3(2) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XIII.

SECTION 2

TEMPLATES FOR SECURITISATIONS FOR WHICH A PROSPECTUS HAS TO BE DRAWN UP (PUBLIC SECURITISATIONS)

Article 3

Inside information templates

1.   The information referred to in Article 6(1) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XIV.

2.   The information referred to in Article 6(2) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XV.

Article 4

Significant event templates

1.   The information referred to in Article 7(1) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XIV.

2.   The information referred to in Article 7(2) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XV.

SECTION 3

COMMON PROVISIONS

Article 5

Format of information

1.   The format of the information provided in the templates set out in Annexes I to XV shall conform to the corresponding format set out in Table 1 of Annex I

2.   The information shall be made available in an electronic and machine-readable form via common XML templates.

Article 6

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, 29 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)  Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (OJ L 201, 27.7.2012, p. 1).

(4)  Regulation (EU) 2015/2365 of the European Parliament and of the Council of 25 November 2015 on transparency of securities financing transactions and of reuse and amending Regulation (EU) No 648/2012 (OJ L 337, 23.12.2015, p. 1).

(5)  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).

(6)  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 (See page 1 of this Official Journal).


ANNEX I

Field formats

SYMBOL

DATA TYPE

DEFINITION

{ALPHANUM-n}

Up to n alphanumeric characters

Free text field. To be entered in ASCII format in capital letters (no accented characters).

{COUNTRYCODE_2}

2 alphanumeric characters

2 letter country code, as defined by ISO 3166-1 alpha-2 country code. To be entered in ASCII format (no accented characters).

{CURRENCYCODE_3}

3 alphanumeric characters

3 letter currency code, as defined by ISO 4217 currency codes. To be entered in ASCII format (no accented characters).

{YEAR}

ISO 8601 year format

Years to be formatted as follows: YYYY

{DATEFORMAT}

ISO 8601 date format

Dates to be formatted as follows: YYYY-MM-DD

{MONETARY}

0-18 digits, of which up to 5 may be fractional digits

A number of monetary units specified in a currency, where the unit of currency is explicit and compliant with ISO 4217.

{NUMERIC}

0-18 digits, of which up to 5 may be fractional digits

Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it is to be represented by a dot.

{INTEGER-n}

Integer number of up to n

Numerical field for both positive and negative integer values.

{Y/N}

1 alphanumeric character

‘true’- Y

‘false’ - N

{ISIN}

12 alphanumeric characters

ISIN code, as defined in ISO 6166

{LEI}

20 alphanumeric characters

Legal entity identifier, as specified in ISO 17442

{LIST}

 

As set out in the specific field description

{NUTS}

5 alphanumeric characters

Refers to the Nomenclature of Territorial Units for Statistics maintained by Eurostat. Information must be made available at the NUTS3 level. http://ec.europa.eu/eurostat/web/nuts/

{NACE}

7 alphanumeric characters

Refers to the statistical classification of economic activities in the European Union, maintained on the website cited in this definition box and as set out in Regulation (EC) No 1893/2006 of the European Parliament and of the Council (1).

The most detailed level of classification must be made available for each economic activity (i.e. the full code – 6 or 7 character level, including decimals). http://ec.europa.eu/competition/mergers/cases/index/nace_all.html

{PERCENTAGE}

0-11 digits, of which up to 10 may be fractional digits.

Rate expressed as a percentage, i.e., in hundredths, e.g. 0.7 is 7/10 of a percent, and 7.0 is 7%.

{TELEPHONE}

A "+" followed by the country code (from 1 to 3 characters) then a "-" and finally, any combination of numbers, "(",")", "+" and "-" (up to 30 characters).

The collection of information which identifies a specific phone number as defined by telecom services.

{ESA}

7 alphanumeric characters

The European System of Accounts (2010) sector, using the codes set out in Table 1 of Annex I to Commission Delegated Regulation (EU) 2020/1224 (2). http://ec.europa.eu/eurostat/cache/metadata/Annexes/nasa_10_f_esms_an1.pdf

{WATCHLIST}

2 alphanumeric characters

The servicer watchlist code as set out in Table 2 of Annex I to Delegated Regulation (EU) 2020/1224


(1)  Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).

(2)  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 (See page 1 of this Official Journal).


ANNEX II

Underlying exposures template — Residential real estate (RRE)

FIELD CODE

FIELD NAME

FORMAT

Underlying exposures information section

RREL1

Unique Identifier

{ALPHANUM-28}

RREL2

Original Underlying Exposure Identifier

{ALPHANUM-1000}

RREL3

New Underlying Exposure Identifier

{ALPHANUM-1000}

RREL4

Original Obligor Identifier

{ALPHANUM-1000}

RREL5

New Obligor Identifier

{ALPHANUM-1000}

RREL6

Data Cut-Off Date

{DATEFORMAT}

RREL7

Pool Addition Date

{DATEFORMAT}

RREL8

Date Of Repurchase

{DATEFORMAT}

RREL9

Redemption Date

{DATEFORMAT}

RREL10

Resident

{Y/N}

RREL11

Geographic Region — Obligor

{NUTS}

RREL12

Geographic Region Classification

{YEAR}

RREL13

Employment Status

{LIST}

RREL14

Credit Impaired Obligor

{Y/N}

RREL15

Customer Type

{LIST}

RREL16

Primary Income

{MONETARY}

RREL17

Primary Income Type

{LIST}

RREL18

Primary Income Currency

{CURRENCYCODE_3}

RREL19

Primary Income Verification

{LIST}

RREL20

Secondary Income

{MONETARY}

RREL21

Secondary Income Verification

{LIST}

RREL22

Special Scheme

{ALPHANUM-10000}

RREL23

Origination Date

{DATEFORMAT}

RREL24

Maturity Date

{DATEFORMAT}

RREL25

Original Term

{INTEGER-9999}

RREL26

Origination Channel

{LIST}

RREL27

Purpose

{LIST}

RREL28

Currency Denomination

{CURRENCYCODE_3}

RREL29

Original Principal Balance

{MONETARY}

RREL30

Current Principal Balance

{MONETARY}

RREL31

Prior Principal Balances

{MONETARY}

RREL32

Pari Passu Underlying Exposures

{MONETARY}

RREL33

Total Credit Limit

{MONETARY}

RREL34

Purchase Price

{PERCENTAGE}

RREL35

Amortisation Type

{LIST}

RREL36

Principal Grace Period End Date

{DATEFORMAT}

RREL37

Scheduled Principal Payment Frequency

{LIST}

RREL38

Scheduled Interest Payment Frequency

{LIST}

RREL39

Payment Due

{MONETARY}

RREL40

Debt To Income Ratio

{PERCENTAGE}

RREL41

Balloon Amount

{MONETARY}

RREL42

Interest Rate Type

{LIST}

RREL43

Current Interest Rate

{PERCENTAGE}

RREL44

Current Interest Rate Index

{LIST}

RREL45

Current Interest Rate Index Tenor

{LIST}

RREL46

Current Interest Rate Margin

{PERCENTAGE}

RREL47

Interest Rate Reset Interval

{INTEGER-9999}

RREL48

Interest Rate Cap

{PERCENTAGE}

RREL49

Interest Rate Floor

{PERCENTAGE}

RREL50

Revision Margin 1

{PERCENTAGE}

RREL51

Interest Revision Date 1

{DATEFORMAT}

RREL52

Revision Margin 2

{PERCENTAGE}

RREL53

Interest Revision Date 2

{DATEFORMAT}

RREL54

Revision Margin 3

{PERCENTAGE}

RREL55

Interest Revision Date 3

{DATEFORMAT}

RREL56

Revised Interest Rate Index

{LIST}

RREL57

Revised Interest Rate Index Tenor

{LIST}

RREL58

Number Of Payments Before Securitisation

{INTEGER-9999}

RREL59

Percentage Of Prepayments Allowed Per Year

{PERCENTAGE}

RREL60

Prepayment Lock-Out End Date

{DATEFORMAT}

RREL61

Prepayment Fee

{MONETARY}

RREL62

Prepayment Fee End Date

{DATEFORMAT}

RREL63

Prepayment Date

{DATEFORMAT}

RREL64

Cumulative Prepayments

{MONETARY}

RREL65

Date Of Restructuring

{DATEFORMAT}

RREL66

Date Last In Arrears

{DATEFORMAT}

RREL67

Arrears Balance

{MONETARY}

RREL68

Number Of Days In Arrears

{INTEGER-9999}

RREL69

Account Status

{LIST}

RREL70

Reason for Default or Foreclosure

{LIST}

RREL71

Default Amount

{MONETARY}

RREL72

Default Date

{DATEFORMAT}

RREL73

Allocated Losses

{MONETARY}

RREL74

Cumulative Recoveries

{MONETARY}

RREL75

Litigation

{Y/N}

RREL76

Recourse

{Y/N}

RREL77

Deposit Amount

{MONETARY}

RREL78

Insurance Or Investment Provider

{ALPHANUM-1000}

RREL79

Original Lender Name

{ALPHANUM-100}

RREL80

Original Lender Legal Entity Identifier

{LEI}

RREL81

Original Lender Establishment Country

{COUNTRYCODE_2}

RREL82

Originator Name

{ALPHANUM-100}

RREL83

Originator Legal Entity Identifier

{LEI}

RREL84

Originator Establishment Country

{COUNTRYCODE_2}

Collateral-level information section

RREC1

Unique Identifier

{ALPHANUM-28}

RREC2

Underlying Exposure Identifier

{ALPHANUM-1000}

RREC3

Original Collateral Identifier

{ALPHANUM-1000}

RREC4

New Collateral Identifier

{ALPHANUM-1000}

RREC5

Collateral Type

{LIST}

RREC6

Geographic Region — Collateral

{NUTS}

RREC7

Occupancy Type

{LIST}

RREC8

Lien

{INTEGER-9999}

RREC9

Property Type

{LIST}

RREC10

Energy Performance Certificate Value

{LIST}

RREC11

Energy Performance Certificate Provider Name

{ALPHANUM-100}

RREC12

Current Loan-To-Value

{PERCENTAGE}

RREC13

Current Valuation Amount

{MONETARY}

RREC14

Current Valuation Method

{LIST}

RREC15

Current Valuation Date

{DATEFORMAT}

RREC16

Original Loan-To-Value

{PERCENTAGE}

RREC17

Original Valuation Amount

{MONETARY}

RREC18

Original Valuation Method

{LIST}

RREC19

Original Valuation Date

{DATEFORMAT}

RREC20

Date Of Sale

{DATEFORMAT}

RREC21

Sale Price

{MONETARY}

RREC22

Collateral Currency

{CURRENCYCODE_3}

RREC23

Guarantor Type

{LIST}


ANNEX III

Underlying exposures template — Commercial real estate (CRE)

FIELD CODE

FIELD NAME

FORMAT

Underlying exposures information section

CREL1

Unique Identifier

{ALPHANUM-28}

CREL2

Original Obligor Identifier

{ALPHANUM-1000}

CREL3

New Obligor Identifier

{ALPHANUM-1000}

CREL4

Original Underlying Exposure Identifier

{ALPHANUM-1000}

CREL5

New Underlying Exposure Identifier

{ALPHANUM-1000}

CREL6

Data Cut-Off Date

{DATEFORMAT}

CREL7

Pool Addition Date

{DATEFORMAT}

CREL8

Date Of Restructuring

{DATEFORMAT}

CREL9

Date Of Repurchase

{DATEFORMAT}

CREL10

Date Of Substitution

{DATEFORMAT}

CREL11

Redemption Date

{DATEFORMAT}

CREL12

Geographic Region — Obligor

{NUTS}

CREL13

Geographic Region Classification

{YEAR}

CREL14

Special Scheme

{ALPHANUM-10000}

CREL15

Origination Date

{DATEFORMAT}

CREL16

Start Date Of Amortisation

{DATEFORMAT}

CREL17

Maturity Date At Securitisation Date

{DATEFORMAT}

CREL18

Maturity Date

{DATEFORMAT}

CREL19

Original Term

{INTEGER-9999}

CREL20

Duration Of Extension Option

{INTEGER-9999}

CREL21

Nature Of Extension Option

{LIST}

CREL22

Currency Denomination

{CURRENCYCODE_3}

CREL23

Current Principal Balance

{MONETARY}

CREL24

Original Principal Balance

{MONETARY}

CREL25

Original Principal Balance At Securitisation Date

{MONETARY}

CREL26

Committed Undrawn Facility Underlying Exposure Balance

{MONETARY}

CREL27

Total Other Amounts Outstanding

{MONETARY}

CREL28

Purchase Price

{PERCENTAGE}

CREL29

Latest Utilisation Date

{DATEFORMAT}

CREL30

Purpose

{LIST}

CREL31

Structure

{LIST}

CREL32

Waterfall A-B Pre Enforcement Scheduled Interest Payments

{LIST}

CREL33

Waterfall A-B Pre Enforcement Scheduled Principal Payments

{LIST}

CREL34

Principal Payment Allocation To Senior Loan

{PERCENTAGE}

CREL35

Waterfall Type

{LIST}

CREL36

Defaulted Underlying Exposure Purchase Price

{PERCENTAGE}

CREL37

Cure Payments Possible?

{LIST}

CREL38

Restrictions On Sale Of Subordinated Loan?

{Y/N}

CREL39

Subordinated Loan Holder Affiliated To Obligor?

{Y/N}

CREL40

Subordinated Loan Holder Control Of Workout Process

{Y/N}

CREL41

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

{Y/N}

CREL42

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

{Y/N}

CREL43

Noteholder Consent

{Y/N}

CREL44

Noteholder Meeting Scheduled

{DATEFORMAT}

CREL45

Syndicated

{Y/N}

CREL46

Participation Of SSPE

{LIST}

CREL47

Consequence For Breach Of Financial Covenant

{LIST}

CREL48

Financial Information Non-Submission Penalties

{Y/N}

CREL49

Recourse

{Y/N}

CREL50

Recourse - 3rd Party

{Y/N}

CREL51

Servicing Standard

{Y/N}

CREL52

Amounts Held In Escrow

{MONETARY}

CREL53

Collection Of Escrows

{Y/N}

CREL54

Collection Of Other Reserves

{Y/N}

CREL55

Trigger For Escrow To Be Held

{LIST}

CREL56

Target Escrow Amounts/Reserves

{MONETARY}

CREL57

Escrow Account Release Conditions

{ALPHANUM-1000}

CREL58

Conditions Of Drawing Cash Reserve

{LIST}

CREL59

Escrow Account Currency

{CURRENCYCODE_3}

CREL60

Escrow Payments Currency

{CURRENCYCODE_3}

CREL61

Total Reserve Balance

{MONETARY}

CREL62

Reserve Balance Currency

{CURRENCYCODE_3}

CREL63

Escrow Trigger Event Occurred

{Y/N}

CREL64

Amounts Added To Escrows In Current Period

{MONETARY}

CREL65

Revenue

{MONETARY}

CREL66

Operating Expenses At Securitisation Date

{MONETARY}

CREL67

Capital Expenditures At Securitisation Date

{MONETARY}

CREL68

Financial Statement Currency

{CURRENCYCODE_3}

CREL69

Obligor Reporting Breach

{Y/N}

CREL70

Debt Service Coverage Ratio Method

{LIST}

CREL71

Debt Service Coverage Ratio Indicator At Securitisation Date

{LIST}

CREL72

Most Recent Debt Service Coverage Ratio Indicator

{LIST}

CREL73

Debt Service Coverage Ratio At The Securitisation Date

{PERCENTAGE}

CREL74

Current Debt Service Coverage Ratio

{PERCENTAGE}

CREL75

Original Loan-To-Value

{PERCENTAGE}

CREL76

Current Loan-To-Value

{PERCENTAGE}

CREL77

Interest Coverage Ratio At The Securitisation Date

{PERCENTAGE}

CREL78

Current Interest Coverage Ratio

{PERCENTAGE}

CREL79

Interest Coverage Ratio Method

{LIST}

CREL80

Number Of Properties At Securitisation Date

{INTEGER-9999}

CREL81

Number Of Properties At Data Cut-Off Date

{INTEGER-9999}

CREL82

Properties Collateralised To The Underlying Exposure

{ALPHANUM-1000}

CREL83

Property Portfolio Value At Securitisation Date

{MONETARY}

CREL84

Property Portfolio Valuation Currency At Securitisation Date

{CURRENCYCODE_3}

CREL85

Status Of Properties

{LIST}

CREL86

Valuation Date At Securitisation Date

{DATEFORMAT}

CREL87

Amortisation Type

{LIST}

CREL88

Principal Grace Period End Date

{DATEFORMAT}

CREL89

Grace Days Allowed

{INTEGER-9999}

CREL90

Scheduled Principal Payment Frequency

{LIST}

CREL91

Scheduled Interest Payment Frequency

{LIST}

CREL92

Number Of Payments Before Securitisation

{INTEGER-9999}

CREL93

Prepayment Terms Description

{ALPHANUM-100}

CREL94

Prepayment Lock-Out End Date

{DATEFORMAT}

CREL95

Yield Maintenance End Date

{DATEFORMAT}

CREL96

Prepayment Fee

{MONETARY}

CREL97

Prepayment Fee End Date

{DATEFORMAT}

CREL98

Unscheduled Principal Collections

{MONETARY}

CREL99

Liquidation/Prepayment Date

{DATEFORMAT}

CREL100

Liquidation/Prepayment Code

{LIST}

CREL101

Prepayment Interest Excess/Shortfall

{MONETARY}

CREL102

Payment Date

{DATEFORMAT}

CREL103

Next Payment Adjustment Date

{DATEFORMAT}

CREL104

Next Payment Date

{DATEFORMAT}

CREL105

Payment Due

{MONETARY}

CREL106

Original Interest Rate

{PERCENTAGE}

CREL107

Interest Rate At The Securitisation Date

{PERCENTAGE}

CREL108

First Payment Adjustment Date

{DATEFORMAT}

CREL109

Interest Rate Type

{LIST}

CREL110

Current Interest Rate

{PERCENTAGE}

CREL111

Current Interest Rate Index

{LIST}

CREL112

Current Interest Rate Index Tenor

{LIST}

CREL113

Current Interest Rate Margin

{PERCENTAGE}

CREL114

Interest Rate Reset Interval

{INTEGER-9999}

CREL115

Current Index Rate

{PERCENTAGE}

CREL116

Index Determination Date

{DATEFORMAT}

CREL117

Rounding Increment

{PERCENTAGE}

CREL118

Interest Rate Cap

{PERCENTAGE}

CREL119

Interest Rate Floor

{PERCENTAGE}

CREL120

Current Default Interest Rate

{PERCENTAGE}

CREL121

Accrual Of Interest Allowed

{Y/N}

CREL122

Day Count Convention

{LIST}

CREL123

Total Scheduled Principal & Interest Due

{MONETARY}

CREL124

Total Scheduled Principal & Interest Paid

{MONETARY}

CREL125

Negative Amortisation

{MONETARY}

CREL126

Deferred Interest

{MONETARY}

CREL127

Total Shortfalls In Principal & Interest Outstanding

{MONETARY}

CREL128

Date Last In Arrears

{DATEFORMAT}

CREL129

Arrears Balance

{MONETARY}

CREL130

Number Of Days In Arrears

{INTEGER-9999}

CREL131

Reason for Default or Foreclosure

{LIST}

CREL132

Default Amount

{MONETARY}

CREL133

Default Date

{DATEFORMAT}

CREL134

Interest In Arrears

{Y/N}

CREL135

Actual Default Interest

{MONETARY}

CREL136

Account Status

{LIST}

CREL137

Allocated Losses

{MONETARY}

CREL138

Net Proceeds Received On Liquidation

{MONETARY}

CREL139

Liquidation Expense

{MONETARY}

CREL140

Expected Timing Of Recoveries

{INTEGER-9999}

CREL141

Cumulative Recoveries

{MONETARY}

CREL142

Enforcement Start Date

{DATEFORMAT}

CREL143

Workout Strategy Code

{LIST}

CREL144

Modification

{LIST}

CREL145

Special Servicing Status

{Y/N}

CREL146

Most Recent Special Servicer Transfer Date

{DATEFORMAT}

CREL147

Most Recent Primary Servicer Return Date

{DATEFORMAT}

CREL148

Non Recoverability Determined

{Y/N}

CREL149

Covenant Breach/Trigger

{LIST}

CREL150

Date Of Breach

{DATEFORMAT}

CREL151

Date Of Breach Cure

{DATEFORMAT}

CREL152

Servicer Watchlist Code

{WATCHLIST}

CREL153

Servicer Watchlist Date

{DATEFORMAT}

CREL154

Interest Rate Swap Provider

{ALPHANUM-1000}

CREL155

Interest Rate Swap Provider Legal Entity Identifier

{LEI}

CREL156

Interest Rate Swap Maturity Date

{DATEFORMAT}

CREL157

Interest Rate Swap Notional

{MONETARY}

CREL158

Currency Swap Provider

{ALPHANUM-1000}

CREL159

Currency Swap Provider Legal Entity Identifier

{LEI}

CREL160

Currency Swap Maturity Date

{DATEFORMAT}

CREL161

Currency Swap Notional

{MONETARY}

CREL162

Exchange Rate For Swap

{PERCENTAGE}

CREL163

Other Swap Provider

{ALPHANUM-1000}

CREL164

Other Swap Provider Legal Entity Identifier

{LEI}

CREL165

Obligor Must Pay Breakage On Swap

{LIST}

CREL166

Full Or Partial Termination Event Of Swap For Current Period

{LIST}

CREL167

Net Periodic Payment Made By Swap Provider

{MONETARY}

CREL168

Breakage Costs Due To Underlying Exposure Swap Provider

{MONETARY}

CREL169

Shortfall In Payment Of Breakage Costs On Swap

{MONETARY}

CREL170

Breakage Costs Due From Swap Counterparty

{MONETARY}

CREL171

Next Swap Reset Date

{DATEFORMAT}

CREL172

Sponsor

{ALPHANUM-100}

CREL173

Agent Bank Of Syndication Legal Entity Identifier

{LEI}

CREL174

Servicer Legal Entity Identifier

{LEI}

CREL175

Servicer Name

{ALPHANUM-100}

CREL176

Originator Name

{ALPHANUM-100}

CREL177

Originator Legal Entity Identifier

{LEI}

CREL178

Originator Establishment Country

{COUNTRYCODE_2}

CREL179

Original Lender Name

{ALPHANUM-100}

CREL180

Original Lender Legal Entity Identifier

{LEI}

CREL181

Original Lender Establishment Country

{COUNTRYCODE_2}

Collateral-level information section

CREC1

Unique Identifier

{ALPHANUM-28}

CREC2

Underlying Exposure Identifier

{ALPHANUM-1000}

CREC3

Original Collateral Identifier

{ALPHANUM-1000}

CREC4

New Collateral Identifier

{ALPHANUM-1000}

CREC5

Collateral Type

{LIST}

CREC6

Property Name

{ALPHANUM-100}

CREC7

Property Address

{ALPHANUM-1000}

CREC8

Geographic Region — Collateral

{NUTS}

CREC9

Property Post Code

{ALPHANUM-100}

CREC10

Lien

{INTEGER-9999}

CREC11

Property Status

{LIST}

CREC12

Property Type

{LIST}

CREC13

Property Form Of Title

{LIST}

CREC14

Current Valuation Date

{DATEFORMAT}

CREC15

Current Valuation Amount

{MONETARY}

CREC16

Current Valuation Method

{LIST}

CREC17

Current Valuation Basis

{LIST}

CREC18

Original Valuation Method

{LIST}

CREC19

Collateral Securitisation Date

{DATEFORMAT}

CREC20

Allocated Percentage Of Underlying Exposure At Securitisation Date

{PERCENTAGE}

CREC21

Current Allocated Underlying Exposure Percentage

{PERCENTAGE}

CREC22

Valuation At Securitisation

{MONETARY}

CREC23

Name Of Valuer At Securitisation

{ALPHANUM-100}

CREC24

Date Of Valuation At Securitisation

{DATEFORMAT}

CREC25

Year Built

{YEAR}

CREC26

Year Last Renovated

{YEAR}

CREC27

Number Of Units

{INTEGER-999999999}

CREC28

Net Square Metres

{INTEGER-999999999}

CREC29

Commercial Area

{INTEGER-999999999}

CREC30

Residential Area

{INTEGER-999999999}

CREC31

Net Internal Floor Area Validated

{Y/N}

CREC32

Occupancy As Of Date

{DATEFORMAT}

CREC33

Economic Occupancy At Securitisation

{PERCENTAGE}

CREC34

Physical Occupancy At Securitisation

{PERCENTAGE}

CREC35

Vacant Possession Value At Securitisation Date

{MONETARY}

CREC36

Date Of Financials At Securitisation

{DATEFORMAT}

CREC37

Net Operating Income At Securitisation

{MONETARY}

CREC38

Most Recent Financials As Of Start Date

{DATEFORMAT}

CREC39

Most Recent Financials As Of End Date

{DATEFORMAT}

CREC40

Most Recent Revenue

{MONETARY}

CREC41

Most Recent Operating Expenses

{MONETARY}

CREC42

Most Recent Capital Expenditure

{MONETARY}

CREC43

Ground Rent Payable

{MONETARY}

CREC44

Weighted Average Lease Terms

{INTEGER-9999}

CREC45

Property Leasehold Expiry

{DATEFORMAT}

CREC46

Contractual Annual Rental Income

{MONETARY}

CREC47

Income Expiring 1-12 Months

{PERCENTAGE}

CREC48

Income Expiring 13-24 Months

{PERCENTAGE}

CREC49

Income Expiring 25-36 Months

{PERCENTAGE}

CREC50

Income Expiring 37-48 Months

{PERCENTAGE}

CREC51

Income Expiring 49+ Months

{PERCENTAGE}

Tenant-level information section

CRET1

Unique Identifier

{ALPHANUM-28}

CRET2

Underlying Exposure Identifier

{ALPHANUM-1000}

CRET3

Collateral Identifier

{ALPHANUM-1000}

CRET4

Tenant Identifier

{ALPHANUM-1000}

CRET5

Tenant Name

{ALPHANUM-100}

CRET6

NACE Industry Code

{NACE}

CRET7

Date Of Lease Expiration

{DATEFORMAT}

CRET8

Rent Payable

{MONETARY}

CRET9

Rent Currency

{CURRENCYCODE_3}


ANNEX IV

Underlying exposures template — Corporate

FIELD CODE

FIELD NAME

FORMAT

Underlying exposures information section

CRPL1

Unique Identifier

{ALPHANUM-28}

CRPL2

Original Underlying Exposure Identifier

{ALPHANUM-1000}

CRPL3

New Underlying Exposure Identifier

{ALPHANUM-1000}

CRPL4

Original Obligor Identifier

{ALPHANUM-1000}

CRPL5

New Obligor Identifier

{ALPHANUM-1000}

CRPL6

Data Cut-Off Date

{DATEFORMAT}

CRPL7

Pool Addition Date

{DATEFORMAT}

CRPL8

Date Of Repurchase

{DATEFORMAT}

CRPL9

Redemption Date

{DATEFORMAT}

CRPL10

Geographic Region — Obligor

{NUTS}

CRPL11

Geographic Region Classification

{YEAR}

CRPL12

Credit Impaired Obligor

{Y/N}

CRPL13

Customer Type

{LIST}

CRPL14

NACE Industry Code

{NACE}

CRPL15

Obligor Basel III Segment

{LIST}

CRPL16

Enterprise Size

{LIST}

CRPL17

Revenue

{MONETARY}

CRPL18

Total Debt

{MONETARY}

CRPL19

EBITDA

{MONETARY}

CRPL20

Enterprise Value

{MONETARY}

CRPL21

Free Cashflow

{MONETARY}

CRPL22

Date Of Financials

{DATEFORMAT}

CRPL23

Financial Statement Currency

{CURRENCYCODE_3}

CRPL24

Debt Type

{LIST}

CRPL25

Securitised Receivables

{LIST}

CRPL26

International Securities Identification Number

{ISIN}

CRPL27

Seniority

{LIST}

CRPL28

Syndicated

{Y/N}

CRPL29

Leveraged Transaction

{Y/N}

CRPL30

Managed by CLO

{Y/N}

CRPL31

Payment in Kind

{Y/N}

CRPL32

Special Scheme

{ALPHANUM-10000}

CRPL33

Origination Date

{DATEFORMAT}

CRPL34

Maturity Date

{DATEFORMAT}

CRPL35

Origination Channel

{LIST}

CRPL36

Purpose

{LIST}

CRPL37

Currency Denomination

{CURRENCYCODE_3}

CRPL38

Original Principal Balance

{MONETARY}

CRPL39

Current Principal Balance

{MONETARY}

CRPL40

Prior Principal Balances

{MONETARY}

CRPL41

Market Value

{MONETARY}

CRPL42

Total Credit Limit

{MONETARY}

CRPL43

Purchase Price

{PERCENTAGE}

CRPL44

Put Date

{DATEFORMAT}

CRPL45

Put Strike

{MONETARY}

CRPL46

Amortisation Type

{LIST}

CRPL47

Principal Grace Period End Date

{DATEFORMAT}

CRPL48

Scheduled Principal Payment Frequency

{LIST}

CRPL49

Scheduled Interest Payment Frequency

{LIST}

CRPL50

Payment Due

{MONETARY}

CRPL51

Balloon Amount

{MONETARY}

CRPL52

Interest Rate Type

{LIST}

CRPL53

Current Interest Rate

{PERCENTAGE}

CRPL54

Current Interest Rate Index

{LIST}

CRPL55

Current Interest Rate Index Tenor

{LIST}

CRPL56

Current Interest Rate Margin

{PERCENTAGE}

CRPL57

Interest Rate Reset Interval

{INTEGER-9999}

CRPL58

Interest Rate Cap

{PERCENTAGE}

CRPL59

Interest Rate Floor

{PERCENTAGE}

CRPL60

Revision Margin 1

{PERCENTAGE}

CRPL61

Interest Revision Date 1

{DATEFORMAT}

CRPL62

Revision Margin 2

{PERCENTAGE}

CRPL63

Interest Revision Date 2

{DATEFORMAT}

CRPL64

Revision Margin 3

{PERCENTAGE}

CRPL65

Interest Revision Date 3

{DATEFORMAT}

CRPL66

Revised Interest Rate Index

{LIST}

CRPL67

Revised Interest Rate Index Tenor

{LIST}

CRPL68

Number Of Payments Before Securitisation

{INTEGER-9999}

CRPL69

Percentage Of Prepayments Allowed Per Year

{PERCENTAGE}

CRPL70

Prepayment Lock-Out End Date

{DATEFORMAT}

CRPL71

Prepayment Fee

{MONETARY}

CRPL72

Prepayment Fee End Date

{DATEFORMAT}

CRPL73

Prepayment Date

{DATEFORMAT}

CRPL74

Cumulative Prepayments

{MONETARY}

CRPL75

Date Of Restructuring

{DATEFORMAT}

CRPL76

Date Last In Arrears

{DATEFORMAT}

CRPL77

Arrears Balance

{MONETARY}

CRPL78

Number Of Days In Arrears

{INTEGER-9999}

CRPL79

Account Status

{LIST}

CRPL80

Reason for Default or Foreclosure

{LIST}

CRPL81

Default Amount

{MONETARY}

CRPL82

Default Date

{DATEFORMAT}

CRPL83

Allocated Losses

{MONETARY}

CRPL84

Cumulative Recoveries

{MONETARY}

CRPL85

Recovery Source

{LIST}

CRPL86

Recourse

{Y/N}

CRPL87

Deposit Amount

{MONETARY}

CRPL88

Interest Rate Swap Notional

{MONETARY}

CRPL89

Interest Rate Swap Provider Legal Entity Identifier

{LEI}

CRPL90

Interest Rate Swap Provider

{ALPHANUM-1000}

CRPL91

Interest Rate Swap Maturity Date

{DATEFORMAT}

CRPL92

Currency Swap Notional

{MONETARY}

CRPL93

Currency Swap Provider Legal Entity Identifier

{LEI}

CRPL94

Currency Swap Provider

{ALPHANUM-1000}

CRPL95

Currency Swap Maturity Date

{DATEFORMAT}

CRPL96

Original Lender Name

{ALPHANUM-100}

CRPL97

Original Lender Legal Entity Identifier

{LEI}

CRPL98

Original Lender Establishment Country

{COUNTRYCODE_2}

CRPL99

Originator Name

{ALPHANUM-100}

CRPL100

Originator Legal Entity Identifier

{LEI}

CRPL101

Originator Establishment Country

{COUNTRYCODE_2}

Collateral-level information section

CRPC1

Unique Identifier

{ALPHANUM-28}

CRPC2

Underlying Exposure Identifier

{ALPHANUM-1000}

CRPC3

Original Collateral Identifier

{ALPHANUM-1000}

CRPC4

New Collateral Identifier

{ALPHANUM-1000}

CRPC5

Geographic Region — Collateral

{NUTS}

CRPC6

Security Type

{LIST}

CRPC7

Charge Type

{LIST}

CRPC8

Lien

{INTEGER-9999}

CRPC9

Collateral Type

{LIST}

CRPC10

Current Valuation Amount

{MONETARY}

CRPC11

Current Valuation Method

{LIST}

CRPC12

Current Valuation Date

{DATEFORMAT}

CRPC13

Original Valuation Amount

{MONETARY}

CRPC14

Original Valuation Method

{LIST}

CRPC15

Original Valuation Date

{DATEFORMAT}

CRPC16

Date Of Sale

{DATEFORMAT}

CRPC17

Sale Price

{MONETARY}

CRPC18

Collateral Currency

{CURRENCYCODE_3}

CRPC19

Guarantor Country

{COUNTRYCODE_2}

CRPC20

Guarantor ESA Subsector

{ESA}


ANNEX V

Underlying exposures template — Automobile

FIELD CODE

FIELD NAME

FORMAT

Underlying exposures information section

AUTL1

Unique Identifier

{ALPHANUM-28}

AUTL2

Original Underlying Exposure Identifier

{ALPHANUM-1000}

AUTL3

New Underlying Exposure Identifier

{ALPHANUM-1000}

AUTL4

Original Obligor Identifier

{ALPHANUM-1000}

AUTL5

New Obligor Identifier

{ALPHANUM-1000}

AUTL6

Data Cut-Off Date

{DATEFORMAT}

AUTL7

Pool Addition Date

{DATEFORMAT}

AUTL8

Date Of Repurchase

{DATEFORMAT}

AUTL9

Redemption Date

{DATEFORMAT}

AUTL10

Geographic Region — Obligor

{NUTS}

AUTL11

Geographic Region Classification

{YEAR}

AUTL12

Employment Status

{LIST}

AUTL13

Credit Impaired Obligor

{Y/N}

AUTL14

Obligor Legal Type

{LIST}

AUTL15

Customer Type

{LIST}

AUTL16

Primary Income

{MONETARY}

AUTL17

Primary Income Type

{LIST}

AUTL18

Primary Income Currency

{CURRENCYCODE_3}

AUTL19

Primary Income Verification

{LIST}

AUTL20

Revenue

{MONETARY}

AUTL21

Financial Statement Currency

{CURRENCYCODE_3}

AUTL22

Special Scheme

{ALPHANUM-10000}

AUTL23

Product Type

{LIST}

AUTL24

Origination Date

{DATEFORMAT}

AUTL25

Maturity Date

{DATEFORMAT}

AUTL26

Original Term

{INTEGER-9999}

AUTL27

Origination Channel

{LIST}

AUTL28

Currency Denomination

{CURRENCYCODE_3}

AUTL29

Original Principal Balance

{MONETARY}

AUTL30

Current Principal Balance

{MONETARY}

AUTL31

Purchase Price

{PERCENTAGE}

AUTL32

Amortisation Type

{LIST}

AUTL33

Principal Grace Period End Date

{DATEFORMAT}

AUTL34

Scheduled Principal Payment Frequency

{LIST}

AUTL35

Scheduled Interest Payment Frequency

{LIST}

AUTL36

Payment Method

{LIST}

AUTL37

Payment Due

{MONETARY}

AUTL38

Balloon Amount

{MONETARY}

AUTL39

Down Payment Amount

{MONETARY}

AUTL40

Current Interest Rate

{PERCENTAGE}

AUTL41

Current Interest Rate Index

{LIST}

AUTL42

Current Interest Rate Index Tenor

{LIST}

AUTL43

Current Interest Rate Margin

{PERCENTAGE}

AUTL44

Interest Rate Reset Interval

{INTEGER-9999}

AUTL45

Interest Rate Cap

{PERCENTAGE}

AUTL46

Interest Rate Floor

{PERCENTAGE}

AUTL47

Number Of Payments Before Securitisation

{INTEGER-9999}

AUTL48

Percentage Of Prepayments Allowed Per Year

{PERCENTAGE}

AUTL49

Prepayment Fee

{MONETARY}

AUTL50

Prepayment Fee End Date

{DATEFORMAT}

AUTL51

Prepayment Date

{DATEFORMAT}

AUTL52

Cumulative Prepayments

{MONETARY}

AUTL53

Manufacturer

{ALPHANUM-100}

AUTL54

Model

{ALPHANUM-100}

AUTL55

Year Of Registration

{YEAR}

AUTL56

New Or Used

{LIST}

AUTL57

Energy Performance Certificate Value

{LIST}

AUTL58

Energy Performance Certificate Provider Name

{ALPHANUM-100}

AUTL59

Original Loan-To-Value

{PERCENTAGE}

AUTL60

Original Valuation Amount

{MONETARY}

AUTL61

Original Residual Value Of Vehicle

{MONETARY}

AUTL62

Option To Buy Price

{MONETARY}

AUTL63

Securitised Residual Value

{MONETARY}

AUTL64

Updated Residual Value Of Vehicle

{MONETARY}

AUTL65

Date Of Updated Residual Valuation Of Vehicle

{DATEFORMAT}

AUTL66

Date Of Restructuring

{DATEFORMAT}

AUTL67

Date Last In Arrears

{DATEFORMAT}

AUTL68

Arrears Balance

{MONETARY}

AUTL69

Number Of Days In Arrears

{INTEGER-9999}

AUTL70

Account Status

{LIST}

AUTL71

Reason for Default or Foreclosure

{LIST}

AUTL72

Default Amount

{MONETARY}

AUTL73

Default Date

{DATEFORMAT}

AUTL74

Allocated Losses

{MONETARY}

AUTL75

Residual Value Losses

{MONETARY}

AUTL76

Cumulative Recoveries

{MONETARY}

AUTL77

Sale Price

{MONETARY}

AUTL78

Deposit Amount

{MONETARY}

AUTL79

Original Lender Name

{ALPHANUM-100}

AUTL80

Original Lender Legal Entity Identifier

{LEI}

AUTL81

Original Lender Establishment Country

{COUNTRYCODE_2}

AUTL82

Originator Name

{ALPHANUM-100}

AUTL83

Originator Legal Entity Identifier

{LEI}

AUTL84

Originator Establishment Country

{COUNTRYCODE_2}


ANNEX VI

Underlying exposures template — Consumer

FIELD CODE

FIELD NAME

FORMAT

Underlying exposures information section

CMRL1

Unique Identifier

{ALPHANUM-28}

CMRL2

Original Underlying Exposure Identifier

{ALPHANUM-1000}

CMRL3

New Underlying Exposure Identifier

{ALPHANUM-1000}

CMRL4

Original Obligor Identifier

{ALPHANUM-1000}

CMRL5

New Obligor Identifier

{ALPHANUM-1000}

CMRL6

Data Cut-Off Date

{DATEFORMAT}

CMRL7

Pool Addition Date

{DATEFORMAT}

CMRL8

Date Of Repurchase

{DATEFORMAT}

CMRL9

Redemption Date

{DATEFORMAT}

CMRL10

Geographic Region — Obligor

{NUTS}

CMRL11

Geographic Region Classification

{YEAR}

CMRL12

Employment Status

{LIST}

CMRL13

Credit Impaired Obligor

{Y/N}

CMRL14

Customer Type

{LIST}

CMRL15

Primary Income

{MONETARY}

CMRL16

Primary Income Type

{LIST}

CMRL17

Primary Income Currency

{CURRENCYCODE_3}

CMRL18

Primary Income Verification

{LIST}

CMRL19

Secured By Salary/Pension Assignment

{Y/N}

CMRL20

Special Scheme

{ALPHANUM-10000}

CMRL21

Origination Date

{DATEFORMAT}

CMRL22

Maturity Date

{DATEFORMAT}

CMRL23

Original Term

{INTEGER-9999}

CMRL24

Origination Channel

{LIST}

CMRL25

Purpose

{LIST}

CMRL26

Currency Denomination

{CURRENCYCODE_3}

CMRL27

Original Principal Balance

{MONETARY}

CMRL28

Current Principal Balance

{MONETARY}

CMRL29

Total Credit Limit

{MONETARY}

CMRL30

Revolving End Date

{DATEFORMAT}

CMRL31

Purchase Price

{PERCENTAGE}

CMRL32

Amortisation Type

{LIST}

CMRL33

Principal Grace Period End Date

{DATEFORMAT}

CMRL34

Scheduled Principal Payment Frequency

{LIST}

CMRL35

Scheduled Interest Payment Frequency

{LIST}

CMRL36

Payment Due

{MONETARY}

CMRL37

Current Interest Rate

{PERCENTAGE}

CMRL38

Current Interest Rate Index

{LIST}

CMRL39

Current Interest Rate Index Tenor

{LIST}

CMRL40

Current Interest Rate Margin

{PERCENTAGE}

CMRL41

Interest Rate Reset Interval

{INTEGER-9999}

CMRL42

Interest Rate Cap

{PERCENTAGE}

CMRL43

Interest Rate Floor

{PERCENTAGE}

CMRL44

Number Of Payments Before Securitisation

{INTEGER-9999}

CMRL45

Percentage Of Prepayments Allowed Per Year

{PERCENTAGE}

CMRL46

Prepayment Lock-Out End Date

{DATEFORMAT}

CMRL47

Prepayment Fee

{MONETARY}

CMRL48

Prepayment Fee End Date

{DATEFORMAT}

CMRL49

Prepayment Date

{DATEFORMAT}

CMRL50

Cumulative Prepayments

{MONETARY}

CMRL51

Date Of Restructuring

{DATEFORMAT}

CMRL52

Date Last In Arrears

{DATEFORMAT}

CMRL53

Arrears Balance

{MONETARY}

CMRL54

Number Of Days In Arrears

{INTEGER-9999}

CMRL55

Account Status

{LIST}

CMRL56

Reason for Default or Foreclosure

{LIST}

CMRL57

Default Amount

{MONETARY}

CMRL58

Default Date

{DATEFORMAT}

CMRL59

Allocated Losses

{MONETARY}

CMRL60

Cumulative Recoveries

{MONETARY}

CMRL61

Deposit Amount

{MONETARY}

CMRL62

Original Lender Name

{ALPHANUM-100}

CMRL63

Original Lender Legal Entity Identifier

{LEI}

CMRL64

Original Lender Establishment Country

{COUNTRYCODE_2}

CMRL65

Originator Name

{ALPHANUM-100}

CMRL66

Originator Legal Entity Identifier

{LEI}

CMRL67

Originator Establishment Country

{COUNTRYCODE_2}

CMRL68

Energy Performance Certificate Value

{LIST}

CMRL69

Energy Performance Certificate Provider Name

{ALPHANUM-100}


ANNEX VII

Underlying exposures template — Credit card

FIELD CODE

FIELD NAME

FORMAT

Underlying exposures information section

CCDL1

Unique Identifier

{ALPHANUM-28}

CCDL2

Original Underlying Exposure Identifier

{ALPHANUM-1000}

CCDL3

New Underlying Exposure Identifier

{ALPHANUM-1000}

CCDL4

Original Obligor Identifier

{ALPHANUM-1000}

CCDL5

New Obligor Identifier

{ALPHANUM-1000}

CCDL6

Data Cut-Off Date

{DATEFORMAT}

CCDL7

Pool Addition Date

{DATEFORMAT}

CCDL8

Date Of Repurchase

{DATEFORMAT}

CCDL9

Geographic Region — Obligor

{NUTS}

CCDL10

Geographic Region Classification

{YEAR}

CCDL11

Employment Status

{LIST}

CCDL12

Credit Impaired Obligor

{Y/N}

CCDL13

Customer Type

{LIST}

CCDL14

Primary Income

{MONETARY}

CCDL15

Primary Income Type

{LIST}

CCDL16

Primary Income Currency

{CURRENCYCODE_3}

CCDL17

Primary Income Verification

{LIST}

CCDL18

Special Scheme

{ALPHANUM-10000}

CCDL19

Origination Date

{DATEFORMAT}

CCDL20

Origination Channel

{LIST}

CCDL21

Currency Denomination

{CURRENCYCODE_3}

CCDL22

Current Principal Balance

{MONETARY}

CCDL23

Total Credit Limit

{MONETARY}

CCDL24

Purchase Price

{PERCENTAGE}

CCDL25

Principal Grace Period End Date

{DATEFORMAT}

CCDL26

Scheduled Principal Payment Frequency

{LIST}

CCDL27

Scheduled Interest Payment Frequency

{LIST}

CCDL28

Payment Due

{MONETARY}

CCDL29

Current Interest Rate

{PERCENTAGE}

CCDL30

Current Interest Rate Index

{LIST}

CCDL31

Current Interest Rate Index Tenor

{LIST}

CCDL32

Number Of Payments Before Securitisation

{INTEGER-9999}

CCDL33

Date Of Restructuring

{DATEFORMAT}

CCDL34

Date Last In Arrears

{DATEFORMAT}

CCDL35

Number Of Days In Arrears

{INTEGER-9999}

CCDL36

Arrears Balance

{MONETARY}

CCDL37

Account Status

{LIST}

CCDL38

Reason for Default or Foreclosure

{LIST}

CCDL39

Default Amount

{MONETARY}

CCDL40

Default Date

{DATEFORMAT}

CCDL41

Cumulative Recoveries

{MONETARY}

CCDL42

Original Lender Name

{ALPHANUM-100}

CCDL43

Original Lender Legal Entity Identifier

{LEI}

CCDL44

Original Lender Establishment Country

{COUNTRYCODE_2}

CCDL45

Originator Name

{ALPHANUM-100}

CCDL46

Originator Legal Entity Identifier

{LEI}

CCDL47

Originator Establishment Country

{COUNTRYCODE_2}


ANNEX VIII

Underlying exposures template — Leasing

FIELD CODE

FIELD NAME

FORMAT

Underlying exposures information section

LESL1

Unique Identifier

{ALPHANUM-28}

LESL2

Original Underlying Exposure Identifier

{ALPHANUM-1000}

LESL3

New Underlying Exposure Identifier

{ALPHANUM-1000}

LESL4

Original Obligor Identifier

{ALPHANUM-1000}

LESL5

New Obligor Identifier

{ALPHANUM-1000}

LESL6

Data Cut-Off Date

{DATEFORMAT}

LESL7

Pool Addition Date

{DATEFORMAT}

LESL8

Date Of Repurchase

{DATEFORMAT}

LESL9

Redemption Date

{DATEFORMAT}

LESL10

Geographic Region — Obligor

{NUTS}

LESL11

Geographic Region Classification

{YEAR}

LESL12

Credit Impaired Obligor

{Y/N}

LESL13

Obligor Basel III Segment

{LIST}

LESL14

Customer Type

{LIST}

LESL15

NACE Industry Code

{NACE}

LESL16

Enterprise Size

{LIST}

LESL17

Revenue

{MONETARY}

LESL18

Financial Statement Currency

{CURRENCYCODE_3}

LESL19

Product Type

{LIST}

LESL20

Syndicated

{Y/N}

LESL21

Special Scheme

{ALPHANUM-10000}

LESL22

Origination Date

{DATEFORMAT}

LESL23

Maturity Date

{DATEFORMAT}

LESL24

Original Term

{INTEGER-9999}

LESL25

Origination Channel

{LIST}

LESL26

Currency Denomination

{CURRENCYCODE_3}

LESL27

Original Principal Balance

{MONETARY}

LESL28

Current Principal Balance

{MONETARY}

LESL29

Purchase Price

{PERCENTAGE}

LESL30

Securitised Residual Value

{MONETARY}

LESL31

Amortisation Type

{LIST}

LESL32

Principal Grace Period End Date

{DATEFORMAT}

LESL33

Scheduled Principal Payment Frequency

{LIST}

LESL34

Scheduled Interest Payment Frequency

{LIST}

LESL35

Payment Due

{MONETARY}

LESL36

Current Interest Rate

{PERCENTAGE}

LESL37

Current Interest Rate Index

{LIST}

LESL38

Current Interest Rate Index Tenor

{LIST}

LESL39

Current Interest Rate Margin

{PERCENTAGE}

LESL40

Interest Rate Reset Interval

{INTEGER-9999}

LESL41

Interest Rate Cap

{PERCENTAGE}

LESL42

Interest Rate Floor

{PERCENTAGE}

LESL43

Number Of Payments Before Securitisation

{INTEGER-9999}

LESL44

Percentage Of Prepayments Allowed Per Year

{PERCENTAGE}

LESL45

Prepayment Lock-Out End Date

{DATEFORMAT}

LESL46

Prepayment Fee

{MONETARY}

LESL47

Prepayment Fee End Date

{DATEFORMAT}

LESL48

Prepayment Date

{DATEFORMAT}

LESL49

Cumulative Prepayments

{MONETARY}

LESL50

Option To Buy Price

{MONETARY}

LESL51

Down Payment Amount

{MONETARY}

LESL52

Current Residual Value Of Asset

{MONETARY}

LESL53

Date Of Restructuring

{DATEFORMAT}

LESL54

Date Last In Arrears

{DATEFORMAT}

LESL55

Arrears Balance

{MONETARY}

LESL56

Number Of Days In Arrears

{INTEGER-9999}

LESL57

Account Status

{LIST}

LESL58

Reason for Default or Foreclosure

{LIST}

LESL59

Default Amount

{MONETARY}

LESL60

Default Date

{DATEFORMAT}

LESL61

Allocated Losses

{MONETARY}

LESL62

Cumulative Recoveries

{MONETARY}

LESL63

Recovery Source

{LIST}

LESL64

Deposit Amount

{MONETARY}

LESL65

Geographic Region — Collateral

{NUTS}

LESL66

Manufacturer

{ALPHANUM-100}

LESL67

Model

{ALPHANUM-100}

LESL68

Year Of Manufacture/Construction

{YEAR}

LESL69

New Or Used

{LIST}

LESL70

Original Residual Value Of Asset

{MONETARY}

LESL71

Collateral Type

{LIST}

LESL72

Original Valuation Amount

{MONETARY}

LESL73

Original Valuation Method

{LIST}

LESL74

Original Valuation Date

{DATEFORMAT}

LESL75

Current Valuation Amount

{MONETARY}

LESL76

Current Valuation Method

{LIST}

LESL77

Current Valuation Date

{DATEFORMAT}

LESL78

Number Of Leased Objects

{INTEGER-9999}

LESL79

Original Lender Name

{ALPHANUM-100}

LESL80

Original Lender Legal Entity Identifier

{LEI}

LESL81

Original Lender Establishment Country

{COUNTRYCODE_2}

LESL82

Originator Name

{ALPHANUM-100}

LESL83

Originator Legal Entity Identifier

{LEI}

LESL84

Originator Establishment Country

{COUNTRYCODE_2}


ANNEX IX

Underlying exposures template — Esoteric

FIELD CODE

FIELD NAME

FORMAT

Underlying exposures information section

ESTL1

Unique Identifier

{ALPHANUM-28}

ESTL2

Original Underlying Exposure Identifier

{ALPHANUM-1000}

ESTL3

New Underlying Exposure Identifier

{ALPHANUM-1000}

ESTL4

Original Obligor Identifier

{ALPHANUM-1000}

ESTL5

New Obligor Identifier

{ALPHANUM-1000}

ESTL6

Data Cut-Off Date

{DATEFORMAT}

ESTL7

Pool Addition Date

{DATEFORMAT}

ESTL8

Date Of Repurchase

{DATEFORMAT}

ESTL9

Redemption Date

{DATEFORMAT}

ESTL10

Description

{ALPHANUM-1000}

ESTL11

Geographic Region — Obligor

{NUTS}

ESTL12

Geographic Region Classification

{YEAR}

ESTL13

Employment Status

{LIST}

ESTL14

Credit Impaired Obligor

{Y/N}

ESTL15

Obligor Legal Type

{LIST}

ESTL16

NACE Industry Code

{NACE}

ESTL17

Primary Income

{MONETARY}

ESTL18

Primary Income Type

{LIST}

ESTL19

Primary Income Currency

{CURRENCYCODE_3}

ESTL20

Primary Income Verification

{LIST}

ESTL21

Revenue

{MONETARY}

ESTL22

Financial Statement Currency

{CURRENCYCODE_3}

ESTL23

International Securities Identification Number

{ISIN}

ESTL24

Origination Date

{DATEFORMAT}

ESTL25

Maturity Date

{DATEFORMAT}

ESTL26

Currency Denomination

{CURRENCYCODE_3}

ESTL27

Original Principal Balance

{MONETARY}

ESTL28

Current Principal Balance

{MONETARY}

ESTL29

Total Credit Limit

{MONETARY}

ESTL30

Purchase Price

{PERCENTAGE}

ESTL31

Amortisation Type

{LIST}

ESTL32

Principal Grace Period End Date

{DATEFORMAT}

ESTL33

Scheduled Principal Payment Frequency

{LIST}

ESTL34

Scheduled Interest Payment Frequency

{LIST}

ESTL35

Payment Due

{MONETARY}

ESTL36

Debt To Income Ratio

{PERCENTAGE}

ESTL37

Balloon Amount

{MONETARY}

ESTL38

Interest Rate Reset Interval

{INTEGER-9999}

ESTL39

Current Interest Rate

{PERCENTAGE}

ESTL40

Current Interest Rate Index

{LIST}

ESTL41

Current Interest Rate Index Tenor

{LIST}

ESTL42

Current Interest Rate Margin

{PERCENTAGE}

ESTL43

Interest Rate Cap

{PERCENTAGE}

ESTL44

Interest Rate Floor

{PERCENTAGE}

ESTL45

Number Of Payments Before Securitisation

{INTEGER-9999}

ESTL46

Percentage Of Prepayments Allowed Per Year

{PERCENTAGE}

ESTL47

Prepayment Lock-Out End Date

{DATEFORMAT}

ESTL48

Prepayment Fee

{MONETARY}

ESTL49

Prepayment Fee End Date

{DATEFORMAT}

ESTL50

Prepayment Date

{DATEFORMAT}

ESTL51

Cumulative Prepayments

{MONETARY}

ESTL52

Date Last In Arrears

{DATEFORMAT}

ESTL53

Arrears Balance

{MONETARY}

ESTL54

Number Of Days In Arrears

{INTEGER-9999}

ESTL55

Account Status

{LIST}

ESTL56

Reason for Default or Foreclosure

{LIST}

ESTL57

Default Amount

{MONETARY}

ESTL58

Default Date

{DATEFORMAT}

ESTL59

Allocated Losses

{MONETARY}

ESTL60

Cumulative Recoveries

{MONETARY}

ESTL61

Originator Name

{ALPHANUM-100}

ESTL62

Originator Legal Entity Identifier

{LEI}

ESTL63

Originator Establishment Country

{COUNTRYCODE_2}

ESTL64

Original Lender Name

{ALPHANUM-100}

ESTL65

Original Lender Legal Entity Identifier

{LEI}

ESTL66

Original Lender Establishment Country

{COUNTRYCODE_2}

Collateral-level information section

ESTC1

Unique Identifier

{ALPHANUM-28}

ESTC2

Underlying Exposure Identifier

{ALPHANUM-1000}

ESTC3

Original Collateral Identifier

{ALPHANUM-1000}

ESTC4

New Collateral Identifier

{ALPHANUM-1000}

ESTC5

Geographic Region — Collateral

{NUTS}

ESTC6

Security Type

{LIST}

ESTC7

Charge Type

{LIST}

ESTC8

Lien

{INTEGER-9999}

ESTC9

Collateral Type

{LIST}

ESTC10

Current Valuation Amount

{MONETARY}

ESTC11

Current Valuation Method

{LIST}

ESTC12

Current Valuation Date

{DATEFORMAT}

ESTC13

Current Loan-To-Value

{PERCENTAGE}

ESTC14

Original Valuation Amount

{MONETARY}

ESTC15

Original Valuation Method

{LIST}

ESTC16

Original Valuation Date

{DATEFORMAT}

ESTC17

Original Loan-To-Value

{PERCENTAGE}

ESTC18

Date Of Sale

{DATEFORMAT}

ESTC19

Sale Price

{MONETARY}

ESTC20

Collateral Currency

{CURRENCYCODE_3}


ANNEX X

Underlying exposures template — Add-on for non-performing exposures

FIELD CODE

FIELD NAME

FORMAT

Underlying exposures information section

NPEL1

Unique Identifier

{ALPHANUM-28}

NPEL2

Original Underlying Exposure Identifier

{ALPHANUM-1000}

NPEL3

New Underlying Exposure Identifier

{ALPHANUM-1000}

NPEL4

Original Obligor Identifier

{ALPHANUM-1000}

NPEL5

New Obligor Identifier

{ALPHANUM-1000}

NPEL6

Data Cut-Off Date

{DATEFORMAT}

NPEL7

In Receivership

{Y/N}

NPEL8

Date of Last Contact

{DATEFORMAT}

NPEL9

Deceased

{Y/N}

NPEL10

Legal status

{LIST}

NPEL11

Legal Procedure Type

{LIST}

NPEL12

Legal Procedure Name

{ALPHANUM-1000}

NPEL13

Legal Actions Completed

{ALPHANUM-1000}

NPEL14

Date of Entering Into Current Legal Process

{DATEFORMAT}

NPEL15

Date of Insolvency Practitioner Appointment

{DATEFORMAT}

NPEL16

Number of Current Judgements

{INTEGER-9999}

NPEL17

Number of Discharged Judgements

{INTEGER-9999}

NPEL18

Date of External Demand Issuance

{DATEFORMAT}

NPEL19

Date when Reservation of Rights Letter Was Issued

{DATEFORMAT}

NPEL20

Court Jurisdiction

{COUNTRYCODE_2}

NPEL21

Date of Obtaining Order for Possession

{DATEFORMAT}

NPEL22

Comments on Other Litigation Related Process

{ALPHANUM-1000}

NPEL23

Governing Law

{COUNTRYCODE_2}

NPEL24

Bespoke Repayment Description

{ALPHANUM-1000}

NPEL25

Start Date of Interest Only Period

{DATEFORMAT}

NPEL26

End Date of Interest Only Period

{DATEFORMAT}

NPEL27

Start Date of Current Fixed Interest Period

{DATEFORMAT}

NPEL28

End Date of Current Fixed Interest Period

{DATEFORMAT}

NPEL29

Current Reversion Interest Rate

{PERCENTAGE}

NPEL30

Last Payment Date

{DATEFORMAT}

NPEL31

Syndicated Portion

{PERCENTAGE}

NPEL32

MARP Entry

{DATEFORMAT}

NPEL33

MARP Status

{LIST}

NPEL34

External Collections Level

{Y/N}

NPEL35

Repayment Plan

{Y/N}

NPEL36

Forbearance Level

{Y/N}

NPEL37

Date of First Forbearance

{DATEFORMAT}

NPEL38

Number of Historical Forbearance

{INTEGER-9999}

NPEL39

Principal Forgiveness

{MONETARY}

NPEL40

Date of Principal Forgiveness

{DATEFORMAT}

NPEL41

End Date of Forbearance

{DATEFORMAT}

NPEL42

Repayment Amount Under Forbearance

{MONETARY}

Collateral-level information section

NPEC1

Unique Identifier

{ALPHANUM-28}

NPEC2

Underlying Exposure Identifier

{ALPHANUM-1000}

NPEC3

Original Collateral Identifier

{ALPHANUM-1000}

NPEC4

New Collateral Identifier

{ALPHANUM-1000}

NPEC5

VAT Payable

{PERCENTAGE}

NPEC6

Percentage Complete

{PERCENTAGE}

NPEC7

Enforcement Status

{Y/N}

NPEC8

Enforcement Status Third Parties

{Y/N}

NPEC9

Mortgage Amount Assigned

{MONETARY}

NPEC10

Higher Ranking Underlying Exposure

{MONETARY}

NPEC11

Enforcement Description

{ALPHANUM-1000}

NPEC12

Court Appraisal Amount

{MONETARY}

NPEC13

Date of Court Appraisal

{DATEFORMAT}

NPEC14

On Market Price

{MONETARY}

NPEC15

Offer Price

{MONETARY}

NPEC16

Prepare Property for Sale Date

{DATEFORMAT}

NPEC17

Property on Market Date

{DATEFORMAT}

NPEC18

On Market Offer Date

{DATEFORMAT}

NPEC19

Sale Agreed Date

{DATEFORMAT}

NPEC20

Contracted Date

{DATEFORMAT}

NPEC21

First Auction Date

{DATEFORMAT}

NPEC22

Court Auction Reserve Price for First Auction

{MONETARY}

NPEC23

Next Auction Date

{DATEFORMAT}

NPEC24

Court Auction Reserve Price for Next Auction

{MONETARY}

NPEC25

Last Auction Date

{DATEFORMAT}

NPEC26

Court Auction Reserve Price for Last Auction

{MONETARY}

NPEC27

Number of Failed Auctions

{INTEGER-9999}

Historical collections information section

NPEH1

Unique Identifier

{ALPHANUM-28}

NPEH2

Underlying Exposure Identifier

{ALPHANUM-1000}

NPEH[3-38]

Legal Unpaid Balance at month n

{MONETARY}

NPEH[39-74]

History of Past-Due Balances at month n

{MONETARY}

NPEH[75-110]

History of Repayments — Not from collateral sales at month n

{MONETARY}

NPEH[111-146]

History of Repayments — From collateral sales at month n

{MONETARY}


ANNEX XI

Underlying exposures template — Asset-backed commercial paper

FIELD CODE

FIELD NAME

FORMAT

Underlying exposures information section

IVAL1

Unique Identifier — ABCP Programme

{ALPHANUM-28}

IVAL2

Unique Identifier — ABCP Transaction

{ALPHANUM-36}

IVAL3

Original Underlying Exposure Identifier

{ALPHANUM-1000}

IVAL4

New Underlying Exposure Identifier

{ALPHANUM-1000}

IVAL5

Underlying Exposure Type

{LIST}

IVAL6

Data Cut-Off Date

{DATEFORMAT}

IVAL7

Geographic Region — Largest Exposure Concentration 1

{NUTS}

IVAL8

Geographic Region — Largest Exposure Concentration 2

{NUTS}

IVAL9

Geographic Region — Largest Exposure Concentration 3

{NUTS}

IVAL10

Geographic Region Classification

{YEAR}

IVAL11

Current Principal Balance

{MONETARY}

IVAL12

Number Of Underlying Exposures

{INTEGER-999999999}

IVAL13

EUR Exposures

{MONETARY}

IVAL14

GBP Exposures

{MONETARY}

IVAL15

USD Exposures

{MONETARY}

IVAL16

Other Exposures

{MONETARY}

IVAL17

Maximum Residual Maturity

{INTEGER-9999}

IVAL18

Average Residual Maturity

{INTEGER-9999}

IVAL19

Current Loan-To-Value

{PERCENTAGE}

IVAL20

Debt To Income Ratio

{PERCENTAGE}

IVAL21

Amortisation Type

{MONETARY}

IVAL22

Scheduled Principal Payment Frequency Above One Month

{MONETARY}

IVAL23

Scheduled Interest Payment Frequency Above One Month

{MONETARY}

IVAL24

Floating Rate Receivables

{MONETARY}

IVAL25

Financed Amount

{MONETARY}

IVAL26

Dilutions

{MONETARY}

IVAL27

Repurchased Exposures

{MONETARY}

IVAL28

Defaulted Or Credit-Impaired Exposures At Securitisation

{MONETARY}

IVAL29

Defaulted Exposures

{MONETARY}

IVAL30

Defaulted Exposures CRR

{MONETARY}

IVAL31

Gross Charge Offs In The Period

{MONETARY}

IVAL32

Arrears 1-29 Days

{PERCENTAGE}

IVAL33

Arrears 30-59 Days

{PERCENTAGE}

IVAL34

Arrears 60-89 Days

{PERCENTAGE}

IVAL35

Arrears 90-119 Days

{PERCENTAGE}

IVAL36

Arrears 120-149 Days

{PERCENTAGE}

IVAL37

Arrears 150-179 Days

{PERCENTAGE}

IVAL38

Arrears 180+ Days

{PERCENTAGE}

IVAL39

Restructured Exposures

{PERCENTAGE}

IVAL40

Restructured Exposures (0-1 years before transfer)

{MONETARY}

IVAL41

Restructured Exposures (1-3 years before transfer)

{MONETARY}

IVAL42

Restructured Exposures (> 3 years before transfer)

{MONETARY}

IVAL43

Restructured Exposures (Interest Rate)

{MONETARY}

IVAL44

Restructured Exposures (Repayment Schedule)

{MONETARY}

IVAL45

Restructured Exposures (Maturity)

{MONETARY}

IVAL46

Restructured Exposures (0-1 years before transfer and No New Arrears)

{MONETARY}

IVAL47

Restructured Exposures (No New Arrears)

{MONETARY}

IVAL48

Restructured Exposures (New Arrears)

{MONETARY}

IVAL49

Restructured Exposures (Other)

{MONETARY}


ANNEX XII

Investor report template — Non-asset backed commercial paper securitisation

FIELD CODE

FIELD NAME

FORMAT

Securitisation information section

IVSS1

Unique Identifier

{ALPHANUM-28}

IVSS2

Data Cut-Off Date

{DATEFORMAT}

IVSS3

Securitisation Name

{ALPHANUM-100}

IVSS4

Reporting Entity Name

{ALPHANUM-100}

IVSS5

Reporting Entity Contact Person

{ALPHANUM-256}

IVSS6

Reporting Entity Contact Telephone

{TELEPHONE}

IVSS7

Reporting Entity Contact Emails

{ALPHANUM-256}

IVSS8

Risk Retention Method

{LIST}

IVSS9

Risk Retention Holder

{LIST}

IVSS10

Underlying Exposure Type

{LIST}

IVSS11

Risk Transfer Method

{Y/N}

IVSS12

Trigger Measurements/Ratios

{Y/N}

IVSS13

Revolving/Ramp-Up Period End-Date

{DATEFORMAT}

IVSS14

Principal Recoveries In The Period

{MONETARY}

IVSS15

Interest Recoveries In The Period

{MONETARY}

IVSS16

Principal Collections In The Period

{MONETARY}

IVSS17

Interest Collections In The Period

{MONETARY}

IVSS18

Drawings Under Liquidity Facility

{Y/N}

IVSS19

Securitisation Excess Spread

{MONETARY}

IVSS20

Excess Spread Trapping Mechanism

{Y/N}

IVSS21

Current Overcollateralisation

{PERCENTAGE}

IVSS22

Annualised Constant Prepayment Rate

{PERCENTAGE}

IVSS23

Dilutions

{MONETARY}

IVSS24

Gross Charge Offs In The Period

{MONETARY}

IVSS25

Repurchased Exposures

{MONETARY}

IVSS26

Restructured Exposures

{MONETARY}

IVSS27

Annualised Constant Default Rate

{PERCENTAGE}

IVSS28

Defaulted Exposures

{MONETARY}

IVSS29

Defaulted Exposures CRR

{MONETARY}

IVSS30

Risk Weight Approach

{LIST}

IVSS31

Obligor Probability Of Default in Range [0.00%,0.10%)

{PERCENTAGE}

IVSS32

Obligor Probability Of Default in Range [0.10%,0.25%)

{PERCENTAGE}

IVSS33

Obligor Probability Of Default in Range [0.25%,1.00%)

{PERCENTAGE}

IVSS34

Obligor Probability Of Default in Range [1.00%,7.50%)

{PERCENTAGE}

IVSS35

Obligor Probability Of Default in Range [7.50%,20.00%)

{PERCENTAGE}

IVSS36

Obligor Probability Of Default in Range [20.00%,100.00%]

{PERCENTAGE}

IVSS37

Bank Internal Loss Given Default Estimate

{PERCENTAGE}

IVSS38

Arrears 1-29 Days

{PERCENTAGE}

IVSS39

Arrears 30-59 Days

{PERCENTAGE}

IVSS40

Arrears 60-89 Days

{PERCENTAGE}

IVSS41

Arrears 90-119 Days

{PERCENTAGE}

IVSS42

Arrears 120-149 Days

{PERCENTAGE}

IVSS43

Arrears 150-179 Days

{PERCENTAGE}

IVSS44

Arrears 180+ Days

{PERCENTAGE}

Tests/Events/Triggers information section

IVSR1

Unique Identifier

{ALPHANUM-28}

IVSR2

Original Test/Event/Trigger Identifier

{ALPHANUM-1000}

IVSR3

New Test/Event/Trigger Identifier

{ALPHANUM-1000}

IVSR4

Description

{ALPHANUM-100000}

IVSR5

Threshold Level

{NUMERIC}

IVSR6

Actual Value

{NUMERIC}

IVSR7

Status

{Y/N}

IVSR8

Cure Period

{INTEGER-9999}

IVSR9

Calculation Frequency

{INTEGER-9999}

IVSR10

Consequence for Breach

{LIST}

Cash-flow information section

IVSF1

Unique Identifier

{ALPHANUM-28}

IVSF2

Original Cashflow Item Identifier

{ALPHANUM-1000}

IVSF3

New Cashflow Item Identifier

{ALPHANUM-1000}

IVSF4

Cashflow Item

{ALPHANUM-1000}

IVSF5

Amount Paid During Period

{MONETARY}

IVSF6

Available Funds Post

{MONETARY}


ANNEX XIII

Investor report template — Asset backed commercial paper securitisation

FIELD CODE

FIELD NAME

FORMAT

Programme information section

IVAS1

Unique Identifier — ABCP Programme

{ALPHANUM-28}

IVAS2

Data Cut-Off Date

{DATEFORMAT}

IVAS3

Reporting Entity Name

{ALPHANUM-100}

IVAS4

Reporting Entity Contact Person

{ALPHANUM-256}

IVAS5

Reporting Entity Contact Telephone

{TELEPHONE}

IVAS6

Reporting Entity Contact Emails

{ALPHANUM-256}

IVAS7

Trigger Measurements/Ratios

{Y/N}

IVAS8

Non-Compliant Exposures

{MONETARY}

IVAS9

Weighted Average Life

{INTEGER-9999}

IVAS10

Risk Retention Method

{LIST}

IVAS11

Risk Retention Holder

{LIST}

Transaction information section

IVAN1

Unique Identifier — ABCP Programme

{ALPHANUM-28}

IVAN2

Unique Identifier — ABCP Transaction

{ALPHANUM-36}

IVAN3

Data Cut-Off Date

{DATEFORMAT}

IVAN4

NACE Industry Code

{NACE}

IVAN5

Risk Retention Method

{LIST}

IVAN6

Risk Retention Holder

{LIST}

IVAN7

Weighted Average Life

{INTEGER-9999}

Tests/Events/Triggers information section

IVAR1

Unique Identifier — ABCP Transaction

{ALPHANUM-36}

IVAR2

Original Test/Event/Trigger Identifier

{ALPHANUM-1000}

IVAR3

New Test/Event/Trigger Identifier

{ALPHANUM-1000}

IVAR4

Description

{ALPHANUM-100000}

IVAR5

Status

{Y/N}

IVAR6

Consequence for Breach

{LIST}


ANNEX XIV

Inside information or significant event template — Non-asset backed commercial paper securitisation

FIELD CODE

FIELD NAME

FORMAT

Securitisation information section

SESS1

Unique Identifier

{ALPHANUM-28}

SESS2

Data Cut-Off Date

{DATEFORMAT}

SESS3

No Longer STS

{Y/N}

SESS4

Remedial Actions

{Y/N}

SESS5

Administrative Actions

{Y/N}

SESS6

Material Amendment to Transaction Documents

{ALPHANUM-1000000}

SESS7

Perfection Of Sale

{Y/N}

SESS8

Current Waterfall Type

{LIST}

SESS9

Master Trust Type

{LIST}

SESS10

SSPE Value

{MONETARY}

SESS11

SSPE Principal Value

{MONETARY}

SESS12

SSPE Number Of Accounts

{INTEGER-999999999}

SESS13

Note Principal Balance

{MONETARY}

SESS14

Seller Share

{PERCENTAGE}

SESS15

Funding Share

{PERCENTAGE}

SESS16

Revenue Allocated To This Series

{MONETARY}

SESS17

Interest Rate Swap Benchmark

{LIST}

SESS18

Interest Rate Swap Maturity Date

{DATEFORMAT}

SESS19

Interest Rate Swap Notional

{MONETARY}

SESS20

Currency Swap Payer Currency

{CURRENCYCODE_3}

SESS21

Currency Swap Receiver Currency

{CURRENCYCODE_3}

SESS22

Exchange Rate For Currency Swap

{PERCENTAGE}

SESS23

Currency Swap Maturity Date

{DATEFORMAT}

SESS24

Currency Swap Notional

{MONETARY}

Tranche/bond-level information section

SEST1

Unique Identifier

{ALPHANUM-28}

SEST2

Original Tranche Identifier

{ALPHANUM-1000}

SEST3

New Tranche Identifier

{ALPHANUM-1000}

SEST4

International Securities Identification Number

{ISIN}

SEST5

Tranche Name

{ALPHANUM-100}

SEST6

Tranche/Bond Type

{LIST}

SEST7

Currency

{CURRENCYCODE_3}

SEST8

Original Principal Balance

{MONETARY}

SEST9

Current Principal Balance

{MONETARY}

SEST10

Interest Payment Frequency

{LIST}

SEST11

Interest Payment Date

{DATEFORMAT}

SEST12

Principal Payment Date

{DATEFORMAT}

SEST13

Current Coupon

{PERCENTAGE}

SEST14

Current Interest Rate Margin/Spread

{PERCENTAGE}

SEST15

Coupon Floor

{PERCENTAGE}

SEST16

Coupon Cap

{PERCENTAGE}

SEST17

Step-Up/Step-Down Coupon Value

{PERCENTAGE}

SEST18

Step-Up/Step-Down Coupon Date

{DATEFORMAT}

SEST19

Business Day Convention

{LIST}

SEST20

Current Interest Rate Index

{LIST}

SEST21

Current Interest Rate Index Tenor

{LIST}

SEST22

Issue Date

{DATEFORMAT}

SEST23

Disbursement Date

{DATEFORMAT}

SEST24

Legal Maturity

{DATEFORMAT}

SEST25

Extension Clause

{LIST}

SEST26

Next Call Date

{DATEFORMAT}

SEST27

Clean-Up Call Threshold

{ALPHANUM-1000}

SEST28

Next Put date

{DATEFORMAT}

SEST29

Day Count Convention

{LIST}

SEST30

Settlement Convention

{LIST}

SEST31

Current Attachment Point

{PERCENTAGE}

SEST32

Original Attachment Point

{PERCENTAGE}

SEST33

Current Credit Enhancement

{PERCENTAGE}

SEST34

Original Credit Enhancement

{PERCENTAGE}

SEST35

Credit Enhancement Formula

{ALPHANUM-1000}

SEST36

Pari-Passu Tranches

{ISIN}

SEST37

Senior Tranches

{ISIN}

SEST38

Outstanding Principal Deficiency Ledger Balance

{MONETARY}

SEST39

Guarantor Legal Entity Identifier

{LEI}

SEST40

Guarantor Name

{ALPHANUM-1000}

SEST41

Guarantor ESA Subsector

{ESA}

SEST42

Protection Type

{LIST}

Account-level information section

SESA1

Unique Identifier

{ALPHANUM-28}

SESA2

Original Account Identifier

{ALPHANUM-1000}

SESA3

New Account Identifier

{ALPHANUM-1000}

SESA4

Account Type

{LIST}

SESA5

Account Target Balance

{MONETARY}

SESA6

Account Actual Balance

{MONETARY}

SESA7

Amortising Account

{Y/N}

Counterparty-level information section

SESP1

Unique Identifier

{ALPHANUM-28}

SESP2

Counterparty Legal Entity Identifier

{LEI}

SESP3

Counterparty Name

{ALPHANUM-100}

SESP4

Counterparty Type

{LIST}

SESP5

Counterparty Country Of Establishment

{COUNTRYCODE_2}

SESP6

Counterparty Rating Threshold

{ALPHANUM-100000}

SESP7

Counterparty Rating

{ALPHANUM-100000}

SESP8

Counterparty Rating Source Legal Entity Identifier

{LEI}

SESP9

Counterparty Rating Source Name

{ALPHANUM-100}

CLO Securitisation information section

SESC1

Unique Identifier

{ALPHANUM-28}

SESC2

Non-Call Period End-Date

{DATEFORMAT}

SESC3

CLO Type

{LIST}

SESC4

Current Period

{LIST}

SESC5

Current Period Start Date

{DATEFORMAT}

SESC6

Current Period End Date

{DATEFORMAT}

SESC7

Concentration Limit

{PERCENTAGE}

SESC8

Restrictions — Legal Maturity

{PERCENTAGE}

SESC9

Restrictions — Subordinated Exposures

{PERCENTAGE}

SESC10

Restrictions — Non-Performing Exposures

{PERCENTAGE}

SESC11

Restrictions — PIK Exposures

{PERCENTAGE}

SESC12

Restrictions — Zero-Coupon Exposures

{PERCENTAGE}

SESC13

Restrictions — Equity Exposures

{PERCENTAGE}

SESC14

Restrictions — Participation Exposures

{PERCENTAGE}

SESC15

Restrictions — Discretionary Sales

{PERCENTAGE}

SESC16

Discretionary Sales

{MONETARY}

SESC17

Reinvestments

{MONETARY}

SESC18

Restrictions — Credit Enhancement

{Y/N}

SESC19

Restrictions — Quotes

{Y/N}

SESC20

Restrictions — Trades

{Y/N}

SESC21

Restrictions — Issuances

{Y/N}

SESC22

Restrictions — Redemptions

{Y/N}

SESC23

Restrictions — Refinancing

{Y/N}

SESC24

Restrictions — Note Remuneration

{Y/N}

SESC25

Restrictions — Credit Protection

{Y/N}

SESC26

Collateral Liquidation Period

{INTEGER-9999}

SESC27

Collateral Liquidation — Waiver

{Y/N}

CLO Manager information section

SESL1

Unique Identifier

{ALPHANUM-28}

SESL2

CLO Manager Legal Entity Identifier

{LEI}

SESL3

Manager Name

{ALPHANUM-1000}

SESL4

Establishment Date

{DATEFORMAT}

SESL5

Registration Date

{DATEFORMAT}

SESL6

Employees

{INTEGER-9999}

SESL7

Employees — CLOs

{INTEGER-9999}

SESL8

Employees — Workout

{INTEGER-9999}

SESL9

AUM

{MONETARY}

SESL10

AUM — Leveraged Loans

{MONETARY}

SESL11

AUM — CLOs

{MONETARY}

SESL12

AUM — EU

{MONETARY}

SESL13

AUM — EU CLOs

{MONETARY}

SESL14

Number EU CLOs

{INTEGER-9999}

SESL15

Capital

{MONETARY}

SESL16

Capital — Risk Retention

{MONETARY}

SESL17

Settlement Time

{INTEGER-9999}

SESL18

Pricing Frequency

{INTEGER-9999}

SESL19

Default Rate - 1 year

{PERCENTAGE}

SESL20

Default Rate - 5 years

{PERCENTAGE}

SESL21

Default Rate - 10 years

{PERCENTAGE}

Synthetic coverage information section

SESV1

Unique Identifier

{ALPHANUM-28}

SESV2

Protection Instrument Identifier

{ALPHANUM-1000}

SESV3

Protection Type

{LIST}

SESV4

Protection Instrument International Securities Identification Number

{ISIN}

SESV5

Protection Provider Name

{ALPHANUM-100}

SESV6

Protection Provider Legal Entity Identifier

{LEI}

SESV7

Public Entity With Zero Risk Weight

{Y/N}

SESV8

Governing Law

{COUNTRYCODE_2}

SESV9

ISDA Master Agreement

{LIST}

SESV10

Default And Termination Events

{LIST}

SESV11

Synthetic Securitisation Type

{Y/N}

SESV12

Protection Currency

{CURRENCYCODE_3}

SESV13

Current Protection Notional

{MONETARY}

SESV14

Maximum Protection Notional

{MONETARY}

SESV15

Protection Attachment Point

{PERCENTAGE}

SESV16

Protection Detachment Point

{PERCENTAGE}

SESV17

International Securities Identification Number Of Notes Covered

{ISIN}

SESV18

Protection Coverage

{LIST}

SESV19

Protection Termination Date

{DATEFORMAT}

SESV20

Materiality Thresholds

{Y/N}

SESV21

Payment Release Conditions

{LIST}

SESV22

Adjustment Payments Possible

{Y/N}

SESV23

Length Of Workout Period

{INTEGER-9999}

SESV24

Obligation To Repay

{Y/N}

SESV25

Collateral Substitutable

{Y/N}

SESV26

Collateral Coverage Requirements

{PERCENTAGE}

SESV27

Collateral Initial Margin

{MONETARY}

SESV28

Collateral Delivery Deadline

{INTEGER-9999}

SESV29

Settlement

{LIST}

SESV30

Maximum Maturity Date Permitted

{DATEFORMAT}

SESV31

Current Index For Payments To Protection Buyer

{LIST}

SESV32

Current Index For Payments To Protection Buyer Tenor

{LIST}

SESV33

Payment Reset Frequency — To Protection Buyer

{LIST}

SESV34

Current Interest Rate Margin For Payments To Protection Buyer

{PERCENTAGE}

SESV35

Current Interest Rate For Payments To Protection Buyer

{PERCENTAGE}

SESV36

Current Index For Payments To Protection Seller

{LIST}

SESV37

Current Index For Payments To Protection Seller Tenor

{LIST}

SESV38

Payment Reset Frequency — To Protection Seller

{LIST}

SESV39

Current Interest Rate Margin For Payments To Protection Seller

{PERCENTAGE}

SESV40

Current Interest Rate For Payments To Protection Seller

{PERCENTAGE}

SESV41

Excess Spread Support

{Y/N}

SESV42

Excess Spread Definition

{Y/N}

SESV43

Current Protection Status

{LIST}

SESV44

Bankruptcy Is Credit Event

{Y/N}

SESV45

Failure To Pay Is Credit Event

{Y/N}

SESV46

Restructuring Is Credit Event

{Y/N}

SESV47

Credit Event

{Y/N}

SESV48

Cumulative Payments To Protection Buyer

{MONETARY}

SESV49

Cumulative Adjustment Payments To Protection Buyer

{MONETARY}

SESV50

Cumulative Payments To Protection Seller

{MONETARY}

SESV51

Cumulative Adjustment Payments To Protection Seller

{MONETARY}

SESV52

Synthetic Excess Spread Ledger Amount

{MONETARY}

Issuer collateral information section

SESI1

Unique Identifier

{ALPHANUM-28}

SESI2

Protection Instrument Identifier

{ALPHANUM-1000}

SESI3

Original Collateral Instrument Identifier

{ALPHANUM-1000}

SESI4

New Collateral Identifier

{ALPHANUM-1000}

SESI5

Collateral Instrument International Securities Identification Number

{ISIN}

SESI6

Collateral Instrument Type

{LIST}

SESI7

Collateral Issuer ESA Subsector

{ESA}

SESI8

Collateral Issuer Legal Entity Identifier

{LEI}

SESI9

Collateral Issuer Affiliated With Originator?

{Y/N}

SESI10

Current Outstanding Balance

{MONETARY}

SESI11

Instrument Currency

{CURRENCYCODE_3}

SESI12

Maturity Date

{DATEFORMAT}

SESI13

Haircut

{PERCENTAGE}

SESI14

Current Interest Rate Index

{LIST}

SESI15

Current Interest Rate Index Tenor

{LIST}

SESI16

Current Interest Rate on Cash Deposits

{PERCENTAGE}

SESI17

Repo Counterparty Name

{ALPHANUM-100}

SESI18

Repo Counterparty Legal Entity Identifier

{LEI}

SESI19

Repo Maturity Date

{DATEFORMAT}

Any other information section

SESO1

Unique Identifier

{ALPHANUM-28}

SESO2

Any Other Information Line Number

{INTEGER-9999}

SESO3

Any Other Information

{ALPHANUM-1000}


ANNEX XV

Inside information or significant event template — Asset backed commercial paper securitisation

FIELD CODE

FIELD NAME

FORMAT

Programme information section

SEAS1

Unique Identifier — ABCP Programme

{ALPHANUM-28}

SEAS2

Data Cut-Off Date

{DATEFORMAT}

SEAS3

No Longer STS

{Y/N}

SEAS4

Remedial Actions

{Y/N}

SEAS5

Administrative Actions

{Y/N}

SEAS6

Material Amendment to Transaction Documents

{ALPHANUM-100000}

SEAS7

Governing Law

{COUNTRYCODE_2}

SEAS8

Length Of The Liquidity Facility

{INTEGER-9999}

SEAS9

Liquidity Facility Coverage

{PERCENTAGE}

SEAS10

Liquidity Facility Coverage Interval

{INTEGER-9999}

SEAS11

Liquidity Facility Maturity Date

{DATEFORMAT}

SEAS12

Drawings Under Liquidity Facility

{Y/N}

SEAS13

Total Issuance

{MONETARY}

SEAS14

Maximum Issuance

{MONETARY}

Transaction information section

SEAR1

Unique Identifier — ABCP Programme

{ALPHANUM-28}

SEAR2

Unique Identifier — ABCP Transaction

{ALPHANUM-36}

SEAR3

Number Of Programmes Funding The Transaction

{INTEGER-9999}

SEAR4

No Longer STS

{Y/N}

SEAR5

Originator A Client Of The Programme Sponsor

{Y/N}

SEAR6

Security Interest Granted

{Y/N}

SEAR7

Revenue

{MONETARY}

SEAR8

Operating Expenses

{MONETARY}

SEAR9

Current Assets

{MONETARY}

SEAR10

Cash

{MONETARY}

SEAR11

Marketable Securities

{MONETARY}

SEAR12

Accounts Receivable

{MONETARY}

SEAR13

Current Liabilities

{MONETARY}

SEAR14

Total Debt

{MONETARY}

SEAR15

Total Equity

{MONETARY}

SEAR16

Financial Statement Currency

{CURRENCYCODE_3}

SEAR17

Sponsor Supports Transaction

{LIST}

SEAR18

Sponsor Support Type

{Y/N}

SEAR19

Length Of The Liquidity Facility

{INTEGER-9999}

SEAR20

Liquidity Facility Drawn Amount

{MONETARY}

SEAR21

Liquidity Facility Coverage

{PERCENTAGE}

SEAR22

Liquidity Facility Coverage Interval

{INTEGER-9999}

SEAR23

Liquidity Facility Type

{LIST}

SEAR24

Liquidity Facility Repurchase Agreement Maturity Date

{DATEFORMAT}

SEAR25

Liquidity Facility Currency

{CURRENCYCODE_3}

SEAR26

Liquidity Facility Maturity Date

{DATEFORMAT}

SEAR27

Liquidity Facility Provider Name

{ALPHANUM-100}

SEAR28

Liquidity Facility Provider Legal Entity Identifier

{LEI}

SEAR29

Overcollateralisation/Subordinated Interest

{PERCENTAGE}

SEAR30

Transaction Excess Spread

{MONETARY}

SEAR31

Letter Of Credit Provider Name

{ALPHANUM-100}

SEAR32