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)
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)
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
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:
|
(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:
|
(e) |
where the securitisation is a Collateralised Loan Obligation (CLO) non-ABCP 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:
|
(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:
|
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:
|
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:
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:
|
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:
|
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:
|
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:
|
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:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RREL27 |
Purpose |
The reason for the obligor taking out the loan:
|
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:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RREL38 |
Scheduled Interest Payment Frequency |
Frequency of interest payments due, i.e. period between payments:
|
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:
|
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):
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
RREL45 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
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:
|
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:
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:
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:
|
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.
|
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:
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:
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:
|
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:
|
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:
|
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:
|
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:
|
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:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREL31 |
Structure |
Underlying Exposure Structure:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREL32 |
Waterfall A-B Pre Enforcement Scheduled Interest Payments |
Waterfall pre-enforcement schedule for interest payments:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREL33 |
Waterfall A-B Pre Enforcement Scheduled Principal Payments |
Waterfall pre-enforcement schedule for principal payments:
|
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:
|
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:
|
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:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREL47 |
Consequence For Breach Of Financial Covenant |
The consequence for the financial covenant breach:
|
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:
|
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:
|
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:
|
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:
|
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:
|
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:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREL91 |
Scheduled Interest Payment Frequency |
Frequency of interest payments due, i.e. period between payments:
|
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:
|
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:
|
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):
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREL112 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
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:
|
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:
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:
|
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:
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:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREL144 |
Modification |
Type of modification:
|
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:
|
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:
If the collateral being reported is not property collateral, enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC12 |
Property Type |
Property type:
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:
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:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC18 |
Original Valuation Method |
The method of calculating the value of the collateral at the time of underlying exposure origination:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC19 |
Collateral Securitisation Date |
Date the property/collateral was contributed as security for the underlying exposure. If this property/collateral has been substituted, enter the date of the substitution. If the property/collateral was part of the original securitisation, this will be the Securitisation Date. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC20 |
Allocated Percentage Of Underlying Exposure At Securitisation Date |
Allocated underlying exposure % attributable to property/collateral at Securitisation Date where there is more than one property/collateral item securing the underlying exposure. This may be set out in the underlying exposure Agreement, otherwise assign by valuation or Net Operating Income. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC21 |
Current Allocated Underlying Exposure Percentage |
Allocated underlying exposure % attributable to the collateral at the underlying exposure payment date. Where there is more than one collateral item securing the underlying exposure, the sum of all percentages is equal to 100 %. This may be set out in the underlying exposure agreement, otherwise assign by valuation (Net Operating Income). |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC22 |
Valuation At Securitisation |
The valuation of the property/collateral securing the underlying exposure at Securitisation Date as described in the Offering Circular. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC23 |
Name Of Valuer At Securitisation |
Name of valuation firm who performed the property/collateral valuation at the Date of Securitisation. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC24 |
Date Of Valuation At Securitisation |
The date the valuation was prepared for the values disclosed in the Offering Circular. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC25 |
Year Built |
Year the property was built per the valuation report or underlying exposure document. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC26 |
Year Last Renovated |
Year that last major renovation/new construction was completed on the property per the valuation report or underlying exposure document. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC27 |
Number Of Units |
For property type Multifamily enter number of units, for Hospitality/Hotel/Healthcare — beds, for Caravan Parks — units, Lodging = rooms, Self Storage = units. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC28 |
Net Square Metres |
The total net rentable area of the property in square metres that serve as security for the underlying exposure per the most recent valuation report. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC29 |
Commercial Area |
The total net Commercial rentable area of the property in square metres that serves as security for the underlying exposure per the most recent valuation report. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC30 |
Residential Area |
The total net Residential rentable area of the property in square metres that serves as security for the loan per the most recent valuation report. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC31 |
Net Internal Floor Area Validated |
Has the valuer (of the most recent valuation) verified the net internal floor area of the property? |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC32 |
Occupancy As Of Date |
Date of most recently received rent roll/tenancy schedule. For hospitality (hotels), and health care properties use average occupancy for the period for which the financial statements are reported. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC33 |
Economic Occupancy At Securitisation |
The percentage of rentable space with signed leases in place at Securitisation Date if disclosed in Offering Circular (tenants may not be in occupation but are paying rent). |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC34 |
Physical Occupancy At Securitisation |
At securitisation, the available percentage of rentable space actually occupied (i.e. where tenants are actually in occupation and not vacated), if disclosed in Offering Circular. To be derived from a rent roll or other document indicating occupancy consistent with most recent financial year information. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC35 |
Vacant Possession Value At Securitisation Date |
Vacant possession value at Date of Securitisation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC36 |
Date Of Financials At Securitisation |
The end date of the financials for the information used in the Offering Circular (e.g. year to date, annual, quarterly or trailing 12 months). |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC37 |
Net Operating Income At Securitisation |
Revenue less Operating Expenses at Securitisation Date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC38 |
Most Recent Financials As Of Start Date |
The first day of the period covered in the most recent financial operating statement available (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months). |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC39 |
Most Recent Financials As Of End Date |
The end date of the financials used for the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months). |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC40 |
Most Recent Revenue |
Total revenues for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC41 |
Most Recent Operating Expenses |
Total operating expenses for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the landlord; capital expenditures and leasing commissions are excluded. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC42 |
Most Recent Capital Expenditure |
Total Capital Expenditure (as opposed to repairs and maintenance) for the period covered by the most recent financial operating statement e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC43 |
Ground Rent Payable |
If property is leasehold, provide the current annual leasehold rent payable to the lessor. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC44 |
Weighted Average Lease Terms |
Weighted average lease terms in years, using as weights the latest-available outstanding value of the lease. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC45 |
Property Leasehold Expiry |
Provide the earliest date the leasehold interest expires. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC46 |
Contractual Annual Rental Income |
The contractual annual rental income derived from the most recent obligor tenancy schedule. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC47 |
Income Expiring 1-12 Months |
Percentage of income expiring in 1 to 12 months. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC48 |
Income Expiring 13-24 Months |
Percentage of income expiring in 13 to 24 months. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC49 |
Income Expiring 25-36 Months |
Percentage of income expiring in 25 to 36 months. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC50 |
Income Expiring 37-48 Months |
Percentage of income expiring in 37 to 48 months. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CREC51 |
Income Expiring 49+ Months |
Percentage of income expiring in 49 or more months. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Tenant-level information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRET1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field CREL1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRET2 |
Underlying Exposure Identifier |
Unique underlying exposure identifier. This must match the identifier in field CREL5. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRET3 |
Collateral Identifier |
Unique identifier for the collateral. This field must match CREC4, to allow mapping. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRET4 |
Tenant Identifier |
Unique identifier for the tenant. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRET5 |
Tenant Name |
Name of current tenant. If tenant is a natural person, then this field must be entered with the same entry as field CRET4. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRET6 |
NACE Industry Code |
Tenant industry NACE Code, as set out in Regulation (EC) No 1893/2006 of the European Parliament and of the Council. (1) |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRET7 |
Date Of Lease Expiration |
Expiration date of lease of current tenant. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRET8 |
Rent Payable |
Annual Rent payable by current tenant. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRET9 |
Rent Currency |
Rent currency denomination. |
NO |
YES |
(1) Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).
ANNEX IV
UNDERLYING EXPOSURES INFORMATION — CORPORATE
Field code |
Field name |
Content to report |
ND1-ND4 allowed? |
ND5 allowed? |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Underlying exposures information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL1 |
Unique Identifier |
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL2 |
Original Underlying Exposure Identifier |
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL3 |
New Underlying Exposure Identifier |
If the original identifier in field CRPL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CRPL2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL4 |
Original Obligor Identifier |
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL5 |
New Obligor Identifier |
If the original identifier in field CRPL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CRPL4. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL6 |
Data Cut-Off Date |
The data cut-off date for this data submission. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL7 |
Pool Addition Date |
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL8 |
Date Of Repurchase |
Date on which the underlying exposure was repurchased from the pool. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL9 |
Redemption Date |
Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL10 |
Geographic Region — Obligor |
The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL11 |
Geographic Region Classification |
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL12 |
Credit Impaired Obligor |
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL13 |
Customer Type |
Customer type at origination:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL14 |
NACE Industry Code |
Obligor industry NACE Code, as set out in Regulation (EC) No 1893/2006. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL15 |
Obligor Basel III Segment |
Obligor Basel III Segment:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL16 |
Enterprise Size |
Classification of enterprises by size, in accordance with the Annex to Commission Recommendation 2003/361/EC:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL17 |
Revenue |
Annual sales volume net of all discounts and sales taxes of the obligor in accordance with Recommendation 2003/361/EC. Equivalent to the concept of ‘total annual sales’ in Article 153(4) of Regulation (EU) No 575/2013. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL18 |
Total Debt |
Total gross debt of the obligor, including the financing provided in the present underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL19 |
EBITDA |
Recurring earnings from continuing operations plus interest, taxes, depreciation, and amortisation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL20 |
Enterprise Value |
Enterprise value i.e. market capitalisation plus debt, minority interest and preferred shares, minus total cash and cash equivalents. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL21 |
Free Cashflow |
Net income plus non-cash charges plus interest x (1 — tax rate) plus long-term investments less investments in working capital. Non-cash charges include depreciation, amortisation, depletion, stock-based compensation and asset impairments. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL22 |
Date Of Financials |
The date of the financial information (e.g. EBITDA) on the obligor of this underlying exposure. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL23 |
Financial Statement Currency |
The reporting currency of the financial statements. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL24 |
Debt Type |
Debt Type:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL25 |
Securitised Receivables |
What receivables associated with this underlying exposure have been securitised:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL26 |
International Securities Identification Number |
The ISIN code assigned to this underlying exposure, where applicable. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL27 |
Seniority |
Debt Instrument Seniority:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL28 |
Syndicated |
Is the underlying exposure syndicated? |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL29 |
Leveraged Transaction |
Is the underlying exposure a leveraged transaction, as defined in https://www.bankingsupervision.europa.eu/ecb/pub/pdf/ssm.leveraged_transactions_guidance_201705.en.pdf |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL30 |
Managed by CLO |
Is the underlying exposure also being managed by the CLO manager? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL31 |
Payment in Kind |
Underlying exposure currently paying in kind? (i.e. interest is paid in the form of capitalised principal) |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL32 |
Special Scheme |
If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL33 |
Origination Date |
Date of original underlying exposure advance. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL34 |
Maturity Date |
The date of maturity of the underlying exposure or expiry of the lease. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL35 |
Origination Channel |
Origination channel of the underlying exposure:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL36 |
Purpose |
underlying exposure Purpose:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL37 |
Currency Denomination |
The underlying exposure currency denomination. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL38 |
Original Principal Balance |
Original underlying exposure balance (inclusive of fees). This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL39 |
Current Principal Balance |
Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL40 |
Prior Principal Balances |
Total balances ranking prior to this underlying exposure (including those held with other lenders). If there are no prior balances, enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL41 |
Market Value |
For Collateralised Loan Obligation securitisations, enter the market value of the security. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL42 |
Total Credit Limit |
For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding. This field is only to be populated for underlying exposures that have flexible or further drawing characteristics. This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL43 |
Purchase Price |
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL44 |
Put Date |
If there exists an option to sell back the underlying exposure, enter the date at which the option can be exercised. If the date is unknown (e.g. the option is an American option), enter the equivalent of 31 December 2099. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL45 |
Put Strike |
If there exists an option to sell back the underlying exposure, enter the strike (exercise) price. If the strike price is moveable (e.g. the option is a lookback option), enter the best estimate of the strike price as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL46 |
Amortisation Type |
Type of amortisation of the underlying exposure including principal and interest. French — i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX) German — i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX) Fixed amortisation schedule — i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE) Bullet — i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT) Other (OTHR) |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL47 |
Principal Grace Period End Date |
If applicable as at the data cut-off date, indicate the principal grace period end date. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL48 |
Scheduled Principal Payment Frequency |
Frequency of principal payments due, i.e. period between payments:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL49 |
Scheduled Interest Payment Frequency |
Frequency of interest payments due, i.e. period between payments:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL50 |
Payment Due |
This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL51 |
Balloon Amount |
Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL52 |
Interest Rate Type |
Interest rate type:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL53 |
Current Interest Rate |
Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL54 |
Current Interest Rate Index |
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL55 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL56 |
Current Interest Rate Margin |
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL57 |
Interest Rate Reset Interval |
Number of months between each interest rate reset date on the underlying exposure. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL58 |
Interest Rate Cap |
Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL59 |
Interest Rate Floor |
Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL60 |
Revision Margin 1 |
The margin for the underlying exposure at the 1st revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month). The full revised margin must be entered in this field, not the change in the margin. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL61 |
Interest Revision Date 1 |
Date interest rate next changes (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date). |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL62 |
Revision Margin 2 |
The margin for the underlying exposure at the 2nd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month). The full revised margin must be entered in this field, not the change in the margin. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL63 |
Interest Revision Date 2 |
Date of 2nd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date). |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL64 |
Revision Margin 3 |
The margin for the underlying exposure at the 3rd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month). The full revised margin must be entered in this field, not the change in the margin. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL65 |
Interest Revision Date 3 |
Date of 3rd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date). |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL66 |
Revised Interest Rate Index |
Next interest rate index. MuniAAA (MAAA) FutureSWAP (FUSW) LIBID (LIBI) LIBOR (LIBO) SWAP (SWAP) Treasury (TREA) Euribor (EURI) Pfandbriefe (PFAN) EONIA (EONA) EONIASwaps (EONS) EURODOLLAR (EUUS) EuroSwiss (EUCH) TIBOR (TIBO) ISDAFIX (ISDA) GCFRepo (GCFR) STIBOR (STBO) BBSW (BBSW) JIBAR (JIBA) BUBOR (BUBO) CDOR (CDOR) CIBOR (CIBO) MOSPRIM (MOSP) NIBOR (NIBO) PRIBOR (PRBO) TELBOR (TLBO) WIBOR (WIBO) Bank of England Base Rate (BOER) European Central Bank Base Rate (ECBR) Lender’s Own Rate (LDOR) Other (OTHR) |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL67 |
Revised Interest Rate Index Tenor |
Tenor of the next interest rate index:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL68 |
Number Of Payments Before Securitisation |
Enter the number of payments made prior to the exposure being transferred to the securitisation. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL69 |
Percentage Of Prepayments Allowed Per Year |
Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL70 |
Prepayment Lock-Out End Date |
The date after which the lender allows prepayment of the underlying exposure. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL71 |
Prepayment Fee |
Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL72 |
Prepayment Fee End Date |
The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL73 |
Prepayment Date |
The latest date on which an unscheduled principal payment was received. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL74 |
Cumulative Prepayments |
Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL75 |
Date Of Restructuring |
Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. In the event of multiple dates, all dates must be provided in accordance with the XML schema. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL76 |
Date Last In Arrears |
Date the obligor was last in arrears. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL77 |
Arrears Balance |
Current balance of arrears, which is defined as:
If no arrears then enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL78 |
Number Of Days In Arrears |
Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL79 |
Account Status |
Current status of the underlying exposure that has been securitised:
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL80 |
Reason for Default or Foreclosure |
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL81 |
Default Amount |
Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL82 |
Default Date |
The date of default. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL83 |
Allocated Losses |
The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL84 |
Cumulative Recoveries |
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL85 |
Recovery Source |
The source of the recoveries:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL86 |
Recourse |
Is there recourse (full or limited) to the obligor’s assets beyond the proceeds of any collateral for this underlying exposure? |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL87 |
Deposit Amount |
The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool. Use the same currency denomination as that used for this underlying exposure. If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure, and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL88 |
Interest Rate Swap Notional |
If there is an interest rate swap on the underlying exposure, enter the notional amount. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL89 |
Interest Rate Swap Provider Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure interest rate swap provider. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL90 |
Interest Rate Swap Provider |
If there is an interest rate swap on the underlying exposure, provide the full legal name of the interest rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL91 |
Interest Rate Swap Maturity Date |
If there is an interest rate swap on the underlying exposure, enter the maturity date of the swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL92 |
Currency Swap Notional |
If there is an exchange rate swap on the underlying exposure, enter the notional amount. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL93 |
Currency Swap Provider Legal Entity Identifier |
If there is an exchange rate swap on the underlying exposure, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the swap provider. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL94 |
Currency Swap Provider |
If there is an exchange rate swap on the underlying exposure, provide the full legal name of the exchange rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL95 |
Currency Swap Maturity Date |
If there is an exchange rate swap on the underlying exposure, enter the maturity date of the swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL96 |
Original Lender Name |
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL97 |
Original Lender Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Where no Legal Entity Identifier is available, enter ND5. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL98 |
Original Lender Establishment Country |
Country where the original lender is established. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL99 |
Originator Name |
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL100 |
Originator Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPL101 |
Originator Establishment Country |
Country where the underlying exposure originator is established. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateral-level information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field CRPL1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC2 |
Underlying Exposure Identifier |
Unique underlying exposure identifier. This must match the identifier in field CRPL3. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC3 |
Original Collateral Identifier |
The original unique identifier assigned to the collateral or guarantee. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC4 |
New Collateral Identifier |
If the original identifier in field CRPC3 cannot be maintained in this field enter the new identifier here. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. If there has been no change in the identifier, enter the same identifier as field CRPC3. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC5 |
Geographic Region — Collateral |
The geographic region (NUTS3 classification) where the collateral is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC6 |
Security Type |
The type of security:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC7 |
Charge Type |
Type of security over the collateral. Where there is a guarantee, this field refers to any security for any collateral that is supporting that guarantee. ‘No charge but an irrevocable power of attorney or similar’ refers to when the originator or original lender, as applicable, is irrevocably and unconditionally authorised to unilaterally create a charge over the collateral at any time in the future, without the need for any further approval from the obligor or guarantor:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC8 |
Lien |
Highest lien position held by the originator in relation to the collateral. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC9 |
Collateral Type |
The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee. Automobile (CARX) Industrial Vehicle (INDV) Commercial Truck (CMTR) Rail Vehicle (RALV) Nautical Commercial Vehicle (NACM) Nautical Leisure Vehicle (NALV) Aeroplane (AERO) Machine Tool (MCHT) Industrial Equipment (INDE) Office Equipment (OFEQ) IT Equipment (ITEQ) Medical Equipment (MDEQ) Energy Related Equipment (ENEQ) Commercial Building (CBLD) Residential Building (RBLD) Industrial Building (IBLD) Other Vehicle (OTHV) Other Equipment (OTHE) Other Real Estate (OTRE) Other goods or inventory (OTGI) Securities (SECU) Guarantee (GUAR) Other Financial Asset (OTFA) Mixed Categories Due to Security Over All Assets of the Obligor (MIXD) Other (OTHR) |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC10 |
Current Valuation Amount |
The most recent valuation of the collateral. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to the collateral that is supporting that guarantee. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC11 |
Current Valuation Method |
The method of calculating the most recent value of the collateral, as provided in field CRPC10. Full Appraisal (FAPR) Drive-by (DRVB) Automated Value Model (AUVM) Indexed (IDXD) Desktop (DKTP) Managing Agent or Estate Agent (MAEA) Purchase Price (PPRI) Haircut (HCUT) Mark to Market (MTTM) Obligor’s valuation (OBLV) Other (OTHR) |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC12 |
Current Valuation Date |
The date of the most recent valuation of the collateral as provided in field CRPC10. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC13 |
Original Valuation Amount |
The original valuation of the collateral as of the initial underlying exposure origination date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC14 |
Original Valuation Method |
The method of calculating the value of the collateral at the time of underlying exposure origination, as provided in field CRPC13. Full Appraisal (FAPR) Drive-by (DRVB) Automated Value Model (AUVM) Indexed (IDXD) Desktop (DKTP) Managing Agent or Estate Agent (MAEA) Purchase Price (PPRI) Haircut (HCUT) Mark to market (MTTM) Obligor’s valuation (OBLV) Other (OTHR) |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC15 |
Original Valuation Date |
The date of the original valuation of the physical or financial collateral provided in field CRPC13. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC16 |
Date Of Sale |
The date of sale of the collateral. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC17 |
Sale Price |
Price achieved on sale of collateral in case of foreclosure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC18 |
Collateral Currency |
This is the currency in which the valuation amount provided in CRPC10 is denominated. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC19 |
Guarantor Country |
The jurisdiction where the guarantor is established. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CRPC20 |
Guarantor ESA Subsector |
The ESA 2010 classification of the guarantor according to Regulation (EU) No 549/2013 of the European Parliament and of the Council (‘ESA 2010’) (1). This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation. |
NO |
YES |
(1) Regulation (EU) No 549/2013 of the European Parliament and of the Council of 21 May 2013 on the European system of national and regional accounts in the European Union (OJ L 174, 26.6.2013, p. 1).
ANNEX V
UNDERLYING EXPOSURES INFORMATION — AUTOMOBILE
Field code |
Field name |
Content to report |
ND1-ND4 allowed? |
ND5 allowed? |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Underlying exposures information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL1 |
Unique Identifier |
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL2 |
Original Underlying Exposure Identifier |
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL3 |
New Underlying Exposure Identifier |
If the original identifier in field AUTL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in AUTL2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL4 |
Original Obligor Identifier |
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL5 |
New Obligor Identifier |
If the original identifier in field AUTL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in AUTL4. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL6 |
Data Cut-Off Date |
The data cut-off date for this data submission. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL7 |
Pool Addition Date |
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL8 |
Date Of Repurchase |
Date on which the underlying exposure was repurchased from the pool. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL9 |
Redemption Date |
Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL10 |
Geographic Region — Obligor |
The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL11 |
Geographic Region Classification |
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL12 |
Employment Status |
Employment status of the primary obligor:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL13 |
Credit Impaired Obligor |
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL14 |
Obligor Legal Type |
Legal form of customer:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL15 |
Customer Type |
Customer type at origination:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL16 |
Primary Income |
Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor’s annual revenue. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL17 |
Primary Income Type |
Indicate what income in AUTL16 is displayed:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL18 |
Primary Income Currency |
Currency in which the primary obligor’s income is paid. Where the primary obligor is a legal person/entity, enter the currency of the revenue provided in field AUTL20. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL19 |
Primary Income Verification |
Primary Income Verification:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL20 |
Revenue |
Annual sales volume net of all discounts and sales taxes of the obligor in accordance with Recommendation 2003/361/EC. Equivalent to the concept of ‘total annual sales’ in Article 153(4) of Regulation (EU) No 575/2013. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL21 |
Financial Statement Currency |
The reporting currency of the financial statements. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL22 |
Special Scheme |
If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL23 |
Product Type |
The classification of the lease, per lessor’s definitions:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL24 |
Origination Date |
Date of original underlying exposure advance. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL25 |
Maturity Date |
The date of maturity of the underlying exposure or expiry of the lease. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL26 |
Original Term |
Original contractual term (number of months) at the origination date. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL27 |
Origination Channel |
Origination channel of the underlying exposure:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL28 |
Currency Denomination |
The underlying exposure currency denomination. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL29 |
Original Principal Balance |
Obligor’s underlying exposure principal balance or discounted lease balance (inclusive of capitalised fees) at origination. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL30 |
Current Principal Balance |
Obligor’s underlying exposure (or discounted lease) balance outstanding as of the data cut-off date. This includes any amounts that are secured against the vehicle. For example, if fees have been added to the balance and are part of the principal in the securitisation these are to be added. Exclude any interest arrears or penalty amounts. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL31 |
Purchase Price |
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL32 |
Amortisation Type |
Type of amortisation of the underlying exposure including principal and interest. French – i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX) German – i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX) Fixed amortisation schedule – i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE) Bullet – i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT) Other (OTHR) |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL33 |
Principal Grace Period End Date |
If applicable as at the data cut-off date, indicate the principal grace period end date. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL34 |
Scheduled Principal Payment Frequency |
Frequency of principal payments due, i.e. period between payments:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL35 |
Scheduled Interest Payment Frequency |
Frequency of interest payments due, i.e. period between payments:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL36 |
Payment Method |
Usual method of payment (can be based upon last payment received):
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL37 |
Payment Due |
This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL38 |
Balloon Amount |
Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL39 |
Down Payment Amount |
Amount of deposit/down payment on origination of underlying exposure (this includes the value of traded-in vehicles etc.) Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL40 |
Current Interest Rate |
Total gross current interest or discount rate applicable to the underlying exposure. Rates calculated on a period-by-period basis must be annualised. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL41 |
Current Interest Rate Index |
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL42 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL43 |
Current Interest Rate Margin |
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL44 |
Interest Rate Reset Interval |
Number of months between each interest rate reset date on the underlying exposure. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL45 |
Interest Rate Cap |
Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL46 |
Interest Rate Floor |
Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL47 |
Number Of Payments Before Securitisation |
Enter the number of payments made prior to the exposure being transferred to the securitisation. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL48 |
Percentage Of Prepayments Allowed Per Year |
Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL49 |
Prepayment Fee |
Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL50 |
Prepayment Fee End Date |
The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL51 |
Prepayment Date |
The latest date on which an unscheduled principal payment was received. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL52 |
Cumulative Prepayments |
Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL53 |
Manufacturer |
Brand name of the vehicle manufacturer E.g. enter ‘Skoda’, not ‘Volkswagen’. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL54 |
Model |
Name of the car model. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL55 |
Year Of Registration |
Year the car was registered. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL56 |
New Or Used |
Condition of vehicle at point of underlying exposure origination:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL57 |
Energy Performance Certificate Value |
The energy performance certificate value of the collateral at the time of origination:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL58 |
Energy Performance Certificate Provider Name |
Enter the full legal name of the energy performance certificate provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL59 |
Original Loan-To-Value |
The ratio of the underlying exposure balance at origination relative to the automobile value at origination. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL60 |
Original Valuation Amount |
List price of the vehicle at date of underlying exposure origination. For a non-new car, enter the trade value or the sale price of the car. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL61 |
Original Residual Value Of Vehicle |
The estimated residual value of the asset at the date of lease origination. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL62 |
Option To Buy Price |
The amount the obligor has to pay at the end of the lease or underlying exposure in order to take ownership of the vehicle, other than the payment referred to in AUTL63. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL63 |
Securitised Residual Value |
Residual value amount which has been securitised only. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL64 |
Updated Residual Value Of Vehicle |
If the residual value has been securitised, enter the most recent estimated residual value of vehicle at end of contract. If no update has been performed, enter the original estimated residual value. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL65 |
Date Of Updated Residual Valuation Of Vehicle |
If the residual value has been securitised, enter the date on which the most recent updated estimation of the residual value of the vehicle was calculated. If no update has been performed, enter the date of the original valuation. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL66 |
Date Of Restructuring |
Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. In the event of multiple dates, all dates must be provided in accordance with the XML schema. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL67 |
Date Last In Arrears |
Date the obligor was last in arrears. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL68 |
Arrears Balance |
Current balance of arrears, which is defined as:
If no arrears then enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL69 |
Number Of Days In Arrears |
Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL70 |
Account Status |
Current status of the underlying exposure that has been securitised:
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL71 |
Reason for Default or Foreclosure |
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL72 |
Default Amount |
Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL73 |
Default Date |
The date of default. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL74 |
Allocated Losses |
The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL75 |
Residual Value Losses |
Residual value loss arising on turn-in of vehicle. If the residual value has not been securitised, enter ND5. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL76 |
Cumulative Recoveries |
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL77 |
Sale Price |
Price achieved on sale of vehicle in case of foreclosure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL78 |
Deposit Amount |
The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool. Use the same currency denomination as that used for this underlying exposure. If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure, and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL79 |
Original Lender Name |
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL80 |
Original Lender Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Where no Legal Entity Identifier is available, enter ND5. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL81 |
Original Lender Establishment Country |
Country where the original lender is established. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL82 |
Originator Name |
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL83 |
Originator Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AUTL84 |
Originator Establishment Country |
Country where the underlying exposure originator is established. |
NO |
NO |
ANNEX VI
UNDERLYING EXPOSURES INFORMATION — CONSUMER
Field code |
Field name |
Content to report |
ND1-ND4 allowed? |
ND5 allowed? |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Underlying exposures information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL1 |
Unique Identifier |
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL2 |
Original Underlying Exposure Identifier |
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL3 |
New Underlying Exposure Identifier |
If the original identifier in field CMRL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CMRL2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL4 |
Original Obligor Identifier |
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL5 |
New Obligor Identifier |
If the original identifier in field CMRL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CMRL4. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL6 |
Data Cut-Off Date |
The data cut-off date for this data submission. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL7 |
Pool Addition Date |
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL8 |
Date Of Repurchase |
Date on which the underlying exposure was repurchased from the pool. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL9 |
Redemption Date |
Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL10 |
Geographic Region – Obligor |
The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL11 |
Geographic Region Classification |
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL12 |
Employment Status |
Employment status of the primary obligor:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL13 |
Credit Impaired Obligor |
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL14 |
Customer Type |
Customer type at origination:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL15 |
Primary Income |
Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor’s annual revenue. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL16 |
Primary Income Type |
Indicate what income in CMRL15 is displayed:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL17 |
Primary Income Currency |
Currency in which the primary o’ligor’s income or revenue is paid. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL18 |
Primary Income Verification |
Primary Income Verification:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL19 |
Secured By Salary/Pension Assignment |
Does the personal underlying exposure fall under the category of pension-backed underlying exposures/salary-backed underlying exposures (i.e. cessione del quinto)? |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL20 |
Special Scheme |
If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL21 |
Origination Date |
Date of original underlying exposure advance. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL22 |
Maturity Date |
The date of maturity of the underlying exposure or expiry of the lease. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL23 |
Original Term |
Original contractual term (number of months) at the origination date. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL24 |
Origination Channel |
Channel of Origination:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL25 |
Purpose |
Loan Purpose:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL26 |
Currency Denomination |
The underlying exposure currency denomination. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL27 |
Original Principal Balance |
Original underlying exposure principal balance (inclusive of capitalised fees) at origination. This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL28 |
Current Principal Balance |
Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these must be added. Excluding any interest arrears or penalty amounts. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL29 |
Total Credit Limit |
For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding. This field is only to be populated for underlying exposures that have flexible or further drawing characteristics. This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL30 |
Revolving End Date |
For underlying exposures with flexible re-draw/revolving characteristics – the date when the flexible features are expected to expire i.e. when the revolving period will end. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL31 |
Purchase Price |
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL32 |
Amortisation Type |
Type of amortisation of the underlying exposure including principal and interest. French — i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX) German — i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX) Fixed amortisation schedule — i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE) Bullet — i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT) Other (OTHR) |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL33 |
Principal Grace Period End Date |
If applicable as at the data cut-off date, indicate the principal grace period end date. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL34 |
Scheduled Principal Payment Frequency |
Frequency of principal payments due, i.e. period between payments:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL35 |
Scheduled Interest Payment Frequency |
Frequency of interest payments due, i.e. period between payments:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL36 |
Payment Due |
This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL37 |
Current Interest Rate |
Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL38 |
Current Interest Rate Index |
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL39 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL40 |
Current Interest Rate Margin |
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL41 |
Interest Rate Reset Interval |
Number of months between each interest rate reset date on the underlying exposure. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL42 |
Interest Rate Cap |
Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL43 |
Interest Rate Floor |
Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL44 |
Number Of Payments Before Securitisation |
Enter the number of payments made prior to the exposure being transferred to the securitisation. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL45 |
Percentage Of Prepayments Allowed Per Year |
Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL46 |
Prepayment Lock-Out End Date |
The date after which the lender allows prepayment of the underlying exposure. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL47 |
Prepayment Fee |
Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL48 |
Prepayment Fee End Date |
The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL49 |
Prepayment Date |
The latest date on which an unscheduled principal payment was received. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL50 |
Cumulative Prepayments |
Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL51 |
Date Of Restructuring |
Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. In the event of multiple dates, all dates must be provided in accordance with the XML schema. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL52 |
Date Last In Arrears |
Date the obligor was last in arrears. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL53 |
Arrears Balance |
Current balance of arrears, which is defined as:
If no arrears then enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL54 |
Number Of Days In Arrears |
Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL55 |
Account Status |
Current status of the underlying exposure that has been securitised:
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL56 |
Reason for Default or Foreclosure |
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL57 |
Default Amount |
Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL58 |
Default Date |
The date of default. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL59 |
Allocated Losses |
The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL60 |
Cumulative Recoveries |
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL61 |
Deposit Amount |
The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool. Use the same currency denomination as that used for this underlying exposure. If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure, and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL62 |
Original Lender Name |
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL63 |
Original Lender Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Where no Legal Entity Identifier is available, enter ND5. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL64 |
Original Lender Establishment Country |
Country where the original lender is established. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL65 |
Originator Name |
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL66 |
Originator Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL67 |
Originator Establishment Country |
Country where the underlying exposure originator is established. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL68 |
Energy Performance Certificate Value |
The energy performance certificate value of the collateral at the time of origination:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CMRL69 |
Energy Performance Certificate Provider Name |
Enter the full legal name of the energy performance certificate provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
YES |
YES |
ANNEX VII
UNDERLYING EXPOSURES INFORMATION — CREDIT CARD
Field code |
Field name |
Content to report |
ND1-ND4 allowed? |
ND5 allowed? |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Underlying exposures information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL1 |
Unique Identifier |
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL2 |
Original Underlying Exposure Identifier |
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL3 |
New Underlying Exposure Identifier |
If the original identifier in field CCDL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CCDL2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL4 |
Original Obligor Identifier |
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL5 |
New Obligor Identifier |
If the original identifier in field CCDL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CCDL4. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL6 |
Data Cut-Off Date |
The data cut-off date for this data submission. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL7 |
Pool Addition Date |
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL8 |
Date Of Repurchase |
Date on which the underlying exposure was repurchased from the pool. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL9 |
Geographic Region — Obligor |
The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL10 |
Geographic Region Classification |
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL11 |
Employment Status |
Employment status of the primary obligor:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL12 |
Credit Impaired Obligor |
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL13 |
Customer Type |
Customer type at origination:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL14 |
Primary Income |
Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor’s annual revenue. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL15 |
Primary Income Type |
Indicate what income in CCDL14 is displayed:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL16 |
Primary Income Currency |
Currency in which the primary obligor’s income or revenue is paid. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL17 |
Primary Income Verification |
Primary Income Verification:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL18 |
Special Scheme |
If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL19 |
Origination Date |
The date on which the account was opened. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL20 |
Origination Channel |
Channel of Origination:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL21 |
Currency Denomination |
The underlying exposure currency denomination. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL22 |
Current Principal Balance |
Enter the total current amount owed by the obligor (including all fees and interest) on the account. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL23 |
Total Credit Limit |
For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding. This field is only to be populated for underlying exposures that have flexible or further drawing characteristics. This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL24 |
Purchase Price |
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL25 |
Principal Grace Period End Date |
If applicable as at the data cut-off date, indicate the principal grace period end date. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL26 |
Scheduled Principal Payment Frequency |
Frequency of principal payments due, i.e. period between payments:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL27 |
Scheduled Interest Payment Frequency |
Frequency of interest payments due, i.e. period between payments:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL28 |
Payment Due |
The next minimum scheduled payment due from the obligor. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL29 |
Current Interest Rate |
Total weighted average annualised yield including all fees applicable at last billing date (i.e. this is billed, not cash yield). |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL30 |
Current Interest Rate Index |
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL31 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL32 |
Number Of Payments Before Securitisation |
Enter the number of payments made prior to the exposure being transferred to the securitisation. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL33 |
Date Of Restructuring |
Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. In the event of multiple dates, all dates must be provided in accordance with the XML schema. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL34 |
Date Last In Arrears |
Date the account was last in arrears. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL35 |
Number Of Days In Arrears |
Number of days the account is in arrears as of the data cut-off date. If the account is not in arrears enter 0. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL36 |
Arrears Balance |
Current balance of arrears, which is defined as:
If no arrears then enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL37 |
Account Status |
Current status of the underlying exposure that has been securitised:
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL38 |
Reason for Default or Foreclosure |
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL39 |
Default Amount |
Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL40 |
Default Date |
The date of default. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL41 |
Cumulative Recoveries |
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL42 |
Original Lender Name |
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL43 |
Original Lender Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Where no Legal Entity Identifier is available, enter ND5. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL44 |
Original Lender Establishment Country |
Country where the original lender is established. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL45 |
Originator Name |
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL46 |
Originator Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CCDL47 |
Originator Establishment Country |
Country where the underlying exposure originator is established. |
NO |
NO |
ANNEX VIII
UNDERLYING EXPOSURES INFORMATION — LEASING
Field code |
Field name |
Content to report |
ND1-ND4 allowed? |
ND5 allowed? |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Underlying exposures information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL1 |
Unique Identifier |
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL2 |
Original Underlying Exposure Identifier |
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL3 |
New Underlying Exposure Identifier |
If the original identifier in field LESL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in LESL2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL4 |
Original Obligor Identifier |
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL5 |
New Obligor Identifier |
If the original identifier in field LESL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in LESL4. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL6 |
Data Cut-Off Date |
The data cut-off date for this data submission. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL7 |
Pool Addition Date |
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL8 |
Date Of Repurchase |
Date on which the underlying exposure was repurchased from the pool. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL9 |
Redemption Date |
Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL10 |
Geographic Region — Obligor |
The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL11 |
Geographic Region Classification |
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL12 |
Credit Impaired Obligor |
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL13 |
Obligor Basel III Segment |
Obligor Basel III Segment:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL14 |
Customer Type |
Customer type at origination:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL15 |
NACE Industry Code |
Lessee industry NACE Code, as set out in Regulation (EC) No 1893/2006. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL16 |
Enterprise Size |
Classification of enterprises by size, in accordance with the Annex to Commission Recommendation 2003/361/EC:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL17 |
Revenue |
Annual sales volume net of all discounts and sales taxes of the obligor in accordance with Recommendation 2003/361/EC. Equivalent to the concept of ‘total annual sales’ in Article 153(4) of Regulation (EU) No 575/2013. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL18 |
Financial Statement Currency |
The reporting currency of the financial statements. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL19 |
Product Type |
The classification of the underlying exposure, per lessor’s definitions:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL20 |
Syndicated |
Is the underlying exposure syndicated? |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL21 |
Special Scheme |
If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL22 |
Origination Date |
Date of original lease advance. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL23 |
Maturity Date |
The date of maturity of the underlying exposure or expiry of the lease. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL24 |
Original Term |
Original contractual term (number of months) at the origination date. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL25 |
Origination Channel |
Origination channel of the underlying exposure:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL26 |
Currency Denomination |
The underlying exposure currency denomination. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL27 |
Original Principal Balance |
Original Principal (or discounted) lease balance (inclusive of capitalised fees) at origination. This is referring to the balance of the lease at the origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL28 |
Current Principal Balance |
Obligor’s lease or discounted lease balance outstanding as of the data cut-off date. This includes any amounts that are secured against the asset. For example, if fees have been added to the balance and are part of the principal in the securitisation these are to be added. Exclude any interest arrears or penalty amounts. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL29 |
Purchase Price |
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL30 |
Securitised Residual Value |
Residual value amount which has been securitised only. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL31 |
Amortisation Type |
Type of amortisation of the underlying exposure including principal and interest. French — i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX) German — i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX) Fixed amortisation schedule — i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE) Bullet — i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT) Other (OTHR) |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL32 |
Principal Grace Period End Date |
If applicable as at the data cut-off date, indicate the principal grace period end date. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL33 |
Scheduled Principal Payment Frequency |
Frequency of principal payments due, i.e. period between payments:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL34 |
Scheduled Interest Payment Frequency |
Frequency of interest payments due, i.e. period between payments:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL35 |
Payment Due |
This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL36 |
Current Interest Rate |
Total gross current interest rate or discount rate applicable to the underlying exposure. Rates calculated on a period-by-period basis must be annualised. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL37 |
Current Interest Rate Index |
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL38 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL39 |
Current Interest Rate Margin |
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL40 |
Interest Rate Reset Interval |
Number of months between each interest rate reset date on the underlying exposure. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL41 |
Interest Rate Cap |
Maximum rate that the obligor must pay on a floating rate lease as required under the terms of the underlying exposure agreement. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL42 |
Interest Rate Floor |
Minimum rate that the obligor must pay on a floating rate lease as required under the terms of the lease agreement. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL43 |
Number Of Payments Before Securitisation |
Enter the number of payments made prior to the exposure being transferred to the securitisation. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL44 |
Percentage Of Prepayments Allowed Per Year |
Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL45 |
Prepayment Lock-Out End Date |
The date after which the lender allows prepayment of the underlying exposure. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL46 |
Prepayment Fee |
Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the lease Payment Date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL47 |
Prepayment Fee End Date |
The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL48 |
Prepayment Date |
The latest date on which an unscheduled principal payment was received. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL49 |
Cumulative Prepayments |
Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL50 |
Option To Buy Price |
The amount the lessee has to pay at the end of the lease in order to take ownership of the asset, other than the payment referred to in LESL30. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL51 |
Down Payment Amount |
Amount of deposit/down payment on origination of the underlying exposure (this includes the value of traded-in equipment etc.). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL52 |
Current Residual Value Of Asset |
Most recent forecast residual value of the asset at the end of the lease term. If no update has been performed, enter the original estimated residual value. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL53 |
Date Of Restructuring |
Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. In the event of multiple dates, all dates must be provided in accordance with the XML schema. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL54 |
Date Last In Arrears |
Date the obligor was last in arrears. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL55 |
Arrears Balance |
Current balance of arrears, which is defined as:
If no arrears then enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL56 |
Number Of Days In Arrears |
Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL57 |
Account Status |
Current status of the underlying exposure that has been securitised:
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL58 |
Reason for Default or Foreclosure |
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL59 |
Default Amount |
Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL60 |
Default Date |
The date of default. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL61 |
Allocated Losses |
The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL62 |
Cumulative Recoveries |
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL63 |
Recovery Source |
The source of the recoveries:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL64 |
Deposit Amount |
The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool. Use the same currency denomination as that used for this underlying exposure. If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure, and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL65 |
Geographic Region — Collateral |
The geographic region (NUTS3 classification) where the asset is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL66 |
Manufacturer |
Name of the asset manufacturer. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL67 |
Model |
Name of the asset/model. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL68 |
Year Of Manufacture/Construction |
Year of manufacture. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL69 |
New Or Used |
Condition of asset at point of underlying exposure origination:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL70 |
Original Residual Value Of Asset |
The estimated residual value of the asset at the date of underlying exposure origination. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL71 |
Collateral Type |
The primary (in terms of value) type of asset securing the underlying exposure:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL72 |
Original Valuation Amount |
Valuation of asset at underlying exposure origination. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL73 |
Original Valuation Method |
The method of calculating the value of the asset at the time of underlying exposure origination:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL74 |
Original Valuation Date |
Date of asset valuation at origination. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL75 |
Current Valuation Amount |
Latest asset valuation. If no revaluation has occurred since origination, enter original valuation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL76 |
Current Valuation Method |
The method of calculating the most recent value of the asset. If no revaluation has occurred since origination, enter original valuation type:
|
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL77 |
Current Valuation Date |
Date of latest asset valuation. If no revaluation has occurred since origination, enter original valuation date. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL78 |
Number Of Leased Objects |
The number of individual assets covered by this underlying exposure. |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL79 |
Original Lender Name |
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL80 |
Original Lender Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Where no Legal Entity Identifier is available, enter ND5. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL81 |
Original Lender Establishment Country |
Country where the original lender is established. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL82 |
Originator Name |
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL83 |
Originator Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LESL84 |
Originator Establishment Country |
Country where the underlying exposure originator is established. |
NO |
NO |
ANNEX IX
UNDERLYING EXPOSURES INFORMATION — ESOTERIC
Field code |
Field name |
Content to report |
ND1-ND4 allowed? |
ND5 allowed? |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Underlying exposures information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL1 |
Unique Identifier |
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL2 |
Original Underlying Exposure Identifier |
Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL3 |
New Underlying Exposure Identifier |
If the original identifier in field ESTL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in ESTL2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL4 |
Original Obligor Identifier |
Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL5 |
New Obligor Identifier |
If the original identifier in field ESTL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in ESTL4. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL6 |
Data Cut-Off Date |
The data cut-off date for this data submission. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL7 |
Pool Addition Date |
The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL8 |
Date Of Repurchase |
Date on which the underlying exposure was repurchased from the pool. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL9 |
Redemption Date |
Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL10 |
Description |
Describe in a few words the underlying exposure (e.g. ‘Electricity Tariff Receivables’, ‘Future Flow’). All underlying exposures of this type in the data submission must use identical language. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL11 |
Geographic Region — Obligor |
The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL12 |
Geographic Region Classification |
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL13 |
Employment Status |
Employment status of the primary obligor:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL14 |
Credit Impaired Obligor |
Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL15 |
Obligor Legal Type |
Legal form of customer:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL16 |
NACE Industry Code |
Obligor industry NACE Code, as set out in Regulation (EC) No 1893/2006. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL17 |
Primary Income |
Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter in that obligor’s annual revenue. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL18 |
Primary Income Type |
Indicate what income in ESTL17 is displayed:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL19 |
Primary Income Currency |
Currency in which the primary obligor’s income or revenue is paid. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL20 |
Primary Income Verification |
Primary Income Verification:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL21 |
Revenue |
Annual sales volume net of all discounts and sales taxes of the obligor in accordance with Recommendation 2003/361/EC. Equivalent to the concept of ‘total annual sales’ in Article 153(4) of Regulation (EU) No 575/2013. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL22 |
Financial Statement Currency |
The reporting currency of the financial statements. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL23 |
International Securities Identification Number |
The ISIN code assigned to this underlying exposure, where applicable. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL24 |
Origination Date |
Date of original underlying exposure advance. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL25 |
Maturity Date |
The date of maturity of the underlying exposure or expiry of the lease. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL26 |
Currency Denomination |
The underlying exposure currency denomination. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL27 |
Original Principal Balance |
Original underlying exposure principal balance (inclusive of capitalised fees) at origination. This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL28 |
Current Principal Balance |
Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL29 |
Total Credit Limit |
For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding. This field is only to be populated for underlying exposures that have flexible or further drawing characteristics. This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL30 |
Purchase Price |
Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL31 |
Amortisation Type |
Type of amortisation of the underlying exposure including principal and interest. French — i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX) German — i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX) Fixed amortisation schedule — i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE) Bullet — i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT) Other (OTHR) |
YES |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL32 |
Principal Grace Period End Date |
If applicable as at the data cut-off date, indicate the principal grace period end date. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL33 |
Scheduled Principal Payment Frequency |
Frequency of principal payments due, i.e. period between payments:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL34 |
Scheduled Interest Payment Frequency |
Frequency of interest payments due, i.e. period between payments:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL35 |
Payment Due |
This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL36 |
Debt To Income Ratio |
Debt defined as the amount of underlying exposure outstanding as of data cut-off date, This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts. Income defined as in field code ESTL17, plus any other relevant income (e.g. secondary income). |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL37 |
Balloon Amount |
Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL38 |
Interest Rate Reset Interval |
Number of months between each interest rate reset date on the underlying exposure. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL39 |
Current Interest Rate |
Current interest rate. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL40 |
Current Interest Rate Index |
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL41 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL42 |
Current Interest Rate Margin |
Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL43 |
Interest Rate Cap |
Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL44 |
Interest Rate Floor |
Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL45 |
Number Of Payments Before Securitisation |
Enter the number of payments made prior to the exposure being transferred to the securitisation. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL46 |
Percentage Of Prepayments Allowed Per Year |
Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL47 |
Prepayment Lock-Out End Date |
The date after which the lender allows prepayment of the underlying exposure. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL48 |
Prepayment Fee |
Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL49 |
Prepayment Fee End Date |
The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL50 |
Prepayment Date |
The latest date on which an unscheduled principal payment was received. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL51 |
Cumulative Prepayments |
Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL52 |
Date Last In Arrears |
Date the obligor was last in arrears. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL53 |
Arrears Balance |
Current balance of arrears, which is defined as:
If no arrears then enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL54 |
Number Of Days In Arrears |
Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL55 |
Account Status |
Current status of the underlying exposure that has been securitised:
Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL56 |
Reason for Default or Foreclosure |
If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL57 |
Default Amount |
Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL58 |
Default Date |
The date of default. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL59 |
Allocated Losses |
The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL60 |
Cumulative Recoveries |
Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL61 |
Originator Name |
Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL62 |
Originator Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL63 |
Originator Establishment Country |
Country where the underlying exposure originator is established. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL64 |
Original Lender Name |
Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL65 |
Original Lender Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender. Where no Legal Entity Identifier is available, enter ND5. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTL66 |
Original Lender Establishment Country |
Country where the original lender is established. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Collateral-level information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field ESTL1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC2 |
Underlying Exposure Identifier |
Unique underlying exposure identifier. This must match the identifier in field ESTL3. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC3 |
Original Collateral Identifier |
The original unique identifier assigned to the collateral or guarantee. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC4 |
New Collateral Identifier |
If the original identifier in field ESTC3 cannot be maintained in this field enter the new identifier here. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. If there has been no change in the identifier, enter the same identifier as in ESTC3. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC5 |
Geographic Region — Collateral |
The geographic region (NUTS3 classification) where the collateral is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC6 |
Security Type |
The type of security:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC7 |
Charge Type |
Type of security over the collateral. Where there is a guarantee, this field refers to any security for any collateral that is supporting that guarantee. ‘No charge but an irrevocable power of attorney or similar’ refers to when the originator or original lender, as applicable, is irrevocably and unconditionally authorised to unilaterally create a charge over the collateral at any time in the future, without the need for any further approval from the obligor or guarantor:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC8 |
Lien |
Highest lien position held by the originator in relation to the collateral. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC9 |
Collateral Type |
The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee. Automobile (CARX) Industrial Vehicle (INDV) Commercial Truck (CMTR) Rail Vehicle (RALV) Nautical Commercial Vehicle (NACM) Nautical Leisure Vehicle (NALV) Aeroplane (AERO) Machine Tool (MCHT) Industrial Equipment (INDE) Office Equipment (OFEQ) IT Equipment (ITEQ) Medical Equipment (MDEQ) Energy Related Equipment (ENEQ) Commercial Building (CBLD) Residential Building (RBLD) Industrial Building (IBLD) Other Vehicle (OTHV) Other Equipment (OTHE) Other Real Estate (OTRE) Other goods or inventory (OTGI) Securities (SECU) Guarantee (GUAR) Other Financial Asset (OTFA) Mixed Categories Due to Security Over All Assets of the Obligor (MIXD) Other (OTHR) |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC10 |
Current Valuation Amount |
The most recent valuation of the collateral. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to the collateral that is supporting that guarantee. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC11 |
Current Valuation Method |
The method of calculating the most recent value of the collateral, as provided in field ESTC10. Full Appraisal (FAPR) Drive-by (DRVB) Automated Value Model (AUVM) Indexed (IDXD) Desktop (DKTP) Managing Agent or Estate Agent (MAEA) Purchase Price (PPRI) Haircut (HCUT) Mark to Market (MTTM) Obligor’s valuation (OBLV) Other (OTHR) |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC12 |
Current Valuation Date |
The date of the most recent valuation of the collateral as provided in field ESTC10. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC13 |
Current Loan-To-Value |
Current loan to Value ratio (LTV). For non-first lien loans this is to be the combined or total LTV. Where the current loan balance is negative, enter 0. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC14 |
Original Valuation Amount |
The original valuation of the collateral as of the initial underlying exposure origination date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC15 |
Original Valuation Method |
The method of calculating the value of the collateral provided in field ESTC14 at the time of underlying exposure origination:
|
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC16 |
Original Valuation Date |
The date of the original valuation of the physical or financial collateral provided in field ESTC14. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC17 |
Original Loan-To-Value |
Originator’s original underwritten loan To Value ratio (LTV). For non-first lien loans, this is the combined or total LTV. |
YES |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC18 |
Date Of Sale |
The date of sale of the collateral. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC19 |
Sale Price |
Price achieved on sale of collateral in case of foreclosure. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ESTC20 |
Collateral Currency |
This is the currency in which the valuation amount provided in ESTC10 is denominated. |
NO |
YES |
ANNEX X
UNDERLYING EXPOSURES INFORMATION – ADD-ON FOR NON-PERFORMING EXPOSURES
Field code |
Field name |
Content to report |
ND1-ND4 allowed? |
ND5 allowed? |
||||||||||||||||||||||||
Underlying exposures information section |
||||||||||||||||||||||||||||
NPEL1 |
Unique Identifier |
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. This entry must match the unique identifier field in the accompanying underlying exposures template being completed for this specific underlying exposure. |
NO |
NO |
||||||||||||||||||||||||
NPEL2 |
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. This entry must match the original underlying exposure identifier field in the accompanying underlying exposures template (Annexes II-IX to this Regulation) being completed for this specific underlying exposure. |
NO |
NO |
||||||||||||||||||||||||
NPEL3 |
New Underlying Exposure Identifier |
If the original identifier in field NPEL2 cannot be maintained in this field, enter the new identifier here (and this new identifier must match the new underlying exposure identifier field in the accompanying underlying exposures template (Annexes II-IX to this Regulation) being completed for this specific underlying exposure). If there has been no change in the identifier, enter the same identifier as in NPEL2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||
NPEL4 |
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. This entry must match the original obligor identifier field in the accompanying underlying exposures template (Annexes II-IX to this Regulation) being completed for this specific underlying exposure. |
NO |
NO |
||||||||||||||||||||||||
NPEL5 |
New Obligor Identifier |
If the original identifier in field NPEL4 cannot be maintained in this field, enter the new identifier here (and this new identifier must match the new obligor identifier field in the accompanying underlying exposures template (Annexes II-IX to this Regulation) being completed for this specific underlying exposure). If there has been no change in the identifier, enter the same identifier as in NPEL4. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||
NPEL6 |
Data Cut-Off Date |
The data cut-off date for this data submission. |
NO |
NO |
||||||||||||||||||||||||
NPEL7 |
In Receivership |
Indicator as to whether the obligor is in Receivership |
YES |
YES |
||||||||||||||||||||||||
NPEL8 |
Date of Last Contact |
Date of last direct contact with the obligor |
YES |
YES |
||||||||||||||||||||||||
NPEL9 |
Deceased |
Indicator as to whether the obligor has passed away |
YES |
YES |
||||||||||||||||||||||||
NPEL10 |
Legal status |
The type of legal status of the obligor. Listed Corporate is a Corporate entity whose shares are quoted and traded on a Stock Exchange (LCRP) Unlisted Corporate is a Corporate entity whose shares are not quoted and traded on a stock exchange, however an unlisted corporate may have an unlimited number of shareholders to raise capital for any commercial venture (UCRP) Listed Fund is a fund whose shares are quoted and traded on a Stock exchange (LFND) Unlisted Fund is a fund whose shares are not quoted and traded on a Stock exchange (UFND) Partnership is where the Sponsor constitutes a group of individuals who form a legal partnership, where profits and liabilities are shared (PSHP) Private Individual (INDV) |
YES |
YES |
||||||||||||||||||||||||
NPEL11 |
Legal Procedure Type |
Type of the insolvency process the obligor is currently in:
|
YES |
YES |
||||||||||||||||||||||||
NPEL12 |
Legal Procedure Name |
Name of the legal procedure which provides an indication of how advanced the relevant procedure has become, depending on the country where the obligor is located. |
YES |
YES |
||||||||||||||||||||||||
NPEL13 |
Legal Procedures Completed |
Description of the legal procedures completed for the obligor. |
YES |
YES |
||||||||||||||||||||||||
NPEL14 |
Date of Entering Into Current Legal Procedure |
Date on which the obligor entered into their current legal procedure. |
YES |
YES |
||||||||||||||||||||||||
NPEL15 |
Date of Insolvency Practitioner Appointment |
Date on which the insolvency practitioner was appointed. |
YES |
YES |
||||||||||||||||||||||||
NPEL16 |
Number of Current Judgements |
Number of outstanding Court Enforcement Orders against the obligor. |
YES |
YES |
||||||||||||||||||||||||
NPEL17 |
Number of Discharged Judgements |
Number of discharged Court Enforcement Orders against the obligor |
YES |
YES |
||||||||||||||||||||||||
NPEL18 |
Date of External Demand Issuance |
Date on which a demand notice was sent by solicitors who act on behalf of the Institution |
YES |
YES |
||||||||||||||||||||||||
NPEL19 |
Date when Reservation of Rights Letter Was Issued |
Date on which the Reservation of Rights Letter was issued by the Institution |
YES |
YES |
||||||||||||||||||||||||
NPEL20 |
Court Jurisdiction |
Location of the court where the case is being heard |
YES |
YES |
||||||||||||||||||||||||
NPEL21 |
Date of Obtaining Order for Possession |
Date on which the Order for Possession is granted by the court |
YES |
YES |
||||||||||||||||||||||||
NPEL22 |
Comments on Other Litigation Related Process |
Further comments/details if there are other litigation processes in place |
YES |
YES |
||||||||||||||||||||||||
NPEL23 |
Governing Law |
Jurisdiction governing the underlying exposure agreement. This does not necessarily correspond to the country where the underlying exposure was originated. |
YES |
YES |
||||||||||||||||||||||||
NPEL24 |
Bespoke Repayment Description |
Description of the bespoke repayment profile when ‘Other’ is selected in field ‘Amortisation Type’ |
YES |
YES |
||||||||||||||||||||||||
NPEL25 |
Start Date of Interest Only Period |
Date on which the current interest repayment only period starts. |
YES |
YES |
||||||||||||||||||||||||
NPEL26 |
End Date of Interest Only Period |
Date on which the interest repayment only period ends. |
YES |
YES |
||||||||||||||||||||||||
NPEL27 |
Start Date of Current Fixed Interest Period |
Date on which the current fixed interest period started. |
YES |
YES |
||||||||||||||||||||||||
NPEL28 |
End Date of Current Fixed Interest Period |
Date on which the current fixed interest period ends. |
YES |
YES |
||||||||||||||||||||||||
NPEL29 |
Current Reversion Interest Rate |
Current level of reversion interest rate according to the underlying exposure Agreement. |
YES |
YES |
||||||||||||||||||||||||
NPEL30 |
Last Payment Date |
Date on which the last payment was made |
YES |
YES |
||||||||||||||||||||||||
NPEL31 |
Syndicated Portion |
Percentage of the portion held by the Institution when ‘Yes’ is selected in the field named ‘Syndicated’ in the applicable Annex for the non-performing exposure. |
YES |
YES |
||||||||||||||||||||||||
NPEL32 |
MARP Entry |
Date on which underlying exposure entered current MARP status |
YES |
YES |
||||||||||||||||||||||||
NPEL33 |
MARP Status |
The status of the current Mortgage Arrears Resolution Process:
|
YES |
YES |
||||||||||||||||||||||||
NPEL34 |
External Collections Level |
Indicator as to whether the external collections have been prepared on an obligor level or on an underlying exposure Level |
YES |
YES |
||||||||||||||||||||||||
NPEL35 |
Repayment Plan |
Indicator as to whether a repayment plan has been agreed with the external collection agency |
YES |
YES |
||||||||||||||||||||||||
NPEL36 |
Forbearance Level |
Indicator as to whether forbearance has been prepared on an obligor level or an underlying exposure level |
YES |
YES |
||||||||||||||||||||||||
NPEL37 |
Date of First Forbearance |
Date on which the first forbearance happened |
YES |
YES |
||||||||||||||||||||||||
NPEL38 |
Number of Historical Forbearance |
Number of forbearance(s) that happened in the past |
YES |
YES |
||||||||||||||||||||||||
NPEL39 |
Principal Forgiveness |
Amount of the principal that was forgiven as part of current forbearance, including principal forgiveness agreed by external collection agencies Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||
NPEL40 |
Date of Principal Forgiveness |
Date on which the principal forgiveness happened |
YES |
YES |
||||||||||||||||||||||||
NPEL41 |
End Date of Forbearance |
Date on which the current forbearance arrangement ends |
YES |
YES |
||||||||||||||||||||||||
NPEL42 |
Repayment Amount Under Forbearance |
Periodic repayment amount that the Institution and obligor agreed under the current forbearance terms Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||
Collateral-level information section |
||||||||||||||||||||||||||||
NPEC1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field NPEL1. |
NO |
NO |
||||||||||||||||||||||||
NPEC2 |
Underlying Exposure Identifier |
Unique underlying exposure identifier. This must match the identifier in field NPEL3. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||
NPEC3 |
Original Collateral Identifier |
The original unique identifier assigned to the collateral or guarantee. Where the underlying exposure type requires Annexes II, III, IV, or IX to be completed, this field must match the original collateral identifier field in the respective template being completed for this specific collateral item (i.e. this field must match the identifier entered into fields RREC3, CREC3, CRPC3, and ESTC3, as applicable). The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||
NPEC4 |
New Collateral Identifier |
If the original identifier in field NPEC3 cannot be maintained in this field enter the new identifier here. Where the underlying exposure type requires Annexes II, III, IV, or IX to be completed, this new identifier must match the new collateral identifier field in the respective template being completed for this specific collateral item (i.e. this field must match the identifier entered into fields RREC4, CREC4, CRPC4, and ESTC4, as applicable). If there has been no change in the identifier, enter the same identifier as in NPEC3. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||
NPEC5 |
VAT Payable |
Amount of VAT payable on the disposal of the Unit |
YES |
YES |
||||||||||||||||||||||||
NPEC6 |
Percentage Complete |
The percentage of development completed since construction started. |
YES |
YES |
||||||||||||||||||||||||
NPEC7 |
Enforcement Status |
Status of the enforcement process that the Collateral is currently in as at cut-off date, e.g. if it is in receivership |
YES |
YES |
||||||||||||||||||||||||
NPEC8 |
Enforcement Status Third Parties |
Have any other secured creditors have taken steps to enforce security over the asset? |
YES |
YES |
||||||||||||||||||||||||
NPEC9 |
Mortgage Amount Assigned |
Total amount of the mortgage assigned to the property collateral. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||
NPEC10 |
Higher Ranking Underlying Exposure |
Amount of higher ranking/lien underlying exposures secured against the collateral that is not held by the Institution and does not form a part of the Portfolio. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||
NPEC11 |
Enforcement Description |
Comments or description of the stage of enforcement |
YES |
YES |
||||||||||||||||||||||||
NPEC12 |
Court Appraisal Amount |
Court appraisal amount of the Property/Collateral Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||
NPEC13 |
Date of Court Appraisal |
Date on which the court appraisal happened |
YES |
YES |
||||||||||||||||||||||||
NPEC14 |
On Market Price |
Price of the Property/Collateral for which it is on the market Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||
NPEC15 |
Offer Price |
The highest price offered by potential buyers Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||
NPEC16 |
Prepare Property for Sale Date |
Prepare property/collateral for sale date |
YES |
YES |
||||||||||||||||||||||||
NPEC17 |
Property on Market Date |
Collateral on market date, i.e. the date when the collateral is advertised and marketed for sale. |
YES |
YES |
||||||||||||||||||||||||
NPEC18 |
On Market Offer Date |
On market offer date |
YES |
YES |
||||||||||||||||||||||||
NPEC19 |
Sale Agreed Date |
Sale agreed date |
YES |
YES |
||||||||||||||||||||||||
NPEC20 |
Contracted Date |
Contracted date |
YES |
YES |
||||||||||||||||||||||||
NPEC21 |
First Auction Date |
Date on which the first auction has been performed in order to sell the Property/Collateral |
YES |
YES |
||||||||||||||||||||||||
NPEC22 |
Court Auction Reserve Price for First Auction |
Court set reserve price for first auction, i.e. minimum price required by the court Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||
NPEC23 |
Next Auction Date |
Date on which the next intended auction has been performed in order to sell the Property/Collateral |
YES |
YES |
||||||||||||||||||||||||
NPEC24 |
Court Auction Reserve Price for Next Auction |
Court set reserve price for next auction, i.e. minimum price required by the court Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||
NPEC25 |
Last Auction Date |
Date on which the last auction was performed in order to sell the Property/Collateral |
YES |
YES |
||||||||||||||||||||||||
NPEC26 |
Court Auction Reserve Price for Last Auction |
Court set reserve price for last auction, i.e. minimum price required by the court Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||
NPEC27 |
Number of Failed Auctions |
Number of failed previous auctions for the Property/Collateral |
YES |
YES |
||||||||||||||||||||||||
Historical collections information section |
||||||||||||||||||||||||||||
NPEH1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field NPEL1. |
NO |
NO |
||||||||||||||||||||||||
NPEH2 |
Underlying Exposure Identifier |
Unique underlying exposure identifier. This must match the identifier in field NPEL3. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||
NPEH[3-38] |
Legal Unpaid Balance at month n |
History of total legal unpaid balance in the thirty-six months previous to the data cut-off date, each monthly amount reported in a separate field. Start with the most recent month in field NPEH3 and end with the oldest month in NPEH38. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||
NPEH[39-74] |
History of Past-Due Balances at month n |
History of total past-due balance in the thirty-six months previous to the data cut-off date, each monthly amount reported in a separate field. Start with the most recent month in field NPEH39 and end with the oldest month in NPEH74. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||
NPEH[75-110] |
History of Repayments — Not from collateral sales at month n |
Repayment made by the obligor in the thirty-six months previous to the data cut-off date, excluding collateral sales, including collections by external collection agencies, each monthly amount reported in a separate field. Start with the most recent month in field NPEH75 and end with the oldest month in NPEH110. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||
NPEH[111-146] |
History of Repayments — From collateral sales at month n |
Repayment made by the collateral disposal in the thirty-six months previous to the data cut-off date, each monthly amount reported in a separate field. Start with the most recent month in field NPEH111 and end with the oldest month in NPEH146. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
ANNEX XI
UNDERLYING EXPOSURES INFORMATION — ASSET-BACKED COMMERCIAL PAPER
Field code |
Field name |
Content to report |
ND1-ND4 allowed? |
ND5 allowed? |
||||||||||||||||||||||||||||||||
Underlying exposures information section |
||||||||||||||||||||||||||||||||||||
IVAL1 |
Unique Identifier — ABCP Programme |
The unique identifier assigned by the reporting entity to this ABCP programme in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||||||||||||||||||||
IVAL2 |
Unique Identifier — ABCP Transaction |
The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||||||||||||||||||||
IVAL3 |
Original Underlying Exposure Identifier |
Unique underlying exposure type identifier. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||
IVAL4 |
New Underlying Exposure Identifier |
If the original identifier in field IVAL3 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in IVAL3. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||
IVAL5 |
Underlying Exposure Type |
Select the type of underlying exposure that exists in this transaction:
|
NO |
NO |
||||||||||||||||||||||||||||||||
IVAL6 |
Data Cut-Off Date |
The data cut-off date for this data submission. |
NO |
NO |
||||||||||||||||||||||||||||||||
IVAL7 |
Geographic Region — Largest Exposure Concentration 1 |
The geographic region where the largest amount of underlying exposures (by current value of exposures as at the data cut-off date) of this type are located, in terms of the location of the collateral (for secured underlying exposures) or obligor (for unsecured underlying exposures). Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL8 |
Geographic Region — Largest Exposure Concentration 2 |
The geographic region where the second-largest amount of underlying exposures (by current value of exposures as at the data cut-off date) of this type are located, in terms of the location of the collateral (for secured underlying exposures) or obligor (for unsecured underlying exposures). Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL9 |
Geographic Region — Largest Exposure Concentration 3 |
The geographic region where the third-largest amount of underlying exposures (by current value of exposures as at the data cut-off date) of this type are located, in terms of the location of the collateral (for secured underlying exposures) or obligor (for unsecured underlying exposures). Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL10 |
Geographic Region Classification |
Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL11 |
Current Principal Balance |
The total outstanding principal balance as of the data cut-off date for this exposure type. This includes any amounts that are classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL12 |
Number Of Underlying Exposures |
Number of underlying exposures of this exposure type being securitised. |
YES |
NO |
||||||||||||||||||||||||||||||||
IVAL13 |
EUR Exposures |
The total outstanding principal balance of exposures of this type that are denominated in EUR as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL14 |
GBP Exposures |
The total outstanding principal balance of exposures of this type that are denominated in GBP as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL15 |
USD Exposures |
The total outstanding principal balance of exposures of this type that are denominated in USD as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL16 |
Other Exposures |
The total outstanding principal balance of exposures of this type that are denominated in currencies different to EUR, GBP, and USD as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL17 |
Maximum Residual Maturity |
The longest residual maturity in months, as at the data cut-off date, of any exposure of this exposure type. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL18 |
Average Residual Maturity |
The average residual maturity in months, as at the data cut-off date and weighted by the current balance as at the data cut-off date, of all exposures of this exposure type. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL19 |
Current Loan-To-Value |
Weighted average, using the current balances of all exposures of this type as at the data cut-off date, current loan to value (LTV) ratio. For non-first lien loans, this is the combined or total LTV. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL20 |
Debt To Income Ratio |
Weighted average, using the current balances of all exposures of this type as at the data cut-off date, obligor debt to income ratio. Debt defined as the total outstanding principal balance of underlying exposure outstanding as of data cut-off date. This includes any amounts classified as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts. Income defined as combined income, sum of primary and (where applicable) secondary income. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL21 |
Amortisation Type |
The total outstanding principal balance of exposures of this type where the amortisation is either bullet, balloon, or some other arrangement besides French, German, or a fixed amortisation schedule. For the purposes of this field:
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL22 |
Scheduled Principal Payment Frequency Above One Month |
The total outstanding principal balance of exposures of this type where the frequency of principal payments due, i.e. period between payments, is greater than one month (e.g. quarterly, semi-annual, annual, bullet, zero-coupon, other). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL23 |
Scheduled Interest Payment Frequency Above One Month |
The total outstanding principal balance of exposures of this type where the frequency of interest payments due, i.e. period between payments, is greater than one month (e.g. quarterly, semi-annual, annual, bullet, zero-coupon, other). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL24 |
Floating Rate Receivables |
The total outstanding principal balance of exposures of this type, as at the data cut-off date, where the interest rate is generally understood as ‘floating’. ‘Floating’ refers to a rate indexed to any of the following: LIBOR (any currency and tenor), EURIBOR (any currency and tenor), any central bank base rate (BoE, ECB, etc.), the originator’s standard variable rate, or any similar arrangement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL25 |
Financed Amount |
Amount of underlying exposures purchased from the originator in this transaction that have been financed by commercial paper, between the previous data cut-off date and the data cut-off date of the present data submission. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL26 |
Dilutions |
Total reductions in principal underlying exposures of this type during the period. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL27 |
Repurchased Exposures |
The total outstanding principal balance of exposures of this type that have been repurchased (i.e. removed from the pool of underlying exposures by being bought back) by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL28 |
Defaulted Or Credit-Impaired Exposures At Securitisation |
Pursuant to Article 24(9) of Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type that, at the time of securitisation, were either defaulted exposures or exposures to a credit-impaired debtor or guarantor in the meaning set out in that same Article. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL29 |
Defaulted Exposures |
The total outstanding principal balance of exposures of this type in default as at the cut-off date, using the definition of default specified in the securitisation documentation Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL30 |
Defaulted Exposures CRR |
The total outstanding principal balance of exposures of this type in default as at the cut-off date, using the definition of default specified in Article 178 of Regulation (EU) No 575/2013. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL31 |
Gross Charge Offs In The Period |
Face value of gross principal charge-offs (i.e. before recoveries) for the period. Charge-off is as per securitisation definition, or alternatively per lender’s usual practice. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL32 |
Arrears 1-29 Days |
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 1 and 29 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL33 |
Arrears 30-59 Days |
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 30 and 59 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL34 |
Arrears 60-89 Days |
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 60 and 89 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL35 |
Arrears 90-119 Days |
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 90 and 119 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL36 |
Arrears 120-149 Days |
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 120 and 149 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL37 |
Arrears 150-179 Days |
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 150 and 179 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL38 |
Arrears 180+ Days |
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period for 180 days or more as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL39 |
Restructured Exposures |
Enter the proportion of exposures of this type that have at any time been restructured by the originator/sponsor, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. Calculate the proportion as the total current balance of these exposures divided by total current balance of exposures of this type, as at the data cut-off date. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL40 |
Restructured Exposures (0-1 years before transfer) |
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time starting from, and less than 1 year before, the date of transfer or assignment to the SSPE, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL41 |
Restructured Exposures (1-3 years before transfer) |
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time starting from 1 and less than 3 years before the date of transfer or assignment to the SSPE, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL42 |
Restructured Exposures (> 3 years before transfer) |
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time starting from 3 years before the date of transfer or assignment to the SSPE, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL43 |
Restructured Exposures (Interest Rate) |
Enter the total outstanding principal balance of exposures of this type whose interest rate has been restructured by the originator/sponsor, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402. Restructuring of interest rate refers to any changes made to the interest rate-related contractual terms of the underlying exposure agreement due to forbearance, including changes of interest rate basis or margins, fees, penalties, and/or other generally-accepted measures of interest rate-related restructuring due to forbearance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL44 |
Restructured Exposures (Repayment Schedule) |
Enter the total outstanding principal balance of exposures of this type whose repayment schedule has been restructured by the originator/sponsor, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402. Restructuring of repayment schedule refers to any changes made to the repayment schedule-related contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, repayment timing, and/or other generally-accepted repayment schedule-related measures of restructuring due to forbearance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL45 |
Restructured Exposures (Maturity) |
Enter the total outstanding principal balance of exposures of this type whose maturity profile has been restructured by the originator/sponsor, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402. Restructuring of maturity profile refers to any changes made to the maturity-related contractual terms of the underlying exposure agreement due to forbearance, including maturity extensions and/or other generally-accepted measures of maturity-related restructuring due to forbearance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL46 |
Restructured Exposures (0-1 years before transfer and No New Arrears) |
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor 1 year or earlier than the date of transfer or assignment to the SSPE AND have not at any time been in arrears (either regarding principal or interest payments) since the date of restructuring, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL47 |
Restructured Exposures (No New Arrears) |
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time AND have not at any time been in arrears (either regarding principal or interest payments) since the date of restructuring, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL48 |
Restructured Exposures (New Arrears) |
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time AND have at any time been in arrears (either regarding principal or interest payments) since the date of restructuring, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||||||||||||||
IVAL49 |
Restructured Exposures (Other) |
Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor, excluding restructurings already captured under fields IVAL43, IVAL44, and IVAL45, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
ANNEX XII
INVESTOR REPORT INFORMATION — NON-ASSET BACKED COMMERCIAL PAPER SECURITISATION
Field code |
Field name |
Content to report |
ND1-ND4 allowed? |
ND5 allowed? |
||||||||||||||||||||
Securitisation information section |
||||||||||||||||||||||||
IVSS1 |
Unique Identifier |
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||||||||
IVSS2 |
Data Cut-Off Date |
The data cut-off date for this data submission. This must match the data cut-off date in the applicable underlying exposure templates submitted. |
NO |
NO |
||||||||||||||||||||
IVSS3 |
Securitisation Name |
Enter the name of the securitisation |
NO |
NO |
||||||||||||||||||||
IVSS4 |
Reporting Entity Name |
The full legal name of the entity designated as per Article 7(2) of Regulation (EU) 2017/2402; this name must match the name entered in for that entity in field SESP3 in the counterparty information section. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
NO |
||||||||||||||||||||
IVSS5 |
Reporting Entity Contact Person |
First and Last name of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed. |
NO |
NO |
||||||||||||||||||||
IVSS6 |
Reporting Entity Contact Telephone |
Direct telephone number(s) of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed. |
NO |
NO |
||||||||||||||||||||
IVSS7 |
Reporting Entity Contact Emails |
Direct email address(es) of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed. |
NO |
NO |
||||||||||||||||||||
IVSS8 |
Risk Retention Method |
Method for complying with risk retention requirements in the EU (e.g. Article 6 of Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) No 575/2013):
|
NO |
NO |
||||||||||||||||||||
IVSS9 |
Risk Retention Holder |
Which entity is retaining the material net economic interest, as specified in Article 6 of Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) No 575/2013):
|
NO |
NO |
||||||||||||||||||||
IVSS10 |
Underlying Exposure Type |
Enter the type of underlying exposures of the securitisation. If multiple types from the list below are present, enter ‘Mixed’ (with the exception of securitisations whose underlying exposures consist exclusively of a combination of consumer loans and automobile loans or leases--for these securitisations the value corresponding to ‘Consumer loans’ must be entered):
|
NO |
NO |
||||||||||||||||||||
IVSS11 |
Risk Transfer Method |
In accordance with Article 242(13) and (14) of Regulation (EU) No 575/2013, the securitisation risk transfer method is ‘traditional’ (i.e. ‘true sale’). |
NO |
NO |
||||||||||||||||||||
IVSS12 |
Trigger Measurements/Ratios |
Has any underlying exposure-related trigger event occurred? These include any delinquency, dilution, default, loss, stop-substitution, stop-revolving, or similar exposure-related events which impact the securitisation, as at the data cut-off date. This also includes if there is a debit balance on any PDL or an asset deficiency. |
NO |
NO |
||||||||||||||||||||
IVSS13 |
Revolving/Ramp-Up Period End-Date |
Enter the date at which the securitisation’s revolving or ramp-up period is scheduled to cease. Enter the securitisation maturity date if there is a revolving period with no scheduled end date. |
NO |
YES |
||||||||||||||||||||
IVSS14 |
Principal Recoveries In The Period |
Gross principal recoveries received during the period. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||
IVSS15 |
Interest Recoveries In The Period |
Gross interest recoveries received during the period. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||
IVSS16 |
Principal Collections In The Period |
Collections treated as principal in the period. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||
IVSS17 |
Interest Collections In The Period |
Collections treated as revenue in the period. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||
IVSS18 |
Drawings Under Liquidity Facility |
If the securitisation has a liquidity facility confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date. |
NO |
YES |
||||||||||||||||||||
IVSS19 |
Securitisation Excess Spread |
The amount of funds left over after application of all currently-applicable stages of the waterfall, commonly referred to as ‘excess spread’. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||
IVSS20 |
Excess Spread Trapping Mechanism |
Excess spread is currently trapped in the securitisation (e.g. accumulated in a separate reserve account) |
NO |
NO |
||||||||||||||||||||
IVSS21 |
Current Overcollateralisation |
Current overcollateralisation of the securitisation, calculated as the ratio of (the sum of the outstanding principal balance of all underlying exposures, excluding underlying exposures classified as defaulted, as at the data cut-off date) to (the sum of the outstanding principal balance of all tranches/bonds as at the data cut-off date). |
NO |
NO |
||||||||||||||||||||
IVSS22 |
Annualised Constant Prepayment Rate |
The annualised Constant Prepayment Rate (CPR) of the underlying exposures based upon the most recent periodic CPR. Periodic CPR is equal to the [(total unscheduled principal received at the end of the most recent collection period)/(the total principal balance at the start of the collection period)]. The Periodic CPR is then annualised as follows:
|
NO |
NO |
||||||||||||||||||||
IVSS23 |
Dilutions |
Total reductions in principal exposures during the period. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||
IVSS24 |
Gross Charge Offs In The Period |
Total amount of gross principal charge-offs (i.e. before recoveries) for the period. Charge-off is as per securitisation definition, or alternatively per lender’s usual practice. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||
IVSS25 |
Repurchased Exposures |
The total outstanding principal amount of underlying exposures that have been repurchased by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||
IVSS26 |
Restructured Exposures |
The total outstanding principal amount of underlying exposures that have been restructured by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||
IVSS27 |
Annualised Constant Default Rate |
The annualised Constant Default Rate (CDR) for the underlying exposures based on the periodic CDR. Periodic CDR is equal to the [(total current balance of underlying exposures classified as defaulted during the period)/(total current balance of non-defaulted underlying exposures at the beginning of the period)]. This value is then annualised as follows:
|
NO |
NO |
||||||||||||||||||||
IVSS28 |
Defaulted Exposures |
The total outstanding principal amount as at the data cut-off date of exposures in default as at the cut-off date, using the definition of default specified in the securitisation documentation Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||
IVSS29 |
Defaulted Exposures CRR |
The total outstanding principal amount as at the data cut-off date of exposures in default as at the cut-off date, using the definition of default specified in Article 178 of Regulation (EU) No 575/2013. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||||||||
IVSS30 |
Risk Weight Approach |
Indicate which risk weight approach was used by the originator to produce the risk weight attached to the underlying exposures, in accordance with Regulation (EU) No 575/2013: Standardised Approach (STND) Foundation Internal Ratings-Based (FIRB) Advanced Internal Ratings-Based (ADIR) |
NO |
YES |
||||||||||||||||||||
IVSS31 |
Obligor Probability Of Default in Range [0,00 %,0,10 %) |
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0,00 % <= x < 0,10 %. This estimate can either come from the originator or the relevant national central bank. Where there is no regulatory requirement to calculate Probability of Default, enter ND5. |
NO |
YES |
||||||||||||||||||||
IVSS32 |
Obligor Probability Of Default in Range [0,10 %,0,25 %) |
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0,10 % <= x < 0,25 %. This estimate can either come from the originator or the relevant national central bank. Where there is no regulatory requirement to calculate Probability of Default, enter ND5. |
NO |
YES |
||||||||||||||||||||
IVSS33 |
Obligor Probability Of Default in Range [0,25 %,1,00 %) |
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0,25 % <= x < 1,00 %. This estimate can either come from the originator or the relevant national central bank. Where there is no regulatory requirement to calculate Probability of Default, enter ND5. |
NO |
YES |
||||||||||||||||||||
IVSS34 |
Obligor Probability Of Default in Range [1,00 %,7,50 %) |
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 1,00 % <= x < 7,50 %. This estimate can either come from the originator or the relevant national central bank. Where there is no regulatory requirement to calculate Probability of Default, enter ND5. |
NO |
YES |
||||||||||||||||||||
IVSS35 |
Obligor Probability Of Default in Range [7,50 %,20,00 %) |
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 7,50 % <= x < 20,00 %. This estimate can either come from the originator or the relevant national central bank. Where there is no regulatory requirement to calculate Probability of Default, enter ND5. |
NO |
YES |
||||||||||||||||||||
IVSS36 |
Obligor Probability Of Default in Range [20,00 %,100,00 %] |
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 20,00 % <= x <= 100,00 %. This estimate can either come from the originator or the relevant national central bank. Where there is no regulatory requirement to calculate Probability of Default, enter ND5. |
NO |
YES |
||||||||||||||||||||
IVSS37 |
Internal Loss Given Default Estimate |
The originator’s latest Loss Given Default estimate for the underlying exposure in a downturn scenario, weighted using the total outstanding principal balance of the underlying exposures as at the data cut-off date. Where there is no regulatory requirement to calculate Loss Given Default, enter ND5. |
NO |
YES |
||||||||||||||||||||
IVSS38 |
Arrears 1-29 Days |
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 1 and 29 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date. |
NO |
NO |
||||||||||||||||||||
IVSS39 |
Arrears 30-59 Days |
The percentage of exposures in arrears on principal and/or interest payments due for a period between 30 and 59 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date. |
NO |
NO |
||||||||||||||||||||
IVSS40 |
Arrears 60-89 Days |
The percentage of exposures in arrears on principal and/or interest payments due for a period between 60 and 89 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date. |
NO |
NO |
||||||||||||||||||||
IVSS41 |
Arrears 90-119 Days |
The percentage of exposures in arrears on principal and/or interest payments due for a period between 90 and 119 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date. |
NO |
NO |
||||||||||||||||||||
IVSS42 |
Arrears 120-149 Days |
The percentage of exposures in arrears on principal and/or interest payments due for a period between 120 and 149 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date. |
NO |
NO |
||||||||||||||||||||
IVSS43 |
Arrears 150-179 Days |
The percentage of exposures in arrears on principal and/or interest payments due for a period between 150 and 179 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date. |
NO |
NO |
||||||||||||||||||||
IVSS44 |
Arrears 180+ Days |
The percentage of exposures in arrears on principal and/or interest payments due for a period for 180 days or more as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date. |
NO |
NO |
||||||||||||||||||||
Tests/Events/Triggers information section |
||||||||||||||||||||||||
IVSR1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field IVSS1. |
NO |
NO |
||||||||||||||||||||
IVSR2 |
Original Test/Event/Trigger Identifier |
The original unique test/event/trigger identifier. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||
IVSR3 |
New Test/Event/Trigger Identifier |
If the original identifier in field IVSR2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in IVSR2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||
IVSR4 |
Description |
Describe the test/event/trigger, including any formulae. This is a free text field, however the description of the test/event/trigger includes any formulae and key definitions to allow an investor/potential investor to form a reasonable view of the test/event/trigger and any conditions and consequences attached to it. |
NO |
NO |
||||||||||||||||||||
IVSR5 |
Threshold Level |
Enter the level at which the test is deemed to have been met, the trigger is deemed to have been breached, or at which any other action is deemed to occur, as applicable given the type of test/event/trigger being reported. In the event of non-numerical tests/events/triggers, enter ND5. |
NO |
YES |
||||||||||||||||||||
IVSR6 |
Actual Value |
Enter the current value of the measure being compared against the threshold level. In the event of non-numerical tests/events/triggers, enter ND5. Where percentages are being entered, these are to be entered in the form of percentage points, e.g. 99.50 for 99,50 %, e.g. 0.006 for 0,006 %. |
NO |
YES |
||||||||||||||||||||
IVSR7 |
Status |
Is this status of the test/event/trigger set to ‘Breach’ (i.e. the test has not been met or the trigger conditions have been met) at the data cut-off date? |
NO |
NO |
||||||||||||||||||||
IVSR8 |
Cure Period |
Enter the maximum number of days granted for this test/trigger to be brought back into compliance with the required level. If no time is granted (i.e. there is no Cure Period), enter 0. |
NO |
YES |
||||||||||||||||||||
IVSR9 |
Calculation Frequency |
Enter the number of calendar days’ interval for calculating the test. Use round numbers, for example 7 for weekly, 30 for monthly, 90 for quarterly, and 365 yearly. |
NO |
YES |
||||||||||||||||||||
IVSR10 |
Consequence for Breach |
Enter the consequence, as per the securitisation documentation, for this test/event/trigger not being satisfied (i.e. being breached):
|
NO |
NO |
||||||||||||||||||||
Cash-flow information section |
||||||||||||||||||||||||
IVSF1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field IVSS1. |
NO |
NO |
||||||||||||||||||||
IVSF2 |
Original Cashflow Item Identifier |
The original unique cashflow item identifier. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||
IVSF3 |
New Cashflow Item Identifier |
If the original identifier in field IVSF2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in IVSF2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||
IVSF4 |
Cashflow Item |
List the cashflow item. This field is to be completed in the order of the applicable priority of receipts or payments as at the data cut-off date. That is, each source of cash inflows must be listed in turn, after which sources of cash outflows must be listed. |
NO |
NO |
||||||||||||||||||||
IVSF5 |
Amount Paid During Period |
What are the funds paid out as per the priority of payments for this item? Enter negative values for funds paid out, positive values for funds received. Note that the ‘Amount Paid During Period’ value entered in a given line (e.g. in line B) plus the ‘Available Funds Post’ value entered in the preceding line (e.g. line A) together equal the ‘Available Funds Post’ value entered in this line (e.g. line B). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||
IVSF6 |
Available Funds Post |
What are the funds available to the priority of payments after to the application of the cashflow item? Note that the ‘Amount Paid During Period’ value entered in a given line (e.g. in line B) plus the ‘Available Funds Post’ value entered in the preceding line (e.g. line A) together equal the ‘Available Funds Post’ value entered in this line (e.g. line B). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
ANNEX XIII
INVESTOR REPORT INFORMATION — ASSET BACKED COMMERCIAL PAPER SECURITISATION
Field code |
Field name |
Content to report |
ND1-ND4 allowed? |
ND5 allowed? |
||||||||||||||
Programme information section |
||||||||||||||||||
IVAS1 |
Unique Identifier — ABCP Programme |
The unique identifier assigned by the reporting entity to this ABCP programme in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||
IVAS2 |
Data Cut-Off Date |
The data cut-off date for this data submission. |
NO |
NO |
||||||||||||||
IVAS3 |
Reporting Entity Name |
The full Legal name of the entity designated as per Article 7(2) of Regulation (EU) 2017/2402; that name must match the name entered in for that entity in field SEAP3 in the counterparty information section. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
NO |
||||||||||||||
IVAS4 |
Reporting Entity Contact Person |
First and Last name of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed. |
NO |
NO |
||||||||||||||
IVAS5 |
Reporting Entity Contact Telephone |
Direct telephone number(s) of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed. |
NO |
NO |
||||||||||||||
IVAS6 |
Reporting Entity Contact Emails |
Direct email address(es) of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed. |
NO |
NO |
||||||||||||||
IVAS7 |
Trigger Measurements/Ratios |
Has any underlying exposure-related trigger event occurred? These include any delinquency, dilution, default, loss, stop-substitution, stop-revolving, or similar exposure-related events which impact the securitisation, as at the data cut-off date. This also includes if there is a debit balance on any Principal Deficiency Ledger or an asset deficiency. |
NO |
YES |
||||||||||||||
IVAS8 |
Non-Compliant Exposures |
Pursuant to Article 26(1) of Regulation (EU) 2017/2402, enter the total value of exposures, using the current balance as at the data cut-off date, not compliant with Article 24(9), 24(10), and 24(11) of Regulation (EU) 2017/2402. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
YES |
YES |
||||||||||||||
IVAS9 |
Weighted Average Life |
Enter the remaining weighted average life of the pool of exposures underlying this ABCP programme, expressed in years. |
YES |
YES |
||||||||||||||
IVAS10 |
Risk Retention Method |
Method for complying with risk retention requirements in the EU (e.g. Article 6 of Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) No 575/2013):
|
NO |
YES |
||||||||||||||
IVAS11 |
Risk Retention Holder |
Which entity is retaining the material net economic interest, as specified in Article 6 of Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) No 575/2013):
|
NO |
YES |
||||||||||||||
Transaction information section |
||||||||||||||||||
IVAN1 |
Unique Identifier — ABCP Programme |
Report the same unique ABCP programme identifier here as the one entered into field IVAS1. |
NO |
NO |
||||||||||||||
IVAN2 |
Unique Identifier — ABCP Transaction |
The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||
IVAN3 |
Data Cut-Off Date |
The data cut-off date for this data submission. This must match the data cut-off date in the underlying exposure templates submitted under Annex XI. |
NO |
NO |
||||||||||||||
IVAN4 |
NACE Industry Code |
Originator industry NACE Code, as set out in Regulation (EC) No 1893/2006. |
NO |
YES |
||||||||||||||
IVAN5 |
Risk Retention Method |
Method for complying with risk retention requirements in the EU (e.g. Article 6 of Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) No 575/2013):
|
NO |
YES |
||||||||||||||
IVAN6 |
Risk Retention Holder |
Which entity is retaining the material net economic interest, as specified in Article 6 of Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) No 575/2013):
|
NO |
YES |
||||||||||||||
IVAN7 |
Weighted Average Life |
Enter the remaining weighted average life of the pool of exposures underlying this transaction, expressed in years. |
YES |
YES |
||||||||||||||
Tests/Events/Triggers information section |
||||||||||||||||||
IVAR1 |
Unique Identifier — ABCP Transaction |
Report the same unique ABCP transaction identifier here as the one entered into field IVAN2. |
NO |
NO |
||||||||||||||
IVAR2 |
Original Test/Event/Trigger Identifier |
The original unique test/event/trigger identifier. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||
IVAR3 |
New Test/Event/Trigger Identifier |
If the original identifier in field IVAR2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in IVAR2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||
IVAR4 |
Description |
Describe the test/event/trigger, including any formulae. This is a free text field, however the description of the test/event/trigger includes any formulae and key definitions to allow an investor/potential investor to form a reasonable view of the test/event/trigger and any conditions and consequences attached to it. |
NO |
NO |
||||||||||||||
IVAR5 |
Status |
Has the test been met as at the data cut-off date? In the event of a trigger, is the trigger not being breached? |
NO |
NO |
||||||||||||||
IVAR6 |
Consequence for Breach |
Enter the consequence, as per the securitisation documentation, for this test/event/trigger not being satisfied (i.e. being breached):
|
NO |
NO |
ANNEX XIV
INSIDE INFORMATION OR SIGNIFICANT EVENT INFORMATION — NON-ASSET BACKED COMMERCIAL PAPER SECURITISATION
Field code |
Field name |
Content to report |
ND1-ND4 allowed? |
ND5 allowed? |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securitisation information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS1 |
Unique Identifier |
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS2 |
Data Cut-Off Date |
The data cut-off date for this data submission. When submitted alongside an underlying exposures and investor report data submission, this must match the data cut-off date in the applicable underlying exposure and investor report templates submitted. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS3 |
No Longer STS |
Has the securitisation ceased to meet STS requirements? If the securitisation has never had STS status, then enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS4 |
Remedial Actions |
Have competent authorities taken any remedial actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS5 |
Administrative Actions |
Have competent authorities taken any administrative actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS6 |
Material Amendment to Transaction Documents |
Describe any material amendments made to transaction documents, including the name and item code (pursuant to Table 3 in Annex I) of the document as well as a detailed description of the amendments. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS7 |
Perfection Of Sale |
Pursuant to Article 20(5) of Regulation (EU) 2017/2402, is the transfer of underlying exposures to the SSPE (i.e. perfection of sale) being performed after the securitisation closing date? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS8 |
Current Waterfall Type |
Choose, from the list below, the closest waterfall arrangement currently applicable to the securitisation:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS9 |
Master Trust Type |
If the securitisation has a master trust structure, select the most appropriate description of the structure:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS10 |
SSPE Value |
If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal and charges) in which the trust or SSPE has a beneficial interest at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS11 |
SSPE Principal Value |
If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal only) in which the trust had a beneficial interest at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS12 |
SSPE Number Of Accounts |
If the securitisation has a master trust structure, enter the number of accounts in which the trust or SSPE has a beneficial interest at the data cut-off date. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS13 |
Note Principal Balance |
If the securitisation has a master trust structure, enter the face value of all asset-backed notes, collateralised by the underlying exposures in the trust. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS14 |
Seller Share |
If the securitisation has a master trust structure, enter the originator’s interest in the trust, expressed as a percentage. In the event of multiple originators, enter the aggregate interest across all originators. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS15 |
Funding Share |
If the securitisation has a master trust structure, enter the SSPE’s interest of this series in the trust at the data cut-off date, expressed as a percentage. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS16 |
Revenue Allocated To This Series |
If the securitisation has a master trust structure, enter the revenue amounts allocated to this series from the trust. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS17 |
Interest Rate Swap Benchmark |
Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS18 |
Interest Rate Swap Maturity Date |
Date of maturity for the interest rate swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS19 |
Interest Rate Swap Notional |
Interest rate swap notional amount as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS20 |
Currency Swap Payer Currency |
Enter the currency that the payer leg of the swap is paying. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS21 |
Currency Swap Receiver Currency |
Enter the currency that the receiver leg of the swap is paying. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS22 |
Exchange Rate For Currency Swap |
The exchange rate that has been set for a currency swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS23 |
Currency Swap Maturity Date |
Date of maturity for the currency swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESS24 |
Currency Swap Notional |
Currency swap notional amount as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Tranche/bond-level information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field SESS1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST2 |
Original Tranche Identifier |
The original unique identifier assigned to this instrument. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST3 |
New Tranche Identifier |
If the original identifier in field SEST2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the value in field SEST2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST4 |
International Securities Identification Number |
The ISIN code assigned to this tranche, where applicable. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST5 |
Tranche Name |
The designation (typically a letter and/or number) given to this tranche of bonds (or class of securities) which exhibit the same rights, priorities and characteristics as defined in the prospectus i.e. Series 1, Class A1 etc. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST6 |
Tranche/Bond Type |
Select the most appropriate option to describe the repayment profile of the instrument:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST7 |
Currency |
The currency denomination of this instrument. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST8 |
Original Principal Balance |
The Original Principal Balance of this tranche at issuance Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST9 |
Current Principal Balance |
The par, or notional, balance of this tranche after the current Principal Payment Date Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST10 |
Interest Payment Frequency |
The frequency with which interest is due to be paid on this instrument:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST11 |
Interest Payment Date |
The first occurring date, after the data cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST12 |
Principal Payment Date |
The first occurring date, after the data cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST13 |
Current Coupon |
The coupon on the instrument in basis points. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST14 |
Current Interest Rate Margin/Spread |
The coupon spread applied to the reference interest index as defined in the offering document applicable to the specific instrument in basis points. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST15 |
Coupon Floor |
The coupon floor of the instrument. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST16 |
Coupon Cap |
The coupon cap of the instrument. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST17 |
Step-Up/Step-Down Coupon Value |
If any, what is the value of the Step-up/Step-down coupon as per the terms and conditions of the securitisation/programme? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST18 |
Step-Up/Step-Down Coupon Date |
If any, what is the date on which the coupon definition is supposed to change as per the terms and conditions of the securitisation/programme? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST19 |
Business Day Convention |
Business day convention used for the calculation of interest due:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST20 |
Current Interest Rate Index |
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST21 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST22 |
Issue Date |
Date on which this instrument was issued. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST23 |
Disbursement Date |
First date starting on which the amount of interest payable on the instrument is calculated. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST24 |
Legal Maturity |
The date before which this instrument must be repaid in order not to be in default. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST25 |
Extension Clause |
Select the most appropriate option to describe which party has the right to extend the maturity of the instrument, as per the terms and conditions of the securitisation/programme:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST26 |
Next Call Date |
What is the next date on which the instrument can be called as per the terms and conditions of the securitisation/programme? This excludes clean-up arrangements. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST27 |
Clean-Up Call Threshold |
What is the clean-up call threshold as per the terms and conditions of the securitisation/programme? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST28 |
Next Put date |
What is the next put date as per the terms and conditions of the securitisation/programme? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST29 |
Day Count Convention |
The ‘days’ convention used to calculate interest:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST30 |
Settlement Convention |
Usual settlement convention for the tranche:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST31 |
Current Attachment Point |
The current tranche attachment point, calculated as per Article 256 of Regulation (EU) No 575/2013, and multiplied by 100. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST32 |
Original Attachment Point |
The tranche attachment point at the time of issuance of the tranche notes, calculated as per Article 256 of Regulation (EU) No 575/2013, and multiplied by 100. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST33 |
Current Credit Enhancement |
The current tranche credit enhancement, calculated as per the originator/sponsor/SSPE’s definition |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST34 |
Original Credit Enhancement |
The tranche credit enhancement at the time of issuance of the tranche notes, calculated as per the originator/sponsor/SSPE’s definition |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST35 |
Credit Enhancement Formula |
Describe/Enter the formula used to calculate the tranche credit enhancement. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST36 |
Pari-Passu Tranches |
Enter the ISINs of all tranches (including this one) that, as at the data cut-off date, rank pari-passu with the current tranche according to the securitisation priority of payments as at the data cut-off date. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST37 |
Senior Tranches |
Enter the ISINs of all tranches that, as at the data cut-off date, rank senior to the current tranche according to the securitisation priority of payments as at the data cut-off date. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST38 |
Outstanding Principal Deficiency Ledger Balance |
The unpaid Principal Deficiency Ledger balance of the tranche in question. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST39 |
Guarantor Legal Entity Identifier |
If the tranche has been guaranteed, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the guarantor. If not guaranteed, enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST40 |
Guarantor Name |
Give the full legal name of the guarantor. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. If not guaranteed, enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST41 |
Guarantor ESA Subsector |
The ESA 2010 classification of the guarantor according to Regulation (EU) No 549/2013 ‘ESA 2010’). This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation. If not guaranteed, enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEST42 |
Protection Type |
List the type of protection instrument used:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Account-level information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESA1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field SESS1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESA2 |
Original Account Identifier |
The original unique account identifier. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESA3 |
New Account Identifier |
If the original identifier in field SESA2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in SESA2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESA4 |
Account Type |
The type of account:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESA5 |
Account Target Balance |
The amount of funds that would be on deposit in the account in question when it is fully funded pursuant to the securitisation documentation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESA6 |
Account Actual Balance |
The balance of funds on deposit in the account in question at the Accrual End Date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESA7 |
Amortising Account |
Is the account amortising over the lifetime of the securitisation? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Counterparty-level information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESP1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field SESS1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESP2 |
Counterparty Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESP3 |
Counterparty Name |
Give the full legal name of the counterparty. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESP4 |
Counterparty Type |
The type of counterparty:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESP5 |
Counterparty Country Of Establishment |
Country where the counterparty is established. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESP6 |
Counterparty Rating Threshold |
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating threshold as at the data cut-off date. In the event of multiple ratings, all ratings are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESP7 |
Counterparty Rating |
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating as at the data cut-off date. In the event of multiple rating thresholds, all rating thresholds are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESP8 |
Counterparty Rating Source Legal Entity Identifier |
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the Legal Entity Identifier of the provider of the counterparty rating (as specified in the Global Legal Entity Foundation (GLEIF) database) as at the data cut-off date. In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESP9 |
Counterparty Rating Source Name |
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the full name of the provider of the counterparty rating as at the data cut-off date. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CLO Securitisation information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field SESS1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC2 |
Non-Call Period End-Date |
Enter the date at which any non-call period ends (e.g. when any tranche holders are prohibited from calling for the SSPE to liquidate the portfolio and redeem all tranches, to reset or refinance the tranches, etc.). |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC3 |
CLO Type |
The CLO type that best describes this transaction:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC4 |
Current Period |
The current period status of the CLO:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC5 |
Current Period Start Date |
Enter the date in which the current period was entered into. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC6 |
Current Period End Date |
Enter the date in which the current period will/is expected to cease. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC7 |
Concentration Limit |
Enter the concentration limit, in percentage of the portfolio par value, that applies to any counterparty/obligor, as set out in the transaction documentation. In the event of multiple limits, enter the maximum limit (e.g. if there are two limits, depending on the rating, of 10 % and 20 %, then enter 20 %). |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC8 |
Restrictions — Legal Maturity |
Allowed percentage (vs. portfolio par balance) of exposures with legal final maturity that exceed the shortest legal final maturity of the tranches? (assuming clean-up option is exercised) |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC9 |
Restrictions —Subordinated Exposures |
Allowed percentage (vs. portfolio par balance) of non first-lien exposures that can be purchased? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC10 |
Restrictions — Non-Performing Exposures |
Allowed percentage (vs. portfolio par balance) of non-performing exposures that can be purchased? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC11 |
Restrictions — PIK Exposures |
Allowed percentage (vs. portfolio par balance) of pay-in-kind exposures that can be held at any time? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC12 |
Restrictions — Zero-Coupon Exposures |
Allowed percentage (vs. portfolio par balance) of zero-coupon exposures that can be held at any time? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC13 |
Restrictions — Equity Exposures |
Allowed percentage (vs. portfolio par balance) of equity or debt-convertible-to-equity that can be purchased? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC14 |
Restrictions —Participation Exposures |
Allowed percentage (vs. portfolio par balance) of loan participations that can be purchased? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC15 |
Restrictions —Discretionary Sales |
Allowed percentage (vs. portfolio par balance) of discretionary sales per year? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC16 |
Discretionary Sales |
Actual discretionary sales, year to date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC17 |
Reinvestments |
Amount reinvested, year to date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC18 |
Restrictions — Credit Enhancement |
Can the CLO manager withdraw or monetise any surplus credit enhancement? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC19 |
Restrictions — Quotes |
Can the CLO manager obtain quotes with dealers other than the arranger? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC20 |
Restrictions — Trades |
Can the CLO manager obtain trade with dealers other than the arranger? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC21 |
Restrictions —Issuances |
Are there restrictions on the additional issuance of notes? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC22 |
Restrictions —Redemptions |
Are there restrictions on the origin of funds used to selectively buyback/redeem notes? (e.g. cannot use principal proceeds to effect a redemption; any redemptions must occur in the order of the notes’ payment priority; must maintain or improve OC test ratios after purchase) |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC23 |
Restrictions —Refinancing |
Are there restrictions when notes can be refinanced? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC24 |
Restrictions — Note Remuneration |
Are noteholders able to surrender their notes to the trustee for cancellation without receiving payment in return? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC25 |
Restrictions — Credit Protection |
Is the CLO manager able to buy or sell credit protection on underlying assets? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC26 |
Collateral Liquidation Period |
Enter the number of calendar days after which collateral must be liquidated. In case of a range or multiple possible periods, enter the minimum number of calendar days. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESC27 |
Collateral Liquidation — Waiver |
Can some or all noteholders choose to waive the collateral liquidation period? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CLO Manager information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field SESS1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL2 |
CLO Manager Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the CLO manager. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL3 |
Manager Name |
Give the full legal name of the CLO manager. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL4 |
Establishment Date |
Date of CLO manager incorporation/establishment |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL5 |
Registration Date |
Date of registration within the EU as an investment adviser |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL6 |
Employees |
Total number of employees |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL7 |
Employees — CLOs |
Total number of employees dedicated to loan trading and management of CLO portfolios |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL8 |
Employees —Workout |
Total employees dedicated to working out distressed credits |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL9 |
AUM |
Assets under management Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL10 |
AUM — Leveraged Loans |
Total leveraged loan assets under management Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL11 |
AUM — CLOs |
Total CLO assets under management Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL12 |
AUM — EU |
Total EU assets under management Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL13 |
AUM — EU CLOs |
Total EU CLOs under management Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL14 |
Number EU CLOs |
Number EU CLOs under management |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL15 |
Capital |
Total capital Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL16 |
Capital — Risk Retention |
Capital for funding risk retention Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL17 |
Settlement Time |
Average time needed, in calendar days, for trade settlement |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL18 |
Pricing Frequency |
Frequency (in number of days) of pricing/re-pricing portfolios. If there are different frequencies applied, enter the weighted average frequency, using as weights the assets under management of each category, rounded to the nearest day. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL19 |
Default Rate - 1 year |
Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 1 year. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL20 |
Default Rate - 5 years |
Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 5 years. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESL21 |
Default Rate - 10 years |
Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 10 years. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Synthetic coverage information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field SESS1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV2 |
Protection Instrument Identifier |
The unique identifier of the protection instrument. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV3 |
Protection Type |
List the type of protection instrument used:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV4 |
Protection Instrument International Securities Identification Number |
Enter the ISIN code of the protection instrument, where applicable. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV5 |
Protection Provider Name |
Enter the full legal name of the protection provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV6 |
Protection Provider Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the protection provider. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV7 |
Public Entity With Zero Risk Weight |
Is the protection provider a public entity classified under Articles 113(4), 117(2), or 118 of Regulation (EU) No 575/2013 (or as otherwise amended)? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV8 |
Governing Law |
Jurisdiction governing the protection agreement. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV9 |
ISDA Master Agreement |
Basis for protection documentation:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV10 |
Default And Termination Events |
Where are the protection arrangement events of default and termination events listed? Schedule to the ISDA 2002 (ISDA) Schedule to the ISDA 2014 (IS14) Other — Bespoke (OTHR) |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV11 |
Synthetic Securitisation Type |
Is this a ‘balance sheet synthetic securitisation’? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV12 |
Protection Currency |
Protection currency denomination. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV13 |
Current Protection Notional |
Total amount of coverage under the protection agreement, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV14 |
Maximum Protection Notional |
Maximum amount of coverage under the protection agreement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV15 |
Protection Attachment Point |
In terms of the pool principal, enter the percentage attachment point at which protection coverage begins. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV16 |
Protection Detachment Point |
In terms of the pool principal, enter the percentage detachment point at which protection coverage ends. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV17 |
International Securities Identification Number Of Notes Covered |
If protection is provided to cover specific tranches (e.g. a guarantee), enter the ISIN of each tranche covered by the specific protection agreement. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV18 |
Protection Coverage |
Report the option that best describes the coverage of the protection amount:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV19 |
Protection Termination Date |
Enter the contractual date at which the protection is scheduled to expire/be terminated. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV20 |
Materiality Thresholds |
Are there materiality thresholds before protection payouts can be made? For example, is there a minimum amount of credit deterioration in the cashflow-generating assets necessary before a claim on the protection seller can be made? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV21 |
Payment Release Conditions |
The conditions relating to the release of payments made by the protection seller:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV22 |
Adjustment Payments Possible |
Do the terms and conditions of the credit protection agreement provide for the payment of adjustment payments to the protection buyer (e.g. if, after the maturity of the credit protection agreement, there are discrepancies in previously estimated and exchanged amounts)? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV23 |
Length Of Workout Period |
If, as regards the timing of payments, a predetermined period is allowed for collection activities to take place and any adjustments to be made to the initial loss settlement, enter the number of days that this period is stipulated to last. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV24 |
Obligation To Repay |
Is the protection buyer under any obligation to repay any protection payments previously received (besides at termination of the derivative, or as a result of a credit event trigger, or for breach of warranty in relation to the reference obligations)? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV25 |
Collateral Substitutable |
Where collateral is held, can the assets in the collateral portfolio be substituted? This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments). |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV26 |
Collateral Coverage Requirements |
Where collateral is held, enter the % (in terms of protection notional) coverage requirement, as stipulated in the securitisation documentation. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments). |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV27 |
Collateral Initial Margin |
If a repo is used, enter the initial margin required for eligible investments (collateral), as stipulated in the securitisation documentation. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV28 |
Collateral Delivery Deadline |
If a repo is used, enter the deadline (in days), as per the securitisation documentation, by which collateral must be delivered, in the event it must be released. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments). |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV29 |
Settlement |
Compensation to be delivered:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV30 |
Maximum Maturity Date Permitted |
If physical settlement, provide the maximum maturity date stipulated in the securitisation documentation for any securities that can be delivered. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV31 |
Current Index For Payments To Protection Buyer |
Current interest rate index (the reference rate off of which payments to the protection buyer are set). This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV32 |
Current Index For Payments To Protection Buyer Tenor |
Tenor of the interest rate index used for payments to the protection buyer:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV33 |
Payment Reset Frequency — To Protection Buyer |
Frequency with which payments to the protection buyer are reset according to the credit protection agreement:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV34 |
Current Interest Rate Margin For Payments To Protection Buyer |
Current interest rate margin applied on floating-rate payments to the protection buyer over (or, if under, input as a negative) the index rate used as a reference off of which payments to the protection buyer are set. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV35 |
Current Interest Rate For Payments To Protection Buyer |
Current interest rate applied on payments to the protection buyer. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV36 |
Current Index For Payments To Protection Seller |
Current interest rate index (the reference rate off of which payments to the protection seller are set):
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV37 |
Current Index For Payments To Protection Seller Tenor |
Tenor of the interest rate index used for payments to the protection seller:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV38 |
Payment Reset Frequency — To Protection Seller |
Frequency with which payments to the protection seller are reset according to the credit protection agreement:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV39 |
Current Interest Rate Margin For Payments To Protection Seller |
Current interest rate margin applied on floating-rate payments to the protection seller over (or, if under, input as a negative) the index rate used as a reference off of which payments to the protection buyer are set. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV40 |
Current Interest Rate For Payments To Protection Seller |
Current interest rate applied on payments to the protection seller. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV41 |
Excess Spread Support |
Is excess spread used as a credit enhancement to the most junior class of notes? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV42 |
Excess Spread Definition |
According to the securitisation documentation, the excess spread definition is best described as Fixed Excess Spread (e.g. amount of available excess spread is predetermined, usually in the form of a fixed percentage) |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV43 |
Current Protection Status |
The current status of the protection, as at the data cut-off date? Active (ACTI) Cancelled (CANC) Deactivated (DEAC) Expired (EXPI) Inactive (INAC) Withdrawn (WITH) Other (OTHR) |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV44 |
Bankruptcy Is Credit Event |
Is bankruptcy of the reference credit/obligor included in the protection agreement’s definition of credit events? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV45 |
Failure To Pay Is Credit Event |
Is obligor failure to pay after 90 days included in the protection agreement’s definition of credit events? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV46 |
Restructuring Is Credit Event |
Is restructuring of the reference credit/obligor included in the protection agreement’s definition of credit events? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV47 |
Credit Event |
Has a credit event notice been given? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV48 |
Cumulative Payments To Protection Buyer |
Total amount of payments made to the protection buyer by the protection seller, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV49 |
Cumulative Adjustment Payments To Protection Buyer |
Total amount of adjustment payments made to the protection buyer by the protection seller, as at the data cut-off date (for example, to compensate for the difference between initial payments for expected losses and subsequent actual losses realised on impaired cashflow-generating assets). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV50 |
Cumulative Payments To Protection Seller |
Total amount of payments made to the protection seller by the protection buyer, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV51 |
Cumulative Adjustment Payments To Protection Seller |
Total amount of adjustment payments made to the protection seller by the protection buyer, as at the data cut-off date (for example, to compensate for the difference between initial payments for expected losses and subsequent actual losses realised on impaired cashflow-generating assets). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESV52 |
Synthetic Excess Spread Ledger Amount |
Total amount of the synthetic excess spread ledger, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Issuer collateral information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field SESS1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI2 |
Protection Instrument Identifier |
Report the same unique identifier here as the one entered into field SESV2. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI3 |
Original Collateral Instrument Identifier |
The original unique identifier assigned to the collateral instrument. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI4 |
New Collateral Identifier |
If the original identifier in field SESI3 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in SESI3. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI5 |
Collateral Instrument International Securities Identification Number |
Enter the ISIN code of the collateral instrument, where applicable. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI6 |
Collateral Instrument Type |
Type of collateral instrument:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI7 |
Collateral Issuer ESA Subsector |
The ESA 2010 classification of the collateral according to Regulation (EU) No 549/2013 (‘ESA 2010’). This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI8 |
Collateral Issuer Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the collateral issuer. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI9 |
Collateral Issuer Affiliated With Originator? |
Do the collateral issuer and main securitisation originator share the same ultimate parent? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI10 |
Current Outstanding Balance |
Total outstanding principal balance of the collateral item, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI11 |
Instrument Currency |
Currency denomination of the instrument. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI12 |
Maturity Date |
Maturity date of the collateral item. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI13 |
Haircut |
Enter the % haircut (applied to the current outstanding principal balance) to this collateral item, as stipulated in the securitisation documentation. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI14 |
Current Interest Rate Index |
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI15 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI16 |
Current Interest Rate on Cash Deposits |
Where the collateral instrument type is cash deposits, enter the current interest rate on those deposits. In the event of multiple deposit accounts per currency, enter the weighted average current interest rate, using the current balance of cash deposits in the respective accounts as weights. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI17 |
Repo Counterparty Name |
If the collateral item forms part of a repurchase agreement (‘repo’), provide the full legal name of the counterparty to the securitisation. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI18 |
Repo Counterparty Legal Entity Identifier |
If the collateral item forms part of a repurchase agreement (‘repo’), provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty where the cash is deposited. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESI19 |
Repo Maturity Date |
If the collateral item forms part of a repurchase agreement (‘repo’), provide the maturity date of the securitisation. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Any other information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESO1 |
Unique Identifier |
The unique identifier entered into field SESS1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESO2 |
Any Other Information Line Number |
Enter the line number of the other information |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SESO3 |
Any Other Information |
The other information, line by line |
NO |
NO |
ANNEX XV
INSIDE INFORMATION OR SIGNIFICANT EVENT INFORMATION — ASSET BACKED COMMERCIAL PAPER SECURITISATION
Field code |
Field name |
Content to report |
ND1-ND4 allowed? |
ND5 allowed? |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Programme information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS1 |
Unique Identifier — ABCP Programme |
The unique identifier assigned by the reporting entity to this ABCP programme in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS2 |
Data Cut-Off Date |
The data cut-off date for this data submission. When submitted alongside an underlying exposures and investor report data submission, this must match the data cut-off date in the applicable underlying exposure and investor report templates submitted. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS3 |
No Longer STS |
Has the ABCP programme ceased to meet STS requirements? If the ABCP programme has never had STS status, then enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS4 |
Remedial Actions |
Have competent authorities taken any remedial actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS5 |
Administrative Actions |
Have competent authorities taken any administrative actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS6 |
Material Amendment to Transaction Documents |
Describe any material amendments made to transaction documents, including the name and item code (pursuant to Table 3 in Annex I) of the document as well as a detailed description of the amendments. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS7 |
Governing Law |
Jurisdiction governing the programme. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS8 |
Length Of The Liquidity Facility |
Period during which the programme-level liquidity facility provides coverage to the programme (in days). |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS9 |
Liquidity Facility Coverage |
Maximum funding amount (in percentage of the programme underlying exposures) covered by the respective programme-level liquidity facility. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS10 |
Liquidity Facility Coverage Interval |
The maximum number of days’ interval before the programme-level liquidity facility begins to fund the transaction, following any trigger breach generating liquidity facility payouts. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS11 |
Liquidity Facility Maturity Date |
Date at which the programme-level liquidity facility will expire. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS12 |
Drawings Under Liquidity Facility |
If the securitisation has a programme-level liquidity facility confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS13 |
Total Issuance |
Total programme issuance outstanding, converted into EUR. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAS14 |
Maximum Issuance |
If there is a limit to the amount of issuance of the ABCP programme at any time, enter it here. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transaction information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR1 |
Unique Identifier — ABCP Programme |
Report the same unique ABCP programme identifier here as the one entered into field SEAS1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR2 |
Unique Identifier — ABCP Transaction |
The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) 2020/1224. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR3 |
Number Of Programmes Funding The Transaction |
Number of ABCP programmes that are funding this transaction. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR4 |
No Longer STS |
Has the ABCP transaction ceased to meet STS requirements? If the ABCP transaction has never had STS status, then enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR5 |
Originator A Client Of The Programme Sponsor |
Have the originator and programme sponsor been, at the time of the transfer of assets, in a client relationship? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR6 |
Security Interest Granted |
Does the relevant SSPE/bankruptcy-remote subsidiary of the originator grant security interest over its assets to the purchaser (SSPE)? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR7 |
Revenue |
Total originator revenues for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR8 |
Operating Expenses |
Total originator operating expenses provided by the most recent financial operating statement (i.e. year to date or trailing 12 months). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR9 |
Current Assets |
Originator current assets (maturing within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR10 |
Cash |
Originator cash holdings, as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR11 |
Marketable Securities |
Originator marketable securities, as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR12 |
Accounts Receivable |
Originator accounts receivable, as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR13 |
Current Liabilities |
Originator current liabilities (due within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR14 |
Total Debt |
Originator total debt, as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR15 |
Total Equity |
Originator total equity, as of the most recent financial operating statement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR16 |
Financial Statement Currency |
The currency used in the financial reporting of fields SEAR7 — SEAR15. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR17 |
Sponsor Supports Transaction |
At what level is the sponsor providing support:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR18 |
Sponsor Support Type |
Is the sponsor providing full support to this transaction? |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR19 |
Length Of The Liquidity Facility |
Period during which the transaction-level liquidity facility provides coverage to the transaction (in days). |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR20 |
Liquidity Facility Drawn Amount |
Amount drawn on the liquidity agreement between the previous data cut-off date and the data cut-off date of the present data submission. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR21 |
Liquidity Facility Coverage |
Maximum funding amount (in percentage of the transaction underlying exposures) covered by the respective transaction-level liquidity facility. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR22 |
Liquidity Facility Coverage Interval |
The maximum number of days interval before the liquidity facility begins to fund the transaction, following any trigger breach generating liquidity facility payouts. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR23 |
Liquidity Facility Type |
Type of transaction-level liquidity facility:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR24 |
Liquidity Facility Repurchase Agreement Maturity Date |
If the transaction-level liquidity facility uses repurchase agreements, enter the date at which the repurchase agreement will expire. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR25 |
Liquidity Facility Currency |
The currency in which funds from the transaction-level liquidity facility can be drawn. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR26 |
Liquidity Facility Maturity Date |
Date at which the transaction-level liquidity facility will expire. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR27 |
Liquidity Facility Provider Name |
Enter the full legal name of the transaction-level liquidity facility provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR28 |
Liquidity Facility Provider Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the transaction-level liquidity facility provider. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR29 |
Overcollateralisation/Subordinated Interest |
The percentage of subordinated interest retained in the underlying exposures sold by the seller (alternatively: the discount granted by the seller on the purchase price of the underlying exposures). Where the percentage of subordinated interest varies across the underlying exposures, the minimum OC across all of the underlying exposures are to be provided. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR30 |
Transaction Excess Spread |
The amount of funds left over after application of all currently-applicable payments, costs, fees, etc., commonly referred to as ‘excess spread’. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR31 |
Letter Of Credit Provider Name |
Enter the full legal name of the letter of credit provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR32 |
Letter Of Credit Provider Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the letter of credit provider for the transaction. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR33 |
Letter Of Credit Currency |
Letter of credit currency denomination. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR34 |
Maximum Letter Of Credit Protection |
Maximum amount of coverage, in percentage of the transaction underlying exposures, under the letter of credit protection agreement. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR35 |
Guarantor Name |
Enter the full legal name of the guarantor--this includes arrangements whereby an institution commits to buy defaulted receivables from the seller. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR36 |
Guarantor Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the guarantor--this includes arrangements whereby an institution commits to buy defaulted receivables from the seller. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR37 |
Maximum Guarantee Coverage |
Maximum amount of coverage under the guarantee/purchasing agreement. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR38 |
Guarantee Currency |
The currency in which funds from the guarantee are provided. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR39 |
Guarantee Maturity Date |
Date at which the guarantee will expire. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR40 |
Receivables Transfer Type |
How has the transfer of underlying exposures to the purchaser been achieved? True sale (1) Secured loan (2) Other (3) |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR41 |
Repurchase Agreement Maturity Date |
Date at which any repurchase agreement governing the transfer of underlying exposures to the purchaser will expire. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR42 |
Purchased Amount |
Amount of underlying exposures purchased from the originator in this transaction between the previous data cut-off date and the data cut-off date of the present data submission. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR43 |
Maximum Funding Limit |
Maximum funding limit that can be provided to the originator under the transaction, as at the data cut-off date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR44 |
Interest Rate Swap Benchmark |
Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted interest rate swap. MuniAAA (MAAA) FutureSWAP (FUSW) LIBID (LIBI) LIBOR (LIBO) SWAP (SWAP) Treasury (TREA) Euribor (EURI) Pfandbriefe (PFAN) EONIA (EONA) EONIASwaps (EONS) EURODOLLAR (EUUS) EuroSwiss (EUCH) TIBOR (TIBO) ISDAFIX (ISDA) GCFRepo (GCFR) STIBOR (STBO) BBSW (BBSW) JIBAR (JIBA) BUBOR (BUBO) CDOR (CDOR) CIBOR (CIBO) MOSPRIM (MOSP) NIBOR (NIBO) PRIBOR (PRBO) TELBOR (TLBO) WIBOR (WIBO) Bank of England Base Rate (BOER) European Central Bank Base Rate (ECBR) Lender’s Own Rate (LDOR) Other (OTHR) |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR45 |
Interest Rate Swap Maturity Date |
Date of maturity for the transaction-level interest rate swap. In the event of multiple swaps in this transaction, enter the maturity date of the most recent swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR46 |
Interest Rate Swap Notional |
Transaction-level interest rate swap notional amount. In the event of multiple swaps in this transaction, enter the notional of the most recent interest rate swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR47 |
Currency Swap Payer Currency |
Enter the currency that the payer leg of the swap is paying. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted currency rate swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR48 |
Currency Swap Receiver Currency |
Enter the currency that the receiver leg of the swap is paying. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted currency rate swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR49 |
Exchange Rate For Currency Swap |
The exchange rate that has been set for a transaction-level currency swap. In the event of multiple swaps in this transaction, enter the exchange rate set for the most recent swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR50 |
Currency Swap Maturity Date |
Date of maturity for the transaction-level currency swap. In the event of multiple swaps in this transaction, enter the maturity date of the most recently-concluded swap. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAR51 |
Currency Swap Notional |
Transaction-level currency swap notional amount. In the event of multiple swaps in this transaction, enter the amount covered by the most recently-contracted swap. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Tranche/bond-level information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT1 |
Unique Identifier — ABCP Programme |
Report the same unique ABCP programme identifier here as the one entered into field SEAS1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT2 |
Original Bond Identifier |
The original unique identifier assigned to this instrument. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT3 |
New Bond Identifier |
If the original identifier in field SEAT2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the value in field SEAT2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT4 |
International Securities Identification Number |
The ISIN code assigned to this instrument, where applicable. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT5 |
Tranche/Bond Type |
Select the most appropriate option to describe the repayment profile of the instrument:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT6 |
Issue Date |
Date on which this instrument was issued. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT7 |
Legal Maturity |
The date before which this instrument must be repaid in order not to be in default. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT8 |
Currency |
The currency denomination of this instrument. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT9 |
Current Principal Balance |
The par, or notional, balance of this instrument after the current Principal Payment Date Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT10 |
Current Coupon |
The coupon on the instrument in basis points. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT11 |
Current Interest Rate Index |
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT12 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT13 |
Interest Payment Frequency |
The frequency with which interest is due to be paid on this instrument:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT14 |
Current Credit Enhancement |
The current instrument credit enhancement, calculated as per the originator/sponsor/SSPE’s definition |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAT15 |
Credit Enhancement Formula |
Describe/Enter the formula used to calculate the bond-level credit enhancement. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Account-level information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAA1 |
Unique Identifier — ABCP Transaction |
Report the same unique ABCP transaction identifier here as the one entered into field SEAR2. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAA2 |
Original Account Identifier |
The original unique account identifier. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAA3 |
New Account Identifier |
If the original identifier in field SEAA2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in SEAA2. The reporting entity must not amend this unique identifier. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAA4 |
Account Type |
The type of account:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAA5 |
Account Target Balance |
The amount of funds that would be on deposit in the account in question when it is fully funded pursuant to the securitisation documentation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAA6 |
Account Actual Balance |
The balance of funds on deposit in the account in question at the Accrual End Date. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAA7 |
Amortising Account |
Is the account amortising over the lifetime of the securitisation? |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Counterparty-level information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAP1 |
Unique Identifier — ABCP Transaction |
Report the same unique ABCP transaction identifier here as the one entered into field SEAR2. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAP2 |
Counterparty Legal Entity Identifier |
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAP3 |
Counterparty Name |
Give the full legal name of the counterparty. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAP4 |
Counterparty Type |
The type of counterparty:
|
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAP5 |
Counterparty Country Of Establishment |
Country where the counterparty is established. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAP6 |
Counterparty Rating Threshold |
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating threshold as at the data cut-off date. In the event of multiple ratings, all ratings are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAP7 |
Counterparty Rating |
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating as at the data cut-off date. In the event of multiple rating thresholds, all rating thresholds are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAP8 |
Counterparty Rating Source Legal Entity Identifier |
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the Legal Entity Identifier of the provider of the counterparty rating (as specified in the Global Legal Entity Foundation (GLEIF) database) as at the data cut-off date. In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAP9 |
Counterparty Rating Source Name |
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the full name of the provider of the counterparty rating as at the data cut-off date. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. |
NO |
YES |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Any other information section |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAO1 |
Unique Identifier |
The unique identifier entered into field SEAS1. |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAO2 |
Any Other Information Line Number |
Enter the line number of the other information |
NO |
NO |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
SEAO3 |
Any Other Information |
The other information, line by line |
NO |
NO |