ISSN 1977-0677 |
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Official Journal of the European Union |
L 289 |
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English edition |
Legislation |
Volume 63 |
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(1) Text with EEA relevance. |
EN |
Acts whose titles are printed in light type are those relating to day-to-day management of agricultural matters, and are generally valid for a limited period. The titles of all other Acts are printed in bold type and preceded by an asterisk. |
II Non-legislative acts
REGULATIONS
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 |
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CRPL47 |
Principal Grace Period End Date |
If applicable as at the data cut-off date, indicate the principal grace period end date. |
YES |
YES |
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CRPL48 |
Scheduled Principal Payment Frequency |
Frequency of principal payments due, i.e. period between payments:
|
NO |
YES |
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CRPL49 |
Scheduled Interest Payment Frequency |
Frequency of interest payments due, i.e. period between payments:
|
NO |
YES |
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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 |
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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 |
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CRPL52 |
Interest Rate Type |
Interest rate type:
|
NO |
YES |
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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 |
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CRPL54 |
Current Interest Rate Index |
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
|
NO |
YES |
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CRPL55 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
NO |
YES |
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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 |
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CRPL57 |
Interest Rate Reset Interval |
Number of months between each interest rate reset date on the underlying exposure. |
NO |
YES |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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CRPL67 |
Revised Interest Rate Index Tenor |
Tenor of the next interest rate index:
|
YES |
YES |
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CRPL68 |
Number Of Payments Before Securitisation |
Enter the number of payments made prior to the exposure being transferred to the securitisation. |
YES |
NO |
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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 |
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CRPL70 |
Prepayment Lock-Out End Date |
The date after which the lender allows prepayment of the underlying exposure. |
YES |
YES |
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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 |
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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 |
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CRPL73 |
Prepayment Date |
The latest date on which an unscheduled principal payment was received. |
YES |
YES |
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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 |
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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 |
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CRPL76 |
Date Last In Arrears |
Date the obligor was last in arrears. |
YES |
YES |
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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 |
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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 |
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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 |
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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 |
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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 |
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CRPL82 |
Default Date |
The date of default. |
NO |
YES |
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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 |
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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 |
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CRPL85 |
Recovery Source |
The source of the recoveries:
|
NO |
YES |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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CRPL98 |
Original Lender Establishment Country |
Country where the original lender is established. |
YES |
YES |
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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 |
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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 |
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CRPL101 |
Originator Establishment Country |
Country where the underlying exposure originator is established. |
NO |
NO |
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Collateral-level information section |
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CRPC1 |
Unique Identifier |
Report the same unique identifier here as the one entered into field CRPL1. |
NO |
NO |
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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 |
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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 |
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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 |
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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 |
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CRPC6 |
Security Type |
The type of security:
|
NO |
NO |
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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 |
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CRPC8 |
Lien |
Highest lien position held by the originator in relation to the collateral. |
YES |
YES |
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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 |
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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 |
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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 |
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CRPC12 |
Current Valuation Date |
The date of the most recent valuation of the collateral as provided in field CRPC10. |
YES |
YES |
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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 |
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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 |
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CRPC15 |
Original Valuation Date |
The date of the original valuation of the physical or financial collateral provided in field CRPC13. |
YES |
YES |
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CRPC16 |
Date Of Sale |
The date of sale of the collateral. |
NO |
YES |
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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 |
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CRPC18 |
Collateral Currency |
This is the currency in which the valuation amount provided in CRPC10 is denominated. |
NO |
YES |
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CRPC19 |
Guarantor Country |
The jurisdiction where the guarantor is established. |
NO |
YES |
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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? |
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Underlying exposures information section |
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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 |
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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 |
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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 |
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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 |
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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 |
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AUTL6 |
Data Cut-Off Date |
The data cut-off date for this data submission. |
NO |
NO |
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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 |
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AUTL8 |
Date Of Repurchase |
Date on which the underlying exposure was repurchased from the pool. |
NO |
YES |
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AUTL9 |
Redemption Date |
Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. |
NO |
YES |
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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 |
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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 |
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AUTL12 |
Employment Status |
Employment status of the primary obligor:
|
YES |
NO |
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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 |
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AUTL14 |
Obligor Legal Type |
Legal form of customer:
|
YES |
NO |
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AUTL15 |
Customer Type |
Customer type at origination:
|
YES |
NO |
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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 |
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AUTL17 |
Primary Income Type |
Indicate what income in AUTL16 is displayed:
|
YES |
NO |
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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 |
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AUTL19 |
Primary Income Verification |
Primary Income Verification:
|
YES |
NO |
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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 |
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AUTL21 |
Financial Statement Currency |
The reporting currency of the financial statements. |
YES |
YES |
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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 |
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AUTL23 |
Product Type |
The classification of the lease, per lessor’s definitions:
|
NO |
YES |
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AUTL24 |
Origination Date |
Date of original underlying exposure advance. |
YES |
NO |
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AUTL25 |
Maturity Date |
The date of maturity of the underlying exposure or expiry of the lease. |
NO |
YES |
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AUTL26 |
Original Term |
Original contractual term (number of months) at the origination date. |
YES |
YES |
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AUTL27 |
Origination Channel |
Origination channel of the underlying exposure:
|
YES |
YES |
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AUTL28 |
Currency Denomination |
The underlying exposure currency denomination. |
NO |
NO |
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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 |
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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 |
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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 |
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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 |
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AUTL33 |
Principal Grace Period End Date |
If applicable as at the data cut-off date, indicate the principal grace period end date. |
NO |
YES |
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AUTL34 |
Scheduled Principal Payment Frequency |
Frequency of principal payments due, i.e. period between payments:
|
NO |
YES |
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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 |
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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 |
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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 |
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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 |
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AUTL41 |
Current Interest Rate Index |
The base reference interest index currently applicable (the reference rate off which the interest rate is set):
|
NO |
YES |
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AUTL42 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
NO |
YES |
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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 |
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AUTL44 |
Interest Rate Reset Interval |
Number of months between each interest rate reset date on the underlying exposure. |
NO |
YES |
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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 |
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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 |
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AUTL47 |
Number Of Payments Before Securitisation |
Enter the number of payments made prior to the exposure being transferred to the securitisation. |
YES |
NO |
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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 |
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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 |
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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 |
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AUTL51 |
Prepayment Date |
The latest date on which an unscheduled principal payment was received. |
YES |
YES |
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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 |
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AUTL53 |
Manufacturer |
Brand name of the vehicle manufacturer E.g. enter ‘Skoda’, not ‘Volkswagen’. |
YES |
NO |
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AUTL54 |
Model |
Name of the car model. |
YES |
NO |
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AUTL55 |
Year Of Registration |
Year the car was registered. |
YES |
YES |
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AUTL56 |
New Or Used |
Condition of vehicle at point of underlying exposure origination:
|
YES |
NO |
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AUTL57 |
Energy Performance Certificate Value |
The energy performance certificate value of the collateral at the time of origination:
|
YES |
YES |
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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 |
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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 |
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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 |
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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 |
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CCDL17 |
Primary Income Verification |
Primary Income Verification:
|
YES |
NO |
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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 |
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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 |
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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 |
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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 |
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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 |
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Transaction information section |
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SEAR1 |
Unique Identifier — ABCP Programme |
Report the same unique ABCP programme identifier here as the one entered into field SEAS1. |
NO |
NO |
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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 |
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SEAR3 |
Number Of Programmes Funding The Transaction |
Number of ABCP programmes that are funding this transaction. |
NO |
NO |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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SEAR16 |
Financial Statement Currency |
The currency used in the financial reporting of fields SEAR7 — SEAR15. |
NO |
YES |
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SEAR17 |
Sponsor Supports Transaction |
At what level is the sponsor providing support:
|
NO |
YES |
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SEAR18 |
Sponsor Support Type |
Is the sponsor providing full support to this transaction? |
NO |
YES |
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SEAR19 |
Length Of The Liquidity Facility |
Period during which the transaction-level liquidity facility provides coverage to the transaction (in days). |
NO |
YES |
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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 |
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SEAR21 |
Liquidity Facility Coverage |
Maximum funding amount (in percentage of the transaction underlying exposures) covered by the respective transaction-level liquidity facility. |
NO |
YES |
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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 |
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SEAR23 |
Liquidity Facility Type |
Type of transaction-level liquidity facility:
|
NO |
YES |
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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 |
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SEAR25 |
Liquidity Facility Currency |
The currency in which funds from the transaction-level liquidity facility can be drawn. |
NO |
YES |
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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 |
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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 |
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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 |
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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 |
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SEAR33 |
Letter Of Credit Currency |
Letter of credit currency denomination. |
NO |
YES |
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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 |
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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 |
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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 |
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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 |
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SEAR38 |
Guarantee Currency |
The currency in which funds from the guarantee are provided. |
NO |
YES |
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SEAR39 |
Guarantee Maturity Date |
Date at which the guarantee will expire. |
NO |
YES |
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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 |
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SEAR41 |
Repurchase Agreement Maturity Date |
Date at which any repurchase agreement governing the transfer of underlying exposures to the purchaser will expire. |
NO |
YES |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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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 |
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Tranche/bond-level information section |
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SEAT1 |
Unique Identifier — ABCP Programme |
Report the same unique ABCP programme identifier here as the one entered into field SEAS1. |
NO |
NO |
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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 |
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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 |
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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 |
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SEAT12 |
Current Interest Rate Index Tenor |
Tenor of the current interest rate index:
|
NO |
YES |
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SEAT13 |
Interest Payment Frequency |
The frequency with which interest is due to be paid on this instrument:
|
NO |
NO |
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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 |
3.9.2020 |
EN |
Official Journal of the European Union |
L 289/217 |
COMMISSION IMPLEMENTING REGULATION (EU) 2020/1225
of 29 October 2019
laying down implementing technical standards with regard to the format and standardised templates for making available the information and details of a securitisation by the originator, sponsor and SSPE
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (1), and in particular Articles 7(4) and 17(3) thereof,
Whereas:
(1) |
The scope of Article 7(4) of Regulation (EU) 2017/2402 refers to all securitisations, including securitisations where a prospectus has to be drawn up pursuant to Regulation (EU) 2017/1129 (2) (commonly referred to as ‘public’ securitisations) and securitisations where a prospectus does not have to be drawn up (commonly referred to as ‘private’ securitisations). Article 17(3) of Regulation (EU) 2017/2402 refers to securitisations making information available via a securitisation repository, which does not include private securitisations. |
(2) |
Securitisations are complex and heterogeneous. To allow for efficient data collection and assessment by investors, potential investors, competent authorities and, for public securitisations, the other entities listed in Article 17(1) of Regulation (EU) 2017/2402, the information referred to in points (a) and (e) of Article 7(1) and point (a) of Article 17(2) of Regulation (EU) 2017/2402 should be made available in a harmonised format. In addition, where the information is to be made available via a securitisation repository, a harmonised format also facilitates seamless aggregation and comparison across repositories. |
(3) |
Costs for market participants should be minimised. The reporting format for securitisations should therefore be similar, to the extent feasible, to the format prescribed for the reporting of derivatives contracts under Article 9 of Regulation (EU) No 648/2012 of the European Parliament and of the Council (3) and the reporting of the details of securities financing transactions (SFTs) under Article 4 of Regulation (EU) 2015/2365 of the European Parliament and of the Council (4). Furthermore, where information is made available via a securitisation repository, the reporting format should also take into account solutions developed by existing securitisation data collectors. Therefore, it is appropriate to require the use of the XML format, which is commonly employed for reporting information on loans and other similar underlying exposures, also in the context of reporting securitisations. |
(4) |
The provisions in this Regulation are closely linked, since they determine the format and templates whereby the originator, sponsor or SSPE of a securitisation are to make available information about that securitisation to various parties as required under Regulation (EU) 2017/2402. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and efficient access to all the relevant information of a securitisation, it is necessary to include these implementing technical standards in a single Regulation. |
(5) |
This Regulation is based on the draft implementing technical standards submitted by the European Securities and Markets Authority (ESMA) to the Commission. |
(6) |
ESMA has conducted an open public consultation on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (5), |
HAS ADOPTED THIS REGULATION:
SECTION 1
TEMPLATES FOR ALL SECURITISATIONS
Article 1
Underlying exposures templates
1. The information referred to in paragraphs 1 and 2 of Article 2 of Commission Delegated Regulation (EU) 2020/1224 (6) shall be made available using the following templates:
(a) |
the template set out in Annex II to this Regulation for loans to private households secured by residential real estate, regardless of the purpose of those loans; |
(b) |
the template set out in Annex III to this Regulation for loans for the purposes of acquiring commercial real estate or secured by commercial real estate; |
(c) |
the template set out in Annex IV to this Regulation for corporate underlying exposures, including underlying exposures to micro, small- and medium-sized enterprises; |
(d) |
the template set out in Annex V to this Regulation for automobile underlying exposures, including loans and leases to legal or natural persons that are backed by automobiles; |
(e) |
the template set out in Annex VI to this Regulation for consumer underlying exposures; |
(f) |
the template set out in Annex VII to this Regulation for credit card underlying exposures; |
(g) |
the template set out in Annex VIII to this Regulation for leasing underlying exposures; |
(h) |
the template set out in Annex IX to this Regulation for underlying exposures that do not fall within any of the categories set out in points (a) to (g). |
2. The information referred to in Article 2(3) of Delegated Regulation (EU) 2020/1224 shall be made available using the following templates:
(a) |
the templates set out in paragraph 1 of this Article, as relevant to the underlying exposure type; |
(b) |
the template set out in Annex X for non-performing exposure securitisations as referred to in the second subparagraph of Article 2(3) of Delegated Regulation (EU) 2020/1224. |
3. The information referred to in Article 2(4) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XI.
Article 2
Investor report templates
1. The information referred to in Article 3(1) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XII.
2. The information referred to in Article 3(2) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XIII.
SECTION 2
TEMPLATES FOR SECURITISATIONS FOR WHICH A PROSPECTUS HAS TO BE DRAWN UP (PUBLIC SECURITISATIONS)
Article 3
Inside information templates
1. The information referred to in Article 6(1) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XIV.
2. The information referred to in Article 6(2) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XV.
Article 4
Significant event templates
1. The information referred to in Article 7(1) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XIV.
2. The information referred to in Article 7(2) of Delegated Regulation (EU) 2020/1224 shall be made available using the template set out in Annex XV.
SECTION 3
COMMON PROVISIONS
Article 5
Format of information
1. The format of the information provided in the templates set out in Annexes I to XV shall conform to the corresponding format set out in Table 1 of Annex I
2. The information shall be made available in an electronic and machine-readable form via common XML templates.
Article 6
Entry into force
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 29 October 2019.
For the Commission
The President
Jean-Claude JUNCKER
(1) OJ L 347, 28.12.2017, p. 35.
(2) Regulation (EU) 2017/1129 of the European Parliament and of the Council of 14 June 2017 on the prospectus to be published when securities are offered to the public or admitted to trading on a regulated market, and repealing Directive 2003/71/EC (OJ L 168, 30.6.2017, p. 12).
(3) Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (OJ L 201, 27.7.2012, p. 1).
(4) Regulation (EU) 2015/2365 of the European Parliament and of the Council of 25 November 2015 on transparency of securities financing transactions and of reuse and amending Regulation (EU) No 648/2012 (OJ L 337, 23.12.2015, p. 1).
(5) Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).
(6) Commission Delegated Regulation (EU) 2020/1224 of 16 October 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE (See page 1 of this Official Journal).
ANNEX I
Field formats
SYMBOL |
DATA TYPE |
DEFINITION |
{ALPHANUM-n} |
Up to n alphanumeric characters |
Free text field. To be entered in ASCII format in capital letters (no accented characters). |
{COUNTRYCODE_2} |
2 alphanumeric characters |
2 letter country code, as defined by ISO 3166-1 alpha-2 country code. To be entered in ASCII format (no accented characters). |
{CURRENCYCODE_3} |
3 alphanumeric characters |
3 letter currency code, as defined by ISO 4217 currency codes. To be entered in ASCII format (no accented characters). |
{YEAR} |
ISO 8601 year format |
Years to be formatted as follows: YYYY |
{DATEFORMAT} |
ISO 8601 date format |
Dates to be formatted as follows: YYYY-MM-DD |
{MONETARY} |
0-18 digits, of which up to 5 may be fractional digits |
A number of monetary units specified in a currency, where the unit of currency is explicit and compliant with ISO 4217. |
{NUMERIC} |
0-18 digits, of which up to 5 may be fractional digits |
Up to 18 numeric characters including up to 5 decimals. The decimal mark is not counted as a numeric character. If populated, it is to be represented by a dot. |
{INTEGER-n} |
Integer number of up to n |
Numerical field for both positive and negative integer values. |
{Y/N} |
1 alphanumeric character |
‘true’- Y ‘false’ - N |
{ISIN} |
12 alphanumeric characters |
ISIN code, as defined in ISO 6166 |
{LEI} |
20 alphanumeric characters |
Legal entity identifier, as specified in ISO 17442 |
{LIST} |
|
As set out in the specific field description |
{NUTS} |
5 alphanumeric characters |
Refers to the Nomenclature of Territorial Units for Statistics maintained by Eurostat. Information must be made available at the NUTS3 level. http://ec.europa.eu/eurostat/web/nuts/ |
{NACE} |
7 alphanumeric characters |
Refers to the statistical classification of economic activities in the European Union, maintained on the website cited in this definition box and as set out in Regulation (EC) No 1893/2006 of the European Parliament and of the Council (1). The most detailed level of classification must be made available for each economic activity (i.e. the full code – 6 or 7 character level, including decimals). http://ec.europa.eu/competition/mergers/cases/index/nace_all.html |
{PERCENTAGE} |
0-11 digits, of which up to 10 may be fractional digits. |
Rate expressed as a percentage, i.e., in hundredths, e.g. 0.7 is 7/10 of a percent, and 7.0 is 7%. |
{TELEPHONE} |
A "+" followed by the country code (from 1 to 3 characters) then a "-" and finally, any combination of numbers, "(",")", "+" and "-" (up to 30 characters). |
The collection of information which identifies a specific phone number as defined by telecom services. |
{ESA} |
7 alphanumeric characters |
The European System of Accounts (2010) sector, using the codes set out in Table 1 of Annex I to Commission Delegated Regulation (EU) 2020/1224 (2). http://ec.europa.eu/eurostat/cache/metadata/Annexes/nasa_10_f_esms_an1.pdf |
{WATCHLIST} |
2 alphanumeric characters |
The servicer watchlist code as set out in Table 2 of Annex I to Delegated Regulation (EU) 2020/1224 |
(1) Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).
(2) Commission Delegated Regulation (EU) 2020/1224 of 16 October 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE (See page 1 of this Official Journal).
ANNEX II
Underlying exposures template — Residential real estate (RRE)
FIELD CODE |
FIELD NAME |
FORMAT |
Underlying exposures information section |
||
RREL1 |
Unique Identifier |
{ALPHANUM-28} |
RREL2 |
Original Underlying Exposure Identifier |
{ALPHANUM-1000} |
RREL3 |
New Underlying Exposure Identifier |
{ALPHANUM-1000} |
RREL4 |
Original Obligor Identifier |
{ALPHANUM-1000} |
RREL5 |
New Obligor Identifier |
{ALPHANUM-1000} |
RREL6 |
Data Cut-Off Date |
{DATEFORMAT} |
RREL7 |
Pool Addition Date |
{DATEFORMAT} |
RREL8 |
Date Of Repurchase |
{DATEFORMAT} |
RREL9 |
Redemption Date |
{DATEFORMAT} |
RREL10 |
Resident |
{Y/N} |
RREL11 |
Geographic Region — Obligor |
{NUTS} |
RREL12 |
Geographic Region Classification |
{YEAR} |
RREL13 |
Employment Status |
{LIST} |
RREL14 |
Credit Impaired Obligor |
{Y/N} |
RREL15 |
Customer Type |
{LIST} |
RREL16 |
Primary Income |
{MONETARY} |
RREL17 |
Primary Income Type |
{LIST} |
RREL18 |
Primary Income Currency |
{CURRENCYCODE_3} |
RREL19 |
Primary Income Verification |
{LIST} |
RREL20 |
Secondary Income |
{MONETARY} |
RREL21 |
Secondary Income Verification |
{LIST} |
RREL22 |
Special Scheme |
{ALPHANUM-10000} |
RREL23 |
Origination Date |
{DATEFORMAT} |
RREL24 |
Maturity Date |
{DATEFORMAT} |
RREL25 |
Original Term |
{INTEGER-9999} |
RREL26 |
Origination Channel |
{LIST} |
RREL27 |
Purpose |
{LIST} |
RREL28 |
Currency Denomination |
{CURRENCYCODE_3} |
RREL29 |
Original Principal Balance |
{MONETARY} |
RREL30 |
Current Principal Balance |
{MONETARY} |
RREL31 |
Prior Principal Balances |
{MONETARY} |
RREL32 |
Pari Passu Underlying Exposures |
{MONETARY} |
RREL33 |
Total Credit Limit |
{MONETARY} |
RREL34 |
Purchase Price |
{PERCENTAGE} |
RREL35 |
Amortisation Type |
{LIST} |
RREL36 |
Principal Grace Period End Date |
{DATEFORMAT} |
RREL37 |
Scheduled Principal Payment Frequency |
{LIST} |
RREL38 |
Scheduled Interest Payment Frequency |
{LIST} |
RREL39 |
Payment Due |
{MONETARY} |
RREL40 |
Debt To Income Ratio |
{PERCENTAGE} |
RREL41 |
Balloon Amount |
{MONETARY} |
RREL42 |
Interest Rate Type |
{LIST} |
RREL43 |
Current Interest Rate |
{PERCENTAGE} |
RREL44 |
Current Interest Rate Index |
{LIST} |
RREL45 |
Current Interest Rate Index Tenor |
{LIST} |
RREL46 |
Current Interest Rate Margin |
{PERCENTAGE} |
RREL47 |
Interest Rate Reset Interval |
{INTEGER-9999} |
RREL48 |
Interest Rate Cap |
{PERCENTAGE} |
RREL49 |
Interest Rate Floor |
{PERCENTAGE} |
RREL50 |
Revision Margin 1 |
{PERCENTAGE} |
RREL51 |
Interest Revision Date 1 |
{DATEFORMAT} |
RREL52 |
Revision Margin 2 |
{PERCENTAGE} |
RREL53 |
Interest Revision Date 2 |
{DATEFORMAT} |
RREL54 |
Revision Margin 3 |
{PERCENTAGE} |
RREL55 |
Interest Revision Date 3 |
{DATEFORMAT} |
RREL56 |
Revised Interest Rate Index |
{LIST} |
RREL57 |
Revised Interest Rate Index Tenor |
{LIST} |
RREL58 |
Number Of Payments Before Securitisation |
{INTEGER-9999} |
RREL59 |
Percentage Of Prepayments Allowed Per Year |
{PERCENTAGE} |
RREL60 |
Prepayment Lock-Out End Date |
{DATEFORMAT} |
RREL61 |
Prepayment Fee |
{MONETARY} |
RREL62 |
Prepayment Fee End Date |
{DATEFORMAT} |
RREL63 |
Prepayment Date |
{DATEFORMAT} |
RREL64 |
Cumulative Prepayments |
{MONETARY} |
RREL65 |
Date Of Restructuring |
{DATEFORMAT} |
RREL66 |
Date Last In Arrears |
{DATEFORMAT} |
RREL67 |
Arrears Balance |
{MONETARY} |
RREL68 |
Number Of Days In Arrears |
{INTEGER-9999} |
RREL69 |
Account Status |
{LIST} |
RREL70 |
Reason for Default or Foreclosure |
{LIST} |
RREL71 |
Default Amount |
{MONETARY} |
RREL72 |
Default Date |
{DATEFORMAT} |
RREL73 |
Allocated Losses |
{MONETARY} |
RREL74 |
Cumulative Recoveries |
{MONETARY} |
RREL75 |
Litigation |
{Y/N} |
RREL76 |
Recourse |
{Y/N} |
RREL77 |
Deposit Amount |
{MONETARY} |
RREL78 |
Insurance Or Investment Provider |
{ALPHANUM-1000} |
RREL79 |
Original Lender Name |
{ALPHANUM-100} |
RREL80 |
Original Lender Legal Entity Identifier |
{LEI} |
RREL81 |
Original Lender Establishment Country |
{COUNTRYCODE_2} |
RREL82 |
Originator Name |
{ALPHANUM-100} |
RREL83 |
Originator Legal Entity Identifier |
{LEI} |
RREL84 |
Originator Establishment Country |
{COUNTRYCODE_2} |
Collateral-level information section |
||
RREC1 |
Unique Identifier |
{ALPHANUM-28} |
RREC2 |
Underlying Exposure Identifier |
{ALPHANUM-1000} |
RREC3 |
Original Collateral Identifier |
{ALPHANUM-1000} |
RREC4 |
New Collateral Identifier |
{ALPHANUM-1000} |
RREC5 |
Collateral Type |
{LIST} |
RREC6 |
Geographic Region — Collateral |
{NUTS} |
RREC7 |
Occupancy Type |
{LIST} |
RREC8 |
Lien |
{INTEGER-9999} |
RREC9 |
Property Type |
{LIST} |
RREC10 |
Energy Performance Certificate Value |
{LIST} |
RREC11 |
Energy Performance Certificate Provider Name |
{ALPHANUM-100} |
RREC12 |
Current Loan-To-Value |
{PERCENTAGE} |
RREC13 |
Current Valuation Amount |
{MONETARY} |
RREC14 |
Current Valuation Method |
{LIST} |
RREC15 |
Current Valuation Date |
{DATEFORMAT} |
RREC16 |
Original Loan-To-Value |
{PERCENTAGE} |
RREC17 |
Original Valuation Amount |
{MONETARY} |
RREC18 |
Original Valuation Method |
{LIST} |
RREC19 |
Original Valuation Date |
{DATEFORMAT} |
RREC20 |
Date Of Sale |
{DATEFORMAT} |
RREC21 |
Sale Price |
{MONETARY} |
RREC22 |
Collateral Currency |
{CURRENCYCODE_3} |
RREC23 |
Guarantor Type |
{LIST} |
ANNEX III
Underlying exposures template — Commercial real estate (CRE)
FIELD CODE |
FIELD NAME |
FORMAT |
Underlying exposures information section |
||
CREL1 |
Unique Identifier |
{ALPHANUM-28} |
CREL2 |
Original Obligor Identifier |
{ALPHANUM-1000} |
CREL3 |
New Obligor Identifier |
{ALPHANUM-1000} |
CREL4 |
Original Underlying Exposure Identifier |
{ALPHANUM-1000} |
CREL5 |
New Underlying Exposure Identifier |
{ALPHANUM-1000} |
CREL6 |
Data Cut-Off Date |
{DATEFORMAT} |
CREL7 |
Pool Addition Date |
{DATEFORMAT} |
CREL8 |
Date Of Restructuring |
{DATEFORMAT} |
CREL9 |
Date Of Repurchase |
{DATEFORMAT} |
CREL10 |
Date Of Substitution |
{DATEFORMAT} |
CREL11 |
Redemption Date |
{DATEFORMAT} |
CREL12 |
Geographic Region — Obligor |
{NUTS} |
CREL13 |
Geographic Region Classification |
{YEAR} |
CREL14 |
Special Scheme |
{ALPHANUM-10000} |
CREL15 |
Origination Date |
{DATEFORMAT} |
CREL16 |
Start Date Of Amortisation |
{DATEFORMAT} |
CREL17 |
Maturity Date At Securitisation Date |
{DATEFORMAT} |
CREL18 |
Maturity Date |
{DATEFORMAT} |
CREL19 |
Original Term |
{INTEGER-9999} |
CREL20 |
Duration Of Extension Option |
{INTEGER-9999} |
CREL21 |
Nature Of Extension Option |
{LIST} |
CREL22 |
Currency Denomination |
{CURRENCYCODE_3} |
CREL23 |
Current Principal Balance |
{MONETARY} |
CREL24 |
Original Principal Balance |
{MONETARY} |
CREL25 |
Original Principal Balance At Securitisation Date |
{MONETARY} |
CREL26 |
Committed Undrawn Facility Underlying Exposure Balance |
{MONETARY} |
CREL27 |
Total Other Amounts Outstanding |
{MONETARY} |
CREL28 |
Purchase Price |
{PERCENTAGE} |
CREL29 |
Latest Utilisation Date |
{DATEFORMAT} |
CREL30 |
Purpose |
{LIST} |
CREL31 |
Structure |
{LIST} |
CREL32 |
Waterfall A-B Pre Enforcement Scheduled Interest Payments |
{LIST} |
CREL33 |
Waterfall A-B Pre Enforcement Scheduled Principal Payments |
{LIST} |
CREL34 |
Principal Payment Allocation To Senior Loan |
{PERCENTAGE} |
CREL35 |
Waterfall Type |
{LIST} |
CREL36 |
Defaulted Underlying Exposure Purchase Price |
{PERCENTAGE} |
CREL37 |
Cure Payments Possible? |
{LIST} |
CREL38 |
Restrictions On Sale Of Subordinated Loan? |
{Y/N} |
CREL39 |
Subordinated Loan Holder Affiliated To Obligor? |
{Y/N} |
CREL40 |
Subordinated Loan Holder Control Of Workout Process |
{Y/N} |
CREL41 |
Do Non-Payments On Prior Ranking Claims Constitute A Default Of The Underlying Exposure? |
{Y/N} |
CREL42 |
Do Non-Payments On Equal Ranking Underlying Exposures Constitute Default Of Property? |
{Y/N} |
CREL43 |
Noteholder Consent |
{Y/N} |
CREL44 |
Noteholder Meeting Scheduled |
{DATEFORMAT} |
CREL45 |
Syndicated |
{Y/N} |
CREL46 |
Participation Of SSPE |
{LIST} |
CREL47 |
Consequence For Breach Of Financial Covenant |
{LIST} |
CREL48 |
Financial Information Non-Submission Penalties |
{Y/N} |
CREL49 |
Recourse |
{Y/N} |
CREL50 |
Recourse - 3rd Party |
{Y/N} |
CREL51 |
Servicing Standard |
{Y/N} |
CREL52 |
Amounts Held In Escrow |
{MONETARY} |
CREL53 |
Collection Of Escrows |
{Y/N} |
CREL54 |
Collection Of Other Reserves |
{Y/N} |
CREL55 |
Trigger For Escrow To Be Held |
{LIST} |
CREL56 |
Target Escrow Amounts/Reserves |
{MONETARY} |
CREL57 |
Escrow Account Release Conditions |
{ALPHANUM-1000} |
CREL58 |
Conditions Of Drawing Cash Reserve |
{LIST} |
CREL59 |
Escrow Account Currency |
{CURRENCYCODE_3} |
CREL60 |
Escrow Payments Currency |
{CURRENCYCODE_3} |
CREL61 |
Total Reserve Balance |
{MONETARY} |
CREL62 |
Reserve Balance Currency |
{CURRENCYCODE_3} |
CREL63 |
Escrow Trigger Event Occurred |
{Y/N} |
CREL64 |
Amounts Added To Escrows In Current Period |
{MONETARY} |
CREL65 |
Revenue |
{MONETARY} |
CREL66 |
Operating Expenses At Securitisation Date |
{MONETARY} |
CREL67 |
Capital Expenditures At Securitisation Date |
{MONETARY} |
CREL68 |
Financial Statement Currency |
{CURRENCYCODE_3} |
CREL69 |
Obligor Reporting Breach |
{Y/N} |
CREL70 |
Debt Service Coverage Ratio Method |
{LIST} |
CREL71 |
Debt Service Coverage Ratio Indicator At Securitisation Date |
{LIST} |
CREL72 |
Most Recent Debt Service Coverage Ratio Indicator |
{LIST} |
CREL73 |
Debt Service Coverage Ratio At The Securitisation Date |
{PERCENTAGE} |
CREL74 |
Current Debt Service Coverage Ratio |
{PERCENTAGE} |
CREL75 |
Original Loan-To-Value |
{PERCENTAGE} |
CREL76 |
Current Loan-To-Value |
{PERCENTAGE} |
CREL77 |
Interest Coverage Ratio At The Securitisation Date |
{PERCENTAGE} |
CREL78 |
Current Interest Coverage Ratio |
{PERCENTAGE} |
CREL79 |
Interest Coverage Ratio Method |
{LIST} |
CREL80 |
Number Of Properties At Securitisation Date |
{INTEGER-9999} |
CREL81 |
Number Of Properties At Data Cut-Off Date |
{INTEGER-9999} |
CREL82 |
Properties Collateralised To The Underlying Exposure |
{ALPHANUM-1000} |
CREL83 |
Property Portfolio Value At Securitisation Date |
{MONETARY} |
CREL84 |
Property Portfolio Valuation Currency At Securitisation Date |
{CURRENCYCODE_3} |
CREL85 |
Status Of Properties |
{LIST} |
CREL86 |
Valuation Date At Securitisation Date |
{DATEFORMAT} |
CREL87 |
Amortisation Type |
{LIST} |
CREL88 |
Principal Grace Period End Date |
{DATEFORMAT} |
CREL89 |
Grace Days Allowed |
{INTEGER-9999} |
CREL90 |
Scheduled Principal Payment Frequency |
{LIST} |
CREL91 |
Scheduled Interest Payment Frequency |
{LIST} |
CREL92 |
Number Of Payments Before Securitisation |
{INTEGER-9999} |
CREL93 |
Prepayment Terms Description |
{ALPHANUM-100} |
CREL94 |
Prepayment Lock-Out End Date |
{DATEFORMAT} |
CREL95 |
Yield Maintenance End Date |
{DATEFORMAT} |
CREL96 |
Prepayment Fee |
{MONETARY} |
CREL97 |
Prepayment Fee End Date |
{DATEFORMAT} |
CREL98 |
Unscheduled Principal Collections |
{MONETARY} |
CREL99 |
Liquidation/Prepayment Date |
{DATEFORMAT} |
CREL100 |
Liquidation/Prepayment Code |
{LIST} |
CREL101 |
Prepayment Interest Excess/Shortfall |
{MONETARY} |
CREL102 |
Payment Date |
{DATEFORMAT} |
CREL103 |
Next Payment Adjustment Date |
{DATEFORMAT} |
CREL104 |
Next Payment Date |
{DATEFORMAT} |
CREL105 |
Payment Due |
{MONETARY} |
CREL106 |
Original Interest Rate |
{PERCENTAGE} |
CREL107 |
Interest Rate At The Securitisation Date |
{PERCENTAGE} |
CREL108 |
First Payment Adjustment Date |
{DATEFORMAT} |
CREL109 |
Interest Rate Type |
{LIST} |
CREL110 |
Current Interest Rate |
{PERCENTAGE} |
CREL111 |
Current Interest Rate Index |
{LIST} |
CREL112 |
Current Interest Rate Index Tenor |
{LIST} |
CREL113 |
Current Interest Rate Margin |
{PERCENTAGE} |
CREL114 |
Interest Rate Reset Interval |
{INTEGER-9999} |
CREL115 |
Current Index Rate |
{PERCENTAGE} |
CREL116 |
Index Determination Date |
{DATEFORMAT} |
CREL117 |
Rounding Increment |
{PERCENTAGE} |
CREL118 |
Interest Rate Cap |
{PERCENTAGE} |
CREL119 |
Interest Rate Floor |
{PERCENTAGE} |
CREL120 |
Current Default Interest Rate |
{PERCENTAGE} |
CREL121 |
Accrual Of Interest Allowed |
{Y/N} |
CREL122 |
Day Count Convention |
{LIST} |
CREL123 |
Total Scheduled Principal & Interest Due |
{MONETARY} |
CREL124 |
Total Scheduled Principal & Interest Paid |
{MONETARY} |
CREL125 |
Negative Amortisation |
{MONETARY} |
CREL126 |
Deferred Interest |
{MONETARY} |
CREL127 |
Total Shortfalls In Principal & Interest Outstanding |
{MONETARY} |
CREL128 |
Date Last In Arrears |
{DATEFORMAT} |
CREL129 |
Arrears Balance |
{MONETARY} |
CREL130 |
Number Of Days In Arrears |
{INTEGER-9999} |
CREL131 |
Reason for Default or Foreclosure |
{LIST} |
CREL132 |
Default Amount |
{MONETARY} |
CREL133 |
Default Date |
{DATEFORMAT} |
CREL134 |
Interest In Arrears |
{Y/N} |
CREL135 |
Actual Default Interest |
{MONETARY} |
CREL136 |
Account Status |
{LIST} |
CREL137 |
Allocated Losses |
{MONETARY} |
CREL138 |
Net Proceeds Received On Liquidation |
{MONETARY} |
CREL139 |
Liquidation Expense |
{MONETARY} |
CREL140 |
Expected Timing Of Recoveries |
{INTEGER-9999} |
CREL141 |
Cumulative Recoveries |
{MONETARY} |
CREL142 |
Enforcement Start Date |
{DATEFORMAT} |
CREL143 |
Workout Strategy Code |
{LIST} |
CREL144 |
Modification |
{LIST} |
CREL145 |
Special Servicing Status |
{Y/N} |
CREL146 |
Most Recent Special Servicer Transfer Date |
{DATEFORMAT} |
CREL147 |
Most Recent Primary Servicer Return Date |
{DATEFORMAT} |
CREL148 |
Non Recoverability Determined |
{Y/N} |
CREL149 |
Covenant Breach/Trigger |
{LIST} |
CREL150 |
Date Of Breach |
{DATEFORMAT} |
CREL151 |
Date Of Breach Cure |
{DATEFORMAT} |
CREL152 |
Servicer Watchlist Code |
{WATCHLIST} |
CREL153 |
Servicer Watchlist Date |
{DATEFORMAT} |
CREL154 |
Interest Rate Swap Provider |
{ALPHANUM-1000} |
CREL155 |
Interest Rate Swap Provider Legal Entity Identifier |
{LEI} |
CREL156 |
Interest Rate Swap Maturity Date |
{DATEFORMAT} |
CREL157 |
Interest Rate Swap Notional |
{MONETARY} |
CREL158 |
Currency Swap Provider |
{ALPHANUM-1000} |
CREL159 |
Currency Swap Provider Legal Entity Identifier |
{LEI} |
CREL160 |
Currency Swap Maturity Date |
{DATEFORMAT} |
CREL161 |
Currency Swap Notional |
{MONETARY} |
CREL162 |
Exchange Rate For Swap |
{PERCENTAGE} |
CREL163 |
Other Swap Provider |
{ALPHANUM-1000} |
CREL164 |
Other Swap Provider Legal Entity Identifier |
{LEI} |
CREL165 |
Obligor Must Pay Breakage On Swap |
{LIST} |
CREL166 |
Full Or Partial Termination Event Of Swap For Current Period |
{LIST} |
CREL167 |
Net Periodic Payment Made By Swap Provider |
{MONETARY} |
CREL168 |
Breakage Costs Due To Underlying Exposure Swap Provider |
{MONETARY} |
CREL169 |
Shortfall In Payment Of Breakage Costs On Swap |
{MONETARY} |
CREL170 |
Breakage Costs Due From Swap Counterparty |
{MONETARY} |
CREL171 |
Next Swap Reset Date |
{DATEFORMAT} |
CREL172 |
Sponsor |
{ALPHANUM-100} |
CREL173 |
Agent Bank Of Syndication Legal Entity Identifier |
{LEI} |
CREL174 |
Servicer Legal Entity Identifier |
{LEI} |
CREL175 |
Servicer Name |
{ALPHANUM-100} |
CREL176 |
Originator Name |
{ALPHANUM-100} |
CREL177 |
Originator Legal Entity Identifier |
{LEI} |
CREL178 |
Originator Establishment Country |
{COUNTRYCODE_2} |
CREL179 |
Original Lender Name |
{ALPHANUM-100} |
CREL180 |
Original Lender Legal Entity Identifier |
{LEI} |
CREL181 |
Original Lender Establishment Country |
{COUNTRYCODE_2} |
Collateral-level information section |
||
CREC1 |
Unique Identifier |
{ALPHANUM-28} |
CREC2 |
Underlying Exposure Identifier |
{ALPHANUM-1000} |
CREC3 |
Original Collateral Identifier |
{ALPHANUM-1000} |
CREC4 |
New Collateral Identifier |
{ALPHANUM-1000} |
CREC5 |
Collateral Type |
{LIST} |
CREC6 |
Property Name |
{ALPHANUM-100} |
CREC7 |
Property Address |
{ALPHANUM-1000} |
CREC8 |
Geographic Region — Collateral |
{NUTS} |
CREC9 |
Property Post Code |
{ALPHANUM-100} |
CREC10 |
Lien |
{INTEGER-9999} |
CREC11 |
Property Status |
{LIST} |
CREC12 |
Property Type |
{LIST} |
CREC13 |
Property Form Of Title |
{LIST} |
CREC14 |
Current Valuation Date |
{DATEFORMAT} |
CREC15 |
Current Valuation Amount |
{MONETARY} |
CREC16 |
Current Valuation Method |
{LIST} |
CREC17 |
Current Valuation Basis |
{LIST} |
CREC18 |
Original Valuation Method |
{LIST} |
CREC19 |
Collateral Securitisation Date |
{DATEFORMAT} |
CREC20 |
Allocated Percentage Of Underlying Exposure At Securitisation Date |
{PERCENTAGE} |
CREC21 |
Current Allocated Underlying Exposure Percentage |
{PERCENTAGE} |
CREC22 |
Valuation At Securitisation |
{MONETARY} |
CREC23 |
Name Of Valuer At Securitisation |
{ALPHANUM-100} |
CREC24 |
Date Of Valuation At Securitisation |
{DATEFORMAT} |
CREC25 |
Year Built |
{YEAR} |
CREC26 |
Year Last Renovated |
{YEAR} |
CREC27 |
Number Of Units |
{INTEGER-999999999} |
CREC28 |
Net Square Metres |
{INTEGER-999999999} |
CREC29 |
Commercial Area |
{INTEGER-999999999} |
CREC30 |
Residential Area |
{INTEGER-999999999} |
CREC31 |
Net Internal Floor Area Validated |
{Y/N} |
CREC32 |
Occupancy As Of Date |
{DATEFORMAT} |
CREC33 |
Economic Occupancy At Securitisation |
{PERCENTAGE} |
CREC34 |
Physical Occupancy At Securitisation |
{PERCENTAGE} |
CREC35 |
Vacant Possession Value At Securitisation Date |
{MONETARY} |
CREC36 |
Date Of Financials At Securitisation |
{DATEFORMAT} |
CREC37 |
Net Operating Income At Securitisation |
{MONETARY} |
CREC38 |
Most Recent Financials As Of Start Date |
{DATEFORMAT} |
CREC39 |
Most Recent Financials As Of End Date |
{DATEFORMAT} |
CREC40 |
Most Recent Revenue |
{MONETARY} |
CREC41 |
Most Recent Operating Expenses |
{MONETARY} |
CREC42 |
Most Recent Capital Expenditure |
{MONETARY} |
CREC43 |
Ground Rent Payable |
{MONETARY} |
CREC44 |
Weighted Average Lease Terms |
{INTEGER-9999} |
CREC45 |
Property Leasehold Expiry |
{DATEFORMAT} |
CREC46 |
Contractual Annual Rental Income |
{MONETARY} |
CREC47 |
Income Expiring 1-12 Months |
{PERCENTAGE} |
CREC48 |
Income Expiring 13-24 Months |
{PERCENTAGE} |
CREC49 |
Income Expiring 25-36 Months |
{PERCENTAGE} |
CREC50 |
Income Expiring 37-48 Months |
{PERCENTAGE} |
CREC51 |
Income Expiring 49+ Months |
{PERCENTAGE} |
Tenant-level information section |
||
CRET1 |
Unique Identifier |
{ALPHANUM-28} |
CRET2 |
Underlying Exposure Identifier |
{ALPHANUM-1000} |
CRET3 |
Collateral Identifier |
{ALPHANUM-1000} |
CRET4 |
Tenant Identifier |
{ALPHANUM-1000} |
CRET5 |
Tenant Name |
{ALPHANUM-100} |
CRET6 |
NACE Industry Code |
{NACE} |
CRET7 |
Date Of Lease Expiration |
{DATEFORMAT} |
CRET8 |
Rent Payable |
{MONETARY} |
CRET9 |
Rent Currency |
{CURRENCYCODE_3} |
ANNEX IV
Underlying exposures template — Corporate
FIELD CODE |
FIELD NAME |
FORMAT |
Underlying exposures information section |
||
CRPL1 |
Unique Identifier |
{ALPHANUM-28} |
CRPL2 |
Original Underlying Exposure Identifier |
{ALPHANUM-1000} |
CRPL3 |
New Underlying Exposure Identifier |
{ALPHANUM-1000} |
CRPL4 |
Original Obligor Identifier |
{ALPHANUM-1000} |
CRPL5 |
New Obligor Identifier |
{ALPHANUM-1000} |
CRPL6 |
Data Cut-Off Date |
{DATEFORMAT} |
CRPL7 |
Pool Addition Date |
{DATEFORMAT} |
CRPL8 |
Date Of Repurchase |
{DATEFORMAT} |
CRPL9 |
Redemption Date |
{DATEFORMAT} |
CRPL10 |
Geographic Region — Obligor |
{NUTS} |
CRPL11 |
Geographic Region Classification |
{YEAR} |
CRPL12 |
Credit Impaired Obligor |
{Y/N} |
CRPL13 |
Customer Type |
{LIST} |
CRPL14 |
NACE Industry Code |
{NACE} |
CRPL15 |
Obligor Basel III Segment |
{LIST} |
CRPL16 |
Enterprise Size |
{LIST} |
CRPL17 |
Revenue |
{MONETARY} |
CRPL18 |
Total Debt |
{MONETARY} |
CRPL19 |
EBITDA |
{MONETARY} |
CRPL20 |
Enterprise Value |
{MONETARY} |
CRPL21 |
Free Cashflow |
{MONETARY} |
CRPL22 |
Date Of Financials |
{DATEFORMAT} |
CRPL23 |
Financial Statement Currency |
{CURRENCYCODE_3} |
CRPL24 |
Debt Type |
{LIST} |
CRPL25 |
Securitised Receivables |
{LIST} |
CRPL26 |
International Securities Identification Number |
{ISIN} |
CRPL27 |
Seniority |
{LIST} |
CRPL28 |
Syndicated |
{Y/N} |
CRPL29 |
Leveraged Transaction |
{Y/N} |
CRPL30 |
Managed by CLO |
{Y/N} |
CRPL31 |
Payment in Kind |
{Y/N} |
CRPL32 |
Special Scheme |
{ALPHANUM-10000} |
CRPL33 |
Origination Date |
{DATEFORMAT} |
CRPL34 |
Maturity Date |
{DATEFORMAT} |
CRPL35 |
Origination Channel |
{LIST} |
CRPL36 |
Purpose |
{LIST} |
CRPL37 |
Currency Denomination |
{CURRENCYCODE_3} |
CRPL38 |
Original Principal Balance |
{MONETARY} |
CRPL39 |
Current Principal Balance |
{MONETARY} |
CRPL40 |
Prior Principal Balances |
{MONETARY} |
CRPL41 |
Market Value |
{MONETARY} |
CRPL42 |
Total Credit Limit |
{MONETARY} |
CRPL43 |
Purchase Price |
{PERCENTAGE} |
CRPL44 |
Put Date |
{DATEFORMAT} |
CRPL45 |
Put Strike |
{MONETARY} |
CRPL46 |
Amortisation Type |
{LIST} |
CRPL47 |
Principal Grace Period End Date |
{DATEFORMAT} |
CRPL48 |
Scheduled Principal Payment Frequency |
{LIST} |
CRPL49 |
Scheduled Interest Payment Frequency |
{LIST} |
CRPL50 |
Payment Due |
{MONETARY} |
CRPL51 |
Balloon Amount |
{MONETARY} |
CRPL52 |
Interest Rate Type |
{LIST} |
CRPL53 |
Current Interest Rate |
{PERCENTAGE} |
CRPL54 |
Current Interest Rate Index |
{LIST} |
CRPL55 |
Current Interest Rate Index Tenor |
{LIST} |
CRPL56 |
Current Interest Rate Margin |
{PERCENTAGE} |
CRPL57 |
Interest Rate Reset Interval |
{INTEGER-9999} |
CRPL58 |
Interest Rate Cap |
{PERCENTAGE} |
CRPL59 |
Interest Rate Floor |
{PERCENTAGE} |
CRPL60 |
Revision Margin 1 |
{PERCENTAGE} |
CRPL61 |
Interest Revision Date 1 |
{DATEFORMAT} |
CRPL62 |
Revision Margin 2 |
{PERCENTAGE} |
CRPL63 |
Interest Revision Date 2 |
{DATEFORMAT} |
CRPL64 |
Revision Margin 3 |
{PERCENTAGE} |
CRPL65 |
Interest Revision Date 3 |
{DATEFORMAT} |
CRPL66 |
Revised Interest Rate Index |
{LIST} |
CRPL67 |
Revised Interest Rate Index Tenor |
{LIST} |
CRPL68 |
Number Of Payments Before Securitisation |
{INTEGER-9999} |
CRPL69 |
Percentage Of Prepayments Allowed Per Year |
{PERCENTAGE} |
CRPL70 |
Prepayment Lock-Out End Date |
{DATEFORMAT} |
CRPL71 |
Prepayment Fee |
{MONETARY} |
CRPL72 |
Prepayment Fee End Date |
{DATEFORMAT} |
CRPL73 |
Prepayment Date |
{DATEFORMAT} |
CRPL74 |
Cumulative Prepayments |
{MONETARY} |
CRPL75 |
Date Of Restructuring |
{DATEFORMAT} |
CRPL76 |
Date Last In Arrears |
{DATEFORMAT} |
CRPL77 |
Arrears Balance |
{MONETARY} |
CRPL78 |
Number Of Days In Arrears |
{INTEGER-9999} |
CRPL79 |
Account Status |
{LIST} |
CRPL80 |
Reason for Default or Foreclosure |
{LIST} |
CRPL81 |
Default Amount |
{MONETARY} |
CRPL82 |
Default Date |
{DATEFORMAT} |
CRPL83 |
Allocated Losses |
{MONETARY} |
CRPL84 |
Cumulative Recoveries |
{MONETARY} |
CRPL85 |
Recovery Source |
{LIST} |
CRPL86 |
Recourse |
{Y/N} |
CRPL87 |
Deposit Amount |
{MONETARY} |
CRPL88 |
Interest Rate Swap Notional |
{MONETARY} |
CRPL89 |
Interest Rate Swap Provider Legal Entity Identifier |
{LEI} |
CRPL90 |
Interest Rate Swap Provider |
{ALPHANUM-1000} |
CRPL91 |
Interest Rate Swap Maturity Date |
{DATEFORMAT} |
CRPL92 |
Currency Swap Notional |
{MONETARY} |
CRPL93 |
Currency Swap Provider Legal Entity Identifier |
{LEI} |
CRPL94 |
Currency Swap Provider |
{ALPHANUM-1000} |
CRPL95 |
Currency Swap Maturity Date |
{DATEFORMAT} |
CRPL96 |
Original Lender Name |
{ALPHANUM-100} |
CRPL97 |
Original Lender Legal Entity Identifier |
{LEI} |
CRPL98 |
Original Lender Establishment Country |
{COUNTRYCODE_2} |
CRPL99 |
Originator Name |
{ALPHANUM-100} |
CRPL100 |
Originator Legal Entity Identifier |
{LEI} |
CRPL101 |
Originator Establishment Country |
{COUNTRYCODE_2} |
Collateral-level information section |
||
CRPC1 |
Unique Identifier |
{ALPHANUM-28} |
CRPC2 |
Underlying Exposure Identifier |
{ALPHANUM-1000} |
CRPC3 |
Original Collateral Identifier |
{ALPHANUM-1000} |
CRPC4 |
New Collateral Identifier |
{ALPHANUM-1000} |
CRPC5 |
Geographic Region — Collateral |
{NUTS} |
CRPC6 |
Security Type |
{LIST} |
CRPC7 |
Charge Type |
{LIST} |
CRPC8 |
Lien |
{INTEGER-9999} |
CRPC9 |
Collateral Type |
{LIST} |
CRPC10 |
Current Valuation Amount |
{MONETARY} |
CRPC11 |
Current Valuation Method |
{LIST} |
CRPC12 |
Current Valuation Date |
{DATEFORMAT} |
CRPC13 |
Original Valuation Amount |
{MONETARY} |
CRPC14 |
Original Valuation Method |
{LIST} |
CRPC15 |
Original Valuation Date |
{DATEFORMAT} |
CRPC16 |
Date Of Sale |
{DATEFORMAT} |
CRPC17 |
Sale Price |
{MONETARY} |
CRPC18 |
Collateral Currency |
{CURRENCYCODE_3} |
CRPC19 |
Guarantor Country |
{COUNTRYCODE_2} |
CRPC20 |
Guarantor ESA Subsector |
{ESA} |
ANNEX V
Underlying exposures template — Automobile
FIELD CODE |
FIELD NAME |
FORMAT |
Underlying exposures information section |
||
AUTL1 |
Unique Identifier |
{ALPHANUM-28} |
AUTL2 |
Original Underlying Exposure Identifier |
{ALPHANUM-1000} |
AUTL3 |
New Underlying Exposure Identifier |
{ALPHANUM-1000} |
AUTL4 |
Original Obligor Identifier |
{ALPHANUM-1000} |
AUTL5 |
New Obligor Identifier |
{ALPHANUM-1000} |
AUTL6 |
Data Cut-Off Date |
{DATEFORMAT} |
AUTL7 |
Pool Addition Date |
{DATEFORMAT} |
AUTL8 |
Date Of Repurchase |
{DATEFORMAT} |
AUTL9 |
Redemption Date |
{DATEFORMAT} |
AUTL10 |
Geographic Region — Obligor |
{NUTS} |
AUTL11 |
Geographic Region Classification |
{YEAR} |
AUTL12 |
Employment Status |
{LIST} |
AUTL13 |
Credit Impaired Obligor |
{Y/N} |
AUTL14 |
Obligor Legal Type |
{LIST} |
AUTL15 |
Customer Type |
{LIST} |
AUTL16 |
Primary Income |
{MONETARY} |
AUTL17 |
Primary Income Type |
{LIST} |
AUTL18 |
Primary Income Currency |
{CURRENCYCODE_3} |
AUTL19 |
Primary Income Verification |
{LIST} |
AUTL20 |
Revenue |
{MONETARY} |
AUTL21 |
Financial Statement Currency |
{CURRENCYCODE_3} |
AUTL22 |
Special Scheme |
{ALPHANUM-10000} |
AUTL23 |
Product Type |
{LIST} |
AUTL24 |
Origination Date |
{DATEFORMAT} |
AUTL25 |
Maturity Date |
{DATEFORMAT} |
AUTL26 |
Original Term |
{INTEGER-9999} |
AUTL27 |
Origination Channel |
{LIST} |
AUTL28 |
Currency Denomination |
{CURRENCYCODE_3} |
AUTL29 |
Original Principal Balance |
{MONETARY} |
AUTL30 |
Current Principal Balance |
{MONETARY} |
AUTL31 |
Purchase Price |
{PERCENTAGE} |
AUTL32 |
Amortisation Type |
{LIST} |
AUTL33 |
Principal Grace Period End Date |
{DATEFORMAT} |
AUTL34 |
Scheduled Principal Payment Frequency |
{LIST} |
AUTL35 |
Scheduled Interest Payment Frequency |
{LIST} |
AUTL36 |
Payment Method |
{LIST} |
AUTL37 |
Payment Due |
{MONETARY} |
AUTL38 |
Balloon Amount |
{MONETARY} |
AUTL39 |
Down Payment Amount |
{MONETARY} |
AUTL40 |
Current Interest Rate |
{PERCENTAGE} |
AUTL41 |
Current Interest Rate Index |
{LIST} |
AUTL42 |
Current Interest Rate Index Tenor |
{LIST} |
AUTL43 |
Current Interest Rate Margin |
{PERCENTAGE} |
AUTL44 |
Interest Rate Reset Interval |
{INTEGER-9999} |
AUTL45 |
Interest Rate Cap |
{PERCENTAGE} |
AUTL46 |
Interest Rate Floor |
{PERCENTAGE} |
AUTL47 |
Number Of Payments Before Securitisation |
{INTEGER-9999} |
AUTL48 |
Percentage Of Prepayments Allowed Per Year |
{PERCENTAGE} |
AUTL49 |
Prepayment Fee |
{MONETARY} |
AUTL50 |
Prepayment Fee End Date |
{DATEFORMAT} |
AUTL51 |
Prepayment Date |
{DATEFORMAT} |
AUTL52 |
Cumulative Prepayments |
{MONETARY} |
AUTL53 |
Manufacturer |
{ALPHANUM-100} |
AUTL54 |
Model |
{ALPHANUM-100} |
AUTL55 |
Year Of Registration |
{YEAR} |
AUTL56 |
New Or Used |
{LIST} |
AUTL57 |
Energy Performance Certificate Value |
{LIST} |
AUTL58 |
Energy Performance Certificate Provider Name |
{ALPHANUM-100} |
AUTL59 |
Original Loan-To-Value |
{PERCENTAGE} |
AUTL60 |
Original Valuation Amount |
{MONETARY} |
AUTL61 |
Original Residual Value Of Vehicle |
{MONETARY} |
AUTL62 |
Option To Buy Price |
{MONETARY} |
AUTL63 |
Securitised Residual Value |
{MONETARY} |
AUTL64 |
Updated Residual Value Of Vehicle |
{MONETARY} |
AUTL65 |
Date Of Updated Residual Valuation Of Vehicle |
{DATEFORMAT} |
AUTL66 |
Date Of Restructuring |
{DATEFORMAT} |
AUTL67 |
Date Last In Arrears |
{DATEFORMAT} |
AUTL68 |
Arrears Balance |
{MONETARY} |
AUTL69 |
Number Of Days In Arrears |
{INTEGER-9999} |
AUTL70 |
Account Status |
{LIST} |
AUTL71 |
Reason for Default or Foreclosure |
{LIST} |
AUTL72 |
Default Amount |
{MONETARY} |
AUTL73 |
Default Date |
{DATEFORMAT} |
AUTL74 |
Allocated Losses |
{MONETARY} |
AUTL75 |
Residual Value Losses |
{MONETARY} |
AUTL76 |
Cumulative Recoveries |
{MONETARY} |
AUTL77 |
Sale Price |
{MONETARY} |
AUTL78 |
Deposit Amount |
{MONETARY} |
AUTL79 |
Original Lender Name |
{ALPHANUM-100} |
AUTL80 |
Original Lender Legal Entity Identifier |
{LEI} |
AUTL81 |
Original Lender Establishment Country |
{COUNTRYCODE_2} |
AUTL82 |
Originator Name |
{ALPHANUM-100} |
AUTL83 |
Originator Legal Entity Identifier |
{LEI} |
AUTL84 |
Originator Establishment Country |
{COUNTRYCODE_2} |
ANNEX VI
Underlying exposures template — Consumer
FIELD CODE |
FIELD NAME |
FORMAT |
Underlying exposures information section |
||
CMRL1 |
Unique Identifier |
{ALPHANUM-28} |
CMRL2 |
Original Underlying Exposure Identifier |
{ALPHANUM-1000} |
CMRL3 |
New Underlying Exposure Identifier |
{ALPHANUM-1000} |
CMRL4 |
Original Obligor Identifier |
{ALPHANUM-1000} |
CMRL5 |
New Obligor Identifier |
{ALPHANUM-1000} |
CMRL6 |
Data Cut-Off Date |
{DATEFORMAT} |
CMRL7 |
Pool Addition Date |
{DATEFORMAT} |
CMRL8 |
Date Of Repurchase |
{DATEFORMAT} |
CMRL9 |
Redemption Date |
{DATEFORMAT} |
CMRL10 |
Geographic Region — Obligor |
{NUTS} |
CMRL11 |
Geographic Region Classification |
{YEAR} |
CMRL12 |
Employment Status |
{LIST} |
CMRL13 |
Credit Impaired Obligor |
{Y/N} |
CMRL14 |
Customer Type |
{LIST} |
CMRL15 |
Primary Income |
{MONETARY} |
CMRL16 |
Primary Income Type |
{LIST} |
CMRL17 |
Primary Income Currency |
{CURRENCYCODE_3} |
CMRL18 |
Primary Income Verification |
{LIST} |
CMRL19 |
Secured By Salary/Pension Assignment |
{Y/N} |
CMRL20 |
Special Scheme |
{ALPHANUM-10000} |
CMRL21 |
Origination Date |
{DATEFORMAT} |
CMRL22 |
Maturity Date |
{DATEFORMAT} |
CMRL23 |
Original Term |
{INTEGER-9999} |
CMRL24 |
Origination Channel |
{LIST} |
CMRL25 |
Purpose |
{LIST} |
CMRL26 |
Currency Denomination |
{CURRENCYCODE_3} |
CMRL27 |
Original Principal Balance |
{MONETARY} |
CMRL28 |
Current Principal Balance |
{MONETARY} |
CMRL29 |
Total Credit Limit |
{MONETARY} |
CMRL30 |
Revolving End Date |
{DATEFORMAT} |
CMRL31 |
Purchase Price |
{PERCENTAGE} |
CMRL32 |
Amortisation Type |
{LIST} |
CMRL33 |
Principal Grace Period End Date |
{DATEFORMAT} |
CMRL34 |
Scheduled Principal Payment Frequency |
{LIST} |
CMRL35 |
Scheduled Interest Payment Frequency |
{LIST} |
CMRL36 |
Payment Due |
{MONETARY} |
CMRL37 |
Current Interest Rate |
{PERCENTAGE} |
CMRL38 |
Current Interest Rate Index |
{LIST} |
CMRL39 |
Current Interest Rate Index Tenor |
{LIST} |
CMRL40 |
Current Interest Rate Margin |
{PERCENTAGE} |
CMRL41 |
Interest Rate Reset Interval |
{INTEGER-9999} |
CMRL42 |
Interest Rate Cap |
{PERCENTAGE} |
CMRL43 |
Interest Rate Floor |
{PERCENTAGE} |
CMRL44 |
Number Of Payments Before Securitisation |
{INTEGER-9999} |
CMRL45 |
Percentage Of Prepayments Allowed Per Year |
{PERCENTAGE} |
CMRL46 |
Prepayment Lock-Out End Date |
{DATEFORMAT} |
CMRL47 |
Prepayment Fee |
{MONETARY} |
CMRL48 |
Prepayment Fee End Date |
{DATEFORMAT} |
CMRL49 |
Prepayment Date |
{DATEFORMAT} |
CMRL50 |
Cumulative Prepayments |
{MONETARY} |
CMRL51 |
Date Of Restructuring |
{DATEFORMAT} |
CMRL52 |
Date Last In Arrears |
{DATEFORMAT} |
CMRL53 |
Arrears Balance |
{MONETARY} |
CMRL54 |
Number Of Days In Arrears |
{INTEGER-9999} |
CMRL55 |
Account Status |
{LIST} |
CMRL56 |
Reason for Default or Foreclosure |
{LIST} |
CMRL57 |
Default Amount |
{MONETARY} |
CMRL58 |
Default Date |
{DATEFORMAT} |
CMRL59 |
Allocated Losses |
{MONETARY} |
CMRL60 |
Cumulative Recoveries |
{MONETARY} |
CMRL61 |
Deposit Amount |
{MONETARY} |
CMRL62 |
Original Lender Name |
{ALPHANUM-100} |
CMRL63 |
Original Lender Legal Entity Identifier |
{LEI} |
CMRL64 |
Original Lender Establishment Country |
{COUNTRYCODE_2} |
CMRL65 |
Originator Name |
{ALPHANUM-100} |
CMRL66 |
Originator Legal Entity Identifier |
{LEI} |
CMRL67 |
Originator Establishment Country |
{COUNTRYCODE_2} |
CMRL68 |
Energy Performance Certificate Value |
{LIST} |
CMRL69 |
Energy Performance Certificate Provider Name |
{ALPHANUM-100} |
ANNEX VII
Underlying exposures template — Credit card
FIELD CODE |
FIELD NAME |
FORMAT |
Underlying exposures information section |
||
CCDL1 |
Unique Identifier |
{ALPHANUM-28} |
CCDL2 |
Original Underlying Exposure Identifier |
{ALPHANUM-1000} |
CCDL3 |
New Underlying Exposure Identifier |
{ALPHANUM-1000} |
CCDL4 |
Original Obligor Identifier |
{ALPHANUM-1000} |
CCDL5 |
New Obligor Identifier |
{ALPHANUM-1000} |
CCDL6 |
Data Cut-Off Date |
{DATEFORMAT} |
CCDL7 |
Pool Addition Date |
{DATEFORMAT} |
CCDL8 |
Date Of Repurchase |
{DATEFORMAT} |
CCDL9 |
Geographic Region — Obligor |
{NUTS} |
CCDL10 |
Geographic Region Classification |
{YEAR} |
CCDL11 |
Employment Status |
{LIST} |
CCDL12 |
Credit Impaired Obligor |
{Y/N} |
CCDL13 |
Customer Type |
{LIST} |
CCDL14 |
Primary Income |
{MONETARY} |
CCDL15 |
Primary Income Type |
{LIST} |
CCDL16 |
Primary Income Currency |
{CURRENCYCODE_3} |
CCDL17 |
Primary Income Verification |
{LIST} |
CCDL18 |
Special Scheme |
{ALPHANUM-10000} |
CCDL19 |
Origination Date |
{DATEFORMAT} |
CCDL20 |
Origination Channel |
{LIST} |
CCDL21 |
Currency Denomination |
{CURRENCYCODE_3} |
CCDL22 |
Current Principal Balance |
{MONETARY} |
CCDL23 |
Total Credit Limit |
{MONETARY} |
CCDL24 |
Purchase Price |
{PERCENTAGE} |
CCDL25 |
Principal Grace Period End Date |
{DATEFORMAT} |
CCDL26 |
Scheduled Principal Payment Frequency |
{LIST} |
CCDL27 |
Scheduled Interest Payment Frequency |
{LIST} |
CCDL28 |
Payment Due |
{MONETARY} |
CCDL29 |
Current Interest Rate |
{PERCENTAGE} |
CCDL30 |
Current Interest Rate Index |
{LIST} |
CCDL31 |
Current Interest Rate Index Tenor |
{LIST} |
CCDL32 |
Number Of Payments Before Securitisation |
{INTEGER-9999} |
CCDL33 |
Date Of Restructuring |
{DATEFORMAT} |
CCDL34 |
Date Last In Arrears |
{DATEFORMAT} |
CCDL35 |
Number Of Days In Arrears |
{INTEGER-9999} |
CCDL36 |
Arrears Balance |
{MONETARY} |
CCDL37 |
Account Status |
{LIST} |
CCDL38 |
Reason for Default or Foreclosure |
{LIST} |
CCDL39 |
Default Amount |
{MONETARY} |
CCDL40 |
Default Date |
{DATEFORMAT} |
CCDL41 |
Cumulative Recoveries |
{MONETARY} |
CCDL42 |
Original Lender Name |
{ALPHANUM-100} |
CCDL43 |
Original Lender Legal Entity Identifier |
{LEI} |
CCDL44 |
Original Lender Establishment Country |
{COUNTRYCODE_2} |
CCDL45 |
Originator Name |
{ALPHANUM-100} |
CCDL46 |
Originator Legal Entity Identifier |
{LEI} |
CCDL47 |
Originator Establishment Country |
{COUNTRYCODE_2} |
ANNEX VIII
Underlying exposures template — Leasing
FIELD CODE |
FIELD NAME |
FORMAT |
Underlying exposures information section |
||
LESL1 |
Unique Identifier |
{ALPHANUM-28} |
LESL2 |
Original Underlying Exposure Identifier |
{ALPHANUM-1000} |
LESL3 |
New Underlying Exposure Identifier |
{ALPHANUM-1000} |
LESL4 |
Original Obligor Identifier |
{ALPHANUM-1000} |
LESL5 |
New Obligor Identifier |
{ALPHANUM-1000} |
LESL6 |
Data Cut-Off Date |
{DATEFORMAT} |
LESL7 |
Pool Addition Date |
{DATEFORMAT} |
LESL8 |
Date Of Repurchase |
{DATEFORMAT} |
LESL9 |
Redemption Date |
{DATEFORMAT} |
LESL10 |
Geographic Region — Obligor |
{NUTS} |
LESL11 |
Geographic Region Classification |
{YEAR} |
LESL12 |
Credit Impaired Obligor |
{Y/N} |
LESL13 |
Obligor Basel III Segment |
{LIST} |
LESL14 |
Customer Type |
{LIST} |
LESL15 |
NACE Industry Code |
{NACE} |
LESL16 |
Enterprise Size |
{LIST} |
LESL17 |
Revenue |
{MONETARY} |
LESL18 |
Financial Statement Currency |
{CURRENCYCODE_3} |
LESL19 |
Product Type |
{LIST} |
LESL20 |
Syndicated |
{Y/N} |
LESL21 |
Special Scheme |
{ALPHANUM-10000} |
LESL22 |
Origination Date |
{DATEFORMAT} |
LESL23 |
Maturity Date |
{DATEFORMAT} |
LESL24 |
Original Term |
{INTEGER-9999} |
LESL25 |
Origination Channel |
{LIST} |
LESL26 |
Currency Denomination |
{CURRENCYCODE_3} |
LESL27 |
Original Principal Balance |
{MONETARY} |
LESL28 |
Current Principal Balance |
{MONETARY} |
LESL29 |
Purchase Price |
{PERCENTAGE} |
LESL30 |
Securitised Residual Value |
{MONETARY} |
LESL31 |
Amortisation Type |
{LIST} |
LESL32 |
Principal Grace Period End Date |
{DATEFORMAT} |
LESL33 |
Scheduled Principal Payment Frequency |
{LIST} |
LESL34 |
Scheduled Interest Payment Frequency |
{LIST} |
LESL35 |
Payment Due |
{MONETARY} |
LESL36 |
Current Interest Rate |
{PERCENTAGE} |
LESL37 |
Current Interest Rate Index |
{LIST} |
LESL38 |
Current Interest Rate Index Tenor |
{LIST} |
LESL39 |
Current Interest Rate Margin |
{PERCENTAGE} |
LESL40 |
Interest Rate Reset Interval |
{INTEGER-9999} |
LESL41 |
Interest Rate Cap |
{PERCENTAGE} |
LESL42 |
Interest Rate Floor |
{PERCENTAGE} |
LESL43 |
Number Of Payments Before Securitisation |
{INTEGER-9999} |
LESL44 |
Percentage Of Prepayments Allowed Per Year |
{PERCENTAGE} |
LESL45 |
Prepayment Lock-Out End Date |
{DATEFORMAT} |
LESL46 |
Prepayment Fee |
{MONETARY} |
LESL47 |
Prepayment Fee End Date |
{DATEFORMAT} |
LESL48 |
Prepayment Date |
{DATEFORMAT} |
LESL49 |
Cumulative Prepayments |
{MONETARY} |
LESL50 |
Option To Buy Price |
{MONETARY} |
LESL51 |
Down Payment Amount |
{MONETARY} |
LESL52 |
Current Residual Value Of Asset |
{MONETARY} |
LESL53 |
Date Of Restructuring |
{DATEFORMAT} |
LESL54 |
Date Last In Arrears |
{DATEFORMAT} |
LESL55 |
Arrears Balance |
{MONETARY} |
LESL56 |
Number Of Days In Arrears |
{INTEGER-9999} |
LESL57 |
Account Status |
{LIST} |
LESL58 |
Reason for Default or Foreclosure |
{LIST} |
LESL59 |
Default Amount |
{MONETARY} |
LESL60 |
Default Date |
{DATEFORMAT} |
LESL61 |
Allocated Losses |
{MONETARY} |
LESL62 |
Cumulative Recoveries |
{MONETARY} |
LESL63 |
Recovery Source |
{LIST} |
LESL64 |
Deposit Amount |
{MONETARY} |
LESL65 |
Geographic Region — Collateral |
{NUTS} |
LESL66 |
Manufacturer |
{ALPHANUM-100} |
LESL67 |
Model |
{ALPHANUM-100} |
LESL68 |
Year Of Manufacture/Construction |
{YEAR} |
LESL69 |
New Or Used |
{LIST} |
LESL70 |
Original Residual Value Of Asset |
{MONETARY} |
LESL71 |
Collateral Type |
{LIST} |
LESL72 |
Original Valuation Amount |
{MONETARY} |
LESL73 |
Original Valuation Method |
{LIST} |
LESL74 |
Original Valuation Date |
{DATEFORMAT} |
LESL75 |
Current Valuation Amount |
{MONETARY} |
LESL76 |
Current Valuation Method |
{LIST} |
LESL77 |
Current Valuation Date |
{DATEFORMAT} |
LESL78 |
Number Of Leased Objects |
{INTEGER-9999} |
LESL79 |
Original Lender Name |
{ALPHANUM-100} |
LESL80 |
Original Lender Legal Entity Identifier |
{LEI} |
LESL81 |
Original Lender Establishment Country |
{COUNTRYCODE_2} |
LESL82 |
Originator Name |
{ALPHANUM-100} |
LESL83 |
Originator Legal Entity Identifier |
{LEI} |
LESL84 |
Originator Establishment Country |
{COUNTRYCODE_2} |
ANNEX IX
Underlying exposures template — Esoteric
FIELD CODE |
FIELD NAME |
FORMAT |
Underlying exposures information section |
||
ESTL1 |
Unique Identifier |
{ALPHANUM-28} |
ESTL2 |
Original Underlying Exposure Identifier |
{ALPHANUM-1000} |
ESTL3 |
New Underlying Exposure Identifier |
{ALPHANUM-1000} |
ESTL4 |
Original Obligor Identifier |
{ALPHANUM-1000} |
ESTL5 |
New Obligor Identifier |
{ALPHANUM-1000} |
ESTL6 |
Data Cut-Off Date |
{DATEFORMAT} |
ESTL7 |
Pool Addition Date |
{DATEFORMAT} |
ESTL8 |
Date Of Repurchase |
{DATEFORMAT} |
ESTL9 |
Redemption Date |
{DATEFORMAT} |
ESTL10 |
Description |
{ALPHANUM-1000} |
ESTL11 |
Geographic Region — Obligor |
{NUTS} |
ESTL12 |
Geographic Region Classification |
{YEAR} |
ESTL13 |
Employment Status |
{LIST} |
ESTL14 |
Credit Impaired Obligor |
{Y/N} |
ESTL15 |
Obligor Legal Type |
{LIST} |
ESTL16 |
NACE Industry Code |
{NACE} |
ESTL17 |
Primary Income |
{MONETARY} |
ESTL18 |
Primary Income Type |
{LIST} |
ESTL19 |
Primary Income Currency |
{CURRENCYCODE_3} |
ESTL20 |
Primary Income Verification |
{LIST} |
ESTL21 |
Revenue |
{MONETARY} |
ESTL22 |
Financial Statement Currency |
{CURRENCYCODE_3} |
ESTL23 |
International Securities Identification Number |
{ISIN} |
ESTL24 |
Origination Date |
{DATEFORMAT} |
ESTL25 |
Maturity Date |
{DATEFORMAT} |
ESTL26 |
Currency Denomination |
{CURRENCYCODE_3} |
ESTL27 |
Original Principal Balance |
{MONETARY} |
ESTL28 |
Current Principal Balance |
{MONETARY} |
ESTL29 |
Total Credit Limit |
{MONETARY} |
ESTL30 |
Purchase Price |
{PERCENTAGE} |
ESTL31 |
Amortisation Type |
{LIST} |
ESTL32 |
Principal Grace Period End Date |
{DATEFORMAT} |
ESTL33 |
Scheduled Principal Payment Frequency |
{LIST} |
ESTL34 |
Scheduled Interest Payment Frequency |
{LIST} |
ESTL35 |
Payment Due |
{MONETARY} |
ESTL36 |
Debt To Income Ratio |
{PERCENTAGE} |
ESTL37 |
Balloon Amount |
{MONETARY} |
ESTL38 |
Interest Rate Reset Interval |
{INTEGER-9999} |
ESTL39 |
Current Interest Rate |
{PERCENTAGE} |
ESTL40 |
Current Interest Rate Index |
{LIST} |
ESTL41 |
Current Interest Rate Index Tenor |
{LIST} |
ESTL42 |
Current Interest Rate Margin |
{PERCENTAGE} |
ESTL43 |
Interest Rate Cap |
{PERCENTAGE} |
ESTL44 |
Interest Rate Floor |
{PERCENTAGE} |
ESTL45 |
Number Of Payments Before Securitisation |
{INTEGER-9999} |
ESTL46 |
Percentage Of Prepayments Allowed Per Year |
{PERCENTAGE} |
ESTL47 |
Prepayment Lock-Out End Date |
{DATEFORMAT} |
ESTL48 |
Prepayment Fee |
{MONETARY} |
ESTL49 |
Prepayment Fee End Date |
{DATEFORMAT} |
ESTL50 |
Prepayment Date |
{DATEFORMAT} |
ESTL51 |
Cumulative Prepayments |
{MONETARY} |
ESTL52 |
Date Last In Arrears |
{DATEFORMAT} |
ESTL53 |
Arrears Balance |
{MONETARY} |
ESTL54 |
Number Of Days In Arrears |
{INTEGER-9999} |
ESTL55 |
Account Status |
{LIST} |
ESTL56 |
Reason for Default or Foreclosure |
{LIST} |
ESTL57 |
Default Amount |
{MONETARY} |
ESTL58 |
Default Date |
{DATEFORMAT} |
ESTL59 |
Allocated Losses |
{MONETARY} |
ESTL60 |
Cumulative Recoveries |
{MONETARY} |
ESTL61 |
Originator Name |
{ALPHANUM-100} |
ESTL62 |
Originator Legal Entity Identifier |
{LEI} |
ESTL63 |
Originator Establishment Country |
{COUNTRYCODE_2} |
ESTL64 |
Original Lender Name |
{ALPHANUM-100} |
ESTL65 |
Original Lender Legal Entity Identifier |
{LEI} |
ESTL66 |
Original Lender Establishment Country |
{COUNTRYCODE_2} |
Collateral-level information section |
||
ESTC1 |
Unique Identifier |
{ALPHANUM-28} |
ESTC2 |
Underlying Exposure Identifier |
{ALPHANUM-1000} |
ESTC3 |
Original Collateral Identifier |
{ALPHANUM-1000} |
ESTC4 |
New Collateral Identifier |
{ALPHANUM-1000} |
ESTC5 |
Geographic Region — Collateral |
{NUTS} |
ESTC6 |
Security Type |
{LIST} |
ESTC7 |
Charge Type |
{LIST} |
ESTC8 |
Lien |
{INTEGER-9999} |
ESTC9 |
Collateral Type |
{LIST} |
ESTC10 |
Current Valuation Amount |
{MONETARY} |
ESTC11 |
Current Valuation Method |
{LIST} |
ESTC12 |
Current Valuation Date |
{DATEFORMAT} |
ESTC13 |
Current Loan-To-Value |
{PERCENTAGE} |
ESTC14 |
Original Valuation Amount |
{MONETARY} |
ESTC15 |
Original Valuation Method |
{LIST} |
ESTC16 |
Original Valuation Date |
{DATEFORMAT} |
ESTC17 |
Original Loan-To-Value |
{PERCENTAGE} |
ESTC18 |
Date Of Sale |
{DATEFORMAT} |
ESTC19 |
Sale Price |
{MONETARY} |
ESTC20 |
Collateral Currency |
{CURRENCYCODE_3} |
ANNEX X
Underlying exposures template — Add-on for non-performing exposures
FIELD CODE |
FIELD NAME |
FORMAT |
Underlying exposures information section |
||
NPEL1 |
Unique Identifier |
{ALPHANUM-28} |
NPEL2 |
Original Underlying Exposure Identifier |
{ALPHANUM-1000} |
NPEL3 |
New Underlying Exposure Identifier |
{ALPHANUM-1000} |
NPEL4 |
Original Obligor Identifier |
{ALPHANUM-1000} |
NPEL5 |
New Obligor Identifier |
{ALPHANUM-1000} |
NPEL6 |
Data Cut-Off Date |
{DATEFORMAT} |
NPEL7 |
In Receivership |
{Y/N} |
NPEL8 |
Date of Last Contact |
{DATEFORMAT} |
NPEL9 |
Deceased |
{Y/N} |
NPEL10 |
Legal status |
{LIST} |
NPEL11 |
Legal Procedure Type |
{LIST} |
NPEL12 |
Legal Procedure Name |
{ALPHANUM-1000} |
NPEL13 |
Legal Actions Completed |
{ALPHANUM-1000} |
NPEL14 |
Date of Entering Into Current Legal Process |
{DATEFORMAT} |
NPEL15 |
Date of Insolvency Practitioner Appointment |
{DATEFORMAT} |
NPEL16 |
Number of Current Judgements |
{INTEGER-9999} |
NPEL17 |
Number of Discharged Judgements |
{INTEGER-9999} |
NPEL18 |
Date of External Demand Issuance |
{DATEFORMAT} |
NPEL19 |
Date when Reservation of Rights Letter Was Issued |
{DATEFORMAT} |
NPEL20 |
Court Jurisdiction |
{COUNTRYCODE_2} |
NPEL21 |
Date of Obtaining Order for Possession |
{DATEFORMAT} |
NPEL22 |
Comments on Other Litigation Related Process |
{ALPHANUM-1000} |
NPEL23 |
Governing Law |
{COUNTRYCODE_2} |
NPEL24 |
Bespoke Repayment Description |
{ALPHANUM-1000} |
NPEL25 |
Start Date of Interest Only Period |
{DATEFORMAT} |
NPEL26 |
End Date of Interest Only Period |
{DATEFORMAT} |
NPEL27 |
Start Date of Current Fixed Interest Period |
{DATEFORMAT} |
NPEL28 |
End Date of Current Fixed Interest Period |
{DATEFORMAT} |
NPEL29 |
Current Reversion Interest Rate |
{PERCENTAGE} |
NPEL30 |
Last Payment Date |
{DATEFORMAT} |
NPEL31 |
Syndicated Portion |
{PERCENTAGE} |
NPEL32 |
MARP Entry |
{DATEFORMAT} |
NPEL33 |
MARP Status |
{LIST} |
NPEL34 |
External Collections Level |
{Y/N} |
NPEL35 |
Repayment Plan |
{Y/N} |
NPEL36 |
Forbearance Level |
{Y/N} |
NPEL37 |
Date of First Forbearance |
{DATEFORMAT} |
NPEL38 |
Number of Historical Forbearance |
{INTEGER-9999} |
NPEL39 |
Principal Forgiveness |
{MONETARY} |
NPEL40 |
Date of Principal Forgiveness |
{DATEFORMAT} |
NPEL41 |
End Date of Forbearance |
{DATEFORMAT} |
NPEL42 |
Repayment Amount Under Forbearance |
{MONETARY} |
Collateral-level information section |
||
NPEC1 |
Unique Identifier |
{ALPHANUM-28} |
NPEC2 |
Underlying Exposure Identifier |
{ALPHANUM-1000} |
NPEC3 |
Original Collateral Identifier |
{ALPHANUM-1000} |
NPEC4 |
New Collateral Identifier |
{ALPHANUM-1000} |
NPEC5 |
VAT Payable |
{PERCENTAGE} |
NPEC6 |
Percentage Complete |
{PERCENTAGE} |
NPEC7 |
Enforcement Status |
{Y/N} |
NPEC8 |
Enforcement Status Third Parties |
{Y/N} |
NPEC9 |
Mortgage Amount Assigned |
{MONETARY} |
NPEC10 |
Higher Ranking Underlying Exposure |
{MONETARY} |
NPEC11 |
Enforcement Description |
{ALPHANUM-1000} |
NPEC12 |
Court Appraisal Amount |
{MONETARY} |
NPEC13 |
Date of Court Appraisal |
{DATEFORMAT} |
NPEC14 |
On Market Price |
{MONETARY} |
NPEC15 |
Offer Price |
{MONETARY} |
NPEC16 |
Prepare Property for Sale Date |
{DATEFORMAT} |
NPEC17 |
Property on Market Date |
{DATEFORMAT} |
NPEC18 |
On Market Offer Date |
{DATEFORMAT} |
NPEC19 |
Sale Agreed Date |
{DATEFORMAT} |
NPEC20 |
Contracted Date |
{DATEFORMAT} |
NPEC21 |
First Auction Date |
{DATEFORMAT} |
NPEC22 |
Court Auction Reserve Price for First Auction |
{MONETARY} |
NPEC23 |
Next Auction Date |
{DATEFORMAT} |
NPEC24 |
Court Auction Reserve Price for Next Auction |
{MONETARY} |
NPEC25 |
Last Auction Date |
{DATEFORMAT} |
NPEC26 |
Court Auction Reserve Price for Last Auction |
{MONETARY} |
NPEC27 |
Number of Failed Auctions |
{INTEGER-9999} |
Historical collections information section |
||
NPEH1 |
Unique Identifier |
{ALPHANUM-28} |
NPEH2 |
Underlying Exposure Identifier |
{ALPHANUM-1000} |
NPEH[3-38] |
Legal Unpaid Balance at month n |
{MONETARY} |
NPEH[39-74] |
History of Past-Due Balances at month n |
{MONETARY} |
NPEH[75-110] |
History of Repayments — Not from collateral sales at month n |
{MONETARY} |
NPEH[111-146] |
History of Repayments — From collateral sales at month n |
{MONETARY} |
ANNEX XI
Underlying exposures template — Asset-backed commercial paper
FIELD CODE |
FIELD NAME |
FORMAT |
Underlying exposures information section |
||
IVAL1 |
Unique Identifier — ABCP Programme |
{ALPHANUM-28} |
IVAL2 |
Unique Identifier — ABCP Transaction |
{ALPHANUM-36} |
IVAL3 |
Original Underlying Exposure Identifier |
{ALPHANUM-1000} |
IVAL4 |
New Underlying Exposure Identifier |
{ALPHANUM-1000} |
IVAL5 |
Underlying Exposure Type |
{LIST} |
IVAL6 |
Data Cut-Off Date |
{DATEFORMAT} |
IVAL7 |
Geographic Region — Largest Exposure Concentration 1 |
{NUTS} |
IVAL8 |
Geographic Region — Largest Exposure Concentration 2 |
{NUTS} |
IVAL9 |
Geographic Region — Largest Exposure Concentration 3 |
{NUTS} |
IVAL10 |
Geographic Region Classification |
{YEAR} |
IVAL11 |
Current Principal Balance |
{MONETARY} |
IVAL12 |
Number Of Underlying Exposures |
{INTEGER-999999999} |
IVAL13 |
EUR Exposures |
{MONETARY} |
IVAL14 |
GBP Exposures |
{MONETARY} |
IVAL15 |
USD Exposures |
{MONETARY} |
IVAL16 |
Other Exposures |
{MONETARY} |
IVAL17 |
Maximum Residual Maturity |
{INTEGER-9999} |
IVAL18 |
Average Residual Maturity |
{INTEGER-9999} |
IVAL19 |
Current Loan-To-Value |
{PERCENTAGE} |
IVAL20 |
Debt To Income Ratio |
{PERCENTAGE} |
IVAL21 |
Amortisation Type |
{MONETARY} |
IVAL22 |
Scheduled Principal Payment Frequency Above One Month |
{MONETARY} |
IVAL23 |
Scheduled Interest Payment Frequency Above One Month |
{MONETARY} |
IVAL24 |
Floating Rate Receivables |
{MONETARY} |
IVAL25 |
Financed Amount |
{MONETARY} |
IVAL26 |
Dilutions |
{MONETARY} |
IVAL27 |
Repurchased Exposures |
{MONETARY} |
IVAL28 |
Defaulted Or Credit-Impaired Exposures At Securitisation |
{MONETARY} |
IVAL29 |
Defaulted Exposures |
{MONETARY} |
IVAL30 |
Defaulted Exposures CRR |
{MONETARY} |
IVAL31 |
Gross Charge Offs In The Period |
{MONETARY} |
IVAL32 |
Arrears 1-29 Days |
{PERCENTAGE} |
IVAL33 |
Arrears 30-59 Days |
{PERCENTAGE} |
IVAL34 |
Arrears 60-89 Days |
{PERCENTAGE} |
IVAL35 |
Arrears 90-119 Days |
{PERCENTAGE} |
IVAL36 |
Arrears 120-149 Days |
{PERCENTAGE} |
IVAL37 |
Arrears 150-179 Days |
{PERCENTAGE} |
IVAL38 |
Arrears 180+ Days |
{PERCENTAGE} |
IVAL39 |
Restructured Exposures |
{PERCENTAGE} |
IVAL40 |
Restructured Exposures (0-1 years before transfer) |
{MONETARY} |
IVAL41 |
Restructured Exposures (1-3 years before transfer) |
{MONETARY} |
IVAL42 |
Restructured Exposures (> 3 years before transfer) |
{MONETARY} |
IVAL43 |
Restructured Exposures (Interest Rate) |
{MONETARY} |
IVAL44 |
Restructured Exposures (Repayment Schedule) |
{MONETARY} |
IVAL45 |
Restructured Exposures (Maturity) |
{MONETARY} |
IVAL46 |
Restructured Exposures (0-1 years before transfer and No New Arrears) |
{MONETARY} |
IVAL47 |
Restructured Exposures (No New Arrears) |
{MONETARY} |
IVAL48 |
Restructured Exposures (New Arrears) |
{MONETARY} |
IVAL49 |
Restructured Exposures (Other) |
{MONETARY} |
ANNEX XII
Investor report template — Non-asset backed commercial paper securitisation
FIELD CODE |
FIELD NAME |
FORMAT |
Securitisation information section |
||
IVSS1 |
Unique Identifier |
{ALPHANUM-28} |
IVSS2 |
Data Cut-Off Date |
{DATEFORMAT} |
IVSS3 |
Securitisation Name |
{ALPHANUM-100} |
IVSS4 |
Reporting Entity Name |
{ALPHANUM-100} |
IVSS5 |
Reporting Entity Contact Person |
{ALPHANUM-256} |
IVSS6 |
Reporting Entity Contact Telephone |
{TELEPHONE} |
IVSS7 |
Reporting Entity Contact Emails |
{ALPHANUM-256} |
IVSS8 |
Risk Retention Method |
{LIST} |
IVSS9 |
Risk Retention Holder |
{LIST} |
IVSS10 |
Underlying Exposure Type |
{LIST} |
IVSS11 |
Risk Transfer Method |
{Y/N} |
IVSS12 |
Trigger Measurements/Ratios |
{Y/N} |
IVSS13 |
Revolving/Ramp-Up Period End-Date |
{DATEFORMAT} |
IVSS14 |
Principal Recoveries In The Period |
{MONETARY} |
IVSS15 |
Interest Recoveries In The Period |
{MONETARY} |
IVSS16 |
Principal Collections In The Period |
{MONETARY} |
IVSS17 |
Interest Collections In The Period |
{MONETARY} |
IVSS18 |
Drawings Under Liquidity Facility |
{Y/N} |
IVSS19 |
Securitisation Excess Spread |
{MONETARY} |
IVSS20 |
Excess Spread Trapping Mechanism |
{Y/N} |
IVSS21 |
Current Overcollateralisation |
{PERCENTAGE} |
IVSS22 |
Annualised Constant Prepayment Rate |
{PERCENTAGE} |
IVSS23 |
Dilutions |
{MONETARY} |
IVSS24 |
Gross Charge Offs In The Period |
{MONETARY} |
IVSS25 |
Repurchased Exposures |
{MONETARY} |
IVSS26 |
Restructured Exposures |
{MONETARY} |
IVSS27 |
Annualised Constant Default Rate |
{PERCENTAGE} |
IVSS28 |
Defaulted Exposures |
{MONETARY} |
IVSS29 |
Defaulted Exposures CRR |
{MONETARY} |
IVSS30 |
Risk Weight Approach |
{LIST} |
IVSS31 |
Obligor Probability Of Default in Range [0.00%,0.10%) |
{PERCENTAGE} |
IVSS32 |
Obligor Probability Of Default in Range [0.10%,0.25%) |
{PERCENTAGE} |
IVSS33 |
Obligor Probability Of Default in Range [0.25%,1.00%) |
{PERCENTAGE} |
IVSS34 |
Obligor Probability Of Default in Range [1.00%,7.50%) |
{PERCENTAGE} |
IVSS35 |
Obligor Probability Of Default in Range [7.50%,20.00%) |
{PERCENTAGE} |
IVSS36 |
Obligor Probability Of Default in Range [20.00%,100.00%] |
{PERCENTAGE} |
IVSS37 |
Bank Internal Loss Given Default Estimate |
{PERCENTAGE} |
IVSS38 |
Arrears 1-29 Days |
{PERCENTAGE} |
IVSS39 |
Arrears 30-59 Days |
{PERCENTAGE} |
IVSS40 |
Arrears 60-89 Days |
{PERCENTAGE} |
IVSS41 |
Arrears 90-119 Days |
{PERCENTAGE} |
IVSS42 |
Arrears 120-149 Days |
{PERCENTAGE} |
IVSS43 |
Arrears 150-179 Days |
{PERCENTAGE} |
IVSS44 |
Arrears 180+ Days |
{PERCENTAGE} |
Tests/Events/Triggers information section |
||
IVSR1 |
Unique Identifier |
{ALPHANUM-28} |
IVSR2 |
Original Test/Event/Trigger Identifier |
{ALPHANUM-1000} |
IVSR3 |
New Test/Event/Trigger Identifier |
{ALPHANUM-1000} |
IVSR4 |
Description |
{ALPHANUM-100000} |
IVSR5 |
Threshold Level |
{NUMERIC} |
IVSR6 |
Actual Value |
{NUMERIC} |
IVSR7 |
Status |
{Y/N} |
IVSR8 |
Cure Period |
{INTEGER-9999} |
IVSR9 |
Calculation Frequency |
{INTEGER-9999} |
IVSR10 |
Consequence for Breach |
{LIST} |
Cash-flow information section |
||
IVSF1 |
Unique Identifier |
{ALPHANUM-28} |
IVSF2 |
Original Cashflow Item Identifier |
{ALPHANUM-1000} |
IVSF3 |
New Cashflow Item Identifier |
{ALPHANUM-1000} |
IVSF4 |
Cashflow Item |
{ALPHANUM-1000} |
IVSF5 |
Amount Paid During Period |
{MONETARY} |
IVSF6 |
Available Funds Post |
{MONETARY} |
ANNEX XIII
Investor report template — Asset backed commercial paper securitisation
FIELD CODE |
FIELD NAME |
FORMAT |
Programme information section |
||
IVAS1 |
Unique Identifier — ABCP Programme |
{ALPHANUM-28} |
IVAS2 |
Data Cut-Off Date |
{DATEFORMAT} |
IVAS3 |
Reporting Entity Name |
{ALPHANUM-100} |
IVAS4 |
Reporting Entity Contact Person |
{ALPHANUM-256} |
IVAS5 |
Reporting Entity Contact Telephone |
{TELEPHONE} |
IVAS6 |
Reporting Entity Contact Emails |
{ALPHANUM-256} |
IVAS7 |
Trigger Measurements/Ratios |
{Y/N} |
IVAS8 |
Non-Compliant Exposures |
{MONETARY} |
IVAS9 |
Weighted Average Life |
{INTEGER-9999} |
IVAS10 |
Risk Retention Method |
{LIST} |
IVAS11 |
Risk Retention Holder |
{LIST} |
Transaction information section |
||
IVAN1 |
Unique Identifier — ABCP Programme |
{ALPHANUM-28} |
IVAN2 |
Unique Identifier — ABCP Transaction |
{ALPHANUM-36} |
IVAN3 |
Data Cut-Off Date |
{DATEFORMAT} |
IVAN4 |
NACE Industry Code |
{NACE} |
IVAN5 |
Risk Retention Method |
{LIST} |
IVAN6 |
Risk Retention Holder |
{LIST} |
IVAN7 |
Weighted Average Life |
{INTEGER-9999} |
Tests/Events/Triggers information section |
||
IVAR1 |
Unique Identifier — ABCP Transaction |
{ALPHANUM-36} |
IVAR2 |
Original Test/Event/Trigger Identifier |
{ALPHANUM-1000} |
IVAR3 |
New Test/Event/Trigger Identifier |
{ALPHANUM-1000} |
IVAR4 |
Description |
{ALPHANUM-100000} |
IVAR5 |
Status |
{Y/N} |
IVAR6 |
Consequence for Breach |
{LIST} |
ANNEX XIV
Inside information or significant event template — Non-asset backed commercial paper securitisation
FIELD CODE |
FIELD NAME |
FORMAT |
Securitisation information section |
||
SESS1 |
Unique Identifier |
{ALPHANUM-28} |
SESS2 |
Data Cut-Off Date |
{DATEFORMAT} |
SESS3 |
No Longer STS |
{Y/N} |
SESS4 |
Remedial Actions |
{Y/N} |
SESS5 |
Administrative Actions |
{Y/N} |
SESS6 |
Material Amendment to Transaction Documents |
{ALPHANUM-1000000} |
SESS7 |
Perfection Of Sale |
{Y/N} |
SESS8 |
Current Waterfall Type |
{LIST} |
SESS9 |
Master Trust Type |
{LIST} |
SESS10 |
SSPE Value |
{MONETARY} |
SESS11 |
SSPE Principal Value |
{MONETARY} |
SESS12 |
SSPE Number Of Accounts |
{INTEGER-999999999} |
SESS13 |
Note Principal Balance |
{MONETARY} |
SESS14 |
Seller Share |
{PERCENTAGE} |
SESS15 |
Funding Share |
{PERCENTAGE} |
SESS16 |
Revenue Allocated To This Series |
{MONETARY} |
SESS17 |
Interest Rate Swap Benchmark |
{LIST} |
SESS18 |
Interest Rate Swap Maturity Date |
{DATEFORMAT} |
SESS19 |
Interest Rate Swap Notional |
{MONETARY} |
SESS20 |
Currency Swap Payer Currency |
{CURRENCYCODE_3} |
SESS21 |
Currency Swap Receiver Currency |
{CURRENCYCODE_3} |
SESS22 |
Exchange Rate For Currency Swap |
{PERCENTAGE} |
SESS23 |
Currency Swap Maturity Date |
{DATEFORMAT} |
SESS24 |
Currency Swap Notional |
{MONETARY} |
Tranche/bond-level information section |
||
SEST1 |
Unique Identifier |
{ALPHANUM-28} |
SEST2 |
Original Tranche Identifier |
{ALPHANUM-1000} |
SEST3 |
New Tranche Identifier |
{ALPHANUM-1000} |
SEST4 |
International Securities Identification Number |
{ISIN} |
SEST5 |
Tranche Name |
{ALPHANUM-100} |
SEST6 |
Tranche/Bond Type |
{LIST} |
SEST7 |
Currency |
{CURRENCYCODE_3} |
SEST8 |
Original Principal Balance |
{MONETARY} |
SEST9 |
Current Principal Balance |
{MONETARY} |
SEST10 |
Interest Payment Frequency |
{LIST} |
SEST11 |
Interest Payment Date |
{DATEFORMAT} |
SEST12 |
Principal Payment Date |
{DATEFORMAT} |
SEST13 |
Current Coupon |
{PERCENTAGE} |
SEST14 |
Current Interest Rate Margin/Spread |
{PERCENTAGE} |
SEST15 |
Coupon Floor |
{PERCENTAGE} |
SEST16 |
Coupon Cap |
{PERCENTAGE} |
SEST17 |
Step-Up/Step-Down Coupon Value |
{PERCENTAGE} |
SEST18 |
Step-Up/Step-Down Coupon Date |
{DATEFORMAT} |
SEST19 |
Business Day Convention |
{LIST} |
SEST20 |
Current Interest Rate Index |
{LIST} |
SEST21 |
Current Interest Rate Index Tenor |
{LIST} |
SEST22 |
Issue Date |
{DATEFORMAT} |
SEST23 |
Disbursement Date |
{DATEFORMAT} |
SEST24 |
Legal Maturity |
{DATEFORMAT} |
SEST25 |
Extension Clause |
{LIST} |
SEST26 |
Next Call Date |
{DATEFORMAT} |
SEST27 |
Clean-Up Call Threshold |
{ALPHANUM-1000} |
SEST28 |
Next Put date |
{DATEFORMAT} |
SEST29 |
Day Count Convention |
{LIST} |
SEST30 |
Settlement Convention |
{LIST} |
SEST31 |
Current Attachment Point |
{PERCENTAGE} |
SEST32 |
Original Attachment Point |
{PERCENTAGE} |
SEST33 |
Current Credit Enhancement |
{PERCENTAGE} |
SEST34 |
Original Credit Enhancement |
{PERCENTAGE} |
SEST35 |
Credit Enhancement Formula |
{ALPHANUM-1000} |
SEST36 |
Pari-Passu Tranches |
{ISIN} |
SEST37 |
Senior Tranches |
{ISIN} |
SEST38 |
Outstanding Principal Deficiency Ledger Balance |
{MONETARY} |
SEST39 |
Guarantor Legal Entity Identifier |
{LEI} |
SEST40 |
Guarantor Name |
{ALPHANUM-1000} |
SEST41 |
Guarantor ESA Subsector |
{ESA} |
SEST42 |
Protection Type |
{LIST} |
Account-level information section |
||
SESA1 |
Unique Identifier |
{ALPHANUM-28} |
SESA2 |
Original Account Identifier |
{ALPHANUM-1000} |
SESA3 |
New Account Identifier |
{ALPHANUM-1000} |
SESA4 |
Account Type |
{LIST} |
SESA5 |
Account Target Balance |
{MONETARY} |
SESA6 |
Account Actual Balance |
{MONETARY} |
SESA7 |
Amortising Account |
{Y/N} |
Counterparty-level information section |
||
SESP1 |
Unique Identifier |
{ALPHANUM-28} |
SESP2 |
Counterparty Legal Entity Identifier |
{LEI} |
SESP3 |
Counterparty Name |
{ALPHANUM-100} |
SESP4 |
Counterparty Type |
{LIST} |
SESP5 |
Counterparty Country Of Establishment |
{COUNTRYCODE_2} |
SESP6 |
Counterparty Rating Threshold |
{ALPHANUM-100000} |
SESP7 |
Counterparty Rating |
{ALPHANUM-100000} |
SESP8 |
Counterparty Rating Source Legal Entity Identifier |
{LEI} |
SESP9 |
Counterparty Rating Source Name |
{ALPHANUM-100} |
CLO Securitisation information section |
||
SESC1 |
Unique Identifier |
{ALPHANUM-28} |
SESC2 |
Non-Call Period End-Date |
{DATEFORMAT} |
SESC3 |
CLO Type |
{LIST} |
SESC4 |
Current Period |
{LIST} |
SESC5 |
Current Period Start Date |
{DATEFORMAT} |
SESC6 |
Current Period End Date |
{DATEFORMAT} |
SESC7 |
Concentration Limit |
{PERCENTAGE} |
SESC8 |
Restrictions — Legal Maturity |
{PERCENTAGE} |
SESC9 |
Restrictions — Subordinated Exposures |
{PERCENTAGE} |
SESC10 |
Restrictions — Non-Performing Exposures |
{PERCENTAGE} |
SESC11 |
Restrictions — PIK Exposures |
{PERCENTAGE} |
SESC12 |
Restrictions — Zero-Coupon Exposures |
{PERCENTAGE} |
SESC13 |
Restrictions — Equity Exposures |
{PERCENTAGE} |
SESC14 |
Restrictions — Participation Exposures |
{PERCENTAGE} |
SESC15 |
Restrictions — Discretionary Sales |
{PERCENTAGE} |
SESC16 |
Discretionary Sales |
{MONETARY} |
SESC17 |
Reinvestments |
{MONETARY} |
SESC18 |
Restrictions — Credit Enhancement |
{Y/N} |
SESC19 |
Restrictions — Quotes |
{Y/N} |
SESC20 |
Restrictions — Trades |
{Y/N} |
SESC21 |
Restrictions — Issuances |
{Y/N} |
SESC22 |
Restrictions — Redemptions |
{Y/N} |
SESC23 |
Restrictions — Refinancing |
{Y/N} |
SESC24 |
Restrictions — Note Remuneration |
{Y/N} |
SESC25 |
Restrictions — Credit Protection |
{Y/N} |
SESC26 |
Collateral Liquidation Period |
{INTEGER-9999} |
SESC27 |
Collateral Liquidation — Waiver |
{Y/N} |
CLO Manager information section |
||
SESL1 |
Unique Identifier |
{ALPHANUM-28} |
SESL2 |
CLO Manager Legal Entity Identifier |
{LEI} |
SESL3 |
Manager Name |
{ALPHANUM-1000} |
SESL4 |
Establishment Date |
{DATEFORMAT} |
SESL5 |
Registration Date |
{DATEFORMAT} |
SESL6 |
Employees |
{INTEGER-9999} |
SESL7 |
Employees — CLOs |
{INTEGER-9999} |
SESL8 |
Employees — Workout |
{INTEGER-9999} |
SESL9 |
AUM |
{MONETARY} |
SESL10 |
AUM — Leveraged Loans |
{MONETARY} |
SESL11 |
AUM — CLOs |
{MONETARY} |
SESL12 |
AUM — EU |
{MONETARY} |
SESL13 |
AUM — EU CLOs |
{MONETARY} |
SESL14 |
Number EU CLOs |
{INTEGER-9999} |
SESL15 |
Capital |
{MONETARY} |
SESL16 |
Capital — Risk Retention |
{MONETARY} |
SESL17 |
Settlement Time |
{INTEGER-9999} |
SESL18 |
Pricing Frequency |
{INTEGER-9999} |
SESL19 |
Default Rate - 1 year |
{PERCENTAGE} |
SESL20 |
Default Rate - 5 years |
{PERCENTAGE} |
SESL21 |
Default Rate - 10 years |
{PERCENTAGE} |
Synthetic coverage information section |
||
SESV1 |
Unique Identifier |
{ALPHANUM-28} |
SESV2 |
Protection Instrument Identifier |
{ALPHANUM-1000} |
SESV3 |
Protection Type |
{LIST} |
SESV4 |
Protection Instrument International Securities Identification Number |
{ISIN} |
SESV5 |
Protection Provider Name |
{ALPHANUM-100} |
SESV6 |
Protection Provider Legal Entity Identifier |
{LEI} |
SESV7 |
Public Entity With Zero Risk Weight |
{Y/N} |
SESV8 |
Governing Law |
{COUNTRYCODE_2} |
SESV9 |
ISDA Master Agreement |
{LIST} |
SESV10 |
Default And Termination Events |
{LIST} |
SESV11 |
Synthetic Securitisation Type |
{Y/N} |
SESV12 |
Protection Currency |
{CURRENCYCODE_3} |
SESV13 |
Current Protection Notional |
{MONETARY} |
SESV14 |
Maximum Protection Notional |
{MONETARY} |
SESV15 |
Protection Attachment Point |
{PERCENTAGE} |
SESV16 |
Protection Detachment Point |
{PERCENTAGE} |
SESV17 |
International Securities Identification Number Of Notes Covered |
{ISIN} |
SESV18 |
Protection Coverage |
{LIST} |
SESV19 |
Protection Termination Date |
{DATEFORMAT} |
SESV20 |
Materiality Thresholds |
{Y/N} |
SESV21 |
Payment Release Conditions |
{LIST} |
SESV22 |
Adjustment Payments Possible |
{Y/N} |
SESV23 |
Length Of Workout Period |
{INTEGER-9999} |
SESV24 |
Obligation To Repay |
{Y/N} |
SESV25 |
Collateral Substitutable |
{Y/N} |
SESV26 |
Collateral Coverage Requirements |
{PERCENTAGE} |
SESV27 |
Collateral Initial Margin |
{MONETARY} |
SESV28 |
Collateral Delivery Deadline |
{INTEGER-9999} |
SESV29 |
Settlement |
{LIST} |
SESV30 |
Maximum Maturity Date Permitted |
{DATEFORMAT} |
SESV31 |
Current Index For Payments To Protection Buyer |
{LIST} |
SESV32 |
Current Index For Payments To Protection Buyer Tenor |
{LIST} |
SESV33 |
Payment Reset Frequency — To Protection Buyer |
{LIST} |
SESV34 |
Current Interest Rate Margin For Payments To Protection Buyer |
{PERCENTAGE} |
SESV35 |
Current Interest Rate For Payments To Protection Buyer |
{PERCENTAGE} |
SESV36 |
Current Index For Payments To Protection Seller |
{LIST} |
SESV37 |
Current Index For Payments To Protection Seller Tenor |
{LIST} |
SESV38 |
Payment Reset Frequency — To Protection Seller |
{LIST} |
SESV39 |
Current Interest Rate Margin For Payments To Protection Seller |
{PERCENTAGE} |
SESV40 |
Current Interest Rate For Payments To Protection Seller |
{PERCENTAGE} |
SESV41 |
Excess Spread Support |
{Y/N} |
SESV42 |
Excess Spread Definition |
{Y/N} |
SESV43 |
Current Protection Status |
{LIST} |
SESV44 |
Bankruptcy Is Credit Event |
{Y/N} |
SESV45 |
Failure To Pay Is Credit Event |
{Y/N} |
SESV46 |
Restructuring Is Credit Event |
{Y/N} |
SESV47 |
Credit Event |
{Y/N} |
SESV48 |
Cumulative Payments To Protection Buyer |
{MONETARY} |
SESV49 |
Cumulative Adjustment Payments To Protection Buyer |
{MONETARY} |
SESV50 |
Cumulative Payments To Protection Seller |
{MONETARY} |
SESV51 |
Cumulative Adjustment Payments To Protection Seller |
{MONETARY} |
SESV52 |
Synthetic Excess Spread Ledger Amount |
{MONETARY} |
Issuer collateral information section |
||
SESI1 |
Unique Identifier |
{ALPHANUM-28} |
SESI2 |
Protection Instrument Identifier |
{ALPHANUM-1000} |
SESI3 |
Original Collateral Instrument Identifier |
{ALPHANUM-1000} |
SESI4 |
New Collateral Identifier |
{ALPHANUM-1000} |
SESI5 |
Collateral Instrument International Securities Identification Number |
{ISIN} |
SESI6 |
Collateral Instrument Type |
{LIST} |
SESI7 |
Collateral Issuer ESA Subsector |
{ESA} |
SESI8 |
Collateral Issuer Legal Entity Identifier |
{LEI} |
SESI9 |
Collateral Issuer Affiliated With Originator? |
{Y/N} |
SESI10 |
Current Outstanding Balance |
{MONETARY} |
SESI11 |
Instrument Currency |
{CURRENCYCODE_3} |
SESI12 |
Maturity Date |
{DATEFORMAT} |
SESI13 |
Haircut |
{PERCENTAGE} |
SESI14 |
Current Interest Rate Index |
{LIST} |
SESI15 |
Current Interest Rate Index Tenor |
{LIST} |
SESI16 |
Current Interest Rate on Cash Deposits |
{PERCENTAGE} |
SESI17 |
Repo Counterparty Name |
{ALPHANUM-100} |
SESI18 |
Repo Counterparty Legal Entity Identifier |
{LEI} |
SESI19 |
Repo Maturity Date |
{DATEFORMAT} |
Any other information section |
||
SESO1 |
Unique Identifier |
{ALPHANUM-28} |
SESO2 |
Any Other Information Line Number |
{INTEGER-9999} |
SESO3 |
Any Other Information |
{ALPHANUM-1000} |
ANNEX XV
Inside information or significant event template — Asset backed commercial paper securitisation
FIELD CODE |
FIELD NAME |
FORMAT |
Programme information section |
||
SEAS1 |
Unique Identifier — ABCP Programme |
{ALPHANUM-28} |
SEAS2 |
Data Cut-Off Date |
{DATEFORMAT} |
SEAS3 |
No Longer STS |
{Y/N} |
SEAS4 |
Remedial Actions |
{Y/N} |
SEAS5 |
Administrative Actions |
{Y/N} |
SEAS6 |
Material Amendment to Transaction Documents |
{ALPHANUM-100000} |
SEAS7 |
Governing Law |
{COUNTRYCODE_2} |
SEAS8 |
Length Of The Liquidity Facility |
{INTEGER-9999} |
SEAS9 |
Liquidity Facility Coverage |
{PERCENTAGE} |
SEAS10 |
Liquidity Facility Coverage Interval |
{INTEGER-9999} |
SEAS11 |
Liquidity Facility Maturity Date |
{DATEFORMAT} |
SEAS12 |
Drawings Under Liquidity Facility |
{Y/N} |
SEAS13 |
Total Issuance |
{MONETARY} |
SEAS14 |
Maximum Issuance |
{MONETARY} |
Transaction information section |
||
SEAR1 |
Unique Identifier — ABCP Programme |
{ALPHANUM-28} |
SEAR2 |
Unique Identifier — ABCP Transaction |
{ALPHANUM-36} |
SEAR3 |
Number Of Programmes Funding The Transaction |
{INTEGER-9999} |
SEAR4 |
No Longer STS |
{Y/N} |
SEAR5 |
Originator A Client Of The Programme Sponsor |
{Y/N} |
SEAR6 |
Security Interest Granted |
{Y/N} |
SEAR7 |
Revenue |
{MONETARY} |
SEAR8 |
Operating Expenses |
{MONETARY} |
SEAR9 |
Current Assets |
{MONETARY} |
SEAR10 |
Cash |
{MONETARY} |
SEAR11 |
Marketable Securities |
{MONETARY} |
SEAR12 |
Accounts Receivable |
{MONETARY} |
SEAR13 |
Current Liabilities |
{MONETARY} |
SEAR14 |
Total Debt |
{MONETARY} |
SEAR15 |
Total Equity |
{MONETARY} |
SEAR16 |
Financial Statement Currency |
{CURRENCYCODE_3} |
SEAR17 |
Sponsor Supports Transaction |
{LIST} |
SEAR18 |
Sponsor Support Type |
{Y/N} |
SEAR19 |
Length Of The Liquidity Facility |
{INTEGER-9999} |
SEAR20 |
Liquidity Facility Drawn Amount |
{MONETARY} |
SEAR21 |
Liquidity Facility Coverage |
{PERCENTAGE} |
SEAR22 |
Liquidity Facility Coverage Interval |
{INTEGER-9999} |
SEAR23 |
Liquidity Facility Type |
{LIST} |
SEAR24 |
Liquidity Facility Repurchase Agreement Maturity Date |
{DATEFORMAT} |
SEAR25 |
Liquidity Facility Currency |
{CURRENCYCODE_3} |
SEAR26 |
Liquidity Facility Maturity Date |
{DATEFORMAT} |
SEAR27 |
Liquidity Facility Provider Name |
{ALPHANUM-100} |
SEAR28 |
Liquidity Facility Provider Legal Entity Identifier |
{LEI} |
SEAR29 |
Overcollateralisation/Subordinated Interest |
{PERCENTAGE} |
SEAR30 |
Transaction Excess Spread |
{MONETARY} |
SEAR31 |
Letter Of Credit Provider Name |
{ALPHANUM-100} |
SEAR32 |
Letter Of Credit Provider Legal Entity Identifier |
{LEI} |
SEAR33 |
Letter Of Credit Currency |
{CURRENCYCODE_3} |
SEAR34 |
Maximum Letter Of Credit Protection |
{PERCENTAGE} |
SEAR35 |
Guarantor Name |
{ALPHANUM-100} |
SEAR36 |
Guarantor Legal Entity Identifier |
{LEI} |
SEAR37 |
Maximum Guarantee Coverage |
{MONETARY} |
SEAR38 |
Guarantee Currency |
{CURRENCYCODE_3} |
SEAR39 |
Guarantee Maturity Date |
{DATEFORMAT} |
SEAR40 |
Receivables Transfer Type |
{LIST} |
SEAR41 |
Repurchase Agreement Maturity Date |
{DATEFORMAT} |
SEAR42 |
Purchased Amount |
{MONETARY} |
SEAR43 |
Maximum Funding Limit |
{MONETARY} |
SEAR44 |
Interest Rate Swap Benchmark |
{LIST} |
SEAR45 |
Interest Rate Swap Maturity Date |
{DATEFORMAT} |
SEAR46 |
Interest Rate Swap Notional |
{MONETARY} |
SEAR47 |
Currency Swap Payer Currency |
{CURRENCYCODE_3} |
SEAR48 |
Currency Swap Receiver Currency |
{CURRENCYCODE_3} |
SEAR49 |
Exchange Rate For Currency Swap |
{PERCENTAGE} |
SEAR50 |
Currency Swap Maturity Date |
{DATEFORMAT} |
SEAR51 |
Currency Swap Notional |
{MONETARY} |
Tranche/bond-level information section |
||
SEAT1 |
Unique Identifier — ABCP Programme |
{ALPHANUM-28} |
SEAT2 |
Original Bond Identifier |
{ALPHANUM-1000} |
SEAT3 |
New Bond Identifier |
{ALPHANUM-1000} |
SEAT4 |
International Securities Identification Number |
{ISIN} |
SEAT5 |
Tranche/Bond Type |
{LIST} |
SEAT6 |
Issue Date |
{DATEFORMAT} |
SEAT7 |
Legal Maturity |
{DATEFORMAT} |
SEAT8 |
Currency |
{CURRENCYCODE_3} |
SEAT9 |
Current Principal Balance |
{MONETARY} |
SEAT10 |
Current Coupon |
{PERCENTAGE} |
SEAT11 |
Current Interest Rate Index |
{LIST} |
SEAT12 |
Current Interest Rate Index Tenor |
{LIST} |
SEAT13 |
Interest Payment Frequency |
{LIST} |
SEAT14 |
Current Credit Enhancement |
{PERCENTAGE} |
SEAT15 |
Credit Enhancement Formula |
{ALPHANUM-1000} |
Account-level information section |
||
SEAA1 |
Unique Identifier — ABCP Transaction |
{ALPHANUM-36} |
SEAA2 |
Original Account Identifier |
{ALPHANUM-1000} |
SEAA3 |
New Account Identifier |
{ALPHANUM-1000} |
SEAA4 |
Account Type |
{LIST} |
SEAA5 |
Account Target Balance |
{MONETARY} |
SEAA6 |
Account Actual Balance |
{MONETARY} |
SEAA7 |
Amortising Account |
{Y/N} |
Counterparty-level information section |
||
SEAP1 |
Unique Identifier — ABCP Transaction |
{ALPHANUM-36} |
SEAP2 |
Counterparty Legal Entity Identifier |
{LEI} |
SEAP3 |
Counterparty Name |
{ALPHANUM-100} |
SEAP4 |
Counterparty Type |
{LIST} |
SEAP5 |
Counterparty Country Of Establishment |
{COUNTRYCODE_2} |
SEAP6 |
Counterparty Rating Threshold |
{ALPHANUM-100000} |
SEAP7 |
Counterparty Rating |
{ALPHANUM-100000} |
SEAP8 |
Counterparty Rating Source Legal Entity Identifier |
{LEI} |
SEAP9 |
Counterparty Rating Source Name |
{ALPHANUM-100} |
Any other information section |
||
SEAO1 |
Unique Identifier |
{ALPHANUM-28} |
SEAO2 |
Any Other Information Line Number |
{INTEGER-9999} |
SEAO3 |
Any Other Information |
{ALPHANUM-1000} |
3.9.2020 |
EN |
Official Journal of the European Union |
L 289/285 |
COMMISSION DELEGATED REGULATION (EU) 2020/1226
of 12 November 2019
supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council and laying down regulatory technical standards specifying the information to be provided in accordance with the STS notification requirements
(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 Article 27(6) thereof,
Whereas:
(1) |
Regulation (EU) 2017/2402 requires originators and sponsors to submit certain information to the European Securities Markets Authority (ESMA) where they consider that a securitisation meets the requirements regarding simple, transparent and standardised criteria (STS) set out in Articles 19 to 22 and Articles 23 to 26 of that Regulation. The information to be provided varies according to the different types of securitisations notified. |
(2) |
In order to allow competent authorities to perform their duties and allow investors and potential investors to perform their due diligence, sufficiently detailed information, relevant to the STS notification, is necessary to determine whether the STS criteria is satisfied. Specifically, the rationale for selecting a homogeneity factor and for excluding others should be included in the notification to inform the assessment of the homogeneity criterion. For certain STS criteria, simple confirmation of compliance is sufficient while other criteria require further information. It is therefore necessary to distinguish requirements for which a simple confirmation is sufficient from those for which a concise explanation or a detailed explanation is necessary. |
(3) |
Securitisations where no prospectus must be drawn up in accordance with Regulation (EU) 2017/1129 of the European Parliament and of the Council (2) (private securitisations) allow parties to enter into securitisation transactions without disclosing sensitive commercial information. It is therefore appropriate to restrict the information to be published of the STS notifications of such securitisations to non-sensitive commercial information. |
(4) |
To facilitate access to information relevant to the STS requirements, originators and sponsors should be allowed to refer to the relevant prospectus drawn up for that securitisation in accordance with Regulation (EU) 2017/1129, other relevant underlying documentation as referred to in Article 7(1)(b) of Regulation (EU) 2017/2402 or any other document with information relevant to the STS notification. |
(5) |
This Regulation is based on the draft regulatory technical standards submitted by ESMA to the Commission. |
(6) |
ESMA has conducted open public consultations 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 (3), |
HAS ADOPTED THIS REGULATION:
Article 1
Information to be included in the STS notification
1. The information to be included in the STS notification pursuant to Article 27 of Regulation (EU) 2017/2402 shall be the following:
(a) |
where the securitisation is a non-ABCP securitisation, the information specified in Annex I to this Regulation; |
(b) |
where the securitisation is an ABCP securitisation, the information specified in Annex II to this Regulation; |
(c) |
for an ABCP programme, the information specified in Annex III to this Regulation. |
2. For securitisations where no prospectus must be drawn up pursuant to Regulation (EU) 2017/1129, the information to be included in the STS notification pursuant to paragraph 1 shall be accompanied by the following:
(a) |
where the securitisation is a non-ABCP securitisation, the information specified in fields STSS9 and STSS10 of Annex I to this Regulation; |
(b) |
where the securitisation is an ABCP securitisation, the information specified in fields STSAT9 and STSAT10 of Annex II to this Regulation; |
(c) |
for an ABCP programme, the information specified in field STSAP9 of Annex III to this Regulation. |
For the purposes of the third subparagraph of Article 27(1) of Regulation (EU) 2017/2402, the publication of the STS notification for those securitisations shall be limited to the information referred to in this paragraph.
Article 2
Additional Information
Where the following documents include information relevant to the STS notification, a reference to the relevant parts of those documents may be provided in the ‘Additional information’ column in Annexes I, II or III to this Regulation and, where such information is provided, that documentation shall be clearly identified:
(a) |
a prospectus drawn up pursuant to Regulation (EU) 2017/1129; |
(b) |
any other underlying documentation referred to in Article 7(1)(b) of Regulation (EU) 2017/2402; |
(c) |
any other document with information relevant to the STS notification. |
Article 3
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, 12 November 2019.
For the Commission
The President
Jean-Claude JUNCKER
(1) OJ L 347, 28.12.2017, p. 35.
(2) Regulation (EU) 2017/1129 of the European Parliament and of the Council of 14 June 2017 on the prospectus to be published when securities are offered to the public or admitted to trading on a regulated market, and repealing Directive 2003/71/EC (OJ L 168, 30.6.2017, p. 12).
(3) Regulation (EU) No 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. 4).
ANNEX I
Information to be submitted to ESMA pursuant to Articles 19 to 22 of Regulation (EU) 2017/2402 regarding non-ABCP securitisations
General information
Field number |
Article of Regulation (EU) 2017/2402 |
FIELD NAME |
CONTENT TO BE REPORTED (1) |
ADDITIONAL INFORMATION |
||||||||||||||||
STSS0 |
Article 27(1) |
First contact point |
Legal Entity Identifier (LEI) of the entity designated as the first contact point and name of the relevant competent authority |
Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. (2) |
||||||||||||||||
STSS1 |
N/A |
Instrument identification code |
Where available, the international security identification code (ISIN) or codes. If no ISIN is available, then any other unique securities code assigned to this securitisation. |
Where available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. |
||||||||||||||||
STSS2 |
N/A |
Legal Entity Identifier (LEI) |
The LEI of the originator(s) and sponsor(s) and, where available, original lender(s). |
Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||||
STSS3 |
N/A |
Notification identifier |
Where reporting an update, the unique reference number assigned by ESMA to the previously notified STS notification. |
N/A |
||||||||||||||||
STSS4 |
N/A |
Unique identifier |
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224 (3) |
N/A |
||||||||||||||||
STSS5 |
N/A |
Prospectus identifier |
Where available, the prospectus identifier as provided by the relevant competent authority. |
N/A |
||||||||||||||||
STSS6 |
N/A |
Securitisation Repository |
Where available, the name of the registered securitisation repository. |
N/A |
||||||||||||||||
STSS7 |
N/A |
Securitisation name |
The securitisation name. |
Section 4 of Annex 9 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||||
STSS8 |
Article 18 and 27(3) |
Country of establishment |
Where available, the country of establishment of the originator(s), sponsor(s), SSPE(s) and original lender(s). |
N/A |
||||||||||||||||
STSS9 |
N/A |
Securitisation classification |
The type of securitisation:
|
N/A |
||||||||||||||||
STSS10 |
N/A |
Underlying exposures classification |
The type of underlying exposures including:
|
N/A |
||||||||||||||||
STSS11 |
N/A |
Issue date |
Where a prospectus is drawn up in compliance with Regulation (EU) 2017/1129 (4), the date on which the prospectus was approved. In all other cases, the closing date of the most recent transaction. |
N/A |
||||||||||||||||
STSS12 |
N/A |
Notification date |
The date of notification to ESMA. |
N/A |
||||||||||||||||
STSS13 |
Article 27(2) |
Authorised Third party |
Where an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, a statement that compliance with the STS criteria was confirmed by that authorised third party firm. |
N/A |
||||||||||||||||
STSS14 |
Article 27(2) |
Authorised Third party |
Where an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, the name of the third party’s name and the country of establishment. |
N/A |
||||||||||||||||
STSS15 |
Article 27(2) |
Authorised Third party |
Where an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, the name of the competent authority that has authorised it. |
N/A |
||||||||||||||||
STSS16 |
Article 27(5) |
STS status |
A reasoned notification by the originator and sponsor that the securitisation is no longer to be considered as STS. |
N/A |
||||||||||||||||
STSS17 |
Article 27(3) |
Originator (or original lender) not a credit institution |
A ‘Yes’ or ‘No’ statement as to whether the originator or original lender is a credit institution or investment firm established in the Union. |
N/A |
||||||||||||||||
STSS18 |
Article 27(3) |
Confirmation of credit-granting criteria |
Where the answer to field STSS17 is ‘No’, confirmation that the originator’s or original lender’s credit-granting criteria, processes and systems in place are executed in accordance with Article 9 of Regulation (EU) 2017/2402. |
N/A |
||||||||||||||||
STSS19 |
Article 27(3) |
Confirmation that the credit granting is subject to supervision |
Where the answer to field STSS17 is ‘No’, confirmation that the credit-granting as referred to in Article 27(3)(a) of Regulation (EU) 2017/2402 is subject to supervision. |
N/A |
Specific information
Field number |
Article of Regulation (EU) 2017/2402 |
FIELD NAME |
Confirmation |
Concise explanation |
Detailed explanation |
CONTENT TO BE REPORTED (5) |
ADDITIONAL INFORMATION |
||||||||||||||
STSS20 |
Article 20(1) |
Transfer of the underlying exposures by true sale or assignment |
|
√ |
|
A concise explanation of how the transfer of the underlying exposures is made by means of true sale or transfer with the same legal effect in a manner that is enforceable against the seller or any third party. |
Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS21 |
Article 20(2) |
No severe clawback |
|
√ |
|
A concise explanation on whether any of the severe clawback provisions referred to in Article 20(2)(a) or (b) of Regulation (EU) 2017/2402 are found in the securitisation, and state whether the provisions in Article 20(3) of Regulation (EU) 2017/2402 apply. |
Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS22 |
Article 20(3) |
Exemption for clawback provisions in national insolvency laws |
√ |
|
|
In conjunction with STSS21, where appropriate, a confirmation whether there are no circumstances that could give rise to clawback provisions in accordance with Article 20(1) and (2) of Regulation (EU) 2017/2402. |
Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS23 |
Article 20(4) |
Transfer where the seller is not the original lender |
√ |
|
|
Where the seller is not the original lender, a statement confirming that the securitisation complies with Article 20(1) to 20(3) of Regulation (EU) 2017/2402. |
Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS24 |
Article 20(5) |
Transfer performed by means of an assignment and perfected at a later stage |
|
√ |
|
Where the transfer of the underlying exposures is performed by means of an assignment and perfected at a later stage than at the closing of the securitisation, a concise explanation on how and whether that perfection is effected at least through the required minimum pre-determined event triggers as listed in Article 20(5) of Regulation (EU) 2017/2402. Where alternative mechanisms of transfer are used, a confirmation that an insolvency of the originator would not prejudice or prevent the SSPE from enforcing its rights. |
Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS25 |
Article 20(6) |
Representations and warranties |
|
√ |
|
A concise explanation on how and whether there are representations and warranties provided by the seller that the underlying exposures included in the securitisation are not encumbered or otherwise in a condition that can be foreseen to adversely affect the enforceability of the true sale or assignment or transfer with the same legal effect. |
Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS26 |
Article 20(7) |
Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis |
|
√ |
|
A concise explanation on how:
|
Section 2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS27 |
Article 20(8) |
Homogeneity of assets |
|
|
√ |
A detailed explanation as to the homogeneity of the pool of underlying exposures backing the securitisation. For that purpose, include a reference to the EBA RTS on homogeneity (Commission Delegated Regulation (EU) 2019/1851) (6), and explain in detail how each of the conditions specified in the Article 1 of that Delegated Regulation are met. |
Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS28 |
Article 20(9) |
Underlying Exposure Obligations: no re securitisation |
√ |
|
|
A confirmation that the underlying exposures do not include any securitisation positions and that the notified securitisation is therefore not a re-securitisation. |
Item 2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS29 |
Article 20(10) |
Soundness of the underwriting standard |
|
|
√ |
A detailed explanation:
|
Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS30 |
Article 20(10) |
Originator/Lender Expertise |
|
|
√ |
A detailed explanation as to whether the originator or original lender have expertise in originating exposures of a similar nature to those securitised. |
Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS31 |
Article 20(11) |
Transferred underlying exposures without exposures in default |
|
|
√ |
A detailed explanations as to whether:
|
Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS32 |
Article 20(12) |
At least one payment at the time of transfer |
√ |
|
|
A confirmation whether, at the time of transfer of the exposures, the debtors have made at least one payment. A confirmation whether or not the exemption under Article 20(12) of Regulation (EU) 2017/2402 applies. |
Items 3.3 and 3.4.6 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS33 |
Article 20(13) |
Repayment of the holders shall not have been structured to depend predominantly on the sale of assets. |
|
|
√ |
A detailed explanation of the degree of dependence of the repayments of the holders of the securitisation position on the sale of assets securing the underlying exposures. |
Item 3.4.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS34 |
Article 21(1) |
Compliance with risk retention requirements |
|
√ |
|
A concise explanation as to how the originator, sponsor or original lender of a non-ABCP securitisation comply with the risk retention requirement as provided for in Article 6 of Regulation (EU) 2017/2402. An indication which entity retains the material net economic interest and which option is used for retaining the risk:
|
Item 3.1 of Annex 9 and Item 3.4.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS35 |
Article 21(2) |
Mitigation of Interest rates (IR) and currency risks (FX) Risks |
|
√ |
|
A concise explanation as to whether the interest rates and currency risks are appropriately mitigated and that measures are taken to mitigate such risks and confirm that such measures are available to investors. |
Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS36 |
Article 21(2) |
Derivatives Purchased/Sold by SSPE |
|
√ |
|
A concise declaration that the SSPE has not entered into derivative contracts except in the circumstances referred to in Articles 21(2) of Regulation (EU) 2017/2402. |
Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS37 |
Article 21(2) |
Derivatives using common standards |
|
√ |
|
A concise explanation on whether any hedging instruments used are underwritten and documented according to commonly accepted standards. |
Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS38 |
Article 21(3) |
Referenced interest payments based on generally used interest rates |
|
√ |
|
A concise explanation on whether and how any referenced interest payments under the securitisation assets and liabilities are calculated by reference to generally used market interest rates or generally used sectoral rates reflective of the cost of funds. |
Item 2.2.2 and 2.2.13 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS39 |
Article 21(4) |
No trapping of cash following enforcement or an acceleration notice |
|
√ |
|
A declaration in general terms that each of the requirements of Article 21(4) of Regulation (EU) 2017/2402 are met. |
Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS40 |
Article 21(4) |
(a) No amount of cash shall be trapped |
√ |
|
|
Confirmation that no cash would be trapped following the delivery of enforcement or an acceleration notice. |
Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS41 |
Article 21(4) |
(b) principal receipts shall be passed to investors |
√ |
|
|
Confirmation that principal receipts from the underlying exposures are passed to the investors via sequential amortisation of the securitisation positions, as determined by the seniority of the securitisation position. |
Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS42 |
Article 21(4) |
(c) repayment shall not be reversed with regard to seniority |
√ |
|
|
Confirmation that the repayment of the securitisation positions is not to be reversed with regard to their seniority. |
Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS43 |
Article 21(4) |
(d) no provisions shall require automatic liquidation of the underlying exposures at market value |
√ |
|
|
Confirmation that no provisions require automatic liquidation of the underlying exposures at market value. |
Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS44 |
Article 21(5) |
Securitisations featuring non-sequential priority of payments |
√ |
|
|
Confirmation that transaction featuring non-sequential priority of payments include triggers relating to the performance of the underlying exposures resulting in the priority of payment reverting to sequential payments in order of seniority. Confirmation that such triggers include at least the deterioration in the credit quality of the underlying exposures below a predetermined threshold. |
Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS45 |
Article 21(6) |
Revolving securitisation with early amortisation events for termination of revolving period based on prescribed triggers |
|
√ |
|
A concise explanation, where applicable, on how the provisions in Art 21(6)(a) of Regulation (EU) 2017/2402 are reflected in the transaction documentation. |
Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS46 |
Article 21(6)(a) |
(a) deterioration in the credit quality of the underlying exposures |
|
√ |
|
A concise explanation where applicable, on how the provisions in Art 21(6)(a) of Regulation (EU) 2017/2402 are reflected in the transaction documentation. |
Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS47 |
Article 21(6)(b) |
(b) occurrence of an insolvency-related event of the originator or servicer |
|
√ |
|
A concise explanation, where applicable, on how the provisions or triggers in Art 21(6)(b) of Regulation (EU) 2017/2402 are reflected in the transaction documentation. |
Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS48 |
Article 21(6)(c) |
(c) value of the underlying exposures held by the SSPE falls below a pre-determined threshold |
|
√ |
|
A concise explanation, where applicable, on how the provisions or triggers in Art 21(6)(c) of Regulation (EU) 2017/2402 are reflected in the transaction documentation, using cross-references to the relevant sections of the underlying documentation where the information can be found |
Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS49 |
Article 21(6)(d) |
(d) a failure to generate sufficient new underlying exposures meeting pre-determined credit quality (trigger for termination of the revolving period) |
|
√ |
|
A concise explanation, where applicable, on how the provisions in Art 21(6)(d) of Regulation (EU) 2017/2402 are reflected in the transaction documentation. |
Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS50 |
Article 21(7)(a) |
(a) Information regarding contractual obligations of the servicer, trustee and other ancillary service providers |
√ |
|
|
Confirmation that the transaction documentation specifies all of the requirements under Article 21(7)(a) of Regulation (EU) 2017/2402. |
Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS51 |
Article 21(7)(b) |
(b) Servicing Continuity Provisions |
√ |
|
|
Confirmation that the securitisation documentation expressly satisfies the requirements of Article 21(7)(b) of Regulation (EU) 2017/2402. |
Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS52 |
Article 21(7)(c) |
(c) Derivative Counterparties Continuity Provisions |
√ |
|
|
Confirmation that the transaction documentation satisfies all of the information referred to in Article 21(7)(c) of Regulation (EU) 2017/2402. |
Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS53 |
Article 21(7)(c) |
(c) Liquidity providers and account bank continuity provisions |
√ |
|
|
Confirmation that the transaction documentation satisfies all of the information under Article 21(7 (c) of Regulation (EU) 2017/2402. |
Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS54 |
Article 21(8) |
Required expertise from the servicer and policies and adequate procedures and risk management controls in place |
|
|
√ |
A detailed explanation on how the requirements of Article 21(8) are met. As part of the explanation, include references to any policies and procedures intended to ensure compliance with these requirements. |
Item 3.4.6 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS55 |
Article 21(9) |
Clear and consistent definitions relating to the treatment of problem loans |
√ |
|
|
Confirmation that the underlying documentation sets out in clear and consistent terms, definitions, remedies and actions relating to the debt situations set out in Article 21(9) of Regulation (EU) 2017/2402. |
Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS56 |
Article 21(9) |
Priorities of payment and triggers events |
√ |
|
|
Confirmation that the securitisation documentation sets out the priorities of payment and trigger events pursuant to Articles 21(9) of Regulation (EU) 2017/2402. |
Item 3.4.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS57 |
Article 21(10) |
Timely resolution of conflicts between classes of investors & responsibilities of trustee |
√ |
|
|
Confirmation that the provisions under Article 21(10) of Regulation (EU) 2017/2402 relating to the timely resolutions of conflicts are met. |
Items 3.4.7 and 3.4.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS58 |
Articles 22(1) |
Historical Default and Loss Performance Data |
√ |
|
|
Confirmation that the data required to be made available under Article 22(1) of Regulation (EU) 2017/2402 is available, stating clearly where the information can be found. |
Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSS59 |
Article 22(2) |
Sample of the underlying exposures subject to external verifications |
√ |
|
|
Confirmation that a sample of the underlying exposures was subject to external verification prior to the issuance of the securities by an appropriate and independent party. |
N/A |
||||||||||||||
STSS60 |
Article 22(3) |
Availability of a liability cash flow model to potential investors |
√ |
|
|
Confirmation that a liability cash flow model is available to potential investors prior to pricing and state clearly where this information is available. After pricing, confirmation that such information has been made available to potential investors upon request. |
N/A |
||||||||||||||
STSS61 |
Article 22(4) |
Publication on environmental performance of underlying exposures consisting of residential loans or car loans or leases |
|
√ |
|
A concise explanation on whether the information related to the environmental performance of the assets financed by residential loans, or auto loans or leases is available pursuant to Article 7(1)(a) of Regulation (EU) 2017/2402 and a statement where that information is to be found. |
N/A |
||||||||||||||
STSS62 |
Article 22(5) |
Originator and sponsor responsible for compliance with Article 7 |
√ |
|
|
Confirmation that:
|
N/A |
(1) Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.
(2) Commission Delegated Regulation (EU) 2019/980 of 14 March 2019 supplementing Regulation (EU) 2017/1129 of the European Parliament and of the Council as regards the format, content, scrutiny and approval of the prospectus to be published when securities are offered to the public or admitted to trading on a regulated market, and repealing Commission Regulation (EC) No 809/2004 (OJ L 166, 21.6.2019, p. 26).
(3) 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).
(4) 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).
(5) Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.
(6) Commission Delegated Regulation (EU) 2019/1851 of 28 May 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards on the homogeneity of the underlying exposures in securitisation (OJ L 280, 6.11.2019, p. 1).
(7) Directive 2008/48/EC of the European Parliament and of the Council of 23 April 2008 on credit agreements for consumers and repealing Council Directive 87/102/EEC (OJ L 133, 22.5.2008, p. 66).
(8) Directive 2014/17/EU of the European Parliament and of the Council of 4 February 2014 on credit agreements for consumers relating to residential immovable property and amending Directives 2008/48/EC and 2013/36/EU and Regulation (EU) No 1093/2010 (OJ L 60, 28.2.2014, p. 34).
ANNEX II
Information to be submitted to ESMA pursuant to Article 24 of Regulation (EU) 2017/2402 regarding ABCP securitisations
General information
Field number |
Article of Regulation (EU) 2017/2402 |
FIELD NAME |
CONTENT TO BE REPORTED (1) |
ADDITIONAL INFORMATION |
||||||||||||||||
STSAT0 |
Article 27(1) |
First contact point |
Legal Entity Identifier (LEI) of the entity designated as the first contact point and name of the relevant competent authority. |
Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. |
||||||||||||||||
STSAT1 |
N/A |
Instrument identification code |
Where available, the international security identification code (ISIN) or codes. Where no ISIN, then any other unique securities code, assigned to the ABCP securitisation. |
Where available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||||
STSAT2 |
N/A |
Legal Entity Identifier (LEI) |
Where available, the LEI of the originator (s) and/or sponsor(s). |
Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||||
STSAT3 |
N/A |
Notification identifier |
Where reporting an update, the unique reference number assigned by ESMA to the previously notified STS notification. |
N/A |
||||||||||||||||
STSAT4 |
N/A |
Unique identifier |
The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) 2020/1224. |
N/A |
||||||||||||||||
STSAT5 |
N/A |
Prospectus identifier |
Where available, the prospectus identifier as provided by the relevant competent authority. |
N/A |
||||||||||||||||
STSAT6 |
N/A |
Securitisation Repository |
Where available, the name of the registered securitisation repository. |
N/A |
||||||||||||||||
STSAT7 |
N/A |
Securitisation name |
Where available, the securitisation name or in the absence thereof, the code name and used name. |
Section 4 of Annex 9 Commission Delegated Regulation (EU) 2019/980. |
||||||||||||||||
STSAT8 |
Article 18 and 27(3) |
Country of establishment |
Where available, the country of establishment of the originator (s), sponsor(s) and SSPE(s). |
N/A |
||||||||||||||||
STSAT9 |
N/A |
Securitisation classification |
The type of securitisation:
|
N/A |
||||||||||||||||
STSAT10 |
N/A |
Underlying exposures classification |
The type of underlying exposures including:
|
N/A |
||||||||||||||||
STSAT11 |
N/A |
Issue date |
Where a prospectus is drawn up in compliance with Regulation (EU) 2017/1129, the date on which the prospectus was approved. If not, the issuance date of the ABCP securitisation. |
N/A |
||||||||||||||||
STSAT12 |
N/A |
Notification date |
The date of notification to ESMA. |
N/A |
||||||||||||||||
STSAT13 |
Article 27(2) |
Authorised Third party |
If an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, a statement that compliance with the STS criteria was confirmed by that authorised third party firm. |
N/A |
||||||||||||||||
STSAT14 |
Article 27(2) |
Authorised Third party |
If an authorised third-party has provided STS verification services in accordance with Article 27(2) of the Regulation (EU) 2017/2402, the third party’s name and its country of establishment. |
N/A |
||||||||||||||||
STSAT15 |
Article 27(2) |
Authorised Third party |
If an authorised third-party has provided STS verification services in accordance with Article 27(2) of the Securitisation Regulation, the name of the competent authority that has authorised it. |
N/A |
||||||||||||||||
STSAT16 |
Article 27(5) |
STS status |
Whether the originator and/or sponsor has notified that the ABCP securitisation is no longer to be considered as STS and the reasons for such notification. |
N/A |
||||||||||||||||
STSAT17 |
Article 27(3) |
Originator (or original lender) not a credit institution |
A ‘Yes’ or ‘No’ statement as to whether the originator or original lender is a credit institution or investment firm established in the Union. |
N/A |
||||||||||||||||
STSAT18 |
Article 27(3) |
Confirmation of credit-granting criteria |
Where the answer to field STSS17 is ‘No’, confirmation that the originator’s or original lender’s credit-granting criteria, processes and systems in place are executed in accordance with Article 9 of Regulation (EU) 2017/2402. |
N/A |
||||||||||||||||
STSAT19 |
Article 27(3) |
Confirmation that the credit granting is subject to supervision |
Where the answer to field STSS17 is ‘No’, confirmation that the credit-granting as referred to in Article 27(3)(a) of Regulation (EU) 2017/2402 is subject to supervision. |
N/A |
Specific information
Field number |
Article of Regulation (EU) 2017/2402 |
FIELD NAME |
Confirmation |
Concise explanation |
Detailed explanation |
CONTENT TO BE REPORTED (2) |
ADDITIONAL INFORMATION |
||||||
STSAT20 |
Article 24(1) |
Underlying exposures acquired by true sale |
|
√ |
|
A concise explanation of how the transfer of the underlying exposures is made by means of true sale or transfer with the same legal effect in a manner that is enforceable against the seller or any third party. |
Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT21 |
Article 24(2) |
No severe clawback |
|
√ |
|
A concise explanation on whether any of the severe clawback provisions referred to in points (a) or (b) of Article 24(2) of Regulation (EU) 2017/2402 are found in the securitisation, and whether the provisions in Article 24(3) of Regulation (EU) 2017/2402 apply. |
Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT22 |
Article 24(3) |
Exemption for clawback provisions in national insolvency laws |
√ |
|
|
In conjunction with STSS21, where appropriate, confirmation that there are no circumstances that could give rise to clawback provisions in accordance with Article 24(1) and (2) of Regulation (EU) 2017/2402. |
Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT23 |
Article 24(4) |
Transfer where the seller is not the original lender |
√ |
|
|
Where the seller is not the original lender, a statement confirming that the securitisation complies with Articles 24(1) to 24(3) of Regulation (EU) 2017/2402. |
Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT24 |
Article 24(5) |
Transfer performed by means of an assignment and perfected at a later stage. |
|
√ |
|
Where the transfer of the underlying exposures is performed by means of an assignment and perfected at a later stage than at the closing of the securitisation, provide a concise explanation on how and whether that perfection is effected at least through the required minimum pre-determined event triggers as listed in Article 24(5) of Regulation (EU) 2017/2402. |
Item 3.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT25 |
Article 24(6) |
Representations and warranties |
|
√ |
|
A concise explanation on whether there are representations and warranties provided by the seller that the assets included in the securitisation are not encumbered or otherwise in a condition that can be foreseen to adversely affect the enforceability of the true sale or assignment or transfer with the same legal effect. |
Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT26 |
Article 24(7) |
Eligibility criteria which do not allow for active portfolio management of the underlying exposures on a discretionary basis |
|
√ |
|
A concise explanation whether:
|
Section 2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT27 |
Article 24(8) |
No re-securitisation |
√ |
|
|
Confirmation that the underlying exposures do not include any securitisation positions and that the notified securitisation is therefore not a re-securitisation. |
Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT28 |
Article 24(9) |
Transferred underlying exposures without defaulted exposures |
|
|
√ |
A detailed explanation how the transferred underlying exposures do not include, at the time of selection, defaulted exposures or restructured exposures as set out in Article 24(9) of the Regulation (EU) 2017/2402, as applicable. Where appropriate, a clear statement whether the securitisation contains any credit-impairedness at the time of securitisation as specified in Article 24(9)(a)(i) of Regulation (EU) 2017/2402. Confirmation that:
|
Item 2.2.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT29 |
Article 24(10) |
At least one payment at the time of transfer |
√ |
|
|
Confirmation whether, at the time of transfer of the exposures, the debtors have made at least one payment. Where no payment has been made, an explanation why this is the case, including a statement as to whether the reason is one of the exceptions permitted under Article 20(12) of Regulation (EU) 2017/2402 applies. |
Items 3.3 and 3.4.6 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT30 |
Article 24(11) |
Repayment of the holders shall not have been structured to depend predominantly on the sale of assets. |
|
|
√ |
A detailed explanation of the degree of dependence of the repayments of the holders of the securitisation position on the sale of assets securing the underlying exposures. Where appropriate, a detailed explanation as to whether repayments of the investors are not considered to depend on the sale of assets, as specified under the second subparagraph of Article 24(11) of Regulation (EU) 2017/2402. |
Item 3.4.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT31 |
Article 24(12) |
Mitigation of Interest rates (IR) and currency risks (FX) Risks |
|
√ |
|
A concise explanation whether and how the interest rates and currency risks are appropriately mitigated and confirm that the measures to that effect are disclosed. A concise explanation whether any hedging instruments used are underwritten and documented according to commonly accepted standards. |
Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT32 |
Article 24(12) |
Derivatives Purchased/Sold by SSPE |
|
√ |
|
Except for the purpose of hedging interest-rate or currency risk, a concise explanation whether the SSPE has not entered into derivative contracts |
Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU2019/980 |
||||||
STSAT33 |
Article 24(12) |
Derivatives in Underlying Exposures |
|
√ |
|
A concise explanation on the presence of any derivatives in the pool of underlying exposures. |
Items 3.4.2 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT34 |
Article 24(12) |
Derivatives using common standards |
|
√ |
|
A concise explanation whether any derivatives permissible under Article 24(12) are underwritten and documented according to common standards in international finance. |
Items 3.4.7 and 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT35 |
Article 24(13) |
Clear and consistent definitions relating to the treatment of problem loans |
√ |
|
|
Confirmation that the underlying documentation sets out in clear and consistent terms, definitions, remedies and actions relating to the debt situations set out in Article 24(13) of Regulation (EU) 2017/2402. |
Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT36 |
Article 24(13) |
Priorities of payment and triggers events |
√ |
|
|
Confirmation that the transaction documentation sets out the priorities of payment and triggers events pursuant to Article 24(13) of Regulation (EU) 2017/2402. |
Items 3.4.7 and 3.4.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT37 |
Article 24(14) |
Historical Default and Loss Performance Data |
√ |
|
|
Confirmation that the data required to be made available under Article 24(14) of Regulation (EU) 2017/2402 is available and a clear statement where the information is available to potential investors before pricing. Where the sponsor does not have access to such data, confirmation that the seller has provided access to data as specified under Article 24(14) of Regulation (EU) 2017/2402. Confirmation that the data are available and state clearly, where the information is available and that the data cover a period no shorter than five years except for trade receivables and other short-term receivables for which the historical period is no shorter than three years. |
Item 2.2.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT38 |
Article 24(15) |
Homogeneity of assets |
|
|
√ |
A detailed explanation how the securitisation is backed by a pool of underlying exposures that are homogenous, taking into account the characteristics relating to the cash flows of different asset types including their contractual, credit-risk and prepayment characteristics. |
Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT39 |
Article 24(15) |
Underlying Exposure Obligations |
√ |
|
|
Confirmation that the pool of underlying exposures has a remaining weighted average life of no more than one year and that none of the underlying exposures has a residual maturity of more than three years. Confirmation whether the derogation regarding pools of auto loans, auto leases or equipment lease transactions applies, in accordance with the third paragraph of Article 24(15) of Regulation (EU) 2017/2402. |
Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT40 |
Article 24(15) |
Underlying Exposure Obligations |
√ |
|
|
Confirmation, where appropriate, that the underlying exposures:
|
Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT41 |
Article 24(16) |
Referenced interest payments based on generally used interest rates |
|
√ |
|
A concise explanation whether and how any referenced interest payments under the ABCP securitisation’s assets and liabilities are calculated by reference to generally used market interest rates or generally used sectoral rates reflective of the cost of funds. |
Item 2.2.2 and 2.2.13 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT42 |
Article 24(17) |
No trapping of cash following enforcement or acceleration notice |
|
√ |
|
A concise explanation on whether each of the requirements of Article 24(17) of Regulation (EU) 2017/2402 are met, including a concise explanation of cases where cash may be trapped. |
Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT43 |
Article 24(17) |
(a) No trapping of cash following enforcement or acceleration |
√ |
|
|
Confirmation that no cash would be trapped following an enforcement or an acceleration notice. |
Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT44 |
Article 24(17) |
(b) Principal receipts shall be passed to investors |
√ |
|
|
Confirmation that principal receipts from the underlying exposures are passed to investors via sequential amortisation of the securitisation positions, as determined by the seniority of the securitisation position. |
Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT45 |
Article 24(17) |
(c) No provisions shall require automatic liquidation of the underlying exposures at market value |
√ |
|
|
Confirmation that not any provisions require automatic liquidation of the underlying exposures at market value. |
Item 3.4.5 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT46 |
Article 24(18) |
Soundness of the underwriting standards |
|
|
√ |
A detailed explanation as to whether the underlying exposures were originated in the seller’s ordinary course of business, specifying whether the underwriting standard are no less stringent that those applied to exposures that were not securitised. A detailed explanation as to whether any material changes from prior underwriting standards have been disclosed to the sponsor and others parties directly exposed to the ABCP securitisation. |
Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT47 |
Article 24(18) |
Seller expertise |
|
|
√ |
A detailed explanation as to whether the seller has the required expertise in originating exposures of a similar nature to those securitised. |
Item 2.2.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT48 |
Article 24(19) |
Revolving ABCP securitisation/credit quality trigger. |
|
|
√ |
A detailed explanation how the provisions or triggers in Art 24(19) of Regulation (EU) 2017/2402 are included in the securitisation documentation. |
Items 2.3 and 2.4 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT49 |
Article 24(20) |
Securitisation Participant Duties |
√ |
|
|
Confirmation that the securitisation documentation includes the contractual obligations, duties and responsibilities of the sponsor, the servicer and the trustee, if any, and other ancillary service provider. |
Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT50 |
Article 24(20) |
Servicing Continuity Provisions |
√ |
|
|
Confirmation that the securitisation documentation includes the processes and responsibilities necessary to ensure that a default or insolvency of the servicer does not result in a termination of servicing. |
Item 3.7 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT51 |
Article 24(20) |
Derivative Counterparty and account bank continuity Provisions |
√ |
|
|
Confirmation that the securitisation documentation includes provisions that ensure the replacement of derivative counterparties and the account bank upon their default, insolvency and other specified events, where applicable. |
Item 3.8 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||
STSAT52 |
Article 24(20) |
Sponsor Robustness |
√ |
|
|
Confirmation that the securitisation documentation includes provisions on how the sponsor meets the requirements Article 25(3) of Regulation (EU) 2017/2402. |
Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
(1) Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.
(2) Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.
(3) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).
(4) Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on markets in financial instruments and amending Directive 2002/92/EC and Directive 2011/61/EU (OJ L 173, 12.6.2014, p. 349).
ANNEX III
Information to be provided ESMA pursuant to Articles 25 and 26 of the Regulation (EU) 2017/2402 regarding ABCP programmes
General information
Field number |
Article of Regulation (EU) 2017/2402 |
FIELD NAME |
CONTENT TO BE REPORTED (1) |
ADDITIONAL INFORMATION |
STSAP0 |
Article 27(1) |
First contact point |
Legal Entity Identifier (LEI) of the entity designated as the first contact point and name of the relevant competent authority. |
Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. |
STSAP1 |
N/A |
Instrument identification code |
Where applicable, the international security identification codes (ISIN) assigned to the ABCP programmes. |
Where available under Item 3.1 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. |
STSAP2 |
N/A |
Legal Entity Identifier (LEI) |
Where available, the LEI of the sponsor (s) and/or ABCP programme(s). |
Item 4.2 of Annex 9 of Commission Delegated Regulation (EU) 2019/980 |
STSAP3 |
N/A |
Notification identifier |
Where reporting an update, the unique reference number assigned by ESMA to the previously notified STS notification. |
N/A |
STSAP4 |
N/A |
Unique identifier |
The unique identifier assigned by the reporting entity to this ABCP programme in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. |
N/A |
STSAP5 |
N/A |
Prospectus identifier |
Where available, the prospectus identifier as provided by the relevant competent authority. |
N/A |
STSAP6 |
N/A |
Securitisation Repository |
Where available, the name of the registered securitisation repository. |
N/A |
STSAP7 |
N/A |
Securitisation name |
The name of the ABCP programme |
Section 4 of Annex 9 Commission Delegated Regulation (EU) 2019/980. |
STSAP8 |
Article 18 and 27(3) |
Country of establishment |
The country of establishment of the sponsor(s). |
Item 4.3 of Annex 9 of Commission Delegated Regulation (EU) 2019/980 |
STSAP9 |
N/A |
Securitisation classification |
The type of securitisation (non-ABCP, ABCP, ABCP programme) |
N/A |
STSAP10 |
N/A |
Issuance date |
The date of the first issuance of the ABCP programme |
Item 4 of Annex 9 of Commission Delegated Regulation (EU) 2019/980 |
STSAP11 |
N/A |
Notification date |
The date of STS notification to ESMA |
N/A |
STSAP12 |
Article 27(2) |
Authorised Third party |
Where an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, a statement that compliance with the STS criteria was confirmed by that authorised third party firm. |
N/A |
STSAP13 |
Article 27(2) |
Authorised Third party |
Where an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, the third party’s name and the place of establishment. |
N/A |
STSAP14 |
Article 27(2) |
Authorised Third party |
Where an authorised third-party has provided STS verification services in accordance with Article 27(2) of Regulation (EU) 2017/2402, the name of the competent authority that has authorised it. |
N/A |
STSAP15 |
Article 27(5) |
STS status |
Notification from the sponsor that the ABCP programme is no longer to be considered as STS and the reasons for this change. |
N/A |
Specific information
Field number |
Article of Regulation (EU) 2017/2402 |
FIELD NAME |
Confirmation |
Concise explanation |
Detailed explanation |
CONTENT TO BE REPORTED (2) |
ADDITIONAL INFORMATION |
||||||||||||||
STSAP16 |
Article 25(1) |
Sponsor to be a supervised credit institution |
√ |
|
|
Confirmation that the sponsor of the programme is a supervised credit institution and link to a document attesting to such status. |
N/A |
||||||||||||||
STSAP17 |
Article 25(2) |
Sponsor support as liquidity facility provider |
√ |
|
|
Confirmation that the sponsor of the ABCP programme provides a liquidity facility and that it supports all securitisation positions on the ABCP programme, including a description of the liquidity facility and a link to any document evidencing such provision. |
N/A |
||||||||||||||
STSAP18 |
Article 25(3) |
Demonstration to credit institution’s Competent authority |
√ |
|
|
Confirmation that in respect of its role as sponsor, the credit institution does not endanger its solvency and liquidity, and a link, where available, to the document supporting it has demonstrated this position to its competent authority. |
N/A |
||||||||||||||
STSAP19 |
Article 25(4) |
Compliance with sponsor’s due diligence requirements |
√ |
|
|
Confirmation the sponsor’s compliance with the due diligence requirements set out in Article 5(1) and (3) of Regulation (EU) 2017/2402, as applicable. Confirmation that the sponsor has verified that the seller has in place the required servicing capabilities and collection processes that meet the requirements specified in points (i) to (p) of Article 265(2) of Regulation (EU) No 575/2013 or equivalent requirements in third countries. |
N/A |
||||||||||||||
STSAP20 |
Article 25(5) |
The seller (at transaction level) or the sponsor (at the ABCP programme level) shall satisfy with the risk retention requirements as provided under Article 6 |
|
√ |
|
A concise explanation on how the seller (ABCP securitisation) and the sponsor (ABCP programme) comply with the risk retention requirements as specified under Article 6 of Regulation (EU) 2017/2402 specifying the option used for retaining the risk including:
|
Item 3.4.3 of Annex 19 of Commission Delegated Regulation (EU) 2019/980 |
||||||||||||||
STSAP21 |
Article 25(6) |
Compliance at ABCP programme level with Article 7 (transparency requirements) |
√ |
|
|
Confirmation that:
|
N/A |
||||||||||||||
STSAP22 |
Article 25(7) |
Drawn down of liquidity facility, where funding commitments of the liquidity facility are not renewed by the sponsor |
|
√ |
|
A concise explanation from the sponsor as to whether the liquidity facility will be drawn down and the maturing securities are repaid in the event that the sponsor does not renew the funding commitment of the liquidity facility before its expiry. |
N/A |
||||||||||||||
STSAP23 |
Article 26(1) |
Compliance of ABCP securitisations within an ABCP programme with Article 24(1) to (8) and (12) to (20) |
√ |
|
|
Confirmation whether all ABCP securitisations within the programme meet the following requirements:
|
N/A |
||||||||||||||
STSAP24 |
Article 26(1) second and third paragraphs |
Maximum of 5 % of the aggregate amount of the exposures underlying the ABCP may temporally be non-compliant with certain requirements |
|
|
√ |
A detailed explanation as to which, if any, of the requirements of Articles 24(9), (10) or (11) of Regulation (EU) 2017/2402 are temporarily not in compliance with and the percentage of the aggregate amount of the exposures underlying the ABCP securitisations it represents and why the programme has temporally breached those requirements. Confirmation that a sample of the underlying exposures is subject to regular external verification of compliance by an appropriate independent party. |
N/A |
||||||||||||||
STSAP25 |
Article 26(2) |
Remaining weighted average life (WAL) in the underlying exposures of an ABCP programme shall not be more than two years |
√ |
|
|
Confirmation that the remaining weighted average life of the underlying exposures of an ABCP programme are not more than two years. |
N/A |
||||||||||||||
STSAP26 |
Article 26(3) |
Fully supported ABCP programme (sponsor support) |
|
√ |
|
A concise explanation whether or not the ABCP programme is fully supported by a sponsor in accordance with Article 25(2) of Regulation (EU) 2017/2402. |
N/A |
||||||||||||||
STSAP27 |
Article 26(4) |
No re-securitisation and no credit enhancement establishing a second layer of tranching at the ABCP programme level |
√ |
|
|
Confirmation that the ABCP programme does not contain any re-securitisation and that the credit enhancement does not establish a second layer of tranching at the programme level. |
N/A |
||||||||||||||
STSAP28 |
Article 26(5) |
No call options |
√ |
|
|
Confirmation that the ABCP programme does not include call option or clauses with an effect of the securities’ final maturity at the discretion of the seller, sponsor or SSPE. |
N/A |
||||||||||||||
STSAP29 |
Article 26(6) |
Interest rate and currency risks at ABCP programme appropriately mitigated and documented. |
|
|
√ |
A detailed explanation whether and how the interest rates and currency risks arising at ABCP programme level are appropriately mitigated as well as the measures used to mitigate such risks, including whether the SSPE enters into derivative contracts other than for the reasons set out by Article 26(6) of Regulation (EU) 2017/2402 and a description how those derivatives are underwritten and documented, in particular whether it is done according to on common standards in international finance. |
N/A |
||||||||||||||
STSAP30 |
Article 26(7)(a) |
Requirements for the ABCP programme documentation (responsibilities of the trustee to investors) |
√ |
|
|
Confirmation that the responsibilities of the trustee and other entities with fiduciary duties, if any to investors are specified in the ABCP programme’s documentation. |
N/A |
||||||||||||||
STSAP31 |
Article 26(7)(b) |
Requirements for the ABCP programme documentation (contractual obligations of the sponsor) |
√ |
|
|
Confirmation that the contractual obligations, duties and responsibilities of the sponsor, the trustee and other ancillary services providers, if any, are specified in the ABCP programme’s documentation. |
N/A |
||||||||||||||
STSAP32 |
Article 26(7)(c) |
Requirements for the ABCP programme documentation (process & responsibilities in case of defaulted servicer) |
√ |
|
|
Confirmation that the ABCP programme’s documentation contains processes and responsibilities covering servicer default or insolvency to ensure servicing continuity. |
N/A |
||||||||||||||
STSAP33 |
Article 26(7)(d) |
Requirements for the ABCP programme documentation (provisions for replacement of derivatives counterparties and the account bank) |
√ |
|
|
Confirmation that the requirements under Article 26(7)(d) of the Regulation (EU) 2017/2402 are met regarding provisions for replacement of derivatives counterparties, and the account bank at ABCP programme level upon their default, insolvency and other specified events, where the liquidity facility does not cover such events. |
N/A |
||||||||||||||
STSAP34 |
Article 26(7)(e) |
Requirements for the ABCP programme documentation (procedures to ensure collateralisation of the funding commitment) |
√ |
|
|
Confirmation that the ABCP programme’s documentation contains procedures ensuring that upon specified events, defaults or insolvency of the sponsor, remedial step shall be provided for to achieve, as appropriate, collateralisation of the funding commitment or replacement of the liquidity facility provider. A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the information relevant to the requirements set out in Article 26(7)(e) of Regulation (EU) 2017/2402. |
N/A |
||||||||||||||
STSAP35 |
Article 26(7)(f) |
Requirements for the ABCP programme documentation (liquidity facility & maturing securities to be repaid where the sponsor does not renew the funding commitment of the liquidity facility before its expiry) |
√ |
|
|
Confirmation that the ABCP programme’s documentation contains provisions ensuring that the liquidity facility shall be drawn down and the maturing securities shall be repaid in the event that the sponsor does not renew the funding commitment of the liquidity facility before its expiry. A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the information relevant to the requirements set out in Article 26(7)(f) of Regulation (EU) 2017/2402. |
N/A |
||||||||||||||
STSAP36 |
Article 26(8) |
Servicer expertise |
|
|
√ |
A detailed explanation of how the requirements of Article 26(8) of Regulation (EU) 2017/2402 are met, including the policies and procedures ensuring compliance with these requirements A statement indicating the relevant pages of the prospectus or other underlying documentation that contain the applicable explanations to meet the requirements set out in Article 26(8) of Regulation (EU) 2017/2402 (as applicable) (‘servicer expertise, policies, procedures, and risk management’). |
Item 3.2 of Annex 19 of Commission Delegated Regulation (EU) 2019/980. |
(1) Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.
(2) Where appropriate, include a reference to the relevant sections of the underlying documentation where the information is available.
3.9.2020 |
EN |
Official Journal of the European Union |
L 289/315 |
COMMISSION IMPLEMENTING REGULATION (EU) 2020/1227
of 12 November 2019
laying down implementing technical standards with regard to templates for the provision of information in accordance with the STS notification requirements
(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 Article 27(7) thereof,
Whereas:
(1) |
To facilitate effective and harmonised notifications, information regarding securitisations meeting the requirements on simple, transparent and standardised criteria (STS) set out in Articles 19 to 22 and Articles 23 to 26 of Regulation (EU) 2017/2402 should be reported to the European Securities and Markets Authority (ESMA) in a consistent format and in accordance with uniform standards. |
(2) |
The provision of information in a harmonised format allows for efficient data collection by ESMA and facilitates consistency checks and assessment of completeness by investors and competent authorities. The format for each of the fields to be reported in a STS notification should therefore be specified and any information submitted to ESMA should be submitted electronically. |
(3) |
This Regulation is based on the draft implementing technical standards submitted by ESMA to the Commission in accordance with Article 15 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (2). |
(4) |
ESMA has conducted an open public consultation on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010, |
HAS ADOPTED THIS REGULATION:
Article 1
Templates for STS notification
1. The information referred to in Article 1(1)(a) and Article 1(2)(a) of Commission Delegated Regulation (EU) 2020/1226 (3) shall be provided by means of the template set out in Annex I to this Regulation.
2. The information referred to in Article 1(1)(b) and Article 1(2)(b) of Delegated Regulation (EU) 2020/1226 shall be provided by means of the template set out in Annex II to this Regulation.
3. The information referred to in Article 1(1)(c) and Article 1(2)(c) of Delegated Regulation (EU) 2020/1226 shall be provided by means of the template set out in Annex III to this Regulation.
4. Where the information to be provided pursuant to this Article is not available or required due to the application of the transitional provisions laid down in Article 43 of Regulation (EU) 2017/2402, the notification shall state ‘Not applicable due to the application of transitional provisions’ in the relevant field or fields of the Annexes to this Regulation.
5. The information referred to in this Article shall be submitted in an electronic and machine-readable form.
6. The ‘Additional information’ referred to in Article 2 of Delegated Regulation (EU) 2020/1226 shall be included in the field ‘Box to complete’ of Annexes I to III to this Regulation.
Article 2
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, 12 November 2019.
For the Commission
The President
Jean-Claude JUNCKER
(1) OJ L 347, 28.12.2017, p. 35.
(2) 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 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).
(3) Commission Delegated Regulation (EU) 2020/1226 of 12 November 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council and laying down regulatory technical standards specifying the information to be provided in accordance with the STS notification requirements (See page 285 of this Official Journal).
ANNEX I
Field formats to be applied to the STS notification form
SYMBOL |
DATA TYPE |
DEFINITION |
{ALPHANUM-n} |
Up to n alphanumeric characters |
Free text field. Should be entered in ASCII format (no accented characters). |
{COUNTRYCODE_2} |
2 alphanumeric characters |
2 letter country code, as defined by ISO 3166-1 alpha-2 country code. Should be entered in ASCII format (no accented characters). |
{CURRENCYCODE_3} |
3 alphanumeric characters |
3 letter currency code, as defined by ISO 4217 currency codes. Should be entered in ASCII format (no accented characters). |
{DATEFORMAT} |
ISO 8601 date format |
Dates shall be formatted by the following format: YYYY-MM-DD |
{Y/N} |
1 alphanumeric character |
‘true’- Y ’false’ – N |
{ISIN} |
12 alphanumeric characters |
ISIN code, as defined in ISO 6166 |
{LEI} |
20 alphanumeric characters |
Legal entity identifier, as defined in ISO 17442 |
STS notification form for non-ABCP securitisations
FIELD CODE |
FIELD NAME |
BOX TO COMPLETE |
FIELD FORMAT |
STSS0 |
First contact point |
|
{ALPHANUM-1000} |
STSS1 |
Instrument identification code |
|
{ISIN} |
STSS2 |
LEI of the originator or sponsor or original lender |
|
{LEI} |
STSS3 |
Notification identifier |
|
{ALPHANUM-100} |
STSS4 |
Unique Identifier |
|
{ALPHANUM-100} |
STSS5 |
Prospectus Identifier |
|
{ALPHANUM-100} |
STSS6 |
Securitisation repository |
|
{ALPHANUM-1000} |
STSS7 |
Securitisation Name |
|
{ALPHANUM-100} |
STSS8 |
Country of establishment |
|
{COUNTRYCODE_2} |
STSS9 |
Securitisation classification |
|
{LIST} |
STSS10 |
Underlying Exposures Type |
|
{LIST} |
STSS11 |
Issue date |
|
{DATEFORMAT} |
STSS12 |
Notification Date |
|
{DATEFORMAT} |
STSS13 |
Authorised third party |
|
{ALPHANUM-100} |
STSS14 |
Authorised third party (name and country of establishment) |
|
{ALPHANUM-1000} {COUNTRYCODE_2} |
STSS15 |
Competent authority which has authorised the third party |
|
{ALPHANUM-100} |
STSS16 |
STS status |
|
{ALPHANUM-1000} |
STSS17 |
Originator (or original lender) not a EU credit institution |
|
{Y/N} |
STSS18 |
Confirmation of credit-granting criteria |
|
{ALPHANUM-1000} |
STSS19 |
Declaration that credit-granting criteria are subject to supervision |
|
{ALPHANUM-1000} |
STSS20 |
Underlying exposures acquired by true sale |
|
{ALPHANUM-10000} |
STSS21 |
No severe clawback |
|
{ALPHANUM-10000} |
STSS22 |
Exemption for clawback provisions in national insolvency laws |
|
{ALPHANUM-1000} |
STSS23 |
Transfer where the seller is not the original lender |
|
{ALPHANUM-1000} |
STSS24 |
Transfer performed by means of an assignment and perfected at a later stage |
|
{ALPHANUM-10000} |
STSS25 |
Representations and warranties |
|
{ALPHANUM-10000} |
STSS26 |
Criteria for active Portfolio Management |
|
{ALPHANUM-10000} |
STSS27 |
Homogeneity of assets |
|
{ALPHANUM} |
STSS28 |
Underlying Exposure Obligations/no re-securitisation |
|
{ALPHANUM-1000} |
STSS29 |
Soundness of the underwriting standard |
|
{ALPHANUM} |
STSS30 |
Originator/Lender Expertise |
|
{ALPHANUM} |
STSS31 |
Defaulted Assets |
|
{ALPHANUM} |
STSS32 |
At least one payment at the time of transfer |
|
{ALPHANUM-1000} |
STSS33 |
Repayment of the holders/sale of assets. |
|
{ALPHANUM} |
STSS34 |
Compliance with the risk retention requirements |
|
{LIST} |
STSS35 |
Mitigation of Interest rates (IR) and currency risks (FX) Risks |
|
{ALPHANUM-10000} |
STSS36 |
Derivatives Purchased/Sold by SSPE |
|
{ALPHANUM-10000} |
STSS37 |
Derivatives using common standards |
|
{ALPHANUM-10000} |
STSS38 |
Referenced interest payments based on generally used interest rates |
|
{ALPHANUM-10000} |
STSS39 |
No trapping of cash following enforcement or acceleration notice |
|
{ALPHANUM-10000} |
STSS40 |
No amount of cash shall be trapped |
|
{ALPHANUM-1000} |
STSS41 |
Principal receipts shall be passed to investors |
|
{ALPHANUM-1000} |
STSS42 |
Repayment shall not be reversed with regard to their seniority |
|
{ALPHANUM-1000} |
STSS43 |
No provisions shall require automatic liquidation of the underlying exposures at market value |
|
{ALPHANUM-1000} |
STSS44 |
Securitisations featuring non-sequential priority of payments |
|
{ALPHANUM-1000} |
STSS45 |
Revolving securitisation with early amortisation events for termination of revolving period based on prescribed triggers |
|
{ALPHANUM-10000} |
STSS46 |
Deterioration in the credit quality of the underlying exposures |
|
{ALPHANUM-10000} |
STSS47 |
Occurrence of an insolvency-related event of the originator or servicer |
|
{ALPHANUM-10000} |
STSS48 |
Value of the underlying exposures held by the SSPE falls below a pre-determined threshold |
|
{ALPHANUM-10000} |
STSS49 |
Failure to generate sufficient new underlying exposures meeting pre-determined credit quality (trigger for termination of the revolving period) |
|
{ALPHANUM-10000} |
STSS50 |
Information regarding contractual obligations of the servicer, trustee and other ancillary service providers |
|
{ALPHANUM-1000} |
STSS51 |
Servicing Continuity Provisions |
|
{ALPHANUM-1000} |
STSS52 |
Derivative Counterparties Continuity Provisions |
|
{ALPHANUM-1000} |
STSS53 |
Liquidity providers and account bank continuity provisions |
|
{ALPHANUM-1000} |
STSS54 |
Required expertise from the servicer & policies & adequate procedures & risk management controls in place |
|
{ALPHANUM} |
STSS55 |
Clear & consistent definitions (problem loans) |
|
{ALPHANUM-1000} |
STSS56 |
Priorities of payment and triggers events |
|
{ALPHANUM-1000} |
STSS57 |
Timely resolution of conflicts between classes of investors and responsibilities of trustees |
|
{ALPHANUM-1000} |
STSS58 |
Historical Default and Loss Performance Data |
|
{ALPHANUM-1000} |
STSS59 |
Sample of the underlying exposures subject to external verifications |
|
{ALPHANUM-1000} |
STSS60 |
Availability of a liability cash flow model to potential investors |
|
{ALPHANUM-1000} |
STSS61 |
Environmental performance/residential loans or car loans or leases |
|
{ALPHANUM-10000} |
STSS62 |
Originator and sponsor responsible for compliance with Article 7 of Regulation (EU) 2017/2402 |
|
{ALPHANUM-1000} |
ANNEX II
Field formats to be applied to the STS notification form
SYMBOL |
DATA TYPE |
DEFINITION |
{ALPHANUM-n} |
Up to n alphanumeric characters |
Free text field. Should be entered in ASCII format (no accented characters). |
{COUNTRYCODE_2} |
2 alphanumeric characters |
2 letter country code, as defined by ISO 3166-1 alpha-2 country code. Should be entered in ASCII format (no accented characters). |
{CURRENCYCODE_3} |
3 alphanumeric characters |
3 letter currency code, as defined by ISO 4217 currency codes. Should be entered in ASCII format (no accented characters). |
{DATEFORMAT} |
ISO 8601 date format |
Dates shall be formatted by the following format: YYYY-MM-DD |
{Y/N} |
1 alphanumeric character |
‘true’- Y ’false’ – N |
{ISIN} |
12 alphanumeric characters |
ISIN code, as defined in ISO 6166 |
{LEI} |
20 alphanumeric characters |
Legal entity identifier, as defined in ISO 17442 |
STS notification form for ABCP securitisations
FIELD CODE |
FIELD NAME |
BOX TO COMPLETE |
FIELD FORMAT |
STSAT0 |
First contact point |
|
{ALPHANUM-1000} |
STSAT1 |
Instrument identification code |
|
{ISIN} |
STSAT2 |
LEI of the originator or sponsor or original lender |
|
{LEI} |
STSAT3 |
Notification identifier |
|
{ALPHANUM-100} |
STSAT4 |
Unique Identifier |
|
{ALPHANUM-100} |
STSAT5 |
Prospectus Identifier |
|
{ALPHANUM-100} |
STSAT6 |
Securitisation repository |
|
{ALPHANUM-1000} |
STSAT7 |
Securitisation Name |
|
{ALPHANUM-100} |
STSAT8 |
Place of establishment |
|
{ALPHANUM-1000} |
STSAT9 |
Securitisation Type |
|
{LIST} |
STSAT10 |
Underlying Exposures Type |
|
{LIST} |
STSAT11 |
Issue date |
|
{DATEFORMAT} |
STSAT12 |
Notification Date |
|
{DATEFORMAT} |
STSAT13 |
Authorised third party |
|
{ALPHANUM-100} |
STSAT14 |
Authorised third party (name and country of establishment) |
|
{ALPHANUM-1000} {COUNTRYCODE_2} |
STSAT15 |
Competent authority which has authorised the third party |
|
{ALPHANUM-100} |
STSAT16 |
STS status |
|
{ALPHANUM-1000} |
STSAT17 |
Originator (or original lender) not a EU credit institution |
|
{Y/N} |
STSAT18 |
Confirmation of credit-granting criteria |
|
{ALPHANUM-1000} |
STSAT19 |
Declaration that credit-granting criteria are subject to supervision |
|
{ALPHANUM-1000} |
STSAT20 |
Underlying exposures acquired by true sale |
|
{ALPHANUM-10000} |
STSAT21 |
No severe clawback |
|
{ALPHANUM-10000} |
STSAT22 |
Exemption for clawback provisions in national insolvency laws |
|
{ALPHANUM-1000} |
STSAT23 |
Transfer where the seller is not the original lender |
|
{ALPHANUM-1000} |
STSAT24 |
Transfer performed by means of an assignment and perfected at a later stage |
|
{ALPHANUM-10000} |
STSAT25 |
Representations and warranties |
|
{ALPHANUM-10000} |
STSAT26 |
Criteria for active Portfolio Management |
|
{ALPHANUM-10000} |
STSAT27 |
No re-securitisation |
|
{ALPHANUM-1000} |
STSAT28 |
Transferred underlying exposures without defaulted exposures |
|
{ALPHANUM} |
STSAT29 |
At least one payment made at the time of transfer |
|
{ALPHANUM-1000} |
STSAT30 |
Repayment of the holders/sale of assets. |
|
{ALPHANUM} |
STSAT31 |
Mitigation of Interest rates (IR) and currency risks (FX) Risks |
|
{ALPHANUM-10000} |
STSAT32 |
Derivatives Purchased/Sold by SSPE |
|
{ALPHANUM-10000} |
STSAT33 |
Derivatives in Underlying Exposures |
|
{ALPHANUM-10000} |
STSAT34 |
Derivatives using common standards |
|
{ALPHANUM-10000} |
STSAT35 |
Clear and consistent definitions relating to the treatment of problem loans |
|
{ALPHANUM-1000} |
STSAT36 |
Priority of Payments and triggers events |
|
{ALPHANUM-1000} |
STSAT37 |
Historical Default and Loss Performance Data |
|
{ALPHANUM-1000} |
STSAT38 |
Homogeneity of assets |
|
{ALPHANUM} |
STSAT39 |
Underlying Exposure Obligations |
|
{ALPHANUM-1000} |
STSAT40 |
Underlying Exposure Obligations |
|
{ALPHANUM-1000} |
STSAT41 |
Referenced interest payments based on generally used interest rates |
|
{ALPHANUM-10000} |
STSAT42 |
No trapping of cash flow following enforcement or acceleration notice |
|
{ALPHANUM-10000} |
STSAT43 |
No trapping of cash/enforcement or acceleration |
|
{ALPHANUM-1000} |
STSAT44 |
Principal receipts shall be passed to investors |
|
{ALPHANUM-1000} |
STSAT45 |
No provisions shall require automatic liquidation of the underlying exposures at market value |
|
{ALPHANUM-1000} |
STSAT46 |
Soundness of the underwriting standards |
|
{ALPHANUM} |
STSAT47 |
Seller Expertise |
|
{ALPHANUM} |
STSAT48 |
Revolving ABCP transaction/credit quality trigger. |
|
{ALPHANUM} |
STSAT49 |
Securitisation Participant Duties |
|
{ALPHANUM-1000} |
STSAT50 |
Servicing Continuity Provisions |
|
{ALPHANUM-1000} |
STSAT51 |
Derivative counterparty and account bank continuity provisions |
|
{ALPHANUM-1000} |
STSAT52 |
Sponsor Robustness |
|
{ALPHANUM-1000} |
ANNEX III
Field formats to be applied to the STS notification form
SYMBOL |
DATA TYPE |
DEFINITION |
{ALPHANUM-n} |
Up to n alphanumeric characters |
Free text field. Should be entered in ASCII format (no accented characters). |
{COUNTRYCODE_2} |
2 alphanumeric characters |
2 letter country code, as defined by ISO 3166-1 alpha-2 country code. Should be entered in ASCII format (no accented characters). |
{CURRENCYCODE_3} |
3 alphanumeric characters |
3 letter currency code, as defined by ISO 4217 currency codes. Should be entered in ASCII format (no accented characters). |
{DATEFORMAT} |
ISO 8601 date format |
Dates shall be formatted by the following format: YYYY-MM-DD |
{Y/N} |
1 alphanumeric character |
‘true’- Y ’false’ – N |
{ISIN} |
12 alphanumeric characters |
ISIN code, as defined in ISO 6166 |
{LEI} |
20 alphanumeric characters |
Legal entity identifier, as defined in ISO 17442 |
STS notification form for ABCP Programme
FIELD CODE |
FIELD NAME |
BOX TO COMPLETE |
FIELD FORMAT |
STSAP0 |
First contact point |
|
{ALPHANUM-1000} |
STSAP1 |
Instrument identification code |
|
{ISIN} |
STSAP2 |
LEI of the sponsor |
|
{LEI} |
STSAP3 |
Notification identifier |
|
{ALPHANUM-100} |
STSAP4 |
Unique Identifier |
|
{ALPHANUM-100} |
STSAP5 |
Prospectus Identifier |
|
{ALPHANUM-100} |
STSAP6 |
Securitisation repository |
|
{ALPHANUM-1000} |
STSAP7 |
ABCP programme name |
|
{ALPHANUM-100} |
STSAP8 |
Country of establishment |
|
{ALPHANUM-1000} |
STSAP9 |
Instrument classification |
|
{LIST} |
STSAP10 |
Issue date |
|
{DATEFORMAT} |
STSAP11 |
Notification date |
|
{DATEFORMAT} |
STSAP12 |
Authorised third party |
|
{ALPHANUM-100} |
STSAP13 |
Authorised third party (name and country of establishment) |
|
{ALPHANUM-1000} {COUNTRYCODE_2} |
STSAP14 |
Competent authority which has authorised the third party |
|
{ALPHANUM-100} |
STSAP15 |
STS status |
|
{ALPHANUM-1000} |
STSAP16 |
Sponsor to be supervised credit institution |
|
{ALPHANUM-1000} |
STSAP17 |
Sponsor Support as liquidity provider |
|
{ALPHANUM-1000} |
STSAP18 |
Demonstration to credit institution’s competent authority |
|
{ALPHANUM-1000} |
STSAP19 |
Compliance with sponsor’s due diligence requirements |
|
{ALPHANUM-1000} |
STSAP20 |
Compliance with the risk retention requirements (transaction level/programme level) |
|
{LIST} |
STSAP21 |
Compliance at ABCP programme level with Article 7 of Regulation (EU) 2017/2402 |
|
{ALPHANUM-1000} |
STSAP22 |
Drawn down of liquidity where liquidity facility are not renewed |
|
{ALPHANUM-10000} |
STSAP23 |
Compliance of ABCP transactions within an ABCP programme with Article 24(1) to (8) and (12) to (20) of Regulation (EU) 2017/2402 |
|
{ALPHANUM-1000} |
STSAP24 |
Maximum of 5 % of the aggregate amount of the underlying exposures being temporally non-compliant |
|
{ALPHANUM} |
STSAP25 |
Remaining weighted of the average life (WAL) not more than two years |
|
{ALPHANUM-1000} |
STSAP26 |
Fully supported ABCP Programme (Sponsor Support) |
|
{ALPHANUM-10000} |
STSAP27 |
No re-securitisation and no credit enhancement establishing a second layer of tranching at the ABCP programme level |
|
{ALPHANUM-1000} |
STSAP28 |
No call options |
|
{ALPHANUM-1000} |
STSAP29 |
Interest rate and currency risks at ABCP programme appropriately mitigated and documented |
|
{ALPHANUM} |
STSAP30 |
Requirements for ABCP programme documentation (responsibilities of the trustee to investors) |
|
{ALPHANUM-1000} |
STSAP31 |
Requirements for the ABCP programme documentation (contractual obligations of the sponsor) |
|
{ALPHANUM-1000} |
STSAP32 |
Requirements for the ABCP programme documentation (process & responsibilities in case of defaulted servicer) |
|
{ALPHANUM-1000} |
STSAP33 |
Requirements for the ABCP programme documentation (provisions for replacement of derivatives counterparties and the account bank) |
|
{ALPHANUM-1000} |
STSAP34 |
Requirements for the ABCP programme documentation (procedures to ensure collateralisation of the funding commitment) |
|
{ALPHANUM-1000} |
STSAP35 |
Requirements for the ABCP programme documentation (liquidity facility & maturing securities to be repaid where the sponsor does not renew the funding commitment of the liquidity facility before its expiry) |
|
{ALPHANUM-1000} |
STSAP36 |
Servicer Expertise |
|
{ALPHANUM} |
3.9.2020 |
EN |
Official Journal of the European Union |
L 289/330 |
COMMISSION IMPLEMENTING REGULATION (EU) 2020/1228
of 29 November 2019
laying down implementing technical standards with regard to the format of applications for registration as a securitisation repository or for extension of a registration of a trade repository pursuant to Regulation (EU) 2017/2402 of the European Parliament and of the Council
(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 (1), and in particular Article 10(8) thereof,
Whereas:
(1) |
A uniform format for applications to the European Securities and Markets Authority (ESMA) for registration as a securitisation repository or for extension of a registration of a trade repository should ensure that all information required pursuant to Commission Delegated Regulation (EU) 2020/1230 (2) is submitted to, and easily identified by, ESMA. |
(2) |
It is important that the information in those applications be submitted in a format that enables storage for future use and reproduction. Therefore, these applications should be submitted in a durable medium. |
(3) |
In order to facilitate the identification of the information submitted within those applications, a unique reference number and a title for each of their documents should be provided. For the same reason, the applicant should be required to identify any information submitted by reference to the provision of Delegated Regulation (EU) 2020/1230 which that information relates to. |
(4) |
This Regulation is based on the draft implementing technical standards submitted by ESMA to the Commission. |
(5) |
In accordance with Article 15 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (3), ESMA has conducted an open public consultation on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established by Article 37 of that Regulation, |
HAS ADOPTED THIS REGULATION:
Article 1
Format of the application for registration and extension of registration
(1) Applicants for registration as a securitisation repository under Article 10(5)(a) of Regulation (EU) 2017/2402 shall complete the formats set out in Annex 1 to this Regulation.
(2) Trade repositories applying for an extension of registration under Article 10(5)(b) of Regulation (EU) 2017/2402 shall complete the formats set out in Annex 2 to this Regulation.
(3) For the purposes of paragraphs 1 and 2, the applications shall be submitted:
(a) |
in a durable medium as defined in Article 2(1)(m) of Directive 2009/65/EC of the European Parliament and of the Council (4); |
(b) |
with a unique reference number assigned to each document included in the application. |
Article 2
Entry into force
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 29 November 2019.
For the Commission
The President
Jean-Claude JUNCKER
(1) OJ L 347, 28.12.2017, p. 35.
(2) Commission Delegated Regulation (EU) 2020/1230 of 29 November 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the details of the application for registration of a securitisation repository and the details of the application for a simplified application for an extension of registration of a trade repository (see page 345 of this Official Journal).
(3) Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 176/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).
(4) Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).
ANNEX I
Formats for an application for registration as a securitisation repository
Table 1
General information
Date of application |
Corporate name of securitisation repository |
Place of incorporation and scope of business activity |
Legal entity identifier (LEI) registered with the Global Legal Entity Identifier Foundation |
Legal address of the securitisation repository |
Legal address of any subsidiaries of the securitisation repository |
Legal address of any branches of the securitisation repository |
Uniform resource locator (URL) of the securitisation repository’s website |
The securitisation types, risk transfer methods and underlying exposure types for which the applicant repository is applying to be registered |
If the applicant is authorised or registered by a competent authority in the Member State where it is established, the name of the authority and any reference number related to the authorisation or registration |
Name of the person(s) responsible for the application |
Contact details of the person(s) responsible for the application |
Name of person(s) responsible for the securitisation repository compliance (or any other staff involved in compliance assessments for the securitisation repository) |
Contact details of the person(s) responsible for the securitisation repository compliance, or any other staff involved in compliance assessments for the securitisation repository, in relation to its provision of core securitisation services |
Name of any parent undertaking |
LEI registered with the Global Legal Entity Identifier Foundation of any parent undertaking |
Legal address of any parent undertaking |
Name of the responsible supervisory authority for any parent undertaking |
Reference number of the responsible supervisory authority for any parent undertaking |
Name of any ultimate parent undertaking |
LEI registered with the Global Legal Entity Identifier Foundation of any ultimate parent undertaking |
Legal address of any ultimate parent undertaking |
Name of the responsible supervisory authority for any ultimate parent undertaking |
Reference number of the responsible supervisory authority for any ultimate parent undertaking |
Table 2
Document references (1)
Provision of Commission Delegated Regulation (EU) 2020/1230 containing the information requirement to which the document relates |
Unique reference number of document |
Title of the document |
Chapter or section or page of the document where the information is provided or reason why the information is not provided |
(1) For all information required in Commission Delegated Regulation (EU) 2020/1230 with the exception of points (a) to (c), (e), (f), (h) and (i) of Article 2(2) and Article 7(2) thereof.
ANNEX II
Formats for an application of a trade repository for extension of registration
Table 1
General information
Date of application |
Date of registration of the applicant as a trade repository |
Corporate name of securitisation repository |
Legal entity identifier (LEI) registered with the Global Legal Entity Identifier Foundation |
Legal address of the securitisation repository |
Legal address of any subsidiaries of the securitisation repository |
Legal address of any branches of the securitisation repository |
Uniform resource locator (URL) of the securitisation repository’s website |
Legal Entity Identifier (LEI) registered with the Global Legal Entity Identifier Foundation |
The securitisation types, risk transfer methods and underlying exposure types for which the applicant repository is applying to be registered |
If the applicant is authorised or registered by a competent authority in the Member State where it is established, the name of the authority and any reference number related to the authorisation or registration |
Name of the person(s) responsible for the application |
Contact details of the person(s) responsible for the application |
Name of person(s) responsible for the securitisation repository compliance, or any other staff involved in compliance assessments for the securitisation repository, in relation to its provision of core securitisation services |
Contact details of the person(s) responsible for the securitisation repository compliance (or any other staff involved in compliance assessments for the securitisation repository) |
Table 2
Document references (1)
Provision of Commission Delegated Regulation (EU) 2020/1230 containing the information requirement to which the document relates |
Unique reference number of document |
Title of the document |
Chapter or section or page of the document where the information is provided or reason why the information is not provided |
(1) For all information required in Commission Delegated Regulation (EU) 2020/1230 with the exception of points (a) to (c), (e), (f), (h) and (i) of Article 2(2) and Article 7(2) thereof.
3.9.2020 |
EN |
Official Journal of the European Union |
L 289/335 |
COMMISSION DELEGATED REGULATION (EU) 2020/1229
of 29 November 2019
supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards on securitisation repository operational standards for data collection, aggregation, comparison, access and verification of completeness and consistency
(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 point (a) of Article 10(7) and points (b), (c) and (d) of Article 17(2) thereof,
Whereas:
(1) |
The entities referred to in Article 17(1) of Regulation (EU) 2017/2402 should be able to fulfil their respective responsibilities, mandates and obligations. The information provided to those entities by securitisation repositories should therefore be of high quality and should lend itself to an aggregation and comparison across different securitisation repositories in a timely, comprehensive and structured manner. Securitisation repositories should therefore assess whether that information is complete and consistent before making it available to those entities and should provide those entities with an end-of-day report and overall data completeness score. |
(2) |
The procedures to verify whether the information reported to securitisation repositories by originators, sponsors or SSPEs is complete and consistent should take into account the variety of securitisation types, features and practices. It is therefore appropriate to provide for verification procedures that include the comparison of the information reported with respect to similar securitisations, such as securitisations sharing the same or related originator, underlying exposure type, structural feature or geography. |
(3) |
To ensure the quality of the information reported, verification procedures should also apply to the completeness and consistency of the documentation supporting that information. Given, however, the relative difficulty in verifying completeness and consistency of that documentation, securitisation repositories should request reporting entities to confirm in writing that the underlying securitisation documentation made available by them is complete and consistent. Material updates to documentation already reported should be considered a new securitisation document requiring a written confirmation request. |
(4) |
To enable the entities referred to in Article 17(1) of Regulation (EU) 2017/2402 to fulfil their respective responsibilities, mandates and obligations, the details of securitisations to which those entities must have direct and immediate access should be comparable across securitisation repositories in a harmonised and consistent manner. Those details should therefore be provided in Extensible Markup Language (XML) format because that format is widely used in the financial industry. |
(5) |
Confidentiality of any type of data exchanged between securitisation repositories and the entities referred to in Article 17(1) of Regulation (EU) 2017/2402 should be ensured. Such exchanges should therefore be carried out through a secure machine-to-machine connection by using data encryption protocols. To ensure minimum common standards, an SSH File Transfer Protocol should be used. |
(6) |
Data concerning the latest securitisation underlying exposures, investor reports, inside information and significant event information, as well as indicators of the quality and timeliness of those data, are essential for ongoing monitoring of securitisation investment positions and potential investments, as well as financial stability and systemic risk. The entities referred to in Article 17(1) of Regulation (EU) 2017/2402 should therefore have access to those data on an ad hoc or predefined periodic basis proportionate to their needs for receiving it. |
(7) |
Securitisations are complex and heterogeneous and the users accessing information from securitisation repositories are diverse. It is therefore essential that the direct and immediate access to specific datasets and information is facilitated. That access should include access in a machine-readable format where the information relates to data and to all current and historical information on a securitisation stored within a repository. For that purpose, a framework should be created for ad hoc requests that can be combined to obtain specific information. The deadlines by which securitisation repositories should provide data to the entities referred to in Article 17(1) of Regulation (EU) 2017/2402 should be harmonised to facilitate efficient data processing by those entities and securitisation repositories. At the same time, it should be ensured that data are obtained within deadlines that enable the effective fulfilment of the requesting entities’ responsibilities. |
(8) |
The entities referred to in Article 17(1) of Regulation (EU) 2017/2402 rely on the data maintained by securitisation repositories, including for comparing current securitisations with past securitisations. Therefore, it is appropriate to specify that repositories should maintain records of a securitisation for 10 years following the termination of the securitisation, pursuant to Article 10(2) of Regulation (EU) 2017/2402 and Article 80(3) of Regulation (EU) No 648/2012 of the European Parliament and of the Council (2). |
(9) |
The provisions in this Regulation are closely linked, since they deal with standards and procedures relating to the collection and processing of information held by securitisations repositories and access to that information. It is therefore appropriate to include those provisions in a single Regulation. |
(10) |
This Regulation is based on the draft regulatory technical standards submitted to the Commission by the European Securities and Markets Authority (ESMA). |
(11) |
ESMA has conducted an open public consultation on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (3), |
HAS ADOPTED THIS REGULATION:
Article 1
Definitions
For the purposes of this Regulation, the following definitions shall apply:
(a) |
‘reporting entity’ means the entity designated in accordance with Article 7(2) of Regulation (EU) 2017/2402; |
(b) |
‘data cut-off date’ means the reference date of the information reported in accordance with Commission Delegated Regulation (EU) 2020/1224 (4). |
Article 2
End-of-day report
1. Securitisation repositories shall produce, on a daily basis, a single aggregate end-of-day report for all securitisations reported to them, excluding any reported securitisation that has been rejected in accordance with Article 4(6). That report shall be based on the most recent reported information, shall exclude any reported securitisation that has been rejected in accordance with Article 4(6) and shall include at least the following information:
(a) |
the unique identifier assigned in accordance with Article XI of Delegated Regulation (EU) 2020/1224; |
(b) |
the ISIN codes of the tranches, bonds or subordinated loans of the securitisation, where available; |
(c) |
the sum of current principal balances of all tranches, bonds or subordinated loans of the securitisation, in EUR, using the exchange rates published on the website of the European Central Bank for the previous working day; |
(d) |
the securitisation name; |
(e) |
whether the securitisation is an ABCP or non-ABCP securitisation; |
(f) |
whether the securitisation structure type is type ‘M’ for a Master Trust as reported in field SESS9 of Annex XIV to Delegated Regulation (EU) 2020/1224 or type ‘S’ for all other securitisations; |
(g) |
whether the securitisation risk transfer method is ‘T’ for a true sale as reported in field IVSS11 of Annex XII to Delegated Regulation (EU) 2020/1224 or ‘S’ for a synthetic securitisation as reported in field SESV11 of Annex XIV to that Regulation, or ‘ABCP’ for ABCP securitisations; |
(h) |
the name and legal entity identifiers (‘LEI’) of the originator, sponsor and SSPE; |
(i) |
the most recent interest payment date in ISO 8601 date format; |
(j) |
the timestamp, in ISO 8601 date and time (UCT) format, to the nearest second, of the most recent data submission received by the securitisation repository, or, where there are multiple data submissions referenced against the same data cut-off date, the timestamps, in ISO 8601 date and time (UCT) format, of the earliest and most recent data submissions having the same data cut-off date; |
(k) |
the data cut-off date, in ISO 8601 date format, of the most recent data submission received by the securitisation repository; |
(l) |
the number of data submissions received by the securitisation repository that are referenced against the same data cut-off date set out in point (k); |
(m) |
the data completeness score referred to in Article 3 of the most recent data submission received by the securitisation repository; |
(n) |
for non-ABCP securitisations, the country of establishment of the originator or original lender; |
(o) |
for ABCP securitisations, the country of establishment of the sponsor; |
(p) |
the country where the majority of the underlying exposures is located, in terms of underlying exposure current principal balance; |
(q) |
the most prevalent type of the underlying exposures in the securitisation, in terms of current principal balance. |
(r) |
For the purposes of point (n), where the securitisation underlying exposures are a combination of exposures from multiple originators or original lenders, the country of establishment of the originator or original lender shall be the country of the originator or original lender that has the largest amount of exposures in terms of current principal balance in the securitisation. |
2. Securitisation repositories shall make the end-of-day report available in XML format.
3. Timestamps referred to in this Article shall not diverge by more than one second from the UTC issued and maintained by one of the timing centres listed in the latest Bureau International des Poids et Mesures (BIPM) Annual Report on Time Activities.
Article 3
Scoring of completeness of data
4. Securitisation repositories shall calculate a data completeness score for each data submission by using the scoring matrix set out in Table 1 of the Annex and the following inputs:
Where:
denotes the total number of fields in a data submission containing the respective ‘No Data Option’ values that are reported in accordance with Article 9(3) of Delegated Regulation (EU) 2020/1224.
N denotes the total number of fields in the data submission where any ‘No Data Option’ values (ND1 to ND4) are permitted to be reported in accordance with Article 9(3) of Delegated Regulation (EU) 2020/1224.
For the purposes of calculating the data completeness score, fields completed using the format of ‘ND4-YYYY-MM-DD’ shall be understood as ‘ND4’.
Article 4
Verification of completeness and consistency of information
1. Securitisation repositories shall verify the completeness and consistency of information reported to them by verifying the following:
(a) |
the name of the reporting entity, as reported in field IVSS4 of Annex XII or in field IVAS3 of Annex XIII to Delegated Regulation (EU) 2020/1224; |
(b) |
whether the submission item code as reported in Table 3 of Annex I to Delegated Regulation (EU) 2020/1224 is correct. |
2. With regard to the information referred to in points (a), (e), (f) and (g) of Article 7(1) of Regulation (EU) 2017/2402, Securitisation repositories shall also verify the completeness and consistency of information by:
(a) |
verifying whether the information reported complies with the structure and format of the templates set out in Annex II to XV of Commission Implementing Regulation (EU) 2020/1225 (5); |
(b) |
comparing the information reported:
|
(c) |
verifying whether the data cut-off date of the information reported and the timestamp of the submission comply with Article 10 of Delegated Regulation (EU) 2020/1224; |
(d) |
verifying that the ‘No Data Options’ set out in Article 9(3) of Delegated Regulation (EU) 2020/1224, are only used where permitted and do not prevent the data submission from being sufficiently representative of the underlying exposures in the securitisation. |
For ABCP securitisations, references in this paragraph to underlying exposures shall be construed as references to underlying exposure types.
3. Securitisation repositories shall verify the completeness and consistency of the documentation made available to them under point (b) of Article 7(1) of Regulation (EU) 2017/2402 by requesting from reporting entities a written confirmation of the following:
(a) |
that all items referred to in Table 3 of Annex I to Delegated Regulation (EU) 2020/1224 and required to be made available pursuant to point (b) of Article 7(1) of Regulation (EU) 2017/2402 have been provided to the securitisation repository; |
(b) |
that the documentation is consistent with the actual arrangements and features of the securitisation. |
4. The written confirmation referred to in paragraph 3 shall be requested within the following timeframes:
(a) |
within five working days of the first issuance of securities under the securitisation or, for ABCP securitisations, within five working days of the first issuance of securities under the ABCP programme; |
(b) |
every 12 months from the dates of the requests referred to in point (a); |
(c) |
within five working days of a new document being made available pursuant to point (b) of Article 7(1) of Regulation (EU) 2017/2402. |
A securitisation repository that has not received a written confirmation within 14 days of the date of any request referred to in the first subparagraph shall request the reporting entity to provide it with the written confirmation within 14 days.
5. Securitisation repositories shall verify whether the STS notification referred to in point (d) of Article 7(1) of Regulation (EU) 2017/2402, which has been made available to that securitisation repository complies with the structure and format of the templates set out in the Annexes to Commission Implementing Regulation (EU) 2020/1227 (6).
6. A securitisation repository shall reject a submission of information that is incomplete or inconsistent pursuant to paragraphs 1, 2, and 5, except for sub-points (iii) and (iv) of point (b) of paragraph 2. The securitisation repository shall assign submissions rejected pursuant to this paragraph to one of the rejection categories set out in Table 2 of the Annex.
7. The securitisation repository shall notify the entities referred to in Article 17(1) of Regulation (EU) 2017/2402 without undue delay of the following:
(a) |
that the submitted information is incomplete or inconsistent pursuant to sub-points (iii) and (iv) of point (b) of paragraph 2; |
(b) |
that the securitisation repository has not received the written confirmation referred to in paragraph 3. |
8. Within one hour of the receipt of the information referred to in Article 7 of Regulation (EU) 2017/2402, securitisation repositories shall provide reporting entities with detailed feedback on the results of the verifications performed under paragraphs 1, 2, 3 and 5, including any rejection category assigned pursuant to paragraph 6. That feedback shall also include at least the following::
(a) |
the unique identifier of the securitisation assigned in accordance with Article 11 of Delegated Regulation (EU) 2020/1224; |
(b) |
the item code(s) referred to in Table 3 of Annex I to Delegated Regulation (EU) 2020/1224; |
(c) |
the submission timestamp, in ISO 8601 date and time (UCT) format, to the nearest second, of the information reported. |
9. By 19.00.00 UTC each Monday, securitisation repositories shall produce a report on all information rejected by it since 19.00.00 UTC on the previous Monday. That report shall include at least the following items:
(a) |
the unique identifier of the securitisation assigned in accordance with Article 11 Delegated Regulation (EU) 2020/1224; |
(b) |
the securitisation name; |
(c) |
the ISIN codes of the tranches or bonds or subordinated loans of the securitisation, where available; |
(d) |
the name and LEI of the originator, sponsor and SSPE; |
(e) |
the timestamp, in ISO 8601 date and time (UCT) format, to the nearest second, of the submitted information; |
(f) |
the submission item code referred to in Table 3 of Annex I to Delegated Regulation (EU) 2020/1224; |
(g) |
the rejection category referred to in Table 2 of the Annex to this Regulation and the specific circumstances for assigning that rejection category; |
(h) |
any explanation(s) provided by the reporting entity before 17.00.00 UTC on the Monday of the report publication date as to why the reported information is incomplete or inconsistent, or as to why the written confirmation referred to in paragraph 3 has not been provided. |
Article 5
Details of information to which access is to be granted
The details of information referred to in point (c) of Article 17(2) of Regulation (EU) 2017/2402 are the following:
(a) |
all information received by the securitisation repository from reporting entities in accordance with Regulation (EU) 2017/2402; |
(b) |
the end-of-day report referred to in Article 2, the data completeness score referred to in Article 3 and any information resulting from the verifications carried out pursuant to Article 4 of this Regulation; |
(c) |
all formulae and calculation and aggregation methods used to produce the information referred to in points (a) and (b). |
Article 6
Terms and conditions for access to details of information
1. Access to the information referred to in Article 5 shall be granted upon request. The request for access shall include the following information:
(a) |
the name of the requesting entity; |
(b) |
the contact person at the requesting entity; |
(c) |
the type of requesting entity as referred to in Article 17(1) of Regulation (EU) 2017/2402 that requests access; |
(d) |
the names of the persons at the requesting entity who will have access to the requested information; |
(e) |
credentials for secure SSH File Transfer Protocol connection as required by Article 7(2); |
(f) |
whether the request is an ad hoc or predefined periodic request; |
(g) |
the identification of the information requested based on any combination of the criteria in paragraph 4; |
(h) |
any other technical information relevant to the requesting entity’s access. |
2. For the purposes of paragraph 1, securitisation repositories shall:
(a) |
designate a person or persons responsible for liaising with the entities referred to in Article 17(1) of Regulation (EU) 2017/2402; |
(b) |
publish on their website the terms and conditions for accessing the information and the instructions for submitting a request for accessing that information; |
(c) |
provide access only to the information specified in the request for access; |
(d) |
as soon as possible but no later than 30 days following a request to set up access to that information, establish the technical arrangements necessary to enable the entities referred to in Article 17(1) of Regulation (EU) 2017/2402 to submit requests to access that information. |
3. Access to the information referred to in Article 5 shall be granted within the following timeframes:
(a) |
no later than 19.00.00 UTC of the day to which the report relates for an ad hoc or predefined periodic request for an end-of-day report as referred to in Article 2; |
(b) |
no later than 12.00.00 UTC on the first day following the day of receipt of the request for access where the information concerns a securitisation that has either not yet been priced or has not yet matured or has matured less than one year before the date on which the request was submitted; |
(c) |
no later than three working days following the day of receipt of the request for access where the information concerns a securitisation that has matured more than one year before the date on which the request was submitted; |
(d) |
no later than three working days following the day of receipt of the request for access where the information concerns several securitisations falling under both points (b) and (c). |
4. Securitisation repositories shall grant the entities referred to in Article 17(1) of Regulation (EU) 2017/2402 access to the information referred to in Article 5, based on any combination of the following criteria:
(a) |
securitisation type: non-ABCP or ABCP; |
(b) |
securitisation structure type: either ‘M’ for Master Trust as reported in field SESS9 of Annex XIV to Delegated Regulation (EU) 2020/1224 or ‘S’ for all other securitisations; |
(c) |
securitisation risk transfer method: either type ‘Y’ for true sale as reported in field IVSS11 in Annex XII to Delegated Regulation (EU) 2020/1224, ‘Y’ for synthetic as reported in field SESV11 in Annex XIV to that Regulation, or ‘ABCP’ for ABCP securitisations; |
(d) |
securitisation item code; |
(e) |
securitisation underlying exposure type; |
(f) |
securitisation underlying exposure section; |
(g) |
securitisation investor report template section; |
(h) |
securitisation inside information or significant event information template section; |
(i) |
identifier:
|
(j) |
geography:
|
(k) |
date and time:
|
(l) |
currency:
|
5. Securitisation repositories shall make the following information available using XML format:
(a) |
the information referred to in point (a) and points (d) to (g) of Article 7(1) of Regulation (EU) 2017/2402; |
(b) |
the information produced by securitisation repositories in accordance with Articles 2 and 4 of this Regulation, with the exception of written confirmations received under Article 4(3). |
Article 7
Standards for data collection and access
1. Securitisation repositories shall use electronic signature and data encryption protocols to receive data from reporting entities or other securitisation repositories, and to transfer data to the entities referred to in Article 17(1) of Regulation (EU) 2017/2402.
2. For the purposes of paragraph 1, securitisation repositories shall establish and maintain a secure machine-to-machine interface and make that interface available to the reporting entities and the entities referred to in Article 17(1) of Regulation (EU) 2017/2402. That interface shall make use of the SSH File Transfer Protocol.
3. Securitisation repositories shall use standardised XML messages to communicate through the interface referred to in paragraph 2 and make the information set out in Article 6(5) of this Regulation available to the entities referred to in Article 17(1) of Regulation (EU) 2017/2402.
Article 8
Recordkeeping
1. Securitisation repositories shall record the following:
(a) |
verifications pursuant to this Regulation, and any other validation carried out by the securitisation repository; |
(b) |
the written confirmations received by the securitisation repository referred to in Article 4(3); |
(c) |
the results provided by the securitisation repository to the reporting entity pursuant to Article 4(6); |
(d) |
any explanation provided by the reporting entity as to why the submitted information is incomplete or inconsistent, or as to why there is no written confirmation as referred to in Article 4(7); |
(e) |
in a reporting log, the details of any corrections or cancellations submitted by the reporting entity; |
(f) |
any other information produced or submitted pursuant to this Regulation. |
2. Each record shall be retained for 10 years following the termination of the securitisation to which that record relates.
3. The reporting log referred to point (d) of paragraph 1 shall include the unique identifier of the securitisation, the item code, the timestamp of the affected submission, the timestamp of the changes and a clear description of the changes to the submitted information, including the previous and new contents of that information.
Article 9
Entry into force
This Regulation shall enter into force on the twentieth day following its publication in the Official Journal of the European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 29 November 2019.
For the Commission
The President
Jean-Claude JUNCKER
(1) OJ L 347, 28.12.2017, p. 35.
(2) Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (OJ L 201, 27.7.2012, p. 1).
(3) Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).
(4) Commission Delegated Regulation (EU) 2020/1224 of 16 October 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE (See page 1 of this Official Journal).
(5) Commission Implementing Regulation (EU) 2020/1225 of 29 October 2019 laying down implementing technical standards with regard to the format and standardised templates for making available the information and details of a securitisation by the originator, sponsor and SSPE (See page 217 of this Official Journal).
(6) Commission Implementing Regulation (EU) 2020/1227 of 12 November 2019 laying down implementing technical standards with regard to templates for the provision of information in accordance with the STS notification requirements (See page 315 of this Official Journal).
ANNEX
Data completeness scoring matrix and rejection categories
Table 1
Data completeness scoring matrix
|
|
|
|||
|
|
Input 1: Percentage of fields entered as ‘ND1’ |
|||
|
|
Input 1 = 0 % |
0 % < Input 1 ≤ 10 % |
10 % < Input 1 ≤ 30 % |
Input 1 > 30 % |
Input 2: Percentage of fields entered as ‘ND2’, ‘ND3’, or ‘ND4-YYYY-MM-DD’ |
Input 2 = 0 % |
A1 |
B1 |
C1 |
D1 |
0 % < Input 2 ≤ 20 % |
A2 |
B2 |
C2 |
D2 |
|
20 % < Input 2 ≤ 40 % |
A3 |
B3 |
C3 |
D3 |
|
Input 2 > 40 % |
A4 |
B4 |
C4 |
D4 |
Table 2
Rejection categories
Rejection categories |
Reason |
Schema |
The submission of information has been rejected because of a non-compliant schema. |
Permission |
The submission of information has been rejected because the reporting entity has not been granted permission to report on behalf of the originator, sponsor or SSPE. |
Logical |
The submission of information has been rejected because the item code does not match the available values in Table 3 of Annex 1 of Delegated Regulation (EU) 2020/1224. |
Business |
The submission of information has been rejected because the data submission does not comply with one or more content validations. |
Representativeness |
The submission of information has been rejected pursuant to Article 4(6). |
3.9.2020 |
EN |
Official Journal of the European Union |
L 289/345 |
COMMISSION DELEGATED REGULATION (EU) 2020/1230
of 29 November 2019
supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the details of the application for registration of a securitisation repository and the details of the simplified application for an extension of registration of a trade repository
(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 the third subparagraph of Article 10(7) thereof insofar as it relates to points (b) and (c) of the first subparagraph of that paragraph,
Whereas:
(1) |
Article 7(2) of Regulation (EU) 2017/2402 requires the information for a securitisation transaction to be made available by means of a securitisation repository or, where no such repository is registered in accordance with Article 10 of that Regulation, by means of a website meeting certain requirements. Article 10 of Regulation (EU) 2017/2402 sets out the conditions and procedure for the registration of securitisation repositories, including the requirement to submit either an application for registration or, in the case of trade repositories already registered under Chapter 1 of Title VI of Regulation (EU) No 648/2012 of the European Parliament and of the Council (2) or under Chapter III of Regulation (EU) 2015/2365 of the European Parliament and of the Council (3), an application for extension of registration for the purposes of Article 7 of Regulation (EU) 2017/2402. |
(2) |
In order to minimise additional operational costs for market participants, the rules for the registration of securitisation repositories, including the rules for registration by means of an extension of registration for the purposes of Article 7 of Regulation (EU) 2017/2402, should build on existing infrastructures, operational processes and formats introduced in connection with the reporting of securities financing transactions and derivative contracts. The rules on registration should, however, also reflect the specificities of securitisations, including complexities associated with hosting securitisation data and documentation and should reflect recent market developments, such as the common use of Legal Entity Identifiers, which improves the organisation and classification of information on legal entities to be provided in the application. For clarity and ease of reference for applicants, it is also desirable for the rules on registration to follow the order of the relevant requirements in Regulation (EU) 2017/2402. |
(3) |
Securitisations are highly complex instruments involving many different types of information, including information on the features of underlying exposures, information on their cash flows, information on the structure of the securitisation and information on the legal and operational arrangements entered into with third parties. It is therefore important that a prospective securitisation repository is able to demonstrate sufficient knowledge and working experience with securitisations, and the capacity to receive, process and make available the relevant information set out in Regulation (EU) 2017/2402. Prospective securitisation repositories should also be able to demonstrate that their staff, systems, controls and procedures are adequate for ensuring compliance with the requirements set out in Regulation (EU) 2017/2402. |
(4) |
Securitisation repositories may provide services, referred to as ‘ancillary securitisation services’, which are directly related to and arise from the delivery of services for which registration as a securitisation repository is required under Regulation (EU) 2017/2402 (referred to as ‘core securitisation services’). For example, securitisation repositories may provide research or consultancy services to a prospective securitisation issuer which make use of the securitisation data available to the securitisation repository. Securitisation repositories may also provide ancillary services that are neither directly related to, nor arise from the delivery of core securitisation services (ancillary non-securitisation services). However, the use of common resources within a securitisation repository for the provision of both core securitisation services and ancillary securitisation services, or indeed ancillary non-securitisation services, could lead to contagion of operational risks across those services. Services involving the validation, reconciliation, processing or record-keeping of information may therefore require an effective means of operational separation in order to avoid such contagion. On the other hand, practices such as common front-end systems, a common access point to information or use of the same staff working in sales, compliance or a client services helpdesk may be considered less prone to contagion and hence will not necessarily require operational separation. Applicants for registration as a securitisation repository should therefore be required to demonstrate that they have established an appropriate level of operational separation between the resources, systems and procedures used in those business lines that are involved in the provision of core securitisation services and the resources, systems and procedures used in other business lines involved in the provision of ancillary services, regardless of whether those other business lines are run by the securitisation repository, an affiliated entity, or another entity. |
(5) |
Article 10(5) of Regulation (EU) 2017/2402 envisages a simplified application for an extension of registration, where trade repositories registered under Regulation (EU) No 648/2012 or under Regulation (EU) 2015/2365 apply for their existing registration as a trade repository to be extended for the purposes of Article 7 of Regulation (EU) 2017/2402. Therefore, to avoid any duplication of requirements, the information to be provided by a trade repository applying for an extension of registration should be confined to details about the adaptations necessary to ensure compliance with Regulation (EU) 2017/2402. |
(6) |
This Regulation is based on the draft regulatory technical standards submitted by the European Securities and Markets Authority (ESMA) to the Commission. |
(7) |
In accordance with Article 10 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (4), ESMA has conducted an open public consultation on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established by Article 37 of that Regulation, |
HAS ADOPTED THIS REGULATION:
Article 1
Definitions
For the purposes of this Regulation, the following definitions shall apply:
(1) |
‘user’, in relation to a securitisation repository, means any of the following:
|
(2) |
‘reporting entity’ means the entity designated in accordance with the first subparagraph of Article 7(2) of Regulation (EU) 2017/2402; |
(3) |
‘core securitisation services’ means services for which registration as a securitisation repository is required under Regulation (EU) 2017/2402; |
(4) |
‘ancillary securitisation services’ means services provided by a securitisation repository that are directly related to and arise from the delivery of core securitisation services provided by that securitisation repository; |
(5) |
‘ancillary non-securitisation services’ means services that are neither core securitisation services nor ancillary securitisation services; |
(6) |
the following expressions have the meaning given to that expression in Article 2 of Regulation (EU) No 648/2012:
|
(7) |
‘senior management’ means the person or persons who effectively direct the business of the securitisation repository, and the executive member or members of its board. |
Article 2
Identification, legal status and type of securitisation
(1) An application for registration as a securitisation repository shall identify the applicant and the activities that the applicant intends to carry out for which registration as a securitisation repository is required.
(2) For the purposes of paragraph 1, the application shall in particular contain the following:
(a) |
the corporate name of the applicant, its legal address within the Union and the corporate name and legal address of any subsidiaries and branches of the applicant; |
(b) |
the applicant’s legal entity identifier (LEI) registered with the Global Legal Entity Identifier Foundation; |
(c) |
the uniform resource locator (URL) of the applicant’s website; |
(d) |
an excerpt from the relevant commercial or court register showing the place of incorporation and scope of business activity of the applicant, or some other form of certified evidence of the place of incorporation and scope of business activity of the applicant, valid in either case as at the date of the application for registration as a securitisation repository; |
(e) |
the securitisation types (ABCP transaction or non-ABCP transaction), risk transfer methods (traditional securitisation or synthetic securitisation) and underlying exposure types (residential real estate, commercial real estate, corporate, leasing, consumer, automobile, credit card, esoteric) for which the applicant wishes to be registered; |
(f) |
whether the applicant is authorised or registered by a competent authority in the Member State where it is established and, if so, the name of the competent authority and any reference number related to the authorisation or registration; |
(g) |
the articles of incorporation or equivalent terms of establishment and, where relevant, other statutory documentation stating that the applicant is to conduct core securitisation services; |
(h) |
the name and contact details of the person(s) responsible for compliance, or any other staff involved in compliance assessments for the applicant, in relation to its provision of core securitisation services; |
(i) |
the name and contact details of the contact person for the purposes of the application; |
(j) |
the programme of operations, including the location of the main business activities of the applicant; |
(k) |
any ancillary securitisation or ancillary non-securitisation service that the applicant provides or intends to provide; |
(l) |
any information on any pending judicial, administrative, arbitration or any other litigation proceedings irrespective of their type, that the applicant may be party to, particularly as regards tax and insolvency matters and where significant financial or reputational costs may be incurred, or any non-pending proceedings, that may still have any material impact on securitisation repository costs. |
(3) Upon request, the applicant shall provide ESMA with additional information during the examination of the application for registration where such information is needed for the assessment of the applicant’s ability to comply with the applicable requirements of Regulation (EU) 2017/2402 and for ESMA to duly interpret and analyse the documentation to be submitted or already submitted.
(4) Where an applicant considers that a requirement of this Regulation is not applicable to it, it shall clearly indicate that requirement in its application and explain why that requirement does not apply.
Article 3
Organisational chart
(1) An application for registration as a securitisation repository shall contain a chart detailing the organisational structure of the applicant, including that of any ancillary securitisation services and of any ancillary non-securitisation services.
(2) The chart referred to in paragraph 1 chart shall include information about the identity of the person responsible for each significant role, including the identity of each member of its senior management and of persons who effectively direct the business of any subsidiaries and branches.
Article 4
Corporate governance
(1) An application for registration as a securitisation repository shall contain information regarding the applicant’s internal corporate governance policies and the procedures and terms of reference which govern its senior management, including the board, its non-executive members and, where established, committees.
(2) The information referred to in paragraph 1 shall describe the selection process, appointment, performance evaluation and removal of senior management.
(3) Where the applicant adheres to a recognised corporate governance code of conduct, the application for registration as a securitisation repository shall identify the code and provide an explanation for any situations where the applicant deviates from that code.
Article 5
Internal control
(1) An application for registration as a securitisation repository shall contain detailed information about the internal control system of the applicant, including information regarding its compliance function, risk assessment, internal control mechanisms and the arrangements of its internal audit function.
(2) The detailed information referred to in paragraph 1 shall contain:
(a) |
the applicant’s internal control policies and the procedures to ensure the consistent and effective implementation of those policies; |
(b) |
any policies, procedures and manuals for monitoring and evaluating the adequacy and effectiveness of the applicant’s systems; |
(c) |
any policies, procedures and manuals for controlling and safeguarding the applicant’s information processing systems; |
(d) |
the identity of the internal bodies in charge of evaluating any internal control findings. |
(3) An application for registration as a securitisation repository shall contain the following information with respect to the applicant’s internal audit activities:
(a) |
in case there is an Internal Audit Committee, its composition, competences and responsibilities; |
(b) |
its internal audit function charter, methodologies, standards and procedures; |
(c) |
an explanation of how its internal audit function charter, methodology and procedures are developed and applied, taking into account the nature and extent of the applicant’s activities, complexities and risks; |
(d) |
a work plan for the Internal Audit Committee for the three years following the date of application, focusing on the nature and extent of the applicant’s activities, complexities and risks. |
Article 6
Conflicts of interest
(1) An application for registration as a securitisation repository shall contain the following information on the policies and procedures put in place by the applicant to manage conflicts of interest:
(a) |
policies and procedures with respect to the identification, management, elimination, mitigation and disclosure of conflicts of interest without delay; |
(b) |
a description of the process used to ensure that the relevant persons are aware of the policies and procedures referred to in point (a); |
(c) |
a description of the level and form of separation that exists between the various business functions within the applicant’s organisation, including a description of:
|
(d) |
any other measures and controls put in place to ensure the policies and procedures referred to in point (a) with respect to conflicts of interest management and the process referred to in point (b) are followed. |
(2) An application for registration as a securitisation repository shall contain an up-to-date inventory, at the time of the application, of existing and potential material conflicts of interest in relation to any core or ancillary securitisation services as well as any ancillary non-securitisation services provided or received by the applicant and a description of how those conflicts are, or will be managed. The inventory shall include conflicts of interest arising from the following situations:
(a) |
any situation where the applicant may realise a financial gain or avoid a financial loss, to the detriment of a client; |
(b) |
any situation where the applicant may have an interest in the outcome of a service provided to a client, which is distinct from the client’s interest in that outcome; |
(c) |
any situation where the applicant may have an incentive to prioritise its own interests or the interest of another user or group of users rather than the interests of the client to whom a service is provided; |
(d) |
any situation where the applicant receives or may receive an incentive from any person other than the client, in relation to a service provided to the client, in the form of money, goods or services, but excluding incentives by way of commission or fees received for the service. |
(3) Where an applicant is part of a group, the inventory shall include any existing and potential material conflicts of interest arising from other undertakings within the group and how those conflicts are being managed and mitigated.
Article 7
Ownership of the securitisation repository
(1) An application for registration as a securitisation repository shall contain:
(a) |
a list containing the name of each person or entity who directly or indirectly holds 5 % or more of the applicant’s capital or of its voting rights or whose holding makes it possible to exercise a significant influence over the applicant’s management; |
(b) |
a list of any undertakings in which a person referred to in point (a) holds 5 % or more of the capital or voting rights or over whose management they exercise a significant influence. |
(2) Where the applicant has a parent undertaking or an ultimate parent undertaking, the applicant shall:
(a) |
identify the LEI registered with the Global Legal Entity Identifier Foundation, and legal address of the parent undertaking or the ultimate parent undertaking; |
(b) |
indicate whether the parent undertaking or ultimate parent undertaking is authorised or registered and subject to supervision and, when this is the case, state any reference number and the name of the responsible supervisory authority. |
Article 8
Ownership chart
(1) An application for registration as a securitisation repository shall contain a chart showing the ownership links within the applicant’s group, including between the ultimate parent undertaking, parent undertaking, subsidiaries and any other associated entities or branches.
(2) The undertakings in the chart referred to in paragraph 1 shall be identified by their full name, legal status, legal address and LEI registered with the Global Legal Entity Identifier Foundation.
Article 9
Policies and procedures
Policies and procedures that are to be provided as part of an application for registration as a securitisation repository shall contain the following:
(a) |
evidence that the board approves the policies and that senior management approves the procedures and is responsible for the implementation and maintenance of those policies and procedures; |
(b) |
a description of how those policies and procedures are communicated within the applicant’s organisation, how compliance with those policies and procedures is ensured and monitored on a day-to-day basis, and who is responsible for compliance with those policies and procedures; |
(c) |
any records indicating that staff members and staff members who are operating under any outsourcing arrangement are aware of those policies and procedures; |
(d) |
a description of the measures to be taken in the event of a breach of those policies and procedures; |
(e) |
a description of the procedure for reporting to ESMA any material breach of the policies or procedures which may result in a breach of the conditions for registration; |
(f) |
a description of the arrangements for notifying ESMA promptly of any planned material changes to the applicant’s information technology systems, prior to their implementation. |
Article 10
Regulatory compliance
An application for registration as a securitisation repository shall contain the following regarding the applicant’s policies and procedures for ensuring compliance with Regulation (EU) 2017/2402:
(a) |
a description of the roles of the persons responsible for compliance and of any other staff involved in the compliance assessments, including a description of how the independence of the compliance function from the rest of the business is ensured; |
(b) |
the internal policies and procedures designed to ensure that the applicant, including its managers and employees, complies with Regulation (EU) 2017/2402, including a description of the role of the board and senior management; |
(c) |
where available, the most recent internal report on compliance with Regulation (EU) 2017/2402 prepared by the persons responsible for such compliance or by any other staff involved in such compliance assessments within the applicant’s organisation. |
Article 11
Staffing policies and procedures
An application for registration as a securitisation repository shall contain the following:
(a) |
a copy of the remuneration policy for senior management, board members and for staff employed in risk and control functions of the applicant; |
(b) |
a description of the measures put in place by the applicant to mitigate the risk of over-reliance on any individual employee. |
Article 12
Information about the applicant’s staff members involved in the provision of core securitisation services
An application for registration as a securitisation repository shall contain the following information about the applicant’s staff members involved in the provision of core securitisation services:
(a) |
a general list of staff members directly employed by the applicant, including their role and qualifications per role; |
(b) |
a specific description of the information technology staff members directly employed to provide core securitisation services, including the role and the qualifications of each individual; |
(c) |
a description of the roles and qualifications of each individual who is responsible for internal audit, internal controls, compliance, risk assessment and internal review; |
(d) |
the identity of staff members and the identity of staff members who are operating under any outsourcing arrangement; |
(e) |
details of training provided to staff members on the applicant’s policies and procedures as well as on the securitisation repository business, including any examination or other type of formal assessment required for staff members regarding the conduct of core securitisation services. |
The description referred to in point (b) of the first paragraph shall include written evidence of the experience in information technology of at least one staff member responsible for information technology matters.
Article 13
Financial reports and business plans
(1) An application for registration as a securitisation repository shall contain the following financial information:
(a) |
a complete set of financial statements of the applicant, prepared in conformity with either of the following:
|
(b) |
where the financial statements of the applicant are subject to statutory audit within the meaning given in Article 2(1) of Directive 2006/43/EC of the European Parliament and of the Council (7), the financial statements shall contain the audit report on the annual and consolidated financial statements; |
(c) |
where the applicant is audited, the name and the national registration number of the external auditor. |
(2) Where the financial information referred to in paragraph 1 is not available, an application for registration as a securitisation repository shall contain the following information about the applicant:
(a) |
a pro-forma statement demonstrating proper resources and expected business status in the six months following registration as a securitisation repository; |
(b) |
an interim financial report where the financial statements are not yet available for the period of time required under the acts specified in paragraph 1; |
(c) |
a statement of financial position, such as a balance sheet, income statement, changes in equity and of cash flows, a summary of accounting policies and other explanatory notes required under the acts specified in paragraph 1. |
(3) An application for registration as a securitisation repository shall contain a financial business plan, containing different business scenarios for the provision of core securitisation services over a minimum three-year reference period and including the following information for each scenario:
(a) |
the expected revenue from each of the following categories of service provided by the applicant, stated separately for each such category:
|
(b) |
the number of securitisation transactions that the applicant expects to be made available to users listed in Article 17(1) of Regulation (EU) 2017/2402; |
(c) |
the fixed and variable costs for providing core securitisation services. |
The different business scenarios identified in the financial business plan shall include a base revenue scenario, positive and negative variations of at least 20 % from that base revenue scenario, and positive and negative variations of at least 20 % from the base expected number of securitisation transactions identified in the financial business plan.
(4) An application for registration as a securitisation repository shall contain the audited annual financial statements of any parent undertaking for the three financial years preceding the date of the application, where available.
(5) An application for registration as a securitisation repository shall contain the following information about the applicant:
(a) |
an description of any future plans for the establishment of subsidiaries and the location of those subsidiaries; |
(b) |
a description of planned business activities, including business activities of any subsidiaries or branches. |
Article 14
Information technology resources
An application for registration as a securitisation repository shall contain the following information about information technology resources:
(a) |
a detailed description of the information technology system used by the applicant to provide core securitisation services, including a description of which information technology system will be used for which securitisation type and underlying exposure type as referred to in Article 2(2)(e); |
(b) |
the relevant business requirements, the functional and technical specifications, the storage capacity, the system scalability (both for performing its functions and handling increases in information to process and access requests), the maximum limits on the size of data submissions made in accordance with Commission Delegated Regulation (EU) 2020/1229 (8), the architectural and technical design of the system, the data model and data flows and the operations and administrative procedures and manuals; |
(c) |
a detailed description of user facilities developed by the applicant in order to provide services to users; |
(d) |
the investment and renewal policies and procedures on information technology resources of the applicant, including the review and development cycle of the applicant’s systems and versioning and testing policies; |
(e) |
a document describing in detail how the applicant has implemented the reporting templates, via an Extensible Markup Language (XML) schema, set out in the Annexes to Commission Implementing Regulation (EU) 2020/1225 (9), the Annexes to Commission Implementing Regulation (EU) 2020/1227 (10)and any additional XML messages, using the specifications made available by ESMA; |
(f) |
the policies and procedures for handling any changes to the reporting templates set out in the Annexes to Implementing Regulation (EU) 2020/1225. |
Article 15
Information collection and availability mechanisms
(1) An application for registration as a securitisation repository shall contain:
(a) |
a detailed description of the procedure and of the resources, methods and channels that the applicant will use to ensure the timely, structured and comprehensive collection of data from reporting entities, including a copy of any reporting manual to be made available to reporting entities; |
(b) |
a description of the resources, methods and channels that the applicant will use to ensure direct and immediate access to the information referred to in Articles 2 to 8 of Commission Delegated Regulation (EU) 2020/1224 (11) to the entities listed in Article 17(1) of Regulation (EU) 2017/2402, including a copy of any user manual and internal procedures that are needed for obtaining such access; |
(c) |
a description of the procedures that the applicant will use to calculate the data completeness scores referred to in Article 3 of Delegated Regulation (EU) 2020/1229 and a description of the resources, methods and channels that the applicant will use to ensure direct and immediate access to those data completeness scores to the entities listed in Article 17(1) of Regulation (EU) 2017/2402, in accordance with that Regulation, including a copy of any user manual and internal procedures that are needed for obtaining such access. |
(2) The detailed description referred to in point (a) of paragraph 1 shall:
(a) |
distinguish between automated and manual resources, methods, and channels; |
(b) |
where any of the resources, methods or channels are manual:
|
Article 16
Ancillary services
Where an applicant for registration as a securitisation repository, an undertaking within the applicant’s group, or an undertaking with which the applicant has an agreement relating to core securitisation services, offers, or plans to offer, ancillary securitisation services or ancillary non-securitisation services, the application for registration shall contain:
(a) |
a description of the ancillary securitisation services or ancillary non-securitisation services that the applicant, or the undertaking within its group, performs or plans to perform, and a description of any agreement that the applicant may have with undertakings offering any such services, as well as copies of those agreements; |
(b) |
the procedures and policies that will ensure the necessary level of operational separation in terms of resources, systems, information and procedures between the applicant’s core securitisation services and any ancillary securitisation or ancillary non-securitisation services, irrespective of whether that service is provided by the applicant, an undertaking within its group, or any other undertaking with which it has an agreement. |
Article 17
Senior management and members of the board
An application for registration as a securitisation repository shall contain the following information in respect of each member of the senior management:
(a) |
a copy of the member’s curriculum vitae, including the following information to the extent relevant in assessing the adequacy of the member’s experience and knowledge for the purposes of performing his or her responsibilities:
|
(b) |
detailed information on knowledge and experience on securitisation matters and on IT management, operations and development; |
(c) |
details regarding any criminal convictions in connection with the provision of financial or data services or in relation to acts of fraud or embezzlement, in particular in the form of an official certificate, if available within the relevant Member State; |
(d) |
a declaration signed by the member that states whether he or she:
|
(e) |
a declaration of any potential conflicts of interests that the member may have in performing his or her duties and how these conflicts are managed. |
Article 18
Transparency of access rules
(1) An application for registration as a securitisation repository shall contain:
(a) |
the policies and procedures pursuant to which different types of user will report and access the information centrally collected, produced and maintained in the securitisation repository, including any process for users to access, view, consult or modify the information maintained by the securitisation repository, as well as the procedures used to authenticate the identity of users accessing the securitisation repository; |
(b) |
a copy of the terms and conditions which determine the rights and obligations of the different types of user in relation to information maintained by the securitisation repository; |
(c) |
a description of the different categories of access available to users; |
(d) |
a detailed description of the access policies and procedures to ensure that users have non-discriminatory access to information maintained by the securitisation repository, including:
|
(e) |
a detailed description of the access policies and procedures pursuant to which other service providers have non-discriminatory access to information maintained by the securitisation repository where the relevant reporting entity has provided its written, voluntary and revocable consent, including:
|
(f) |
a description of the channels and mechanisms to publicly disclose to potential and actual users the procedures by which those users may ultimately access the information maintained by the securitisation repository and to publicly disclose to potential and actual reporting entities the procedures by which they may ultimately make available information via the applicant. |
(2) The information referred to in points (a) to (d) of paragraph 1 shall be specified for each of the following categories of user:
(a) |
staff and other personnel affiliated with the applicant, including within the same group; |
(b) |
originators, sponsors and SSPEs (as a single category); |
(c) |
the entities listed in Article 17(1) of Regulation (EU) 2017/2402; |
(d) |
other service providers; |
(e) |
each other category of user identified by the applicant (with the information specified separately for each such category). |
Article 19
Pricing policy transparency
An application for registration as a securitisation repository shall contain a description of the following:
(a) |
the applicant’s pricing policy, including any existing discounts, rebates and conditions to benefit from such reductions; |
(b) |
the applicant’s fee structure for providing core and ancillary securitisation services, including the estimated cost of each of those services, along with the details of the methods used to account for the separate cost that the applicant may incur when providing core securitisation services and ancillary securitisation services, as well as the fees charged by the applicant for transferring information to another securitisation repository and for receiving information transferred from another securitisation repository; |
(c) |
the methods used by the applicant to make the information referred to in points (a) and (b) publicly available, including a copy of the fee structure separated according to core securitisation services and, where these are provided, ancillary securitisation services. |
Article 20
Operational risk
(1) An application for registration as a securitisation repository shall contain:
(a) |
a detailed description of the resources available and procedures designed to identify and mitigate operational risk and any other material risk to which the applicant is exposed, including a copy of any relevant policies, methodologies, internal procedures and manuals drawn up for that purpose; |
(b) |
a description of the liquid net assets funded by equity to cover potential general business losses in order to continue providing core securitisation services as a going concern; |
(c) |
an assessment of the sufficiency of the applicant’s financial resources to cover the operational costs of a wind-down or reorganisation of the critical operations and services over at least a nine-month period; |
(d) |
the applicant’s business continuity plan and a description of the policy for updating that plan, including:
|
(e) |
a description of the arrangements for ensuring the applicant’s core securitisation services in case of disruption and the involvement of its users and other third parties in those arrangements; |
(f) |
a description of the applicant’s arrangements for publishing on its website and promptly informing ESMA and other users of any service interruptions or connection disruptions as well as the time estimated to be needed to resume regular service; |
(g) |
a description of the applicant’s arrangements permitting its staff to continuously monitor in real-time the performance of its information technology systems. |
(2) An application for registration as a securitisation repository shall include a copy of policies and procedures to ensure the orderly transfer of information to other securitisation repositories and the redirection of reporting flows to other securitisation repositories.
Article 21
Outsourcing
(1) An application for registration as a securitisation repository shall demonstrate that, where an applicant arranges for activities to be performed on its behalf by third parties, including by undertakings with which it has close links, shall ensure that the third party has the ability and the capacity to perform those activities reliably and professionally.
(2) The application for registration as a securitisation repository shall specify or contain all of the following:
(a) |
a description of the scope of the activities to be outsourced as well as the detail and extent to which those activities are outsourced; |
(b) |
a copy of the relevant service level agreements with clear roles and responsibilities, metrics and targets for every key requirement of the applicant that is outsourced, the methods employed to monitor the service level of the outsourced functions and the measures or actions to be taken in the event of not meeting service level targets; |
(c) |
a copy of the contracts governing those service level agreements, including the identification of the third party service provider; |
(d) |
a copy of any external reports on the outsourced activities, where available; |
(e) |
details of the organisational measures and policies with respect to outsourcing and the risks posed by it as specified in paragraph 4. |
(3) The application for registration shall demonstrate that the outsourcing does not reduce the applicant’s ability to perform senior management or management body functions.
(4) The application for registration as a securitisation repository shall contain information sufficient to demonstrate how the applicant remains responsible for any outsourced activity and a description of the organisational measures taken by the applicant to ensure the following:
(a) |
that the third party service provider is carrying out outsourced activities effectively and in compliance with applicable laws and regulatory requirements and that the third party service provider adequately addresses identified failures; |
(b) |
the identification by the applicant of risks in relation to outsourced activities and the adequate periodic monitoring of those risks; |
(c) |
that there are adequate control procedures with respect to outsourced activities, including effective supervision of those activities and of their risks within the applicant; |
(d) |
the adequate business continuity of outsourced activities. |
For the purposes of point (d) of the first subparagraph, the applicant shall provide information on the business continuity arrangements of the third party service provider, including the applicant’s assessment of the quality of those business continuity arrangements and, where needed, any improvements to those business continuity arrangements that have been requested by the applicant.
(5) Where the third-party service provider is supervised by a regulatory authority, the application for registration shall also contain information demonstrating that the third-party service provider cooperates with that authority in connection with outsourced activities.
Article 22
Security
(1) An application for registration as a securitisation repository shall contain proof of the following:
(a) |
that its information technology systems are protected from misuse or unauthorised access; |
(b) |
that its information systems as defined in Article 2(a) of Directive 2013/40/EU of the European Parliament and of the Council (12) are protected against attacks; |
(c) |
that unauthorised disclosure of confidential information is prevented; |
(d) |
that the security and integrity of the information received by it under Regulation (EU) 2017/2402 is ensured. |
(2) The application shall contain proof that the applicant has arrangements in place to identify and manage the risks referred to in paragraph 1 in a prompt and timely manner.
(3) With respect to breaches in the physical and electronic security measures referred to in paragraphs 1 and 2, the application shall contain proof that the applicant has arrangements in place to do the following in a prompt and timely manner:
(a) |
to notify ESMA of the incident giving rise to the breach; |
(b) |
to provide ESMA with an incident report, indicating the nature and details of the incident, the measures adopted to cope with the incident and the initiatives taken to prevent similar incidents; |
(c) |
to notify its users of the incident where they have been affected by the breach. |
Article 23
Verification procedures
(1) An application for registration as a securitisation repository shall contain a description of the policies and procedures put in place by the applicant to:
(a) |
authenticate the identity of the user accessing the applicant’s systems; |
(b) |
authorise and permit the recording of information received by the applicant under Regulation (EU) 2017/2402 for the relevant securitisation; |
(c) |
comply with Articles 2 to 4 of Delegated Regulation (EU) 2020/1229; |
(d) |
verify and highlight duplicate submissions; |
(e) |
identify information not received by it where there is an obligation to make that information available under Article 7(1) of Regulation (EU) 2017/2402. |
(2) The application shall also contain documentation providing several detailed example test cases, including graphics, that demonstrate the applicant’s ability to comply with the obligations set out in paragraph 1. With regard to point (c) of paragraph 1, several detailed example test cases shall be provided for each of the verifications listed in Article 4 of Delegated Regulation (EU) 2020/1229.
Article 24
Quality of information produced
With respect to information produced by the applicant pursuant to Delegated Regulation (EU) 2020/1229, an application for registration as a securitisation repository shall contain a detailed description of the procedures put in place by the applicant to ensure that it accurately makes available the information received from reporting entities, without itself introducing any errors or omitting information.
Article 25
Confidentiality
(1) An application for registration as a securitisation repository shall contain a detailed description of the internal policies, procedures and mechanisms preventing:
(a) |
any use of the information maintained by the applicant for illegitimate purposes; |
(b) |
disclosure of confidential information; |
(c) |
the commercial use of information maintained by the applicant where such use is prohibited. |
(2) The description referred to in paragraph 1 shall contain a description of the internal procedures on staff permissions for using passwords to access the information, specifying the staff purpose and the scope of the information being viewed and any restrictions on the use of information.
(3) Applicants shall provide ESMA with information on the processes to keep a log identifying each staff member accessing the information maintained by the applicant, the time of access, the nature of the information accessed and the purpose.
Article 26
Record-keeping policy
(1) An application for registration as a securitisation repository shall contain the following information:
(a) |
the record-keeping systems, policies and procedures that are used in order to ensure that the information made available by a reporting entity under Regulation (EU) 2017/2402 by means of the applicant is recorded and maintained by the applicant in accordance with Article 80(3) of Regulation (EU) No 648/2012, as applied by Article 10(2) of Regulation (EU) 2017/2402; |
(b) |
a detailed description of the record-keeping systems, policies and procedures that are used in order to ensure that information made available by a reporting entity under Regulation (EU) 2017/2402 by means of the applicant is modified appropriately and in accordance with relevant legislative or regulatory requirements; |
(c) |
information about the receipt and administration of information made available by a reporting entity under Regulation (EU) 2017/2402 by means of the applicant, including a description of any policies and procedures put in place by the applicant to ensure the following:
|
(2) The application for registration shall also include the applicant’s policies and procedures to promptly record, and maintain for at least 10 years following the termination of the securitisation, the verifications, validations and information produced by the applicant under Delegated Regulation (EU) 2020/1229.
Article 27
Payment of fees
An application for registration as a securitisation repository shall contain proof of payment of the registration fees referred to in Article 16 of Regulation (EU) 2017/2402.
Article 28
Verification of the accuracy and completeness of the application
(1) Any information submitted to ESMA during the registration process shall be accompanied by a letter signed by a member of the board of the applicant and a member of the applicant’s senior management, attesting that the information submitted is accurate and complete to the best of their knowledge, as of the date of submission.
(2) The information shall also be accompanied, where relevant and available, with the relevant corporate legal documentation certifying the accuracy of the application information.
Article 29
Information requirements for a registered trade repository seeking to provide core securitisation services
(1) An application under Article 10(5)(b) of Regulation (EU) 2017/2402 for an extension of registration for the purposes of Article 7 of that Regulation shall contain the information and documentation required by the following provisions of this Regulation:
(a) |
Article 2, except point (d) of paragraph 2; |
(b) |
Article 3; |
(c) |
Article 5, except point (d) of paragraph 2; |
(d) |
Article 6; |
(e) |
Article 9; |
(f) |
Article 10(b); |
(g) |
Article 12; |
(h) |
Article 13(2); |
(i) |
Articles 14, 15 and 16; |
(j) |
Article 17(b) and Article 17(e); |
(k) |
Articles 18 to 24; |
(l) |
Article 25(2); |
(m) |
Articles 26, 27 and 28. |
(2) Information and documentation required by any provisions of this Regulation that are not covered by paragraph 1 shall be included in an application only insofar as there is a difference in the content of that particular information or documentation as at the time when the application is made, compared with the content as last provided to ESMA most recently prior to that time under Chapter 1 of Title VI of Regulation (EU) No 648/2012 or Chapter III of Regulation (EU) 2015/2365, as applicable.
(3) For the purposes of this Article, references in paragraphs 3 and 4 of Article 2 and in Articles 3 to 28 to an application for registration shall be taken to include reference to an application for an extension of registration.
Article 30
Entry into force
This Regulation shall enter into force on the twentieth day following its publication in the Official Journal of the European Union.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 29 November 2019.
For the Commission
The President
Jean-Claude JUNCKER
(1) OJ L 347, 28.12.2017, p. 35.
(2) Regulation (EU) No 648/2012 of the European Parliament and of the Council of 4 July 2012 on OTC derivatives, central counterparties and trade repositories (OJ L 201, 27.7.2012, p. 1).
(3) Regulation (EU) 2015/2365 of the European Parliament and of the Council of 25 November 2015 on transparency of securities financing transactions and of reuse and amending Regulation (EU) No 648/2012 (OJ L 337, 23.12.2015, p. 1).
(4) 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).
(5) Regulation (EC) No 1606/2002 of the European Parliament and of the Council of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1).
(6) Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).
(7) Directive 2006/43/EC of the European Parliament and of the Council of 17 May 2006 on statutory audits of annual accounts and consolidated accounts, amending Council Directives 78/660/EEC and 83/349/EEC and repealing Council Directive 84/253/EEC (OJ L 157, 9.6.2006, p. 87).
(8) Commission Delegated Regulation (EU) 2020/1229 of 29 November 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards on securitisation repository operational standards for data collection, aggregation, comparison, access and verification of completeness and consistency (see page 335 of this Official Journal).
(9) Commission Implementing Regulation 2020/1225 of 29 October 2019 laying down implementing technical standards with regard to the format and standardised templates for making available the information and details of a securitisation by the originator, sponsor and SSPE (see page 217 of this Official Journal).
(10) Commission Implementing Regulation 2020/1227 of 12 November 2019 laying down implementing technical standards with regard to templates for the provision of information in accordance with the STS notification requirements (see page 315 of this Official Journal).
(11) Commission Delegated Regulation (EU) 2020/1224 of 16 October 2019 supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE (See page 1 of this Official Journal).
(12) Directive 2013/40/EU of the European Parliament and of the Council of 12 August 2013 on attacks against information systems and replacing Council Framework Decision 2005/222/JHA (OJ L 218, 14.8.2013, p. 8).