No.

Field name

Description

Type

Standard

1

CRA identifier

Code used to identify the reporting credit rating agency. It is provided by ESMA upon registration.

Mandatory

2

CRA scope

Identification of the CRAs applying the pricing policy.

Mandatory

ISO 17442

3

Pricing policy identifier

Unique identifier of the pricing policy that shall be maintained. All changes other than the scope of the rating types covered by the pricing policy should maintain the same unique identifier. Changes in the scope require a new pricing policy identifier.

Mandatory

Pricing policy identifier in format ‘PP_[internal pricing policy identifier]’

4

Pricing policy validity date

The date from which the pricing policy is valid.

Mandatory

ISO 8601 date format (YYYY-MM-DD)

5

Pricing policy end date

The end validity date of the pricing policy.

Mandatory

ISO 8601 date dormat (YYYY-MM-DD) or 9999-01-01

6

Indication of model

Indication of whether the pricing policy relates to issuer-pays ratings or investor-pays or subscriber-pays model. ESMA understands that CRAs may operate services under more than one model and therefore it is possible that a pricing policy may be used for both types of models. In such cases I and S may both be chosen.

Mandatory

7

Scope of the pricing policy

Description of the type of ratings or ancillary services included or covered by the pricing policy.

Mandatory

Indication whether the pricing policy applies to one or more of:

8

Industry segment of the pricing policy

When reporting corporate ratings indication whether the pricing policy applies to ratings within one of these industry segments: (i) financial; (ii) insurance; (iii) other corporates.

Mandatory

Applicable only if ‘C’ in field 7 ‘Scope of the pricing policy’

Indication whether the pricing policy applies to one or more of:

9

Asset class of the pricing policy

When reporting structured finance ratings indication whether the pricing policy applies to ratings within one of these segments: (i) RMBS; (ii) ABS; (iii) CMBS; (iv) CDO; (v) ABCP; (vi) other.

Mandatory

Applicable only if ‘T’ in field 7 ‘Scope of the pricing policy’

Indication whether the pricing policy applies to one or more of:

10

Sector

When reporting sovereign and public finance ratings indication whether the pricing policy applies to ratings within one of these segments: (i) State rating; (ii) regional or local authority rating; (iii) supranational organisations (other than international financial institutions); (iv) public entities; (v) international financial institutions.

Mandatory

Applicable only if ‘S’ in field 7 ‘Scope of the pricing policy’

Indication whether the pricing policy applies to one or more of:

11

Previous pricing policy

The identification of the prior pricing policy which the current policy replaces.

Mandatory

Applicable if the current pricing policy changes the scope of application of a previous pricing policy

Pricing policy identifier in format ‘PP_[internal pricing policy identifier]’

12

Pricing policy file name

Pricing policy file name. Shall be reported in a zip format

Mandatory

No.

Field name

Description

Type

Standard

1

CRA identifier

Code used to identify the reporting credit rating agency. It is provided by ESMA upon registration.

Mandatory

2

CRA scope

Identification of the CRAs applying the fee schedule.

Mandatory

ISO 17442

3

Fee schedule identifier

Unique identifier of the fee schedule that shall be maintained over time. All changes other than the scope of the rating types covered by the fee schedule should maintain the same unique identifier. Changes in the scope require a new fee schedule identifier.

Mandatory

Fee schedule identifier in format ‘FS_[internal fee schedule identifier]’

4

Pricing policy identifier

Identification of the pricing policy which the fee schedule is meant to implement. This pricing policy identifier must correspond to the identifier(s) set out under Table 1 of Annex I.

Mandatory

Pricing policy identifier in format ‘PP_[internal pricing policy identifier]’

5

Fee schedule validity date

The date from which the fee schedule is valid.

Mandatory

ISO 8601 date format (YYYY-MM-DD)

6

Fee schedule end date

The end validity date of the fee schedule.

Mandatory

ISO 8601 date format (YYYY-MM-DD) or 9999-01-01

7

Indication of model

Indication of whether fee schedule relates to issuer-pays ratings or investor-pays model.

Mandatory

8

Rating type scope of the fee schedule

Description of the type of ratings or ancillary services included in the fee schedule.

Mandatory

Indication whether the fee schedule applies to one or more of:

9

Industry segment of the fee schedule

When reporting corporate ratings indication whether the fee schedule applies to ratings within one of these industry segments: (i) financial; (ii) insurance; (iii) other corporates.

Mandatory.

Applicable only if ‘C’ in field 8 ‘Rating type scope of the fee schedule’

Indication whether the fee schedule applies to one or more of:

10

Asset class of the fee schedule

When reporting structured finance ratings indication whether the fee schedule applies to ratings within one of these segments: (i) RMBS; (ii) ABS; (iii) CMBS; (iv) CDO; (v) ABCP; (vi) other.

Mandatory.

Applicable only if ‘T’ in field 8 ‘Rating type scope of the fee schedules’

Indication whether the fee schedule applies to one or more of:

11

Sector of the fee schedule

When reporting sovereign and public finance ratings indication whether the fee schedule applies to ratings within one of these segments: (i) State rating; (ii) regional or local authority rating; (iii) supranational organisations (other than international financial institutions); (iv) public entities; (v) international financial institutions.

Mandatory.

Applicable only if ‘S’ in field 8 ‘Rating type scope of the fee schedules’

Indication whether the fee schedule applies to one or more of:

12

Sub-asset of the fee schedule

Defines the sub-asset classes for structured finance ratings.

Mandatory.

Applicable only if ‘T’ in field 8 and ‘Asset class’ = ‘ABS’ or ‘RMBS’ or ‘CDO’ or ‘OTH’.

Indication whether the fee schedule applies to one or more of:

13

Previous fee schedule

The identification of the prior fee schedule which the current fee schedule replaces.

Applicable if the current fee schedule changes the scope of application of a previous fee schedule

Fee schedule identifier in format ‘FS_[internal fee schedule identifier]’

14

Fee schedule file name

Fee schedule file name. Shall be reported in a zip format

Mandatory

No.

Field name

Description

Type

Standard

1

CRA identifier

Code used to identify the reporting credit rating agency. It is provided by ESMA upon registration.

Mandatory

2

CRA scope

Identification of the CRAs applying the fee programme.

Mandatory

ISO 17442

3

Fee programme identifier

Unique identifier of the fee programme that shall be maintained over time. All changes other than the scope of the rating types or type of programme covered by the fee programme should maintain the same unique identifier. Changes in the scope require a new fee programme identifier.

Mandatory

Fee programme identifier in format ‘FP_[internal fee programme identifier]’

4

Pricing policy identifier

Identification of the pricing policy which the fee programme is meant to implement. This pricing policy identifier must correspond to the identifier(s) set out under Table 1 of Annex I.

Mandatory

Pricing policy identifier in format ‘PP_[internal pricing policy identifier]’

5

Fee programme validity date

The date from which the fee programme is valid.

Mandatory

ISO 8601 date format (YYYY-MM-DD)

6

Fee programme end date

The end validity date of the fee programme.

Mandatory

7

Indication of model

Indication of whether fee programme relates to issuer-pays ratings or investor-pays or subscriber-pays model.

Mandatory

8

Rating type scope of the fee programme

Description of the type of ratings or ancillary services included in the fee programme.

Mandatory

Indication whether the fee programme applies to one or more of:

9

Industry segment of the fee programme

When reporting corporate ratings indication whether the fee programme applies to ratings within one of these industry segments: (i) financial; (ii) insurance; (iii) other corporates.

Mandatory

Applicable only if ‘C’ in field 8 ‘Scope of the fee programme’

Indication whether the fee programme applies to one or more of:

10

Asset class of the fee programme

When reporting structured finance ratings indication whether the fee programme applies to ratings within one of these segments: (i) RMBS; (ii) ABS; (iii) CMBS; (iv) CDO; (v) ABCP; (vi) other.

Mandatory

Applicable only if ‘T’ in field 8 ‘Rating scope of the fee programme’

Indication whether the fee programme applies to one or more of:

11

Sector of the fee programme

When reporting sovereign and public finance ratings indication whether the fee programme applies to ratings within one of these segments: (i) State rating; (ii) regional or local authority rating; (iii) supranational organisations (other than international financial institutions); (iv) public entities; (v) international financial institutions.

Mandatory

Applicable only if ‘S’ in field 8 ‘Rating type scope of the fee programme’

Indication whether the fee programme applies to one or more of:

12

Sub-asset of the fee programme

Defines the sub-asset classes for structured finance ratings.

Mandatory.

Applicable only if ‘T’ in field 8 and ‘Asset class’ = ‘ABS’ or ‘RMBS’ or ‘CDO’ or ‘OTH’.

Indication whether the fee programme applies to one or more of:

13

Type of programme included

Description of the type of programme included in the fee programme, such as whether it relates to and/or includes a frequency of use programme, loyalty programme, multi-issuance programmes, purchase of a package of credit ratings or other types of programmes.

Indication whether the fee programme applies to one or more of:

14

Previous fee programme

The identification of the prior fee programme which the current fee programme replaces.

Mandatory

Applicable if the current fee programme changes the scope of application of a previous fee programme.

Fee programme identifier in format ‘FP_[internal fee programme identifier]’

15

Fee schedule(s)

Unique identification number of any fee schedule(s) applicable or linked to the fee programme. This fee schedule identifier must correspond to the identifier(s) set out under Table 2 of Annex I.

Mandatory

if applicable

Fee schedule identifier in format ‘FS_[internal fee schedule identifier]’

16

Fee programme file name

Fee programme policy file name. Shall be reported in a zip format

Mandatory

No.

Field name

Description

Type

Standard

1

CRA identifier

Code used to identify the reporting credit rating agency. It is provided by ESMA upon registration.

Mandatory.

2

CRA scope

Identification of the CRAs applying the pricing procedure.

Mandatory.

ISO 17442

3

Procedure identifier

Unique identifier of the pricing procedure that shall be maintained over time.

Mandatory.

4

Pricing policy identifier

Identification of the pricing policy or policies which the pricing procedure is meant to implement. This pricing policy identifier must correspond to the identifier(s) set out under Table 2 of Annex I.

Mandatory.

Pricing policy identifier in format ‘PP_[internal pricing policy identifier]’

5

Fee schedule identifier

Identification of the schedule(s) which the pricing procedure is meant to implement. This fee schedule identifier must correspond to the identifier(s) set out under Table 2 of Annex I.

Mandatory.

If applicable.

Fee schedule identifier in format ‘FS_[internal fee schedule identifier]’

6

Fee programme identifier

Identification of the fee programme(s) which the pricing procedure is meant to implement. This fee programme identifier must correspond to the identifier(s) set out under Table 3 of Annex I.

Mandatory.

If applicable.

Fee programme identifier in format ‘FP_[internal fee programme identifier]’

7

Pricing procedure validity date

The date from which the pricing procedure is valid.

Mandatory.

ISO 8601 date format (YYYY-MM-DD)

8

Pricing procedure end date

End date of validity of the pricing procedure

Mandatory.

ISO 8601 date format (YYYY-MM-DD) or 9999-01-01

9

Pricing procedure file name

Pricing procedure file name. Shall be reported in a zip format

Mandatory.

No.

Field name

Description

Type

Standard

1

CRA identifier

Code used to identify the reporting credit rating agency. It is provided by ESMA upon registration.

Mandatory.

2

Reporting year

The calendar year to which the reporting period refers.

Mandatory.

Format: YYYY

3

Rating identifier

Unique identifier of the rating. It shall be maintained unchanged over time and correspond to identifier reported under Delegated Regulation (EU) 2015/2.

Mandatory.

—

4

Contract rating start date

Date of the initial contract for the rating service. Typically would correspond to the date on which the fees for the credit rating service are set.

Mandatory.

ISO 8601 extended date time format: YYYY-MM-DD

5

Fee schedule used

Unique identifier of the fee schedule under which the fees were set. This fee schedule identifier must correspond to the identifier(s) set out under Table 2 of Annex I. Where no fee schedule has been used to set the price, then the pricing policy identifier must be used. This pricing policy identifier must correspond to the identifier(s) set out under Table 1 of Annex I.

If neither a pricing policy or fee schedule has been applied then ‘N’ should be used.

Mandatory.

Fee schedule in format ‘FS_[internal fee schedule identifier]’ or pricing policy identifier in format ‘PP_[internal pricing policy identifier]’

‘N’ Non-applied

6

Person(s) responsible for pricing

Internal identifier assigned by the CRA to the person(s) responsible for setting the fees relating to the rating, either by applying the applicable fee schedule and/or fee programme or the person approving exceptions or discounts to the fee schedule and/or fee programme.

Mandatory.

The internal identifier of the person responsible

7

Client Identifier

Unique code assigned by the CRA to identify the Client. Typically this should correspond to the issuer of the instrument or entity, however in no cases shall it be an SPV. For Structured Finance instruments the unique code should identify the originator or other entity that from an economic point of view (e.g. arranger), directly or indirectly via an SPV or SIV, effectively negotiates the fees with the credit rating agency. This shall correspond to one Client Identifier identified in Table 2 of Annex II.

Mandatory.

8

Indication of whether the individual rating benefited from fee exemption or reduction

Certain credit ratings might not pay an individual direct fee/or might benefit from a reduction as the Client might have paid for a set of ratings, an annual (or other set period) nominal issuance amount, flat fee or be part of a ‘package’ of ratings (‘Group Fee’). This field identifies whether the individual rating is covered by such an arrangement with the Client.

Mandatory.

9

Total amount of fees charged

Identifies the total amount of fees billed for the rating during the prior calendar reporting year. Where no fee was paid for the individual credit rating the amount should be 0 for all but one of the ratings benefitting from the Group Fee.

Mandatory.

Amount in EUR

10

Amount of initial fees paid

Identifies the amount of up-front/initial fees billed during the prior calendar reporting year.

Mandatory.

Amount in EUR

11

Surveillance fees paid

Identifies the annual surveillance/monitoring fees billed in prior calendar year.

Mandatory.

Amount in EUR

12

Other fees charged for rating service

Identifies total of other fees or compensation billed in prior calendar year.

If applicable.

Amount in EUR

13

Description of other fees

Indication of whether the fees billed included any consideration or fees for a rapid turnaround request by the Client for the rating service.

Mandatory.

Applicable if ‘Other fees charged’ was filled in response to field ‘Other fees charged for rating service’ (field 12).

14

Negotiation links with other ratings

Identifies whether the rating fee negotiations was linked to other existing ratings of the Client and that led to variations in the final fees applied and paid for by the Client. This would include credit rating services provided in relation to vehicles set up to facilitate issuance, such as an MTN programme.

Mandatory.

15

Identification of the linked rating(s)

Unique identifier of the rating(s) linked to the rating being reported (e.g., in the case of structured finance a master trust structure and its series)

Mandatory.

Applicable if ‘Y’ was filled in response to field 14.

16

Fee programme

Indication of whether the Client benefits in lower individual fees from a frequency or other fee programme.

Mandatory.

17

Identification of fee programme

Identification of the fee programme under which the rating is priced. Should identify the fee programme which must match with the identifier set out in the applicable fee programme set out under Table 3 of Annex I.

Mandatory if ‘Y’ was reported in field 16.

No.

Field name

Description

Type

Standard

1

CRA identifier

Code used to identify the reporting credit rating agency. It is provided by ESMA upon registration.

Mandatory.

2

Client identifier

Unique code assigned by the CRA to identify the Client. Clients may be issuers, rated entities and/or originators, and/or include entities that from an economic point of view, directly or indirectly via an SPV or SIV, negotiates the fees with the credit rating agency in the context of credit rating arrangements. For clarification purposes it should be noted that in no instances shall a Client be an SPV or SIV. The Client shall retain the same unique identifier in all these cases.

Mandatory.

3

Legal entities

List of legal entities that are included in the Client Identifier field.

Mandatory.

List of names of legal entities

4

Total overall fees billed

Total fees billed from the Client in the prior calendar year for issuer-pays rating services.

Mandatory.

Amount in EUR

5

Client ratings

Identifies how many credit ratings the Client has with the credit rating agency at 31 December of the prior calendar year.

Mandatory.

Number of ratings

6

Total fees for programmes

Total fees billed from the Client in the prior calendar year for rating services not derived from an individual rating but from a frequency issuance, relationship or other type of flat fee programme and excess issuance fees, which may cover one or more ratings.

Mandatory.

Amount in EUR

7

Identification of ratings

Identification of ratings issued under or covered by fees programmes in the prior calendar year.

Mandatory.

List of ratings identifier

8

Fees received for ancillary services

Total fees billed by the CRA group of companies from the Client for ancillary services in the previous calendar year.

Mandatory.

Amount in EUR

9

Main ancillary services

Identification of the three main services provided by the CRA group to the Client in the prior calendar year, in revenue terms.

Mandatory. If more than 0 answered to field 8 ‘fees received for ancillary services’.

List of ancillary services

10

Ranking of ancillary services

Ranking of the ancillary services for the top three main services identified in field 9 ‘main ancillary services’, in revenue terms.

Mandatory. If more than 0 answered to field 8 ‘fees received for ancillary services’

Ranking of ancillary services

11

Other services

Indication of whether account was taken for the setting of fees for the credit rating services provided to the Client of any services provided by any entities belonging to the credit rating agency’s group within the meaning of Articles 1 and 2 of Directive 83/349/EEC as well as any entity linked to the credit rating agency or other company of the credit rating agency’s group by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC.

Mandatory.

No.

Field name

Description

Type

Standard

1

CRA identifier

Code used to identify the reporting credit rating agency. It is provided by ESMA upon registration.

Mandatory.

2

Client identifier

Code used internally by the system to identify the client who is paying, being invoiced or otherwise negotiating rates with the credit rating agency to receive the credit rating service.

Mandatory.

3

Fees per client

Total fees billed from the Client for subscription based rating services provided in prior calendar year.

Mandatory.

Amount in EUR

4

Identification of pricing policy

Identification of the pricing policy under which the CRA charged its Client. The pricing policy identifier must match with the identifier set out in the applicable pricing policy set out under Table 1 of Annex I to this RTS.

Mandatory.

If applicable.

Pricing policy identifier in format ‘PP_[internal pricing policy identifier]’

5

Identification of fee schedule

Identification of the three main fee schedules under which the CRA charged its Client. The fee schedule identifier must match with the identifier set out in the applicable fee schedule part of the pricing policy set out under Table 3 of Annex I to this RTS.

Mandatory.

If applicable.

Fee schedule identifier in format ‘FS_[internal fee schedule identifier]’

6

Identification of fee programme

Identification of the three main fee programmes under which the CRA charged its Client. The fee programme identifier must match with the identifier set out in the applicable fee programme part of the pricing policy set out under Table 4 of Annex I to this RTS.

Mandatory.

If applicable.

Fee programme identifier in format ‘FP_[internal fee programme identifier]’

7

Issuer or rated entity

Indication of whether the Client is also an issuer, rated entity, or otherwise a Client under Table 2 of Annex II.

Mandatory.

8

Top client indication

Indication of whether the Client was one of top 100 subscription clients in revenue terms in the prior calendar year.

Mandatory.

9

Fees received for ancillary services

Total fees billed by the CRA group of companies from the client for ancillary services in the prior calendar year.

Mandatory.

Amount in EUR

No

Field name

Description

Type

Standard

Scope

1

CRA identifier

Code used to identify the reporting credit rating agency. It is provided by ESMA upon registration or certification.

Mandatory.

Technical

2

Reporting CRA Global Legal Entity Identifier (LEI)

LEI code of the credit rating agency sending the file.

Mandatory.

ISO 17442

Public

3

CRA name

Name used to identify the credit rating agency. It shall correspond to the name used by the credit rating agency in the registration process and all other supervisory procedures within ESMA. Where one member of a group of credit rating agencies reports for the whole group it shall be the name referring to the group of credit rating agencies.

Mandatory.

Public

4

CRA Description

Brief description of the credit rating agency.

Mandatory.

Public

5

CRA Methodology

Description of the credit rating agency’s rating methodology. The credit rating agency can describe unique features of its rating methodology.

Mandatory.

Public

6

Link to CRA website methodology page

The link to the credit rating agency’s web page that contains all information related to the methodologies, and descriptions of models and key rating assumptions.

Mandatory.

Valid web page reference.

Public

7

Solicited and unsolicited ratings policies

Description of the credit rating agency’s policy on solicited and unsolicited with or without participation ratings. If more than one policy exists, the relevant rating types applicable to each policy shall be specified.

Mandatory.

Public

8

Subsidiary ratings policy

Description of policy regarding the reporting of the rating of subsidiaries.

Mandatory.

Applicable for credit rating agencies issuing corporate ratings.

Public

9

Geographical reporting scope

In the case of a credit rating agency part of a group, they should mention whether they report all the ratings issued by the group (global scope) or not (only the EU and endorsed ratings). Where the coverage is not global, the credit rating agency shall explain why not. For all other CRAs it should be reported as ‘global’ (‘Y’).

Mandatory.

Y — yes

N — no

Public

10

Reason for non-global scope

The reason why a credit rating agency which is part of a group, does not report all the ratings of the group.

Mandatory.

Applicable when ‘Geographical reporting scope’ = ‘N’

Public

11

Definition of default

Describes the definition of default used by the credit rating agency.

Mandatory.

Public

12

Website link

Link to the home page of credit rating agency’s public website.

Mandatory.

Valid web page reference.

Public

No

Field name

Description

Type

Standard

Scope

1

Issuer rating type identifier

Unique identifier for each issuer rating type that a rated entity can be assessed on.

Mandatory.

Applicable if the credit rating agency is issuing issuer ratings.

Technical

2

Issuer rating type name

Name of the issuer rating category.

Mandatory.

Technical

3

Issuer rating type description

Description of the rated debt category.

Mandatory.

Technical

4

Issuer rating type standard

This should distinguish the types of issuer ratings in: the main/global issuer credit rating, the debt rating type (the different categories will be described in Table 2, Part 2, Annex 1) and all other issuer debt ratings.

Mandatory.

IR — Main issuer rating

DT — Debt rating

OT — Other

Technical

No

Field name

Description

Type

Standard

Scope

1

Rated debt classification identifier

Unique identifier for each debt category used for classifying the corporate and sovereign issuer debt categories or debt issues.

Mandatory.

Applicable if the rating agency is rating corporate or sovereign debt categories

Technical

2

Rated debt classification name

Name of the rated debt category.

Mandatory.

Technical

3

Rated debt classification description

Description of the rated debt category.

Mandatory.

Technical

4

Seniority

Identifies the seniority of the debt class of the rated issuer or issue.

Optional.

SEU — in case the rated issuer debt or the issue belongs to the senior unsecured debt category

SEO — in case the rated issuer or the issue belongs to a senior debt category other than SEU

SB — in case the issuer debt or the issue belongs to a subordinated debt category.

Technical

No

Field name

Description

Type

Standard

Scope

1

Issue/programme type identifier

Unique identifier for each issue/programme used for classifying the issue ratings.

Mandatory.

Applicable if the credit rating agency is rating corporate or sovereign issues.

Technical

2

Issue/programme type name

Issue/programme name.

Mandatory.

Technical

3

Issue/programme type description

Issue/programme description.

Mandatory.

Technical

No

Field name

Description

Type

Standard

Scope

1

Lead analyst internal identifier

Internal unique identifiers of the staff member who is appointed in the analyst function by the credit rating agency.

Mandatory.

Supervision only

2

Lead analyst name

Lead analyst full name.

Mandatory.

Supervision only

3

Lead analyst start date

The start date of the staff member in the lead analyst function.

Mandatory.

ISO 8601 date format (YYYY-MM-DD)

Supervision only

4

Lead analyst end date

The end date of the staff member in the lead analyst function If the staff member is currently working in the lead analyst function, it should be reported as 9999-01-01.

Mandatory.

ISO 8601 date format (YYYY-MM-DD) or 9999-01-01

Supervision only

No

Field name

Description

Type

Standard

Scope

1

Rating scale identifier

Identifies uniquely a specific rating scale of the credit rating agency.

Mandatory.

Technical

2

Rating scale validity start date

The date at which the rating scale starts being valid.

Mandatory.

ISO 8601 date format (YYYY-MM-DD)

Public

3

Rating scale validity end date

The last date when a rating scale is valid. For the rating scale that re currently valid, it should be reported as 9999-01-01.

Mandatory.

ISO 8601 date format (YYYY-MM-DD) or 9999-01-01

Public

4

Description of the rating scale

Description of the type of ratings included in the scale, including the geographical scope where relevant.

Mandatory.

Public

5

Time horizon

Identifies the applicability of the rating scale based on the time horizon.

Mandatory.

L — where the rating scale is applicable to long-term ratings

S – where the rating scale is applicable to short-term ratings

Public

6

Rating type

Identifies the applicability of the rating scale based on the rating type.

Mandatory.

C — where the rating scale is applicable to corporate ratings

S — where the rating scale is applicable to sovereign & public finance ratings

T — where the rating scale is applicable to structured finance ratings

O – where the rating scale is applicable to other financial instruments

Public

7

Rating scale scope

Specifies if the rating scale is used for issuing preliminary ratings, final ratings or both.

Mandatory.

PR — rating scale is used for issuing preliminary ratings only

FR — rating scale is used for issuing final ratings only

BT — rating scale is used for issuing preliminary and final ratings

Public

8

Rating scale used for CEREP

Indicates if the rating is to be used by ESMA for the central repository (CEREP) statistics calculations.

For any given period, only one rating scale per combination of rating type and time horizon can be used.

Mandatory.

Y — yes

N — no

Technical

9

Categories

Rating category value

Order of the rating category in the rating scale (where 1 is correspondent to the category that represents the best creditworthiness).

Mandatory.

The ordinal is an integer value with minimum value 1 and a maximum value of 20. The declaration of the rating categories values must be consecutive. There must be as a minimum one rating category for each rating.

Public

10

Rating category label

Identifies a specific rating category within the rating scale.

Mandatory.

Public

11

Rating category description

Definition of the rating category in the rating scale.

Mandatory.

Public

12

Notches

Notch value

Order of the notch in the rating scale (where 1 is correspondent to the notch that represents the best creditworthiness).

Mandatory.

The notch value is an integer with minimum value 1 and a maximum value of 99. Values provided must be consecutive. There must be as a minimum one rating notch for each rating.

Public

13

Notch label

Identifies a specific notch within the rating scale. Notches provide additional detail to the rating category.

Mandatory.

Public

14

Notch description

Description of the notch in the rating scale.

Mandatory.

Public

No

Field name

Description

Type

Standard

Scope

1

CRA identifier

Code used to identify the reporting credit rating agency. It is provided by ESMA upon registration or certification.

Mandatory.

Technical

2

Reporting CRA LEI

LEI code of the credit rating agency sending the file.

Mandatory.

ISO 17442

Public

3

Responsible CRA LEI

LEI code of the credit rating agency responsible for the rating, i.e. in case of:

Mandatory.

ISO 17442

Public

4

Issuer CRA LEI

LEI code of the credit rating agency that issued the rating, that is to say in case of:

Mandatory.

ISO 17442

Public

5

Rating identifier

Unique identifier of the rating, which shall be maintained unchanged over time. The rating identifier shall be unique in all reports to ESMA.

Mandatory.

Technical

6

Rating type

Identifies whether the rating is a corporate rating, a sovereign or public finance rating, a structured finance rating or other financial instrument rating. It shall be maintained unchanged over time.

Mandatory.

C — if the rating is applicable to corporate ratings

S — if the rating is applicable to sovereign ratings

T — if the rating is applicable to structured finance ratings

O — if the rating is applicable to other financial instruments.

Public

7

Other rating type

Describes the type of rated financial instrument that was reported in the ‘O’ rating type.

Mandatory.

Applicable for ‘Rating type’ = ‘O’.

Supervision only

8

Rated object

Specifies if the rating refers to an entity/issuer of debt or a debt issuance of a rated entity/financial instrument.

Mandatory.

ISR — the rating refers to an entity or issuer of debt

INT — the rating refers to a debt issuance/financial instrument.

Public

9

Time horizon

Identifies whether the rating is a short-term or a long-term rating. It shall be maintained unchanged over time.

Mandatory.

L — if the rating is a long-term rating

S — if the rating is a short-term rating.

Public

10

Country

Country code of the rated entity/instrument.

Mandatory.

ISO 3166-1 code.

The code ‘ZZ’ shall be used to identify the category ‘international’.

Public

11

Currency

Identifies whether the rating is expressed in respect of local or foreign currency.

Mandatory.

Applicable for ‘Rating type’ = ‘C’ or ‘S’

LC — in case of a local currency rating

FC — in case of a foreign currency rating.

Public

12

Legal entity/issuer LEI

LEI code of the legal entity/issuer. It shall be maintained unchanged over time.

Mandatory.

Applicable only if the rated entity is eligible for acquiring a LEI code.

ISO 17442

Public

13

Legal entity/issuer national fiscal code

Unique national fiscal code of the rated entity. It shall be maintained unchanged over time.

Optional.

If applicable.

Public

14

Legal entity/issuer value added tax (VAT) code

Unique national VAT code of the rated entity. It shall be maintained unchanged over time.

Optional.

If applicable.

Public

15

Legal entity/issuer Bank Identified Code (BIC)

Unique BIC of the rated entity. It shall be maintained unchanged over time.

Optional.

Applicable only for entities that represent financial institutions (‘Industry’ = ‘FI’ or ‘IN’).

ISO 9362

Public

16

Legal entity/issuer internal identifier

Unique internal identifier of the issuer. It shall be maintained unchanged over time.

Mandatory.

Supervision only

17

Legal entity/issuer name

It shall contain appropriate understandable reference to the legal name of the legal entity/issuer.

Mandatory.

Public

18

Parent legal entity/Issuer LEI

LEI code of the parent company. To be reported only in case the rated issuer is a subsidiary of another rated entity. It shall be maintained unchanged over time.

Mandatory.

Applicable if the rated entity/debt issuer is a subsidiary of another rated entity.

ISO 17442

Public

19

Parent legal entity/issuer internal identifier

Unique internal identifier of the parent entity/issuer. It shall be maintained unchanged over time.

Mandatory.

Applicable if the rated entity is a subsidiary of another rated entity.

Supervision only

20

Sub-sovereign Nomenclature of Territorial Units for Statistics (NUTS) code

Identifier of the city/region of the rated municipality/sub-sovereign.

Mandatory.

Applicable only for ‘Country’ is part of the Union and for ‘Rating type’ = ‘S’ and ‘Sector’ = ‘SM’

EUROSTAT nomenclature: NUTS 1 to 3

Public

21

ISIN

International Securities Identifying Number (ISIN) of the rated instrument. It shall be maintained unchanged over time.

Mandatory.

Applicable for ‘Rated object’ = ‘INT’ and if the rated instruments has an ISIN allocated.

ISO 6166

Public

22

Instrument unique identifier

A combination of instrument’s attributes that uniquely identifies the instrument.

Optional.

ESMA standard

Supervision only

23

Instrument internal identifier

Unique code to identify the financial instrument that is rated. It shall be maintained unchanged over time.

Mandatory.

Applicable for ‘Rated object’ = ‘INT’.

Supervision only

24

Issue/programme type

Indicates the issue/programme type of the rating.

Optional.

Applicable for ‘Rating type’ = ‘C’ or ‘S’ and ‘Rated object’ = ‘INT’.

Valid ‘Issue/programme type identifier’, previously reported in the ‘Issue/programme type list’.

Public

25

Issuer rating type

Specifies the issuer rating type.

Mandatory.

Applicable for ‘Rating type’ = ‘C’ and for ‘Rated object’ = ‘ISR’

Valid ‘Issuer rating type identifier’, previously reported in the ‘Issuer rating type list’.

Public

26

Debt category

Specifies the debt category for the rated issues or debts.

Mandatory.

Applicable for ‘Rating type’ = ‘C’ or ‘S’ and ‘Rated object’ = ‘ISR’ and ‘Issuer rating type’ = ‘DT’ or ‘Rated object’ = ‘INT’ if applies.

Valid ‘Rated debt classification identifier’, previously reported in the ‘Debt categories list’.

Public

27

Issuance date

Specifies the issuance date of the rated instrument or debt issuance. It shall be maintained unchanged over time.

Mandatory.

Applicable for ‘Rated object’ = ‘INT’.

ISO 8601 date format: (YYYY-MM-DD)

Supervision only

28

Maturity date

The maturity date of the rated instrument or debt issuance.

Mandatory.

Applicable for ‘Rated object’ = ‘INT’.

If perpetual: 9999-01-01.

ISO 8601 date format: (YYYY-MM-DD) or 9999-01-01

Supervision only

29

Outstanding issue volume

The outstanding issue volume at first rating issuance. The amount shall be reported in the currency of the issuance reported in ‘Outstanding issue volume currency code’.

Mandatory.

Applicable for ‘Rated object’ = ‘INT’.

Supervision only

30

Outstanding issue volume currency code

The code of the currency of the rated issue.

Mandatory.

Applicable for ‘Rated object’ = ‘INT’.

ISO 4217

Supervision only

31

Industry

Categorisation of the rated entity or debt issuances reported under the ‘corporate’ rating type in financial, insurance and non-financial corporates.

Mandatory.

Applicable for ‘Rating type’ = ‘C’.

FI — for financial institution rating including banks, brokers and dealers

IN — for insurance institution rating

CO — for corporate institution rating that is not included in ‘FI’ or ‘IN’

Public

32

Sector

Specifies subcategories for sovereign and public finance ratings.

Mandatory.

Applicable for ‘Rating type’ = ‘S’.

SV — for State rating

SM — for regional or local authority rating

IF — for international financial institution rating

SO — for supranational organisations rating other than ‘IF’

PE — for public entities rating.

Public

33

Asset class

Defines the main asset classes for structured finance ratings.

Mandatory.

Applicable for ‘Rating type’ = ‘T’.

ABS — for ABS rating

RMBS — for RMBS rating

CMBS — for CMBS rating

CDO — for CDO rating

ABCP — for ABCP rating

OTH — for other.

Public

34

Sub-asset

Defines the sub-asset classes for the structured finance ratings.

Mandatory.

Applicable for ‘Rating type’ = ‘T’.

CCS — if ABS: credit card receivable backed securities

ALB — if ABS: auto loan backed securities

CNS — if ABS: consumer loan backed security

SME — if ABS: small and medium-sized enterprises loan backed securities

LES — if ABS: leases to individual or business backed security

HEL — if RMBS: home equity loans

PRR — if RMBS: prime RMBS, NPR — if RMBS: non-prime RMBS

CFH — if CDO: cash flow and hybrid CDOs/CLOs

SDO — if CDO: synthetic CDOs/CLOs

MVO — if CDO: market value CDOs

SIV — if OTH: structured investment vehicles

ILS — if OTH: insurance-linked securities

DPC — if OTH: derivative product companies

SCB — if OTH: structured covered bonds

OTH — other.

Public

35

Other sub-asset class

Indicates the other asset or sub-asset class category.

Mandatory.

Applicable for ‘Rating-type’ = ‘T’ and ‘Sub-asset’ = ‘OTH’.

Supervision only

36

Corporate issues classifications

Classification of covered bonds.

Mandatory.

Applicable for ‘Rating type’ = ‘C’ and ‘Rated object’ = ‘INT’.

BND —bonds

CBR — covered bonds as referred to in Article 52(4) of Directive 2009/65/EC of the European Parliament and of the Council and that meet the eligibility requirements set out in Article 129 of Regulation (EU) No 575/2013

OCB — other types of covered bonds, for which the credit rating agency has used specific covered bonds methodologies, models or key rating assumptions for issuing the credit rating and which are not included in point (b) of Article 5(2) of this Regulation

OTH — other types of corporate issues which are not included in points (a), (b) and (c) of Article 5(2) of this Regulation..

Public

37

Other corporate issues

Describes the type of issue reported under the ‘other’ category of corporate issues.

Mandatory.

Applicable for ‘Corporate issues classifications’ = ‘OTH’.

Supervision only

38

Tranche class

Class of the tranche.

Mandatory.

Applicable for ‘Rating type’ = ‘T’.

Public

39

Series No/programme ID

In case the issue is part of a series of multiple issuances under the same programme, it shall specify the issue’s specific series number. Programme ID could be added, where this exists, to complement the ‘Programme/deal/issuance name’.

Optional.

Applicable for ‘Rating type’ = ‘T’ or ‘Rating type = ‘C’ and ‘Rated object’ = ‘INT’.

Public

40

Programme/deal/issuance name

Specifies the programme/deal/issuance name used in the public issuance documents

Optional.

Applicable for ‘Rated object’ = ‘INT’.

Public

41

Originators

Originator internal identifier

Unique internal code assigned by the credit rating agency to the originator.

Mandatory.

Applicable for ‘Rating type’ = ‘T’.

In case of multiple originators that cannot be individually identified, ‘MULTIPLE’ should be reported.

Supervision only

42

Originator LEI

LEI code of the originator.

Mandatory.

Applicable for ‘Rating type’ = ‘T’ and ‘Originator Internal Identifier ’ is not ‘MULTIPLE’.

ISO 17442

Supervision only

43

Originator BIC code

Unique BIC of the originator.

Optional.

Applicable for ‘Rating type’ = ‘T’ and ‘Originator Internal Identifier ’ is not ‘MULTIPLE’.

ISO 9362

Supervision only

44

Originator name

It shall contain appropriate understandable reference to the legal name of the originator (or the parent company of the issuer).

Mandatory.

Applicable for ‘Rating type’ = ‘T’ and ‘Originator internal identifier ’ is not ‘MULTIPLE’.

Supervision only

45

Preceding preliminary rating

For all the new ratings it specifies if the credit rating agency issued a preliminary rating or initial review before issuing the final rating.

Mandatory.

Applicable for ‘Action type’ = ‘NEW’ in Table 2 of Part 2

Y — yes

N — no

Supervision only

46

Preceding preliminary rating identifier

Indicates the rating identifier of the preceding issued preliminary rating or initial review. The ‘Preceding preliminary rating identifier’ should correspond to an already reported valid preliminary rating ‘Rating identifier’.

Mandatory.

Applicable for ‘Preceding preliminary rating’ = ‘Y’

Supervision only

47

Complexity indicator

Indicates the complexity grade assigned to a structured finance rating considering factors such as the number of originators, counterparties, countries, the need to develop new methodologies or new innovative features, credit enhancements, underlying documentation, complex collateral, different or new jurisdictions and/or existence of derivative components amongst other factors that may be considered relevant by the CRA when it is assessing the complexity of a rating service.

Mandatory.

Applicable for ‘Rating type’ = ‘T’.

S — standard complexity

C — additional complexity

Supervision only

48

Structured finance transaction type

Indication of whether the instrument refers to a stand-alone or master-trust.

Mandatory.

Applicable for ‘Rating type’ = ‘T’.

S — stand-alone transaction

M — master trust transaction

Supervision only

49

Type of rating for ERP

Identifies the credit ratings that fall under the scope of ERP, based on the requirements set out in Article 11a of the Regulation (EC) No 1060/2009.

Mandatory.

NXI — the rating is not exclusively produced for and disclosed to investors for a fee

EXI — the rating is exclusively produced for and disclosed to investors for a fee

Technical

50

Relevant for CEREP statistics calculation

Indicates if the rating shall be used for CEREP statistics calculation.

Mandatory.

Y — yes

N — no

Technical

No

Field name

Description

Type

Standard

Scope

1

Rating action identifier

Unique identifier of the rating action. Rating action identifier shall be unique per each reported rating.

Mandatory.

Technical

2

Rating identifier

Unique identifier of the rating.

Mandatory.

Should be a valid ‘Rating identifier’ reported in Table 1 of Part 2

Technical

3

Action validity date and time

The date and time of validity of the action. This shall coincide with the Coordinated Universal Time (UTC) of publication of the action or distribution by subscription.

Mandatory.

ISO 8601 extended date time format: YYYY-MM-DD (HH:MM:SS)

Public

4

Action communication date and time

The date and time of communication of the action to the rated entity.

It shall be expressed as Coordinated Universal Time (UTC). Should be reported only for the ratings issued in the Union.

Mandatory.

Applicable for ‘Location of the rating issuance ’ = ‘I’.

ISO 8601 extended date time format: YYYY-MM-DD (HH:MM:SS)

Supervision only

5

Action decision date

Identifies the date when the action is decided.

It shall be the date of preliminary approval (such as by the rating committee) of the action where this is then communicated to the rated entity before final approval.

Should be reported only for the ratings issued in the Union.

Mandatory.

Applicable for ‘Location of the rating issuance ’ = ‘I’.

ISO 8601 date format: (YYYY-MM-DD)

Supervision only

6

Action type

Identifies the type of action carried out by the credit rating agency with respect to a specific rating.

Mandatory.

OR — in case of outstanding rating (only for first time reporting)

PR — in case of preliminary rating

NW — in case the rating is issued for the first time

UP — in case the rating is upgraded

DG — in case the rating is downgraded

AF — in case the rating is affirmed

DF — in case a rated issuer or instrument is assigned to or removed from a default status and the default is not linked with another rating action

SP — in case the rating is suspended

WD — in case the rating is withdrawn

OT — in case the rating is placed to or removed from the outlook/trend status

WR — in case the rating is placed to or removed from the watch/review status

Public

7

Outlook/watch/default status

An outlook/watch/suspension/default status is assigned, kept or removed with respect to the rating,

Mandatory.

Applicable for ‘Action type’ = ‘OT’,’WR’, ‘DF’, ‘SP’ or ‘OR’

P — status is placed

M — status is maintained

R — status is removed

Public

8

Outlook

Identifies the outlook/trend assigned to a rating by the CRA according to its relevant policy.

Mandatory.

Applicable for ‘Action type’ = ‘OT’ and ‘OR’

POS — in case of a positive outlook

NEG — in case of a negative outlook

EVO — in case of an evolving or developing outlook

STA — in case of a stable outlook

Public

9

Watch/Review

Identifies the watch or review status assigned to a rating by the CRA according to its relevant policy.

Mandatory.

Applicable for ‘Action type’ = ‘WR’ and ‘OR’

POW — in case of a positive watch/review

NEW — in case of a negative watch/review

EVW — in case of an evolving or developing watch/review

UNW — in case of a watch/review with uncertain direction

Public

10

Watch/Review determinant

Identifies the reason for the watch/review status of a rating. Should be reported only for the ratings issued in the Union.

Mandatory.

Applicable for ‘Action type’ = ‘WR’ and ‘OR’ and ‘Location of the rating issuance ’ = ‘I’.

1 — where the watch/review status is due to changes in methodologies, models or key rating assumptions

2 — where the watch/review status is due to economic, financial or credit reasons

3 — where the watch or review status is due to other reasons (e.g. departure of analysts, occurrence of conflicts of interests)

Public

11

Withdrawal reason

Identifies the reason of a withdrawal action.

Mandatory.

Applicable for ‘Action Type’ = ‘WD’

1 — in case of incorrect or insufficient information on issuer/issue

2 — in case of bankruptcy of the rated entity or debt restructuring

3 — in case of reorganisation of rated entity (including the merger or acquisition of the rated entity)

4 — in case of the end of maturity of the debt obligation, or in case the debt is redeemed, called, prefunded, cancelled

5 — in case of automatic invalidity of rating due to business model of CRA (such as expiry of ratings valid for a predetermined period)

6 — in case of rating withdrawal due to other reasons

7 — in case the rating is affected by one of the points specified in Annex I, Section B, Point 3 of the Regulation (EC) No 1060/2009

8 — in case of client’s request

Public

12

Other withdrawal reason

Where the rating was withdrawn due to other reasons than the ones provided, please specify the reason

Mandatory.

Applicable for ‘Withdrawal reason’ = 6

Supervision only

13

Default flag

Where the rated entity or the financial instrument is defaulted or removed from default as a result of another rating action (i.e.: upgrade, downgrade)

Mandatory.

Applicable for ‘Action type’ = ‘AF’, ‘DG’, ‘UP’ or ‘OR’

Y — yes

N — no

Public

14

Suspension reason

Specifies the reason for a suspension action.

Mandatory.

Applicable for ‘Action type’ = ‘SP’

Public

15

Rating scale identifier

Identifies the rating scale used for issuing the rating action.

Mandatory.

Applicable for ‘Action type’ = ‘NW’ or ‘UP’ or ‘AF’ or ‘DG’ or ‘PR’ or ‘OR’

Valid ‘Rating scale identifier’, previously reported in the ‘Rating scale’ table.

Public

16

Rating value

Notch value assigned by the credit rating agency as a result of the rating action.

Mandatory.

Applicable for ‘Action type’ = ‘NW’ or ‘UP’ or ‘AF’ or ‘DG’ or ‘PR’ or ‘OR’

Valid ‘Notch value’, previously reported in the ‘Rating scale’ table.

Public

17

Location of the rating issuance

Specifies the location of the issuance of the credit ratings by: ratings issued in the Union by a registered credit rating agency, ratings issued by third country credit rating agency belonging to the same group of credit rating agencies and endorsed in the Union, ratings issued by certified credit rating agencies or ratings issued by third country credit rating agency belonging to the same group of credit rating agencies but not endorsed in the Union.

Mandatory.

I — issued in the Union

E — endorsed

T — issued in a third country by a certified CRA

O — other (not endorsed)

N — not available (only valid before 1.1.2011).

Public

18

Lead analyst identifier

Unique identifier of the lead analyst responsible for the rating. Should be reported only for the ratings issued in the Union.

Mandatory.

Applicable for ‘Location of the rating issuance ’ = ‘I’.

Valid ‘Lead analyst internal identifier’, previously reported in the ‘Lead analysts list’.

Supervision only

19

Country of the lead analyst

Identifies the country of the office where the responsible lead analyst was located when issuing the rating.

Mandatory.

Applicable for ‘Location of the rating issuance ’ = ‘I’.

ISO 3166-1 code.

Supervision only

20

Solicitation status

Solicitation status of the rated entity/instrument.

Mandatory.

S — if the rating is solicited,

U — if the rating is unsolicited without participation

P — if the rating is unsolicited with participation.

Public

21

Press release

Press release

Specifies if the rating action was accompanied by a press release.

Mandatory.

Applicable for ‘Type of rating for ERP’ = ‘NXI’.

Y — yes

N — no.

Public

22

Press release language

Indicates the language in which the press release was issued.

Mandatory.

Applicable for ‘Press release’ = ‘Y’.

ISO 639-1

Public

23

Press release file name

Indicates the file name under which the press release was reported.

Mandatory.

Applicable for ‘Press release’ = ‘Y’.

ESMA standard

Public

24

Link to press release

Where the rating action is accompanied by the same press release as another rating action, it should state the ‘Action identifier’ for the action for which the common press release was firstly submitted.

Mandatory.

Applicable for press releases that relate to more than one rating action.

Valid ‘Action identifier’

Technical

25

Research report

Research report

Specifies if the rating action was accompanied by a research report. Applicable only for sovereign ratings reported under the sector: ‘SV’ or ‘SM’ or ‘IF’

Mandatory.

Applicable for ‘Rating type’ = ‘S’ and ‘Sector’ = ‘SV’ or ‘SM’ or ‘IF’

Y — yes

N — no

Public

26

Research report language

Indicates the language under which the research report was issued.

Mandatory.

Applicable for ‘Sovereign Research Report’ = ‘Y’

ISO 639-1

Public

27

Research report file name

Indicates the file name under which the research report was reported.

Mandatory.

Applicable for ‘Sovereign Research Report’ = ‘Y’

ESMA standard

Public

28

Link to research report

Where the rating is accompanied by the same research report as another rating action, it should state the ‘Action identifier’ for the action for which the common research report was firstly submitted.

Optional.

Valid ‘Action identifier’

Technical

This Regulation

Regulation (EU) No 446/2012

Regulation (EU) No 448/2012

Article 1(1)

Article 3(1)

Article 1(2)

Article 2(1)

Article 2(2)

Article 1(3)

Article 2(6)

Article 1(4)

Article 2(2)

Article 2(3)

Article 1(5)

Article 3(3)

Article 1(6)

Article 3(2)

Article 2(1)

Article 8(2)

Article 2(2)

Article 8(3)

Article 3

Article 4(1)

Article 3(5)

Article 4

Article 4(3)

Article 4

Article 5

Article 4(2)

Article 5

Article 6

Article 6

Article 7

Article 8

Article 9(1)

Article 3(2)

Article 9(2)

Article 2(3)

Article 9(3)

Article 2(4)

Article 9(4)

Article 2(5)

Article 9(5)

Article 3(3)

Article 10

Article 11(1) to (3)

Article 11(4)

Article 3(4)

Article 12

Article 3(1) and (4)

Article 2(1) and Article 7 and Article 8(1)

Article 13

Article 5

Article 9, Article 10, Article 11, Article 12 and Article 13

Article 14

Article 15

Article 6

Article 14

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Pool Cut-off Date

Dynamic

Date

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

Pool Identifier

Static

Text/Numeric

Pool or portfolio identifier/name of transaction.

Loan Identifier

Static

Text/Numeric

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

Originator

Static

Text

Lender that advanced the original loan.

Servicer Identifier

Static

Text/Numeric

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

Borrower Identifier

Static

Text/Numeric

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

Property Identifier

Static

Text/Numeric

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

Borrower’s Employment Status

Static

List

Employment status of the primary applicant.

Primary Income

Static

Numeric

Primary borrower underwritten gross annual income (not rent).

Income Verification for Primary Income

Static

List

Income verification for primary income.

Loan Origination Date

Static

Date/Numeric

Date of original loan advance.

Date of Loan Maturity

Dynamic

Date/Numeric

The date of loan maturity.

Purpose

Static

List

Loan purpose.

Loan Term

Static

Numeric

Original contractual term (number of months).

Loan Currency Denomination

Static

List

The loan currency denomination.

Original Balance

Static

Numeric

Original loan balance (inclusive of fees).

Current Balance

Dynamic

Numeric

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

Repayment Method

Static

List

Type of principal repayment.

Payment Frequency

Static

List

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

Payment Due

Dynamic

Numeric

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

Payment Type

Static

List

Principal payment type.

Interest Rate Type

Static

List

Interest rate type.

Current Interest Rate Index

Dynamic

List

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

Current Interest Rate

Dynamic

Numeric

Current interest rate (%).

Current Interest Rate Margin

Dynamic

Numeric

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

Interest Rate Reset Interval

Dynamic

Numeric

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

Revision Margin 1

Dynamic

Numeric

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

Interest Revision Date 1

Dynamic

Date/Numeric

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

Revision Margin 2

Dynamic

Numeric

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

Interest Revision Date 2

Dynamic

Date/Numeric

Date of second interest rate change.

Revision Margin 3

Dynamic

Numeric

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

Interest Revision Date 3

Dynamic

Date/Numeric

Date of third interest rate change.

Revised Interest Rate Index

Dynamic

List

Next interest rate index.

Property Postcode

Static

Text/Numeric

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

Property Type

Static

List

Property type.

Original Loan to Value

Static

Numeric

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

Valuation Amount

Static

Numeric

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

Original Valuation Type

Static

List

Valuation type at origination.

Valuation Date

Static

Date/Numeric

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

Current Loan to Value

Dynamic

Numeric

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

Current Valuation Amount

Dynamic

Numeric

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

Current Valuation Type

Dynamic

List

Current valuation type.

Current Valuation Date

Dynamic

Date/Numeric

The date of most recent valuation.

Account Status

Dynamic

List

Current status of account.

Arrears Balance

Dynamic

Numeric

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

Number Months in Arrears

Dynamic

Numeric

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

Arrears 1 Month Ago

Dynamic

Numeric

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

Arrears 2 Months Ago

Dynamic

Numeric

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

Litigation

Dynamic

Y/N

Flag to indicate litigation proceedings underway.

Redemption Date

Dynamic

Date/Numeric

Date on which account redeemed.

Default or Foreclosure

Dynamic

Numeric

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

Date of Default or Foreclosure

Dynamic

Numeric

The date of default or foreclosure.

Sale Price lower limit

Dynamic

Numeric

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

Loss on Sale

Dynamic

Numeric

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

Cumulative Recoveries

Dynamic

Numeric

Cumulative recoveries — only relevant for cases with losses.

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Report Date

Dynamic

Date

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

Issuer

Static

Text

Name of issuer and issue series, if applicable.

Drawings under Liquidity Facility

Dynamic

Y/N

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

Trigger Measurements/Ratios

Dynamic

Y/N

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

Average Constant Pre-payment Rate

Dynamic

Numeric

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

Point Contact

Static

Text

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

Contact Information

Static

Text

Telephone number and e-mail address.

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Bond Class Name

Static

Text/Numeric

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

International Securities Identification Number

Static

Text/Numeric

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

Interest Payment Date

Dynamic

Date

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

Principal Payment Date

Dynamic

Date

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

Currency

Static

Text

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

Reference Rate

Static

List

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

Bond Issue Date

Static

Date

Date the bonds were issued.

Field Name

Static/Dynamic

Data Type

Field Definition and Criteria

Transaction Pool Identifier

Static

Text/Numeric

The unique transaction or deal name.

Pool Cut-off Date

Dynamic

Date

Current pool or portfolio cut-off date.

Securitisation Date

Static

Date

Date of issue of the deal — First bond listing date

Group Identifier

Static

Text/Numeric

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

Loan Servicer Identifier

Static

Text/Numeric

The loan servicer unique identification string assigned to the loan.

Offering Circular Loan Identifier

Static

Text/Numeric

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

Loan Sponsor

Static

Text/Numeric

Loan sponsor.

Loan Origination Date

Static

Date

Date of original loan advance.

Loan Currency

Static

List

Loan currency denomination.

Whole Loan Balance at Origination Date

Static

Numeric

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

Original Term of Loan

Static

Numeric

Contractual term (in months) at Origination date.

Start Date of Amortisation

Static

Date

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

Interest Rate Index Code

Static

List

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

Original Loan Interest Rate

Static

Numeric

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

First Interest Payment Due Date

Static

Date

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

Loan Country

Static

List

Country of the loan.

Loan Purpose

Static

List

Loan purpose.

Mortgage Security

Static

Y/N

Is the loan secured by mortgages on the properties?

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

Static

Numeric

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

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

Static

Numeric

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

Securitisation Date Interest Cover Ratio (A-Loan)

Static

Numeric

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

Securitisation Date Debt Service Cover Ratio (A-Loan)

Static

Numeric

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

Securitisation Date Loan to Value Ratio (A-Loan)

Static

Numeric

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

Committed Principal Balance at Securitisation Date

Static

Numeric

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

Actual Principal Balance at Securitisation Date (Whole Loan)

Static

Numeric

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

Periodic Principal and Interest Payment at Securitisation Date

Static

Numeric

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

Loan Rate at Securitisation Date

Static

Numeric

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

Ranking of Charge at Securitisation Date

Static

List

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

Remaining Term at Securitisation Date

Static

Numeric

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

Remaining Amortisation Term at Securitisation Date

Static

Numeric

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

Loan Maturity Date at Securitisation Date

Static

Date

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

Actual Principal Balance at Securitisation Date (A-Loan)

Static

Numeric

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

Extension Option

Dynamic

Y/N

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

Duration of Shortest Extension Option

Static

Numeric

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

Nature of extension option

Static

List

Type of extension option.

Number of Properties at Securitisation Date

Static

Numeric

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

Number of Properties at Pool cut-off Date

Dynamic

Numeric

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

Properties Collateralised to the Loan at Securitisation

Static

Text/Numeric

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

Properties Collateralised to the Loan at Pool cut-off date

Dynamic

Text/Numeric

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

Interest Coverage Ratio Method (Whole Loan)

Static

List

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

Debt Service Coverage Ratio Method (Whole Loan)

Static

List

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

Loan to Value Method (Whole)

Static

List

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

Other Financial Covenant Code (Whole)

Static

List

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

Interest Coverage Ratio Method (A-Loan)

Static

List

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

Debt Service Coverage Ratio Method (A-Loan)

Static

List

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

Loan to Value Method (A-Loan)

Static

List

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

Revenue at Securitisation Date

Static

Numeric

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

Operating Expenses at Securitisation Date

Static

Numeric

Total underwritten operating expenses for the properties as described in the offering circular. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the landlord; capital expenditures and leasing commissions are excluded.

NOI at Securitisation Date

Static

Numeric

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

Capital Expenditures at Securitisation Date

Static

Numeric

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

NCF at Securitisation Date

Static

Numeric

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

Currency of Financial Reporting at Securitisation

Static

List

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

ICR/DSCR Indicator at Securitisation Date

Static

List

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

Property Portfolio Value at Securitisation Date

Static

Numeric

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

Property Portfolio Valuation Currency at Securitisation Date

Static

List

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

Valuation Date at Securitisation Date

Static

Date

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

Economic Occupancy at Securitisation Date

Static

Numeric

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

Amounts Held in Escrow at Securitisation Date

Static

Numeric

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

Collection Of Escrows

Static

Y/N

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

Collection Of Other Reserves

Static

Y/N

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

Escrow Held Upon Trigger Event

Static

Y/N

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

Trigger for Escrow to be Held

Static

List

Type of trigger event.

Target Escrow Amounts/Reserves

Static

Numeric

Target escrow amounts/reserves.

Escrow Account Release Conditions

Static

Text

Release conditions of the escrow account.

Conditions of Drawing Cash Reserve

Static

List

When can the Cash Reserve be used.

Escrow Currency

Static

List

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

Cross-Collateralised Loan

Static

Y/N

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

Substituted Loan

Dynamic

Y/N

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

Date of Substitution

Dynamic

Date

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

Grace Days Allowed

Static

Numeric

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

Additional Financing Indicator

Static

List

Has the whole loan had additional financing/mezzanine debt?

Interest Rate Type

Static

List

Type of interest rate applied to the loan.

Interest Accrual Method Code

Static

List

The ‘days’ convention used to calculate interest.

Interest in Arrears

Static

Y/N

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

A-Loan Amortisation Type (if applicable)

Static

List

A-Loan amortisation type.

Whole Loan Amortisation Type (if applicable)

Static

List

Whole loan amortisation type.

Accrual of Interest Allowed

Static

Y/N

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

Prepayment Lock-out End Date

Static

Date

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

Yield Maintenance End Date

Static

Date

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

Prepayment Premium End Date

Static

Date

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

Prepayment Terms Description

Static

Text/Numeric

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

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

Static

Y/N

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

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

Static

Y/N

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

Lifetime Rate Cap

Static

Numeric

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

Lifetime Rate Floor

Static

Numeric

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

Type of Loan Level Swap

Static

List

Describe the type of loan level swap that applies.

Loan Swap Provider

Dynamic

Text

Name of loan swap provider.

Type of Interest Rate Loan Level Swap

Static

List

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

Type of Currency Loan Level Swap

Static

List

Describe the type of currency rate swap.

Exchange Rate for Loan Level Swap

Static

Numeric

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

Start Date of Loan Level Swap

Static

Date

Start Date of Loan Level Swap.

End Date of Loan Level Swap