# L_2020289EN.01000101.xml

| 3.9.2020 | EN | Official Journal of the European Union | L 289/1 |
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3.9.2020

EN

Official Journal of the European Union

L 289/1

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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. |
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(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. |
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(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. |
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(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. |
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(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. |
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(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. |
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(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. |
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(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. |
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(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. |
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(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. |
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(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. |
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(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. |
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(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. |
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(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. |
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(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. |
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(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. |
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(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), |
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(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; |
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(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; |
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(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; |
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(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; |
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(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; |
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(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. |
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(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; |
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(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; |
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(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; |
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(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; |
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(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; |
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(e)

Annex VI for consumer underlying exposures;

| (f) | Annex VII for credit card underlying exposures; |
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(f)

Annex VII for credit card underlying exposures;

| (g) | Annex VIII for leasing underlying exposures; |
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(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). |
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(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; |
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(a)

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

| (b) | Annex X. |
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(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); |
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(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). |
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(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; |
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(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. |
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(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; |
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(a)

underlying exposures, in relation to each individual underlying exposure;

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






  (i) | the underlying exposure is secured by a guarantee; |
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(b)

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

(i)

the underlying exposure is secured by a guarantee;

| (ii) | the underlying exposure is secured by physical or financial collateral; |
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(ii)

the underlying exposure is secured by physical or financial collateral;

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

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

| (c) | tenants, for each of the three largest tenants occupying a commercial real estate property, measured as the total annual rent payable by each tenant occupying the property; |
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(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; |
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(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; |
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(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. |
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(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; |
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(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; |
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(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; |
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(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. |
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(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; |
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(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; |
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(b)

accounts, for each account in the securitisation;

| (c) | counterparties, for each counterparty in the securitisation; |
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(c)

counterparties, for each counterparty in the securitisation;

| (d) | where the securitisation is a synthetic non-ABCP securitisation:






  (i) | synthetic coverage, for as many protection arrangements as exist in the securitisation; |
| --- | --- | --- |

(d)

where the securitisation is a synthetic non-ABCP securitisation:

(i)

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

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

(ii)

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

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






  (i) | the CLO manager, for each CLO manager in the securitisation; |
| --- | --- | --- |

(e)

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

(i)

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

| (ii) | the CLO securitisation. |
| --- | --- |

(ii)

the CLO securitisation.

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

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

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

(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); |
| --- | --- |

(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; |
| --- | --- |

(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; |
| --- | --- |

(d)

accounts, for each account in the ABCP securitisation;

| (e) | counterparties, for each counterparty 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; |
| --- | --- |

(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; |
| --- | --- |

(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; |
| --- | --- |

(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; |
| --- | --- |

(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. |
| --- | --- |

(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; |
| --- | --- |

(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. |
| --- | --- |

(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; |
| --- | --- |

(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; |
| --- | --- |

(b)

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

| (c) | the four-digit year corresponding to:






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

(c)

the four-digit year corresponding to:

(i)

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

| (ii) | the year in which the first securities within the ABCP programme were issued, where the securitisation is an ABCP securitisation; |
| --- | --- |

(ii)

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

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

(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; |
| --- | --- |

(a)

the Legal Entity Identifier of the reporting entity;

| (b) | the letter ‘T’; |
| --- | --- |

(b)

the letter ‘T’;

| (c) | the four-digit year corresponding to the first closing date of the ABCP transaction; |
| --- | --- |

(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. |
| --- | --- |

(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.

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.

1

(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).

2

(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).

3

(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).

4

(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).

5

(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).

6

(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).

7

(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).

8

(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).

9

(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).

10

---

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 |

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. |

Servicer Watchlist Code

Meaning

Inclusion Threshold

Release Threshold

1A

Delinquent P&I payment

2 payments behind

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

1B

Delinquent insurance renewal or forced placed coverage

30 days overdue

Receipt of proof of satisfactory insurance

1C

Interest Coverage Ratio below dividend trap.

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

Interest Coverage Ratio < 1.00 on a loan by loan basis

Interest Coverage Ratio above threshold

1D

Debt Service Coverage Ratio absolute level

Debt Service Coverage Ratio < 1.00;

Debt Service Coverage Ratio < 1.20 for healthcare and lodging;

or on a loan by loan basis

Debt Service Coverage Ratio above threshold

1E

Debt Service Coverage Ratio decreases from ‘Securitisation Date’

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

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

1F

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

When notice received by servicer

Default has been cured or subordinate debt approved by servicer

1G

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

Any occurrence on a loan by loan basis.

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

2A

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

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

Satisfactory verification that repairs have been completed

2B

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

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

When plan deficiencies are cured

2C

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

Any occurrence

Cure of the event that required action under the mortgage documents

2D

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

Any occurrence for 6 months or greater

Cure of the event that required action under the mortgage documents

2E

Operating licence or franchise agreement default

When notice received by servicer

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

2F

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

When notice received by servicer

Retain on Watchlist until Interest Payment Date following cure.

3A(i)

Inspection reveals poor condition

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

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

3A(ii)

Inspection reveals poor accessibility

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

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

3B

Inspection reveals harmful environmental issue

Any occurrence

In Servicer’s discretion that property deficiencies cured

3C

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

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

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

4A

Overall property portfolio occupancy decrease

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

When condition no longer exists

4B

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

Only applies to office, industrial and retail.

When condition no longer exists or Servicer’s discretion.

4C

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

> 30 % Net Rental Income

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

5A

Pending loan maturity

< 180 days until maturity

Loan is paid off.

Table 3: Item types and codes

| Item type | Article(s) of Regulation (EU) 2017/2402 | Item code |
| --- | --- | --- |
| Underlying exposures or underlying receivables or credit claims | 7(1)(a) | 1 |
| Investor report | 7(1)(e) | 2 |
| Final offering document; prospectus; closing transaction documents, excluding legal opinions | 7(1)(b)(i) | 3 |
| Asset sale agreement; assignment; novation or transfer agreement; any relevant declaration of trust | 7(1)(b)(ii) | 4 |
| Derivatives and guarantees agreements; any relevant documents on collateralisation arrangements where the exposures being securitised remain exposures of the originator | 7(1)(b)(iii) | 5 |
| Servicing; back-up servicing; administration and cash management agreements | 7(1)(b)(iv) | 6 |
| Trust deed; security deed; agency agreement; account bank agreement; guaranteed investment contract; incorporated terms or master trust framework or master definitions agreement or such legal documentation with equivalent legal value | 7(1)(b)(v) | 7 |
| Inter-creditor agreements; derivatives documentation; subordinated loan agreements; start-up loan agreements and liquidity facility agreements | 7(1)(b)(vi) | 8 |
| Any other underlying documentation that is essential for the understanding of the transaction | 7(1)(b) | 9 |
| Simple, transparent and standardised notification pursuant to Article 27 of Regulation (EU) 2017/2402 | 7(1)(d) | 10 |
| Inside information relating to the securitisation that the originator, sponsor or SSPE is obliged to make public in accordance with Article 17 of Regulation (EU) No 596/2014 of the European Parliament and of the Council (1) | 7(1)(f) | 11 |
| A significant event, such as:






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

Item type

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

Item code

Underlying exposures or underlying receivables or credit claims

7(1)(a)

1

Investor report

7(1)(e)

2

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

7(1)(b)(i)

3

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

7(1)(b)(ii)

4

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

7(1)(b)(iii)

5

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

7(1)(b)(iv)

6

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

7(1)(b)(v)

7

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

7(1)(b)(vi)

8

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

7(1)(b)

9

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

7(1)(d)

10

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

7(1)(f)

11

A significant event, such as:

(i)

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

| (ii) | a change in the structural features that can materially impact the performance of the securitisation; |
| --- | --- |

(ii)

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

| (iii) | a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation; |
| --- | --- |

(iii)

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

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

(iv)

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

| (v) | any material amendment to transaction documents. |
| --- | --- |

(v)

any material amendment to transaction documents.

7(1)(g)

12

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(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).

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ANNEX II

UNDERLYING EXPOSURES INFORMATION — RESIDENTIAL REAL ESTATE (RRE)

| Field code | Field name | Content to report | ND1-ND4 allowed? | ND5 allowed? |
| --- | --- | --- | --- | --- |
| Underlying exposures information section |
| RREL1 | Unique Identifier | The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Commission Delegated Regulation (EU) 2020/1224 (1). | NO | NO |
| RREL2 | Original Underlying Exposure Identifier | Unique underlying exposure identifier. The identifier must be different from any external identification number to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. | NO | NO |
| RREL3 | New Underlying Exposure Identifier | If the original identifier in field RREL2 cannot be maintained in this field, enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in RREL2. The reporting entity must not amend this unique identifier. | NO | NO |
| RREL4 | Original Obligor Identifier | Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. | NO | NO |
| RREL5 | New Obligor Identifier | If the original identifier in field RREL4 cannot be maintained in this field, enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in RREL4. The reporting entitymust not amend this unique identifier. | NO | NO |
| RREL6 | Data Cut-Off Date | The data cut-off date for this data submission. | NO | NO |
| RREL7 | Pool Addition Date | The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available, enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. | NO | YES |
| RREL8 | Date Of Repurchase | Date on which the underlying exposure was repurchased from the pool. | NO | YES |
| RREL9 | Redemption Date | Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. | NO | YES |
| RREL10 | Resident | Is the primary obligor a resident of the country in which the collateral and underlying exposure reside? | YES | NO |
| RREL11 | Geographic Region — Obligor | The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. | YES | NO |
| RREL12 | Geographic Region Classification | Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. | YES | NO |
| RREL13 | Employment Status | Employment status of the primary obligor: | Employed — Private Sector (EMRS) |

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

RREL1

Unique Identifier

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

NO

NO

RREL2

Original Underlying Exposure Identifier

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

NO

NO

RREL3

New Underlying Exposure Identifier

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

NO

NO

RREL4

Original Obligor Identifier

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

NO

NO

RREL5

New Obligor Identifier

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

NO

NO

RREL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

RREL7

Pool Addition Date

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

NO

YES

RREL8

Date Of Repurchase

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

NO

YES

RREL9

Redemption Date

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

NO

YES

RREL10

Resident

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

YES

NO

RREL11

Geographic Region — Obligor

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

YES

NO

RREL12

Geographic Region Classification

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

YES

NO

RREL13

Employment Status

Employment status of the primary obligor:

Employed — Private Sector (EMRS)

| | Employed — Public Sector (EMBL) |
| --- | --- |

Employed — Public Sector (EMBL)

| | Employed — Sector Unknown (EMUK) |
| --- | --- |

Employed — Sector Unknown (EMUK)

| | Unemployed (UNEM) |
| --- | --- |

Unemployed (UNEM)

| | Self-employed (SFEM) |
| --- | --- |

Self-employed (SFEM)

| | No Employment, Obligor is Legal Entity (NOEM) |
| --- | --- |

No Employment, Obligor is Legal Entity (NOEM)

| | Student (STNT) |
| --- | --- |

Student (STNT)

| | Pensioner (PNNR) |
| --- | --- |

Pensioner (PNNR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

RREL14

Credit Impaired Obligor

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

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






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

(a)

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

(i)

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

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

(ii)

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

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

(b)

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

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

(c)

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

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

NO

YES

RREL15

Customer Type

Customer type at origination:

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

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

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

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

| | New customer and employee/affiliation not recorded (CNRO) |
| --- | --- |

New customer and employee/affiliation not recorded (CNRO)

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

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

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

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

| | Existing customer and employee/affiliation not recorded (ENRO) |
| --- | --- |

Existing customer and employee/affiliation not recorded (ENRO)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

RREL16

Primary Income

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

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

YES

NO

RREL17

Primary Income Type

Indicate what income in RREL16 is displayed:

| | Gross annual income (GRAN) |
| --- | --- |

Gross annual income (GRAN)

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

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

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

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

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

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

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

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

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

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

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

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

| | Disposable Income (DSPL) |
| --- | --- |

Disposable Income (DSPL)

| | Borrower is legal entity (CORP) |
| --- | --- |

Borrower is legal entity (CORP)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

RREL18

Primary Income Currency

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

YES

NO

RREL19

Primary Income Verification

Primary Income Verification:

| | Self-certified no Checks (SCRT) |
| --- | --- |

Self-certified no Checks (SCRT)

| | Self-certified with Affordability Confirmation (SCNF) |
| --- | --- |

Self-certified with Affordability Confirmation (SCNF)

| | Verified (VRFD) |
| --- | --- |

Verified (VRFD)

| | Non-Verified Income or Fast Track (NVRF) |
| --- | --- |

Non-Verified Income or Fast Track (NVRF)

| | Credit Bureau Information or Scoring (SCRG) |
| --- | --- |

Credit Bureau Information or Scoring (SCRG)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

RREL20

Secondary Income

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

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

YES

YES

RREL21

Secondary Income Verification

Income verification for secondary income:

| | Self-certified no Checks (SCRT) |
| --- | --- |

Self-certified no Checks (SCRT)

| | Self-certified with Affordability Confirmation (SCNF) |
| --- | --- |

Self-certified with Affordability Confirmation (SCNF)

| | Verified (VRFD) |
| --- | --- |

Verified (VRFD)

| | Non-Verified Income or Fast Track (NVRF) |
| --- | --- |

Non-Verified Income or Fast Track (NVRF)

| | Credit Bureau Information or Scoring (SCRG) |
| --- | --- |

Credit Bureau Information or Scoring (SCRG)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

YES

RREL22

Special Scheme

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

YES

YES

RREL23

Origination Date

Date of original underlying exposure advance.

YES

NO

RREL24

Maturity Date

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

NO

YES

RREL25

Original Term

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

YES

YES

RREL26

Origination Channel

Origination channel of the underlying exposure:

| | Office or Branch Network (BRAN) |
| --- | --- |

Office or Branch Network (BRAN)

| | Central or Direct (DRCT) |
| --- | --- |

Central or Direct (DRCT)

| | Broker (BROK) |
| --- | --- |

Broker (BROK)

| | Internet (WEBI) |
| --- | --- |

Internet (WEBI)

| | Package (TPAC) |
| --- | --- |

Package (TPAC)

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

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

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

YES

RREL27

Purpose

The reason for the obligor taking out the loan:

| | Purchase (PURC) |
| --- | --- |

Purchase (PURC)

| | Remortgage (RMRT) |
| --- | --- |

Remortgage (RMRT)

| | Renovation (RENV) |
| --- | --- |

Renovation (RENV)

| | Equity Release (EQRE) |
| --- | --- |

Equity Release (EQRE)

| | Construction (CNST) |
| --- | --- |

Construction (CNST)

| | Debt Consolidation (DCON) |
| --- | --- |

Debt Consolidation (DCON)

| | Remortgage with Equity Release (RMEQ) |
| --- | --- |

Remortgage with Equity Release (RMEQ)

| | Business Funding (BSFN) |
| --- | --- |

Business Funding (BSFN)

| | Combination Mortgage (CMRT) |
| --- | --- |

Combination Mortgage (CMRT)

| | Investment Mortgage (IMRT) |
| --- | --- |

Investment Mortgage (IMRT)

| | Right to Buy (RGBY) |
| --- | --- |

Right to Buy (RGBY)

| | Government Sponsored Loan (GSPL) |
| --- | --- |

Government Sponsored Loan (GSPL)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

RREL28

Currency Denomination

The underlying exposure currency denomination.

NO

NO

RREL29

Original Principal Balance

Original underlying exposure balance (inclusive of fees).

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

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

YES

YES

RREL30

Current Principal Balance

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

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

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

NO

YES

RREL31

Prior Principal Balances

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

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

YES

YES

RREL32

Pari Passu Underlying Exposures

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

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

YES

YES

RREL33

Total Credit Limit

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

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

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

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

NO

YES

RREL34

Purchase Price

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

NO

YES

RREL35

Amortisation Type

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

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

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

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

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

Other (OTHR)

YES

NO

RREL36

Principal Grace Period End Date

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

NO

YES

RREL37

Scheduled Principal Payment Frequency

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

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

RREL38

Scheduled Interest Payment Frequency

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

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

RREL39

Payment Due

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

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

NO

YES

RREL40

Debt To Income Ratio

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

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

YES

YES

RREL41

Balloon Amount

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

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

YES

YES

RREL42

Interest Rate Type

Interest rate type:

| | Floating rate underlying exposure (for life) (FLIF) |
| --- | --- |

Floating rate underlying exposure (for life) (FLIF)

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

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

| | Fixed rate underlying exposure (for life) (FXRL) |
| --- | --- |

Fixed rate underlying exposure (for life) (FXRL)

| | Fixed with future periodic resets (FXPR) |
| --- | --- |

Fixed with future periodic resets (FXPR)

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

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

| | Floating rate underlying exposure with floor (FLFL) |
| --- | --- |

Floating rate underlying exposure with floor (FLFL)

| | Floating rate underlying exposure with cap (CAPP) |
| --- | --- |

Floating rate underlying exposure with cap (CAPP)

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

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

| | Discount (DISC) |
| --- | --- |

Discount (DISC)

| | Switch Optionality (SWIC) |
| --- | --- |

Switch Optionality (SWIC)

| | Obligor Swapped (OBLS) |
| --- | --- |

Obligor Swapped (OBLS)

| | Modular (MODE) |
| --- | --- |

Modular (MODE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

RREL43

Current Interest Rate

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

NO

YES

RREL44

Current Interest Rate Index

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

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

RREL45

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

RREL46

Current Interest Rate Margin

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

NO

YES

RREL47

Interest Rate Reset Interval

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

NO

YES

RREL48

Interest Rate Cap

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

NO

YES

RREL49

Interest Rate Floor

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

NO

YES

RREL50

Revision Margin 1

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

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

YES

YES

RREL51

Interest Revision Date 1

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

YES

YES

RREL52

Revision Margin 2

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

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

YES

YES

RREL53

Interest Revision Date 2

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

YES

YES

RREL54

Revision Margin 3

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

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

YES

YES

RREL55

Interest Revision Date 3

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

YES

YES

RREL56

Revised Interest Rate Index

Next interest rate index.

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender’s Own Rate (LDOR)

Other (OTHR)

YES

YES

RREL57

Revised Interest Rate Index Tenor

Tenor of the next interest rate index:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

YES

RREL58

Number Of Payments Before Securitisation

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

YES

NO

RREL59

Percentage Of Prepayments Allowed Per Year

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

YES

YES

RREL60

Prepayment Lock-Out End Date

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

YES

YES

RREL61

Prepayment Fee

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

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

NO

YES

RREL62

Prepayment Fee End Date

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

YES

YES

RREL63

Prepayment Date

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

YES

YES

RREL64

Cumulative Prepayments

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

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

YES

YES

RREL65

Date Of Restructuring

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

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

YES

YES

RREL66

Date Last In Arrears

Date the underlying exposure was last in arrears.

YES

YES

RREL67

Arrears Balance

Current balance of arrears, which is defined as:

| | Total payments due to date |
| --- | --- |

Total payments due to date

| | PLUS any amounts capitalised |
| --- | --- |

PLUS any amounts capitalised

| | PLUS any fees applied to the account |
| --- | --- |

PLUS any fees applied to the account

| | LESS total payments received to date. |
| --- | --- |

LESS total payments received to date.

If no arrears then enter 0.

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

NO

NO

RREL68

Number Of Days In Arrears

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

NO

NO

RREL69

Account Status

Current status of the underlying exposure that has been securitised:

| | Performing (PERF) |
| --- | --- |

Performing (PERF)

| | Restructured — No Arrears (RNAR) |
| --- | --- |

Restructured — No Arrears (RNAR)

| | Restructured — Arrears (RARR) |
| --- | --- |

Restructured — Arrears (RARR)

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

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

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

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

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

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

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

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

| | Arrears (ARRE) |
| --- | --- |

Arrears (ARRE)

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

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

| | Repurchased by Seller – Defaulted (REDF) |
| --- | --- |

Repurchased by Seller – Defaulted (REDF)

| | Repurchased by Seller – Restructured (RERE) |
| --- | --- |

Repurchased by Seller – Restructured (RERE)

| | Repurchased by Seller – Special Servicing (RESS) |
| --- | --- |

Repurchased by Seller – Special Servicing (RESS)

| | Repurchased by Seller – Other Reason (REOT) |
| --- | --- |

Repurchased by Seller – Other Reason (REOT)

| | Redeemed (RDMD) |
| --- | --- |

Redeemed (RDMD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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

NO

NO

RREL70

Reason for Default or Foreclosure

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

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

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

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

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

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

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

YES

YES

RREL71

Default Amount

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

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

NO

YES

RREL72

Default Date

The date of default.

NO

YES

RREL73

Allocated Losses

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

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

NO

YES

RREL74

Cumulative Recoveries

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

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

NO

YES

RREL75

Litigation

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

NO

YES

RREL76

Recourse

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

YES

YES

RREL77

Deposit Amount

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

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

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

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

NO

YES

RREL78

Insurance Or Investment Provider

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

YES

YES

RREL79

Original Lender Name

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

YES

YES

RREL80

Original Lender Legal Entity Identifier

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

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

RREL81

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

RREL82

Originator Name

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

NO

NO

RREL83

Originator Legal Entity Identifier

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

NO

NO

RREL84

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

Collateral-level information section

RREC1

Unique Identifier

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

NO

NO

RREC2

Underlying Exposure Identifier

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

NO

NO

RREC3

Original Collateral Identifier

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

NO

NO

RREC4

New Collateral Identifier

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

NO

NO

RREC5

Collateral Type

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

| | Automobile (CARX) |
| --- | --- |

Automobile (CARX)

| | Industrial Vehicle (INDV) |
| --- | --- |

Industrial Vehicle (INDV)

| | Commercial Truck (CMTR) |
| --- | --- |

Commercial Truck (CMTR)

| | Rail Vehicle (RALV) |
| --- | --- |

Rail Vehicle (RALV)

| | Nautical Commercial Vehicle (NACM) |
| --- | --- |

Nautical Commercial Vehicle (NACM)

| | Nautical Leisure Vehicle (NALV) |
| --- | --- |

Nautical Leisure Vehicle (NALV)

| | Aeroplane (AERO) |
| --- | --- |

Aeroplane (AERO)

| | Machine Tool (MCHT) |
| --- | --- |

Machine Tool (MCHT)

| | Industrial Equipment (INDE) |
| --- | --- |

Industrial Equipment (INDE)

| | Office Equipment (OFEQ) |
| --- | --- |

Office Equipment (OFEQ)

| | IT Equipment (ITEQ) |
| --- | --- |

IT Equipment (ITEQ)

| | Medical Equipment (MDEQ) |
| --- | --- |

Medical Equipment (MDEQ)

| | Energy Related Equipment (ENEQ) |
| --- | --- |

Energy Related Equipment (ENEQ)

| | Commercial Building (CBLD) |
| --- | --- |

Commercial Building (CBLD)

| | Residential Building (RBLD) |
| --- | --- |

Residential Building (RBLD)

| | Industrial Building (IBLD) |
| --- | --- |

Industrial Building (IBLD)

| | Other Vehicle (OTHV) |
| --- | --- |

Other Vehicle (OTHV)

| | Other Equipment (OTHE) |
| --- | --- |

Other Equipment (OTHE)

| | Other Real Estate (OTRE) |
| --- | --- |

Other Real Estate (OTRE)

| | Other goods or inventory (OTGI) |
| --- | --- |

Other goods or inventory (OTGI)

| | Securities (SECU) |
| --- | --- |

Securities (SECU)

| | Guarantee (GUAR) |
| --- | --- |

Guarantee (GUAR)

| | Other Financial Asset (OTFA) |
| --- | --- |

Other Financial Asset (OTFA)

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

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

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

NO

RREC6

Geographic Region — Collateral

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

YES

YES

RREC7

Occupancy Type

Type of property occupancy:

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

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

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

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

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

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

| | Holiday or Second Home (HOLD) |
| --- | --- |

Holiday or Second Home (HOLD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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

YES

YES

RREC8

Lien

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

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

YES

YES

RREC9

Property Type

Property type:

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

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

| | Residential (Flat or Apartment) (RFLT) |
| --- | --- |

Residential (Flat or Apartment) (RFLT)

| | Residential (Bungalow) (RBGL) |
| --- | --- |

Residential (Bungalow) (RBGL)

| | Residential (Terraced House) (RTHS) |
| --- | --- |

Residential (Terraced House) (RTHS)

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

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

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

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

| | Commercial or Business Use (BIZZ) |
| --- | --- |

Commercial or Business Use (BIZZ)

| | Land Only (LAND) |
| --- | --- |

Land Only (LAND)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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

NO

YES

RREC10

Energy Performance Certificate Value

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

| | A (EPCA) |
| --- | --- |

A (EPCA)

| | B (EPCB) |
| --- | --- |

B (EPCB)

| | C (EPCC) |
| --- | --- |

C (EPCC)

| | D (EPCD) |
| --- | --- |

D (EPCD)

| | E (EPCE) |
| --- | --- |

E (EPCE)

| | F (EPCF) |
| --- | --- |

F (EPCF)

| | G (EPCG) |
| --- | --- |

G (EPCG)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

YES

RREC11

Energy Performance Certificate Provider Name

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

YES

YES

RREC12

Current Loan-To-Value

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

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

YES

YES

RREC13

Current Valuation Amount

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

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

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

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

YES

YES

RREC14

Current Valuation Method

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

| | Full, internal and external inspection (FIEI) |
| --- | --- |

Full, internal and external inspection (FIEI)

| | Full, only external inspection (FOEI) |
| --- | --- |

Full, only external inspection (FOEI)

| | Drive-by (DRVB) |
| --- | --- |

Drive-by (DRVB)

| | Automated Value Model (AUVM) |
| --- | --- |

Automated Value Model (AUVM)

| | Indexed (IDXD) |
| --- | --- |

Indexed (IDXD)

| | Desktop (DKTP) |
| --- | --- |

Desktop (DKTP)

| | Managing Agent or Estate Agent (MAEA) |
| --- | --- |

Managing Agent or Estate Agent (MAEA)

| | Tax Authority (TXAT) |
| --- | --- |

Tax Authority (TXAT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

RREC15

Current Valuation Date

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

YES

YES

RREC16

Original Loan-To-Value

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

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

YES

YES

RREC17

Original Valuation Amount

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

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

YES

NO

RREC18

Original Valuation Method

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

| | Full, internal and external inspection (FIEI) |
| --- | --- |

Full, internal and external inspection (FIEI)

| | Full, only external inspection (FOEI) |
| --- | --- |

Full, only external inspection (FOEI)

| | Drive-by (DRVB) |
| --- | --- |

Drive-by (DRVB)

| | Automated Valuation Model (AUVM) |
| --- | --- |

Automated Valuation Model (AUVM)

| | Indexed (IDXD) |
| --- | --- |

Indexed (IDXD)

| | Desktop (DKTP) |
| --- | --- |

Desktop (DKTP)

| | Managing Agent/Estate Agent (MAEA) |
| --- | --- |

Managing Agent/Estate Agent (MAEA)

| | Tax Authority (TXAT) |
| --- | --- |

Tax Authority (TXAT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

RREC19

Original Valuation Date

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

YES

NO

RREC20

Date Of Sale

The date of sale of the foreclosed collateral.

YES

YES

RREC21

Sale Price

Price achieved on sale of collateral in case of foreclosure.

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

NO

YES

RREC22

Collateral Currency

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

NO

YES

RREC23

Guarantor Type

Guarantor Type:

| | No Guarantor (NGUA) |
| --- | --- |

No Guarantor (NGUA)

| | Individual — Family Relation (FAML) |
| --- | --- |

Individual — Family Relation (FAML)

| | Individual — Other (IOTH) |
| --- | --- |

Individual — Other (IOTH)

| | Government (GOVE) |
| --- | --- |

Government (GOVE)

| | Bank (BANK) |
| --- | --- |

Bank (BANK)

| | Insurance Product (INSU) |
| --- | --- |

Insurance Product (INSU)

| | Nationale Hypotheek Garantie Guarantee Scheme (NHGX) |
| --- | --- |

Nationale Hypotheek Garantie Guarantee Scheme (NHGX)

| | Fonds de Garantie de l’Accession Sociale (FGAS) |
| --- | --- |

Fonds de Garantie de l’Accession Sociale (FGAS)

| | Caution (CATN) |
| --- | --- |

Caution (CATN)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

---

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

---

ANNEX III

UNDERLYING EXPOSURES INFORMATION — COMMERCIAL REAL ESTATE (CRE)

| Field code | Field name | Content to report | ND1-ND4 allowed? | ND5 allowed? |
| --- | --- | --- | --- | --- |
| Underlying exposures information section |
| CREL1 | Unique Identifier | The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224 | NO | NO |
| CREL2 | Original Obligor Identifier | Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. | NO | NO |
| CREL3 | New Obligor Identifier | If the original identifier in field CREL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREL2. The reporting entity must not amend this unique identifier. | NO | NO |
| CREL4 | Original Underlying Exposure Identifier | Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. | NO | NO |
| CREL5 | New Underlying Exposure Identifier | If the original identifier in field CREL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREL4. The reporting entity must not amend this unique identifier. | NO | NO |
| CREL6 | Data Cut-Off Date | The data cut-off date for this data submission. | NO | NO |
| CREL7 | Pool Addition Date | The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. | NO | YES |
| CREL8 | Date Of Restructuring | Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.
  In the event of multiple dates, all dates must be provided in accordance with the XML schema. | YES | YES |
| CREL9 | Date Of Repurchase | Date on which the underlying exposure was repurchased from the pool. | NO | YES |
| CREL10 | Date Of Substitution | If underlying exposure was substituted for another underlying exposure after the Securitisation Date, the date of such substitution. | NO | YES |
| CREL11 | Redemption Date | Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. | NO | YES |
| CREL12 | Geographic Region — Obligor | The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. | YES | NO |
| CREL13 | Geographic Region Classification | Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. | YES | NO |
| CREL14 | Special Scheme | If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here. | YES | YES |
| CREL15 | Origination Date | Date of original underlying exposure advance. | YES | NO |
| CREL16 | Start Date Of Amortisation | The date on which amortisation will commence on the securitised underlying exposure (this can be a date prior to the securitisation date). | YES | YES |
| CREL17 | Maturity Date At Securitisation Date | The maturity date of the underlying exposure as defined in the underlying exposure agreement. This would not take into account any extended maturity date on which may be allowed under the underlying exposure agreement. | NO | YES |
| CREL18 | Maturity Date | The date of maturity of the underlying exposure or expiry of the lease. | NO | YES |
| CREL19 | Original Term | Original contractual term (number of months) at the origination date. | YES | YES |
| CREL20 | Duration Of Extension Option | Duration in months of any maturity extension option available to the underlying exposure. In the event of multiple maturity extensions available, enter the duration of the option that has the shortest extension period for the underlying exposure. | NO | YES |
| CREL21 | Nature Of Extension Option | Reference thresholds involved for the possibility of triggering/exercising the extension option referred to in field CREL20: | Minimum Interest Coverage Ratio (MICR) |

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

CREL1

Unique Identifier

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

NO

NO

CREL2

Original Obligor Identifier

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

NO

NO

CREL3

New Obligor Identifier

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

NO

NO

CREL4

Original Underlying Exposure Identifier

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

NO

NO

CREL5

New Underlying Exposure Identifier

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

NO

NO

CREL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

CREL7

Pool Addition Date

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

NO

YES

CREL8

Date Of Restructuring

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

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

YES

YES

CREL9

Date Of Repurchase

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

NO

YES

CREL10

Date Of Substitution

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

NO

YES

CREL11

Redemption Date

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

NO

YES

CREL12

Geographic Region — Obligor

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

YES

NO

CREL13

Geographic Region Classification

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

YES

NO

CREL14

Special Scheme

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

YES

YES

CREL15

Origination Date

Date of original underlying exposure advance.

YES

NO

CREL16

Start Date Of Amortisation

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

YES

YES

CREL17

Maturity Date At Securitisation Date

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

NO

YES

CREL18

Maturity Date

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

NO

YES

CREL19

Original Term

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

YES

YES

CREL20

Duration Of Extension Option

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

NO

YES

CREL21

Nature Of Extension Option

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

Minimum Interest Coverage Ratio (MICR)

| | Minimum Debt Service Coverage Ratio (MDSC) |
| --- | --- |

Minimum Debt Service Coverage Ratio (MDSC)

| | Maximum Loan-To-Value (MLTV) |
| --- | --- |

Maximum Loan-To-Value (MLTV)

| | Multiple Conditions (MLTC) |
| --- | --- |

Multiple Conditions (MLTC)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL22

Currency Denomination

The underlying exposure currency denomination.

NO

NO

CREL23

Current Principal Balance

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

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

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

NO

YES

CREL24

Original Principal Balance

Original underlying exposure balance (inclusive of fees).

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

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

YES

YES

CREL25

Original Principal Balance At Securitisation Date

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

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

YES

NO

CREL26

Committed Undrawn Facility Underlying Exposure Balance

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

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

NO

NO

CREL27

Total Other Amounts Outstanding

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

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

NO

YES

CREL28

Purchase Price

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

NO

YES

CREL29

Latest Utilisation Date

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

NO

YES

CREL30

Purpose

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

| | Acquisition for investment (ACQI) |
| --- | --- |

Acquisition for investment (ACQI)

| | Acquisition for Liquidation (ACQL) |
| --- | --- |

Acquisition for Liquidation (ACQL)

| | Refinancing (RFIN) |
| --- | --- |

Refinancing (RFIN)

| | Construction (CNST) |
| --- | --- |

Construction (CNST)

| | Redevelopment (RDVL) |
| --- | --- |

Redevelopment (RDVL)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

CREL31

Structure

Underlying Exposure Structure:

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

| | Structural mezzanine financing (MZZD) |
| --- | --- |

Structural mezzanine financing (MZZD)

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

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

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

CREL32

Waterfall A-B Pre Enforcement Scheduled Interest Payments

Waterfall pre-enforcement schedule for interest payments:

| | Sequential (SQNL) |
| --- | --- |

Sequential (SQNL)

| | B loan first (BLLF) |
| --- | --- |

B loan first (BLLF)

| | Pro-Rata (PRAT) |
| --- | --- |

Pro-Rata (PRAT)

| | Modified Pro-Rata (MPRT) |
| --- | --- |

Modified Pro-Rata (MPRT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL33

Waterfall A-B Pre Enforcement Scheduled Principal Payments

Waterfall pre-enforcement schedule for principal payments:

| | Sequential (SQNL) |
| --- | --- |

Sequential (SQNL)

| | B loan first (BLLF) |
| --- | --- |

B loan first (BLLF)

| | Pro-Rata (PRAT) |
| --- | --- |

Pro-Rata (PRAT)

| | Modified Pro-Rata (MPRT) |
| --- | --- |

Modified Pro-Rata (MPRT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL34

Principal Payment Allocation To Senior Loan

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

NO

YES

CREL35

Waterfall Type

Type of waterfall governing the overall lending arrangement:

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

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

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

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

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL36

Defaulted Underlying Exposure Purchase Price

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

NO

YES

CREL37

Cure Payments Possible?

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

| | No possibility to make cure payment (NCPP) |
| --- | --- |

No possibility to make cure payment (NCPP)

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

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

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

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

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

CREL38

Restrictions On Sale Of Subordinated Loan?

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

NO

YES

CREL39

Subordinated Loan Holder Affiliated To Obligor?

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

NO

YES

CREL40

Subordinated Loan Holder Control Of Workout Process

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

NO

YES

CREL41

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

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

NO

YES

CREL42

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

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

NO

YES

CREL43

Noteholder Consent

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

YES

NO

CREL44

Noteholder Meeting Scheduled

What date is the next noteholder meeting scheduled for?

NO

YES

CREL45

Syndicated

Is the underlying exposure syndicated?

YES

NO

CREL46

Participation Of SSPE

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

| | Assignment (ASGN) |
| --- | --- |

Assignment (ASGN)

| | Novation (NOVA) |
| --- | --- |

Novation (NOVA)

| | Equitable Assignment (EQTB) |
| --- | --- |

Equitable Assignment (EQTB)

| | Funded Participation (pari passu interest) (PARI) |
| --- | --- |

Funded Participation (pari passu interest) (PARI)

| | Junior Participation Interest (JUNP) |
| --- | --- |

Junior Participation Interest (JUNP)

| | Legal Assignment (LGAS) |
| --- | --- |

Legal Assignment (LGAS)

| | Notified Assignment (NOTA) |
| --- | --- |

Notified Assignment (NOTA)

| | Sub Participation (SUBP) |
| --- | --- |

Sub Participation (SUBP)

| | Risk Participation (RSKP) |
| --- | --- |

Risk Participation (RSKP)

| | Sale Event (SALE) |
| --- | --- |

Sale Event (SALE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL47

Consequence For Breach Of Financial Covenant

The consequence for the financial covenant breach:

| | Event of Default (EDFT) |
| --- | --- |

Event of Default (EDFT)

| | Additional Amortisation (AAMR) |
| --- | --- |

Additional Amortisation (AAMR)

| | Cash Trap Reserve (CTRS) |
| --- | --- |

Cash Trap Reserve (CTRS)

| | Terminate Property Manager (TPRM) |
| --- | --- |

Terminate Property Manager (TPRM)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL48

Financial Information Non-Submission Penalties

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

YES

NO

CREL49

Recourse

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

YES

YES

CREL50

Recourse - 3rd Party

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

YES

YES

CREL51

Servicing Standard

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

NO

NO

CREL52

Amounts Held In Escrow

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

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

NO

YES

CREL53

Collection Of Escrows

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

YES

NO

CREL54

Collection Of Other Reserves

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

NO

NO

CREL55

Trigger For Escrow To Be Held

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

| | No Trigger (NONE) |
| --- | --- |

No Trigger (NONE)

| | Loan to Value Trigger (LVTX) |
| --- | --- |

Loan to Value Trigger (LVTX)

| | Interest Coverage Trigger (ICVR) |
| --- | --- |

Interest Coverage Trigger (ICVR)

| | Debt Service Coverage Trigger (DSCT) |
| --- | --- |

Debt Service Coverage Trigger (DSCT)

| | Net Operating Income Trigger (NOIT) |
| --- | --- |

Net Operating Income Trigger (NOIT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

CREL56

Target Escrow Amounts/Reserves

Target escrow amounts/reserves.

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

NO

YES

CREL57

Escrow Account Release Conditions

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

NO

YES

CREL58

Conditions Of Drawing Cash Reserve

When the Cash Reserve can be used:

| | Financial Covenant Breach (FICB) |
| --- | --- |

Financial Covenant Breach (FICB)

| | Trigger Event (TREV) |
| --- | --- |

Trigger Event (TREV)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL59

Escrow Account Currency

Escrow account currency denomination.

NO

YES

CREL60

Escrow Payments Currency

Currency of the Escrow payments. Fields CREL52 and CREL56.

NO

YES

CREL61

Total Reserve Balance

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

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

NO

YES

CREL62

Reserve Balance Currency

Reserve account currency denomination.

NO

YES

CREL63

Escrow Trigger Event Occurred

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

NO

NO

CREL64

Amounts Added To Escrows In Current Period

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

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

NO

YES

CREL65

Revenue

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

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

YES

NO

CREL66

Operating Expenses At Securitisation Date

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

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

NO

YES

CREL67

Capital Expenditures At Securitisation Date

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

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

NO

YES

CREL68

Financial Statement Currency

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

YES

NO

CREL69

Obligor Reporting Breach

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

YES

NO

CREL70

Debt Service Coverage Ratio Method

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

Current Period (CRRP)

Projection - 6 month forward calculation (PRSF)

Projection - 12 month forward calculation (PRTF)

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

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

Historical - 6 month forward calculation (HISF)

Historical - 12 month forward calculation (HITF)

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

Multiple Period — Consecutive period calculation (MLTP)

Other (OTHR)

YES

NO

CREL71

Debt Service Coverage Ratio Indicator At Securitisation Date

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

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

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

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

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

| | Full — All statements collected for all properties (FULL) |
| --- | --- |

Full — All statements collected for all properties (FULL)

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

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

| | None Collected — No financials were received (NCOT) |
| --- | --- |

None Collected — No financials were received (NCOT)

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

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

| | Whole loan based on loan agreements (WLAG) |
| --- | --- |

Whole loan based on loan agreements (WLAG)

| | Whole loan based on other method (WLOT) |
| --- | --- |

Whole loan based on other method (WLOT)

| | Trust Note based on loan agreement (TNAG) |
| --- | --- |

Trust Note based on loan agreement (TNAG)

| | Trust Note based on other method (TNOT) |
| --- | --- |

Trust Note based on other method (TNOT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL72

Most Recent Debt Service Coverage Ratio Indicator

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

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

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

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

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

| | Full — All statements collected for all properties (FULL) |
| --- | --- |

Full — All statements collected for all properties (FULL)

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

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

| | None Collected — No financials were received (NCOT) |
| --- | --- |

None Collected — No financials were received (NCOT)

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

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

| | Whole loan based on loan agreements (WLAG) |
| --- | --- |

Whole loan based on loan agreements (WLAG)

| | Whole loan based on other method (WLOT) |
| --- | --- |

Whole loan based on other method (WLOT)

| | Trust Note based on loan agreement (TNAG) |
| --- | --- |

Trust Note based on loan agreement (TNAG)

| | Trust Note based on other method (TNOT) |
| --- | --- |

Trust Note based on other method (TNOT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL73

Debt Service Coverage Ratio At The Securitisation Date

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

YES

NO

CREL74

Current Debt Service Coverage Ratio

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

YES

NO

CREL75

Original Loan-To-Value

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

YES

NO

CREL76

Current Loan-To-Value

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

YES

NO

CREL77

Interest Coverage Ratio At The Securitisation Date

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

YES

NO

CREL78

Current Interest Coverage Ratio

Current Interest Coverage Ratio calculation for the securitised underlying exposure.

YES

NO

CREL79

Interest Coverage Ratio Method

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

| | Current Period (CRRP) |
| --- | --- |

Current Period (CRRP)

| | Projection - 6 month forward calculation (PRSF) |
| --- | --- |

Projection - 6 month forward calculation (PRSF)

| | Projection - 12 month forward calculation (PRTF) |
| --- | --- |

Projection - 12 month forward calculation (PRTF)

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

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

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

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

| | Historical - 6 month forward calculation (HISF) |
| --- | --- |

Historical - 6 month forward calculation (HISF)

| | Historical - 12 month forward calculation (HITF) |
| --- | --- |

Historical - 12 month forward calculation (HITF)

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

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

| | Multiple Period — Consecutive period calculation (MLTP) |
| --- | --- |

Multiple Period — Consecutive period calculation (MLTP)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL80

Number Of Properties At Securitisation Date

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

NO

YES

CREL81

Number Of Properties At Data Cut-Off Date

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

YES

NO

CREL82

Properties Collateralised To The Underlying Exposure

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

NO

NO

CREL83

Property Portfolio Value At Securitisation Date

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

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

NO

YES

CREL84

Property Portfolio Valuation Currency At Securitisation Date

The currency of the valuation in CREL83.

NO

YES

CREL85

Status Of Properties

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

Lasting Power of Attorney (LPOA)

Receivership (RCVR)

In Foreclosure (FCLS)

Real Estate Owned (REOW)

Defeased (DFSD)

Partial Release (PRLS)

Released (RLSD)

Same as at Securitisation Date (SCDT)

In special servicing (SSRV)

Other (OTHR)

NO

YES

CREL86

Valuation Date At Securitisation Date

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

NO

YES

CREL87

Amortisation Type

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

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

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

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

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

Other (OTHR)

YES

NO

CREL88

Principal Grace Period End Date

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

NO

YES

CREL89

Grace Days Allowed

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

NO

YES

CREL90

Scheduled Principal Payment Frequency

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

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL91

Scheduled Interest Payment Frequency

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

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL92

Number Of Payments Before Securitisation

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

YES

NO

CREL93

Prepayment Terms Description

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

YES

YES

CREL94

Prepayment Lock-Out End Date

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

YES

YES

CREL95

Yield Maintenance End Date

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

NO

YES

CREL96

Prepayment Fee

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

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

NO

YES

CREL97

Prepayment Fee End Date

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

YES

YES

CREL98

Unscheduled Principal Collections

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

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

NO

YES

CREL99

Liquidation/Prepayment Date

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

NO

YES

CREL100

Liquidation/Prepayment Code

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

| | Partial Liquidation (Curtailment) (PTLQ) |
| --- | --- |

Partial Liquidation (Curtailment) (PTLQ)

| | Payoff Prior to Maturity (PTPY) |
| --- | --- |

Payoff Prior to Maturity (PTPY)

| | Liquidation or Disposition (LQDP) |
| --- | --- |

Liquidation or Disposition (LQDP)

| | Repurchase or Substitution (RPSB) |
| --- | --- |

Repurchase or Substitution (RPSB)

| | Full Payoff at Maturity (FLPY) |
| --- | --- |

Full Payoff at Maturity (FLPY)

| | Discounted Payoff (DPOX) |
| --- | --- |

Discounted Payoff (DPOX)

| | Payoff with Penalty (PYPN) |
| --- | --- |

Payoff with Penalty (PYPN)

| | Payoff with Yield Maintenance (YLMT) |
| --- | --- |

Payoff with Yield Maintenance (YLMT)

| | Curtailment with Penalty (CTPL) |
| --- | --- |

Curtailment with Penalty (CTPL)

| | Curtailment with Yield Maintenance (CTYL) |
| --- | --- |

Curtailment with Yield Maintenance (CTYL)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL101

Prepayment Interest Excess/Shortfall

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

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

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

NO

YES

CREL102

Payment Date

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

NO

YES

CREL103

Next Payment Adjustment Date

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

NO

YES

CREL104

Next Payment Date

Date of next underlying exposure payment.

NO

YES

CREL105

Payment Due

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

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

NO

YES

CREL106

Original Interest Rate

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

YES

NO

CREL107

Interest Rate At The Securitisation Date

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

YES

NO

CREL108

First Payment Adjustment Date

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

YES

YES

CREL109

Interest Rate Type

Interest rate type:

| | Floating rate underlying exposure (for life) (FLIF) |
| --- | --- |

Floating rate underlying exposure (for life) (FLIF)

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

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

| | Fixed rate underlying exposure (for life) (FXRL) |
| --- | --- |

Fixed rate underlying exposure (for life) (FXRL)

| | Fixed with future periodic resets (FXPR) |
| --- | --- |

Fixed with future periodic resets (FXPR)

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

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

| | Floating rate underlying exposure with floor (FLFL) |
| --- | --- |

Floating rate underlying exposure with floor (FLFL)

| | Floating rate underlying exposure with cap (CAPP) |
| --- | --- |

Floating rate underlying exposure with cap (CAPP)

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

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

| | Discount (DISC) |
| --- | --- |

Discount (DISC)

| | Switch Optionality (SWIC) |
| --- | --- |

Switch Optionality (SWIC)

| | Obligor Swapped (OBLS) |
| --- | --- |

Obligor Swapped (OBLS)

| | Modular (MODE) |
| --- | --- |

Modular (MODE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL110

Current Interest Rate

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

NO

YES

CREL111

Current Interest Rate Index

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

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL112

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL113

Current Interest Rate Margin

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

NO

YES

CREL114

Interest Rate Reset Interval

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

NO

YES

CREL115

Current Index Rate

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

NO

YES

CREL116

Index Determination Date

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

NO

YES

CREL117

Rounding Increment

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

NO

YES

CREL118

Interest Rate Cap

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

NO

YES

CREL119

Interest Rate Floor

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

NO

YES

CREL120

Current Default Interest Rate

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

NO

YES

CREL121

Accrual Of Interest Allowed

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

YES

NO

CREL122

Day Count Convention

The ‘days’ convention used to calculate interest:

| | 30/360 (A011) |
| --- | --- |

30/360 (A011)

| | Actual/365 (A005) |
| --- | --- |

Actual/365 (A005)

| | Actual/360 (A004) |
| --- | --- |

Actual/360 (A004)

| | Actual/Actual ICMA (A006) |
| --- | --- |

Actual/Actual ICMA (A006)

| | Actual/Actual ISDA (A008) |
| --- | --- |

Actual/Actual ISDA (A008)

| | Actual/Actual AFB (A010) |
| --- | --- |

Actual/Actual AFB (A010)

| | Actual/366 (A009) |
| --- | --- |

Actual/366 (A009)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL123

Total Scheduled Principal & Interest Due

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

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

NO

NO

CREL124

Total Scheduled Principal & Interest Paid

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

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

NO

NO

CREL125

Negative Amortisation

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

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

YES

NO

CREL126

Deferred Interest

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

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

YES

NO

CREL127

Total Shortfalls In Principal & Interest Outstanding

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

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

NO

YES

CREL128

Date Last In Arrears

Date the obligor was last in arrears.

YES

YES

CREL129

Arrears Balance

Current balance of arrears, which is defined as:

| | Total payments due to date |
| --- | --- |

Total payments due to date

| | PLUS any amounts capitalised |
| --- | --- |

PLUS any amounts capitalised

| | PLUS any fees applied to the account |
| --- | --- |

PLUS any fees applied to the account

| | LESS total payments received to date. |
| --- | --- |

LESS total payments received to date.

If no arrears then enter 0.

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

NO

NO

CREL130

Number Of Days In Arrears

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

NO

NO

CREL131

Reason for Default or Foreclosure

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

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

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

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

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

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

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

YES

YES

CREL132

Default Amount

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

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

NO

YES

CREL133

Default Date

The date of default.

NO

YES

CREL134

Interest In Arrears

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

NO

NO

CREL135

Actual Default Interest

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

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

NO

YES

CREL136

Account Status

Current status of the underlying exposure that has been securitised:

| | Performing (PERF) |
| --- | --- |

Performing (PERF)

| | Restructured — No Arrears (RNAR) |
| --- | --- |

Restructured — No Arrears (RNAR)

| | Restructured — Arrears (RARR) |
| --- | --- |

Restructured — Arrears (RARR)

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

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

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

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

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

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

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

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

| | Arrears (ARRE) |
| --- | --- |

Arrears (ARRE)

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

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

| | Repurchased by Seller – Defaulted (REDF) |
| --- | --- |

Repurchased by Seller – Defaulted (REDF)

| | Repurchased by Seller – Restructured (RERE) |
| --- | --- |

Repurchased by Seller – Restructured (RERE)

| | Repurchased by Seller – Special Servicing (RESS) |
| --- | --- |

Repurchased by Seller – Special Servicing (RESS)

| | Repurchased by Seller – Other Reason (REOT) |
| --- | --- |

Repurchased by Seller – Other Reason (REOT)

| | Redeemed (RDMD) |
| --- | --- |

Redeemed (RDMD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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

NO

NO

CREL137

Allocated Losses

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

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

NO

YES

CREL138

Net Proceeds Received On Liquidation

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

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

NO

YES

CREL139

Liquidation Expense

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

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

NO

YES

CREL140

Expected Timing Of Recoveries

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

NO

YES

CREL141

Cumulative Recoveries

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

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

NO

YES

CREL142

Enforcement Start Date

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

NO

YES

CREL143

Workout Strategy Code

Work-out strategy:

| | Modification (MODI) |
| --- | --- |

Modification (MODI)

| | Enforcement (ENFR) |
| --- | --- |

Enforcement (ENFR)

| | Receivership (RCVR) |
| --- | --- |

Receivership (RCVR)

| | Insolvency (NSOL) |
| --- | --- |

Insolvency (NSOL)

| | Extension (XTSN) |
| --- | --- |

Extension (XTSN)

| | Loan Sale (LLES) |
| --- | --- |

Loan Sale (LLES)

| | Discounted Pay Off (DPFF) |
| --- | --- |

Discounted Pay Off (DPFF)

| | Property in Possession (PPOS) |
| --- | --- |

Property in Possession (PPOS)

| | Resolved (RSLV) |
| --- | --- |

Resolved (RSLV)

| | Pending Return to Servicer (PRTS) |
| --- | --- |

Pending Return to Servicer (PRTS)

| | Deed in Lieu of Foreclosure (DLFR) |
| --- | --- |

Deed in Lieu of Foreclosure (DLFR)

| | Full Pay Off (FPOF) |
| --- | --- |

Full Pay Off (FPOF)

| | Representations and Warranties (REWR) |
| --- | --- |

Representations and Warranties (REWR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL144

Modification

Type of modification:

| | Maturity Date Extension (MEXT) |
| --- | --- |

Maturity Date Extension (MEXT)

| | Amortisation Change (AMMC) |
| --- | --- |

Amortisation Change (AMMC)

| | Principal Write-off (PWOF) |
| --- | --- |

Principal Write-off (PWOF)

| | Temporary Rate Reduction (TMRR) |
| --- | --- |

Temporary Rate Reduction (TMRR)

| | Capitalisation of Interest (CINT) |
| --- | --- |

Capitalisation of Interest (CINT)

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

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

| | Combination (COMB) |
| --- | --- |

Combination (COMB)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL145

Special Servicing Status

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

NO

NO

CREL146

Most Recent Special Servicer Transfer Date

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

NO

YES

CREL147

Most Recent Primary Servicer Return Date

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

NO

YES

CREL148

Non Recoverability Determined

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

YES

YES

CREL149

Covenant Breach/Trigger

Type of Covenant Breach/Trigger:

| | Interest Coverage Ratio (ICRX) |
| --- | --- |

Interest Coverage Ratio (ICRX)

| | Debt Service Coverage Ratio (DSCR) |
| --- | --- |

Debt Service Coverage Ratio (DSCR)

| | Loan-to-Value (LLTV) |
| --- | --- |

Loan-to-Value (LLTV)

| | Interest Coverage Ratio or Debt Service Coverage Ratio (ICDS) |
| --- | --- |

Interest Coverage Ratio or Debt Service Coverage Ratio (ICDS)

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

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

| | Property Level Breach (PROP) |
| --- | --- |

Property Level Breach (PROP)

| | Obligor Level Breach (OBLG) |
| --- | --- |

Obligor Level Breach (OBLG)

| | Tenant or Vacancy Level Breach (TENT) |
| --- | --- |

Tenant or Vacancy Level Breach (TENT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CREL150

Date Of Breach

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

YES

YES

CREL151

Date Of Breach Cure

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

NO

YES

CREL152

Servicer Watchlist Code

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

NO

YES

CREL153

Servicer Watchlist Date

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

NO

YES

CREL154

Interest Rate Swap Provider

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

NO

YES

CREL155

Interest Rate Swap Provider Legal Entity Identifier

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

NO

YES

CREL156

Interest Rate Swap Maturity Date

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

NO

YES

CREL157

Interest Rate Swap Notional

Interest rate underlying exposure level swap notional amount

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

NO

YES

CREL158

Currency Swap Provider

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

NO

YES

CREL159

Currency Swap Provider Legal Entity Identifier

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

NO

YES

CREL160

Currency Swap Maturity Date

Date of maturity for the currency underlying exposure level swap.

NO

YES

CREL161

Currency Swap Notional

Currency underlying exposure level swap notional amount

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

NO

YES

CREL162

Exchange Rate For Swap

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

NO

YES

CREL163

Other Swap Provider

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

NO

YES

CREL164

Other Swap Provider Legal Entity Identifier

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

NO

YES

CREL165

Obligor Must Pay Breakage On Swap

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

Total Indemnification from obligor (TOTL)

Partial Indemnification from obligor (PINO)

No Indemnification from obligor (NOPE)

YES

NO

CREL166

Full Or Partial Termination Event Of Swap For Current Period

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

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

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

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

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

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

Other (OTHR)

NO

YES

CREL167

Net Periodic Payment Made By Swap Provider

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

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

NO

YES

CREL168

Breakage Costs Due To Underlying Exposure Swap Provider

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

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

NO

YES

CREL169

Shortfall In Payment Of Breakage Costs On Swap

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

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

NO

YES

CREL170

Breakage Costs Due From Swap Counterparty

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

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

NO

YES

CREL171

Next Swap Reset Date

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

NO

YES

CREL172

Sponsor

The name of the underlying exposure sponsor.

NO

YES

CREL173

Agent Bank Of Syndication Legal Entity Identifier

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

NO

YES

CREL174

Servicer Legal Entity Identifier

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

NO

YES

CREL175

Servicer Name

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

NO

YES

CREL176

Originator Name

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

NO

NO

CREL177

Originator Legal Entity Identifier

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

NO

NO

CREL178

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

CREL179

Original Lender Name

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

YES

YES

CREL180

Original Lender Legal Entity Identifier

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

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

CREL181

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

Collateral-level information section

CREC1

Unique Identifier

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

NO

NO

CREC2

Underlying Exposure Identifier

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

NO

NO

CREC3

Original Collateral Identifier

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

NO

NO

CREC4

New Collateral Identifier

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

NO

NO

CREC5

Collateral Type

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

Automobile (CARX)

Industrial Vehicle (INDV)

Commercial Truck (CMTR)

Rail Vehicle (RALV)

Nautical Commercial Vehicle (NACM)

Nautical Leisure Vehicle (NALV)

Aeroplane (AERO)

Machine Tool (MCHT)

Industrial Equipment (INDE)

Office Equipment (OFEQ)

IT Equipment (ITEQ)

Medical Equipment (MDEQ)

Energy Related Equipment (ENEQ)

Commercial Building (CBLD)

Residential Building (RBLD)

Industrial Building (IBLD)

Other Vehicle (OTHV)

Other Equipment (OTHE)

Other Real Estate (OTRE)

Other goods or inventory (OTGI)

Securities (SECU)

Guarantee (GUAR)

Other Financial Asset (OTFA)

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

Other (OTHR)

NO

NO

CREC6

Property Name

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

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

NO

YES

CREC7

Property Address

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

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

NO

YES

CREC8

Geographic Region — Collateral

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

YES

YES

CREC9

Property Post Code

The primary property full postal code.

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

NO

YES

CREC10

Lien

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

YES

YES

CREC11

Property Status

Status of property:

| | Lasting Power of Attorney (LPOA) |
| --- | --- |

Lasting Power of Attorney (LPOA)

| | Receivership (RCVR) |
| --- | --- |

Receivership (RCVR)

| | In Foreclosure (FCLS) |
| --- | --- |

In Foreclosure (FCLS)

| | Real Estate Owned (REOW) |
| --- | --- |

Real Estate Owned (REOW)

| | Defeased (DFSD) |
| --- | --- |

Defeased (DFSD)

| | Partial Release (PRLS) |
| --- | --- |

Partial Release (PRLS)

| | Released (RLSD) |
| --- | --- |

Released (RLSD)

| | Same as at Securitisation Date (SCDT) |
| --- | --- |

Same as at Securitisation Date (SCDT)

| | In Special Servicing (SSRV) |
| --- | --- |

In Special Servicing (SSRV)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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

NO

YES

CREC12

Property Type

Property type:

| | Caravan Park (CRVP) |
| --- | --- |

Caravan Park (CRVP)

| | Car Park (CARP) |
| --- | --- |

Car Park (CARP)

| | Health Care (HEAL) |
| --- | --- |

Health Care (HEAL)

| | Hospitality or Hotel (HOTL) |
| --- | --- |

Hospitality or Hotel (HOTL)

| | Industrial (IDSR) |
| --- | --- |

Industrial (IDSR)

| | Land Only (LAND) |
| --- | --- |

Land Only (LAND)

| | Leisure (LEIS) |
| --- | --- |

Leisure (LEIS)

| | Multifamily (MULF) |
| --- | --- |

Multifamily (MULF)

| | Mixed Use (MIXD) |
| --- | --- |

Mixed Use (MIXD)

| | Office (OFFC) |
| --- | --- |

Office (OFFC)

| | Pub (PUBX) |
| --- | --- |

Pub (PUBX)

| | Retail (RETL) |
| --- | --- |

Retail (RETL)

| | Self Storage (SSTR) |
| --- | --- |

Self Storage (SSTR)

| | Warehouse (WARE) |
| --- | --- |

Warehouse (WARE)

| | Various (VARI) |
| --- | --- |

Various (VARI)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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

NO

YES

CREC13

Property Form Of Title

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

| | Leasehold (LESH) |
| --- | --- |

Leasehold (LESH)

| | Freehold (FREE) |
| --- | --- |

Freehold (FREE)

| | Mixed (MIXD) |
| --- | --- |

Mixed (MIXD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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

NO

YES

CREC14

Current Valuation Date

The date of the most recent valuation.

YES

YES

CREC15

Current Valuation Amount

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

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

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

YES

YES

CREC16

Current Valuation Method

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

Full, internal and external inspection (FALL)

Full, only external inspection (FEXT)

Drive-by (DRVB)

Automated Valuation Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent/Estate Agent (MAEA)

Tax Authority (TXAT)

Other (OTHR)

YES

NO

CREC17

Current Valuation Basis

The most recent Valuation Basis:

| | Open Market (OPEN) |
| --- | --- |

Open Market (OPEN)

| | Vacant Possession (VCNT) |
| --- | --- |

Vacant Possession (VCNT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

CREC18

Original Valuation Method

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

| | Full, internal and external inspection (FALL) |
| --- | --- |

Full, internal and external inspection (FALL)

| | Full, only external inspection (FEXT) |
| --- | --- |

Full, only external inspection (FEXT)

| | Drive-by (DRVB) |
| --- | --- |

Drive-by (DRVB)

| | Automated Valuation Model (AUVM) |
| --- | --- |

Automated Valuation Model (AUVM)

| | Indexed (IDXD) |
| --- | --- |

Indexed (IDXD)

| | Desktop (DKTP) |
| --- | --- |

Desktop (DKTP)

| | Managing Agent/Estate Agent (MAEA) |
| --- | --- |

Managing Agent/Estate Agent (MAEA)

| | Tax Authority (TXAT) |
| --- | --- |

Tax Authority (TXAT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

CREC19

Collateral Securitisation Date

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

YES

NO

CREC20

Allocated Percentage Of Underlying Exposure At Securitisation Date

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

YES

YES

CREC21

Current Allocated Underlying Exposure Percentage

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

NO

YES

CREC22

Valuation At Securitisation

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

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

NO

YES

CREC23

Name Of Valuer At Securitisation

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

NO

YES

CREC24

Date Of Valuation At Securitisation

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

NO

YES

CREC25

Year Built

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

YES

YES

CREC26

Year Last Renovated

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

YES

YES

CREC27

Number Of Units

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

NO

YES

CREC28

Net Square Metres

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

NO

YES

CREC29

Commercial Area

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

NO

YES

CREC30

Residential Area

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

NO

YES

CREC31

Net Internal Floor Area Validated

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

YES

YES

CREC32

Occupancy As Of Date

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

NO

YES

CREC33

Economic Occupancy At Securitisation

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

NO

YES

CREC34

Physical Occupancy At Securitisation

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

NO

YES

CREC35

Vacant Possession Value At Securitisation Date

Vacant possession value at Date of Securitisation.

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

NO

YES

CREC36

Date Of Financials At Securitisation

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

YES

YES

CREC37

Net Operating Income At Securitisation

Revenue less Operating Expenses at Securitisation Date.

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

YES

YES

CREC38

Most Recent Financials As Of Start Date

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

YES

YES

CREC39

Most Recent Financials As Of End Date

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

YES

YES

CREC40

Most Recent Revenue

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

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

YES

YES

CREC41

Most Recent Operating Expenses

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

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

YES

YES

CREC42

Most Recent Capital Expenditure

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

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

YES

YES

CREC43

Ground Rent Payable

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






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






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

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:

(a)

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

(i)

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

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

(ii)

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

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

(b)

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

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

(c)

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

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

NO

YES

CRPL13

Customer Type

Customer type at origination:

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

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

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

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

| | New customer and employee/affiliation not recorded (CNRO) |
| --- | --- |

New customer and employee/affiliation not recorded (CNRO)

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

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

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

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

| | Existing customer and employee/affiliation not recorded (ENRO) |
| --- | --- |

Existing customer and employee/affiliation not recorded (ENRO)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Corporate (CORP) |
| --- | --- |

Corporate (CORP)

| | Small and Medium Enterprise Treated as Corporate (SMEX) |
| --- | --- |

Small and Medium Enterprise Treated as Corporate (SMEX)

| | Retail (RETL) |
| --- | --- |

Retail (RETL)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

YES

CRPL16

Enterprise Size

Classification of enterprises by size, in accordance with the Annex to Commission Recommendation 2003/361/EC:

| | Micro Enterprise (MICE) - employs fewer than 10 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 2 million |
| --- | --- |

Micro Enterprise (MICE) - employs fewer than 10 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 2 million

| | Small Enterprise (SMAE) - employs fewer than 50 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 10 million |
| --- | --- |

Small Enterprise (SMAE) - employs fewer than 50 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 10 million

| | Medium Enterprise (MEDE) - employs fewer than 250 persons and which has an annual turnover not exceeding EUR 50 million, and/or an annual balance sheet total not exceeding EUR 43 million |
| --- | --- |

Medium Enterprise (MEDE) - employs fewer than 250 persons and which has an annual turnover not exceeding EUR 50 million, and/or an annual balance sheet total not exceeding EUR 43 million

| | Large Enterprise (LARE) - an enterprise that is neither a micro, small, or medium enterprise. |
| --- | --- |

Large Enterprise (LARE) - an enterprise that is neither a micro, small, or medium enterprise.

| | Natural Person (NATP) |
| --- | --- |

Natural Person (NATP)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Loan or Lease (LOLE) |
| --- | --- |

Loan or Lease (LOLE)

| | Guarantee (DGAR) |
| --- | --- |

Guarantee (DGAR)

| | Promissory Notes (PRMS) |
| --- | --- |

Promissory Notes (PRMS)

| | Participation Rights (PRTR) |
| --- | --- |

Participation Rights (PRTR)

| | Overdraft (ODFT) |
| --- | --- |

Overdraft (ODFT)

| | Letter of Credit (LCRE) |
| --- | --- |

Letter of Credit (LCRE)

| | Working Capital Facility (WCFC) |
| --- | --- |

Working Capital Facility (WCFC)

| | Equity (EQUI) |
| --- | --- |

Equity (EQUI)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

NO

CRPL25

Securitised Receivables

What receivables associated with this underlying exposure have been securitised:

| | Principal and Interest (PRIN) |
| --- | --- |

Principal and Interest (PRIN)

| | Principal Only (PRPL) |
| --- | --- |

Principal Only (PRPL)

| | Interest Only (INTR) |
| --- | --- |

Interest Only (INTR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

NO

CRPL26

International Securities Identification Number

The ISIN code assigned to this underlying exposure, where applicable.

NO

YES

CRPL27

Seniority

Debt Instrument Seniority:

| | Senior Debt (SNDB) |
| --- | --- |

Senior Debt (SNDB)

| | Mezzanine Debt (MZZD) |
| --- | --- |

Mezzanine Debt (MZZD)

| | Junior Debt (JUND) |
| --- | --- |

Junior Debt (JUND)

| | Subordinated Debt (SBOD) |
| --- | --- |

Subordinated Debt (SBOD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Office or Branch Network (BRAN) |
| --- | --- |

Office or Branch Network (BRAN)

| | Broker (BROK) |
| --- | --- |

Broker (BROK)

| | Internet (WEBI) |
| --- | --- |

Internet (WEBI)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

YES

CRPL36

Purpose

underlying exposure Purpose:

| | Overdraft or Working Capital (OVRD) |
| --- | --- |

Overdraft or Working Capital (OVRD)

| | New Plant and Equipment Investment (EQPI) |
| --- | --- |

New Plant and Equipment Investment (EQPI)

| | New Information Technology Investment (INFT) |
| --- | --- |

New Information Technology Investment (INFT)

| | Refurbishment of Existing Plant, Equipment, or Technology (RFBR) |
| --- | --- |

Refurbishment of Existing Plant, Equipment, or Technology (RFBR)

| | Merger and Acquisition (MGAQ) |
| --- | --- |

Merger and Acquisition (MGAQ)

| | Other Expansionary Purpose (OEXP) |
| --- | --- |

Other Expansionary Purpose (OEXP)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

CRPL37

Currency Denomination

The underlying exposure currency denomination.

NO

NO

CRPL38

Original Principal Balance

Original underlying exposure balance (inclusive of fees).

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

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

YES

YES

CRPL39

Current Principal Balance

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

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

NO

YES

CRPL40

Prior Principal Balances

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

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

YES

YES

CRPL41

Market Value

For Collateralised Loan Obligation securitisations, enter the market value of the security.

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

NO

YES

CRPL42

Total Credit Limit

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

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

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

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

NO

YES

CRPL43

Purchase Price

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

NO

YES

CRPL44

Put Date

If there exists an option to sell back the underlying exposure, enter the date at which the option can be exercised. If the date is unknown (e.g. the option is an American option), enter the equivalent of 31 December 2099.

NO

YES

CRPL45

Put Strike

If there exists an option to sell back the underlying exposure, enter the strike (exercise) price. If the strike price is moveable (e.g. the option is a lookback option), enter the best estimate of the strike price as at the data cut-off date.

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

NO

YES

CRPL46

Amortisation Type

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

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

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

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

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

Other (OTHR)

YES

NO

CRPL47

Principal Grace Period End Date

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

YES

YES

CRPL48

Scheduled Principal Payment Frequency

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

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CRPL49

Scheduled Interest Payment Frequency

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

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CRPL50

Payment Due

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

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

NO

YES

CRPL51

Balloon Amount

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

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

YES

YES

CRPL52

Interest Rate Type

Interest rate type:

| | Floating rate underlying exposure (for life) (FLIF) |
| --- | --- |

Floating rate underlying exposure (for life) (FLIF)

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

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

| | Fixed rate underlying exposure (for life) (FXRL) |
| --- | --- |

Fixed rate underlying exposure (for life) (FXRL)

| | Fixed with future periodic resets (FXPR) |
| --- | --- |

Fixed with future periodic resets (FXPR)

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

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

| | Floating rate underlying exposure with floor (FLFL) |
| --- | --- |

Floating rate underlying exposure with floor (FLFL)

| | Floating rate underlying exposure with cap (CAPP) |
| --- | --- |

Floating rate underlying exposure with cap (CAPP)

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

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

| | Discount (DISC) |
| --- | --- |

Discount (DISC)

| | Switch Optionality (SWIC) |
| --- | --- |

Switch Optionality (SWIC)

| | Obligor Swapped (OBLS) |
| --- | --- |

Obligor Swapped (OBLS)

| | Modular (MODE) |
| --- | --- |

Modular (MODE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CRPL53

Current Interest Rate

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

NO

YES

CRPL54

Current Interest Rate Index

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

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CRPL55

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CRPL56

Current Interest Rate Margin

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

NO

YES

CRPL57

Interest Rate Reset Interval

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

NO

YES

CRPL58

Interest Rate Cap

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

NO

YES

CRPL59

Interest Rate Floor

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

NO

YES

CRPL60

Revision Margin 1

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

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

YES

YES

CRPL61

Interest Revision Date 1

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

YES

YES

CRPL62

Revision Margin 2

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

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

YES

YES

CRPL63

Interest Revision Date 2

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

YES

YES

CRPL64

Revision Margin 3

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

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

YES

YES

CRPL65

Interest Revision Date 3

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

YES

YES

CRPL66

Revised Interest Rate Index

Next interest rate index.

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender’s Own Rate (LDOR)

Other (OTHR)

YES

YES

CRPL67

Revised Interest Rate Index Tenor

Tenor of the next interest rate index:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

YES

CRPL68

Number Of Payments Before Securitisation

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

YES

NO

CRPL69

Percentage Of Prepayments Allowed Per Year

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

YES

YES

CRPL70

Prepayment Lock-Out End Date

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

YES

YES

CRPL71

Prepayment Fee

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

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

NO

YES

CRPL72

Prepayment Fee End Date

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

YES

YES

CRPL73

Prepayment Date

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

YES

YES

CRPL74

Cumulative Prepayments

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

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

YES

YES

CRPL75

Date Of Restructuring

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

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

YES

YES

CRPL76

Date Last In Arrears

Date the obligor was last in arrears.

YES

YES

CRPL77

Arrears Balance

Current balance of arrears, which is defined as:

| | Total payments due to date |
| --- | --- |

Total payments due to date

| | PLUS any amounts capitalised |
| --- | --- |

PLUS any amounts capitalised

| | PLUS any fees applied to the account |
| --- | --- |

PLUS any fees applied to the account

| | LESS total payments received to date. |
| --- | --- |

LESS total payments received to date.

If no arrears then enter 0.

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

NO

NO

CRPL78

Number Of Days In Arrears

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

NO

NO

CRPL79

Account Status

Current status of the underlying exposure that has been securitised:

| | Performing (PERF) |
| --- | --- |

Performing (PERF)

| | Restructured — No Arrears (RNAR) |
| --- | --- |

Restructured — No Arrears (RNAR)

| | Restructured — Arrears (RARR) |
| --- | --- |

Restructured — Arrears (RARR)

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

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

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

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

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

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

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

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

| | Arrears (ARRE) |
| --- | --- |

Arrears (ARRE)

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

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

| | Repurchased by Seller – Defaulted (REDF) |
| --- | --- |

Repurchased by Seller – Defaulted (REDF)

| | Repurchased by Seller – Restructured (RERE) |
| --- | --- |

Repurchased by Seller – Restructured (RERE)

| | Repurchased by Seller – Special Servicing (RESS) |
| --- | --- |

Repurchased by Seller – Special Servicing (RESS)

| | Repurchased by Seller – Other Reason (REOT) |
| --- | --- |

Repurchased by Seller – Other Reason (REOT)

| | Redeemed (RDMD) |
| --- | --- |

Redeemed (RDMD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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

NO

NO

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:

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

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

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

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

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

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

YES

YES

CRPL81

Default Amount

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

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

NO

YES

CRPL82

Default Date

The date of default.

NO

YES

CRPL83

Allocated Losses

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

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

NO

YES

CRPL84

Cumulative Recoveries

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

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

NO

YES

CRPL85

Recovery Source

The source of the recoveries:

| | Liquidation of Collateral (LCOL) |
| --- | --- |

Liquidation of Collateral (LCOL)

| | Enforcement of Guarantees (EGAR) |
| --- | --- |

Enforcement of Guarantees (EGAR)

| | Additional Lending (ALEN) |
| --- | --- |

Additional Lending (ALEN)

| | Cash Recoveries (CASR) |
| --- | --- |

Cash Recoveries (CASR)

| | Mixed (MIXD) |
| --- | --- |

Mixed (MIXD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CRPL86

Recourse

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

YES

YES

CRPL87

Deposit Amount

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

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

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

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

NO

YES

CRPL88

Interest Rate Swap Notional

If there is an interest rate swap on the underlying exposure, enter the notional amount.

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

NO

YES

CRPL89

Interest Rate Swap Provider Legal Entity Identifier

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

NO

YES

CRPL90

Interest Rate Swap Provider

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

NO

YES

CRPL91

Interest Rate Swap Maturity Date

If there is an interest rate swap on the underlying exposure, enter the maturity date of the swap.

NO

YES

CRPL92

Currency Swap Notional

If there is an exchange rate swap on the underlying exposure, enter the notional amount.

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

NO

YES

CRPL93

Currency Swap Provider Legal Entity Identifier

If there is an exchange rate swap on the underlying exposure, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the swap provider.

NO

YES

CRPL94

Currency Swap Provider

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

NO

YES

CRPL95

Currency Swap Maturity Date

If there is an exchange rate swap on the underlying exposure, enter the maturity date of the swap.

NO

YES

CRPL96

Original Lender Name

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

YES

YES

CRPL97

Original Lender Legal Entity Identifier

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

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

CRPL98

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

CRPL99

Originator Name

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

NO

NO

CRPL100

Originator Legal Entity Identifier

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

NO

NO

CRPL101

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

Collateral-level information section

CRPC1

Unique Identifier

Report the same unique identifier here as the one entered into field CRPL1.

NO

NO

CRPC2

Underlying Exposure Identifier

Unique underlying exposure identifier. This must match the identifier in field CRPL3. The reporting entity must not amend this unique identifier.

NO

NO

CRPC3

Original Collateral Identifier

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

NO

NO

CRPC4

New Collateral Identifier

If the original identifier in field CRPC3 cannot be maintained in this field enter the new identifier here. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. If there has been no change in the identifier, enter the same identifier as field CRPC3. The reporting entity must not amend this unique identifier.

NO

NO

CRPC5

Geographic Region — Collateral

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

YES

YES

CRPC6

Security Type

The type of security:

| | Collateral (COLL) |
| --- | --- |

Collateral (COLL)

| | Guarantee backed by further collateral (GCOL) |
| --- | --- |

Guarantee backed by further collateral (GCOL)

| | Guarantee not backed by further collateral (GNCO) |
| --- | --- |

Guarantee not backed by further collateral (GNCO)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

NO

CRPC7

Charge Type

Type of security over the collateral. Where there is a guarantee, this field refers to any security for any collateral that is supporting that guarantee. ‘No charge but an irrevocable power of attorney or similar’ refers to when the originator or original lender, as applicable, is irrevocably and unconditionally authorised to unilaterally create a charge over the collateral at any time in the future, without the need for any further approval from the obligor or guarantor:

| | Fixed charge (FXCH) |
| --- | --- |

Fixed charge (FXCH)

| | Floating charge (FLCH) |
| --- | --- |

Floating charge (FLCH)

| | No charge (NOCG) |
| --- | --- |

No charge (NOCG)

| | No charge but an irrevocable power of attorney or similar (ATRN) |
| --- | --- |

No charge but an irrevocable power of attorney or similar (ATRN)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CRPC8

Lien

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

YES

YES

CRPC9

Collateral Type

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

Automobile (CARX)

Industrial Vehicle (INDV)

Commercial Truck (CMTR)

Rail Vehicle (RALV)

Nautical Commercial Vehicle (NACM)

Nautical Leisure Vehicle (NALV)

Aeroplane (AERO)

Machine Tool (MCHT)

Industrial Equipment (INDE)

Office Equipment (OFEQ)

IT Equipment (ITEQ)

Medical Equipment (MDEQ)

Energy Related Equipment (ENEQ)

Commercial Building (CBLD)

Residential Building (RBLD)

Industrial Building (IBLD)

Other Vehicle (OTHV)

Other Equipment (OTHE)

Other Real Estate (OTRE)

Other goods or inventory (OTGI)

Securities (SECU)

Guarantee (GUAR)

Other Financial Asset (OTFA)

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

Other (OTHR)

NO

NO

CRPC10

Current Valuation Amount

The most recent valuation of the collateral. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to the collateral that is supporting that guarantee.

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

YES

YES

CRPC11

Current Valuation Method

The method of calculating the most recent value of the collateral, as provided in field CRPC10.

Full Appraisal (FAPR)

Drive-by (DRVB)

Automated Value Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent or Estate Agent (MAEA)

Purchase Price (PPRI)

Haircut (HCUT)

Mark to Market (MTTM)

Obligor’s valuation (OBLV)

Other (OTHR)

YES

YES

CRPC12

Current Valuation Date

The date of the most recent valuation of the collateral as provided in field CRPC10.

YES

YES

CRPC13

Original Valuation Amount

The original valuation of the collateral as of the initial underlying exposure origination date.

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

YES

YES

CRPC14

Original Valuation Method

The method of calculating the value of the collateral at the time of underlying exposure origination, as provided in field CRPC13.

Full Appraisal (FAPR)

Drive-by (DRVB)

Automated Value Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent or Estate Agent (MAEA)

Purchase Price (PPRI)

Haircut (HCUT)

Mark to market (MTTM)

Obligor’s valuation (OBLV)

Other (OTHR)

YES

YES

CRPC15

Original Valuation Date

The date of the original valuation of the physical or financial collateral provided in field CRPC13.

YES

YES

CRPC16

Date Of Sale

The date of sale of the collateral.

NO

YES

CRPC17

Sale Price

Price achieved on sale of collateral in case of foreclosure.

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

NO

YES

CRPC18

Collateral Currency

This is the currency in which the valuation amount provided in CRPC10 is denominated.

NO

YES

CRPC19

Guarantor Country

The jurisdiction where the guarantor is established.

NO

YES

CRPC20

Guarantor ESA Subsector

The ESA 2010 classification of the guarantor according to Regulation (EU) No 549/2013 of the European Parliament and of the Council (‘ESA 2010’) (1). This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation.

NO

YES

---

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

---

ANNEX V

UNDERLYING EXPOSURES INFORMATION — AUTOMOBILE

| Field code | Field name | Content to report | ND1-ND4 allowed? | ND5 allowed? |
| --- | --- | --- | --- | --- |
| Underlying exposures information section |
| AUTL1 | Unique Identifier | The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. | NO | NO |
| AUTL2 | Original Underlying Exposure Identifier | Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. | NO | NO |
| AUTL3 | New Underlying Exposure Identifier | If the original identifier in field AUTL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in AUTL2. The reporting entity must not amend this unique identifier. | NO | NO |
| AUTL4 | Original Obligor Identifier | Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. | NO | NO |
| AUTL5 | New Obligor Identifier | If the original identifier in field AUTL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in AUTL4. The reporting entity must not amend this unique identifier. | NO | NO |
| AUTL6 | Data Cut-Off Date | The data cut-off date for this data submission. | NO | NO |
| AUTL7 | Pool Addition Date | The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure. | NO | YES |
| AUTL8 | Date Of Repurchase | Date on which the underlying exposure was repurchased from the pool. | NO | YES |
| AUTL9 | Redemption Date | Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed. | NO | YES |
| AUTL10 | Geographic Region — Obligor | The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. | YES | NO |
| AUTL11 | Geographic Region Classification | Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. | YES | NO |
| AUTL12 | Employment Status | Employment status of the primary obligor: | Employed — Private Sector (EMRS) |

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

AUTL1

Unique Identifier

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

NO

NO

AUTL2

Original Underlying Exposure Identifier

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

NO

NO

AUTL3

New Underlying Exposure Identifier

If the original identifier in field AUTL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in AUTL2. The reporting entity must not amend this unique identifier.

NO

NO

AUTL4

Original Obligor Identifier

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

NO

NO

AUTL5

New Obligor Identifier

If the original identifier in field AUTL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in AUTL4. The reporting entity must not amend this unique identifier.

NO

NO

AUTL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

AUTL7

Pool Addition Date

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

NO

YES

AUTL8

Date Of Repurchase

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

NO

YES

AUTL9

Redemption Date

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

NO

YES

AUTL10

Geographic Region — Obligor

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

YES

NO

AUTL11

Geographic Region Classification

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

YES

NO

AUTL12

Employment Status

Employment status of the primary obligor:

Employed — Private Sector (EMRS)

| | Employed — Public Sector (EMBL) |
| --- | --- |

Employed — Public Sector (EMBL)

| | Employed — Sector Unknown (EMUK) |
| --- | --- |

Employed — Sector Unknown (EMUK)

| | Unemployed (UNEM) |
| --- | --- |

Unemployed (UNEM)

| | Self-employed (SFEM) |
| --- | --- |

Self-employed (SFEM)

| | No Employment, Obligor is Legal Entity (NOEM) |
| --- | --- |

No Employment, Obligor is Legal Entity (NOEM)

| | Student (STNT) |
| --- | --- |

Student (STNT)

| | Pensioner (PNNR) |
| --- | --- |

Pensioner (PNNR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

AUTL13

Credit Impaired Obligor

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

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






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

(a)

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

(i)

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

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

(ii)

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

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

(b)

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

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

(c)

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

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

NO

YES

AUTL14

Obligor Legal Type

Legal form of customer:

| | Public Company (PUBL) |
| --- | --- |

Public Company (PUBL)

| | Limited Company (LLCO) |
| --- | --- |

Limited Company (LLCO)

| | Partnership (PNTR) |
| --- | --- |

Partnership (PNTR)

| | Individual (INDV) |
| --- | --- |

Individual (INDV)

| | Government Entity (GOVT) |
| --- | --- |

Government Entity (GOVT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

AUTL15

Customer Type

Customer type at origination:

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

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

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

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

| | New customer and employee/affiliation not recorded (CNRO) |
| --- | --- |

New customer and employee/affiliation not recorded (CNRO)

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

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

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

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

| | Existing customer and employee/affiliation not recorded (ENRO) |
| --- | --- |

Existing customer and employee/affiliation not recorded (ENRO)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

AUTL16

Primary Income

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

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

YES

YES

AUTL17

Primary Income Type

Indicate what income in AUTL16 is displayed:

| | Gross annual income (GRAN) |
| --- | --- |

Gross annual income (GRAN)

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

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

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

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

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

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

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

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

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

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

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

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

| | Disposable Income (DSPL) |
| --- | --- |

Disposable Income (DSPL)

| | Borrower is legal entity (CORP) |
| --- | --- |

Borrower is legal entity (CORP)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

AUTL18

Primary Income Currency

Currency in which the primary obligor’s income is paid. Where the primary obligor is a legal person/entity, enter the currency of the revenue provided in field AUTL20.

YES

YES

AUTL19

Primary Income Verification

Primary Income Verification:

| | Self-certified no Checks (SCRT) |
| --- | --- |

Self-certified no Checks (SCRT)

| | Self-certified with Affordability Confirmation (SCNF) |
| --- | --- |

Self-certified with Affordability Confirmation (SCNF)

| | Verified (VRFD) |
| --- | --- |

Verified (VRFD)

| | Non-Verified Income or Fast Track (NVRF) |
| --- | --- |

Non-Verified Income or Fast Track (NVRF)

| | Credit Bureau Information or Scoring (SCRG) |
| --- | --- |

Credit Bureau Information or Scoring (SCRG)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

AUTL20

Revenue

Annual sales volume net of all discounts and sales taxes of the obligor in accordance with Recommendation 2003/361/EC. Equivalent to the concept of ‘total annual sales’ in Article 153(4) of Regulation (EU) No 575/2013.

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

YES

YES

AUTL21

Financial Statement Currency

The reporting currency of the financial statements.

YES

YES

AUTL22

Special Scheme

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

YES

YES

AUTL23

Product Type

The classification of the lease, per lessor’s definitions:

| | (Personal) Contract Purchase (PPUR) |
| --- | --- |

(Personal) Contract Purchase (PPUR)

| | (Personal) Contract Hire (PHIR) |
| --- | --- |

(Personal) Contract Hire (PHIR)

| | Hire Purchase (HIRP) |
| --- | --- |

Hire Purchase (HIRP)

| | Lease Purchase (LEAP) |
| --- | --- |

Lease Purchase (LEAP)

| | Finance Lease (FNLS) |
| --- | --- |

Finance Lease (FNLS)

| | Operating Lease (OPLS) |
| --- | --- |

Operating Lease (OPLS)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

AUTL24

Origination Date

Date of original underlying exposure advance.

YES

NO

AUTL25

Maturity Date

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

NO

YES

AUTL26

Original Term

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

YES

YES

AUTL27

Origination Channel

Origination channel of the underlying exposure:

| | Automobile dealer (ADLR) |
| --- | --- |

Automobile dealer (ADLR)

| | Broker (BROK) |
| --- | --- |

Broker (BROK)

| | Direct (DIRE) |
| --- | --- |

Direct (DIRE)

| | Indirect (IDRT) |
| --- | --- |

Indirect (IDRT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

YES

AUTL28

Currency Denomination

The underlying exposure currency denomination.

NO

NO

AUTL29

Original Principal Balance

Obligor’s underlying exposure principal balance or discounted lease balance (inclusive of capitalised fees) at origination.

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

YES

YES

AUTL30

Current Principal Balance

Obligor’s underlying exposure (or discounted lease) balance outstanding as of the data cut-off date. This includes any amounts that are secured against the vehicle. For example, if fees have been added to the balance and are part of the principal in the securitisation these are to be added. Exclude any interest arrears or penalty amounts.

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

NO

YES

AUTL31

Purchase Price

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

NO

YES

AUTL32

Amortisation Type

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

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

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

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

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

Other (OTHR)

YES

NO

AUTL33

Principal Grace Period End Date

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

NO

YES

AUTL34

Scheduled Principal Payment Frequency

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

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

AUTL35

Scheduled Interest Payment Frequency

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

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

AUTL36

Payment Method

Usual method of payment (can be based upon last payment received):

| | Direct Debit (CDTX) |
| --- | --- |

Direct Debit (CDTX)

| | Standing Order (SORD) |
| --- | --- |

Standing Order (SORD)

| | Cheque (CHKX) |
| --- | --- |

Cheque (CHKX)

| | Cash (CASH) |
| --- | --- |

Cash (CASH)

| | Bank Transfer (neither direct debit nor standing order) (BTRA) |
| --- | --- |

Bank Transfer (neither direct debit nor standing order) (BTRA)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

AUTL37

Payment Due

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

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

NO

YES

AUTL38

Balloon Amount

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

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

YES

YES

AUTL39

Down Payment Amount

Amount of deposit/down payment on origination of underlying exposure (this includes the value of traded-in vehicles etc.)

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

YES

YES

AUTL40

Current Interest Rate

Total gross current interest or discount rate applicable to the underlying exposure. Rates calculated on a period-by-period basis must be annualised.

NO

YES

AUTL41

Current Interest Rate Index

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

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

AUTL42

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

AUTL43

Current Interest Rate Margin

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

NO

YES

AUTL44

Interest Rate Reset Interval

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

NO

YES

AUTL45

Interest Rate Cap

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

NO

YES

AUTL46

Interest Rate Floor

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

NO

YES

AUTL47

Number Of Payments Before Securitisation

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

YES

NO

AUTL48

Percentage Of Prepayments Allowed Per Year

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

YES

YES

AUTL49

Prepayment Fee

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

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

NO

YES

AUTL50

Prepayment Fee End Date

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

YES

YES

AUTL51

Prepayment Date

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

YES

YES

AUTL52

Cumulative Prepayments

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

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

YES

YES

AUTL53

Manufacturer

Brand name of the vehicle manufacturer

E.g. enter ‘Skoda’, not ‘Volkswagen’.

YES

NO

AUTL54

Model

Name of the car model.

YES

NO

AUTL55

Year Of Registration

Year the car was registered.

YES

YES

AUTL56

New Or Used

Condition of vehicle at point of underlying exposure origination:

| | New (NEWX) |
| --- | --- |

New (NEWX)

| | Used (USED) |
| --- | --- |

Used (USED)

| | Demo (DEMO) |
| --- | --- |

Demo (DEMO)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

AUTL57

Energy Performance Certificate Value

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

| | A (EPCA) |
| --- | --- |

A (EPCA)

| | B (EPCB) |
| --- | --- |

B (EPCB)

| | C (EPCC) |
| --- | --- |

C (EPCC)

| | D (EPCD) |
| --- | --- |

D (EPCD)

| | E (EPCE) |
| --- | --- |

E (EPCE)

| | F (EPCF) |
| --- | --- |

F (EPCF)

| | G (EPCG) |
| --- | --- |

G (EPCG)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

YES

AUTL58

Energy Performance Certificate Provider Name

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

YES

YES

AUTL59

Original Loan-To-Value

The ratio of the underlying exposure balance at origination relative to the automobile value at origination.

YES

NO

AUTL60

Original Valuation Amount

List price of the vehicle at date of underlying exposure origination. For a non-new car, enter the trade value or the sale price of the car.

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

YES

NO

AUTL61

Original Residual Value Of Vehicle

The estimated residual value of the asset at the date of lease origination.

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

YES

YES

AUTL62

Option To Buy Price

The amount the obligor has to pay at the end of the lease or underlying exposure in order to take ownership of the vehicle, other than the payment referred to in AUTL63.

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

NO

YES

AUTL63

Securitised Residual Value

Residual value amount which has been securitised only.

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

NO

YES

AUTL64

Updated Residual Value Of Vehicle

If the residual value has been securitised, enter the most recent estimated residual value of vehicle at end of contract. If no update has been performed, enter the original estimated residual value.

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

NO

YES

AUTL65

Date Of Updated Residual Valuation Of Vehicle

If the residual value has been securitised, enter the date on which the most recent updated estimation of the residual value of the vehicle was calculated. If no update has been performed, enter the date of the original valuation.

NO

YES

AUTL66

Date Of Restructuring

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

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

YES

YES

AUTL67

Date Last In Arrears

Date the obligor was last in arrears.

YES

YES

AUTL68

Arrears Balance

Current balance of arrears, which is defined as:

| | Total payments due to date |
| --- | --- |

Total payments due to date

| | PLUS any amounts capitalised |
| --- | --- |

PLUS any amounts capitalised

| | PLUS any fees applied to the account |
| --- | --- |

PLUS any fees applied to the account

| | LESS total payments received to date. |
| --- | --- |

LESS total payments received to date.

If no arrears then enter 0.

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

NO

NO

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:

| | Performing (PERF) |
| --- | --- |

Performing (PERF)

| | Restructured – No Arrears (RNAR) |
| --- | --- |

Restructured – No Arrears (RNAR)

| | Restructured – Arrears (RARR) |
| --- | --- |

Restructured – Arrears (RARR)

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

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

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

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

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

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

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

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

| | Arrears (ARRE) |
| --- | --- |

Arrears (ARRE)

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

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

| | Repurchased by Seller – Defaulted (REDF) |
| --- | --- |

Repurchased by Seller – Defaulted (REDF)

| | Repurchased by Seller – Restructured (RERE) |
| --- | --- |

Repurchased by Seller – Restructured (RERE)

| | Repurchased by Seller – Special Servicing (RESS) |
| --- | --- |

Repurchased by Seller – Special Servicing (RESS)

| | Repurchased by Seller – Other Reason (REOT) |
| --- | --- |

Repurchased by Seller – Other Reason (REOT)

| | Redeemed (RDMD) |
| --- | --- |

Redeemed (RDMD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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

NO

NO

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:

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

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

| | In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX) |
| --- | --- |

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

| | In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD) |
| --- | --- |

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

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: | Employed – Private Sector (EMRS) |

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:

Employed – Private Sector (EMRS)

| | Employed – Public Sector (EMBL) |
| --- | --- |

Employed – Public Sector (EMBL)

| | Employed – Sector Unknown (EMUK) |
| --- | --- |

Employed – Sector Unknown (EMUK)

| | Unemployed (UNEM) |
| --- | --- |

Unemployed (UNEM)

| | Self-employed (SFEM) |
| --- | --- |

Self-employed (SFEM)

| | No Employment, Obligor is Legal Entity (NOEM) |
| --- | --- |

No Employment, Obligor is Legal Entity (NOEM)

| | Student (STNT) |
| --- | --- |

Student (STNT)

| | Pensioner (PNNR) |
| --- | --- |

Pensioner (PNNR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| (a) | has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:






  (i) | a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and |
| --- | --- | --- |

(a)

has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:

(i)

a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and

| (ii) | the information provided by the originator, sponsor and SSPE in accordance with points (a) and e(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring; |
| --- | --- |

(ii)

the information provided by the originator, sponsor and SSPE in accordance with points (a) and e(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

| (b) | was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or |
| --- | --- |

(b)

was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or

| (c) | has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised. |
| --- | --- |

(c)

has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

NO

YES

CMRL14

Customer Type

Customer type at origination:

| | New customer and not an employee/affiliated with the originator’s group (CNEO) |
| --- | --- |

New customer and not an employee/affiliated with the originator’s group (CNEO)

| | New customer and an employee/affiliated with the originator’s group (CEMO) |
| --- | --- |

New customer and an employee/affiliated with the originator’s group (CEMO)

| | New customer and employee/affiliation not recorded (CNRO) |
| --- | --- |

New customer and employee/affiliation not recorded (CNRO)

| | Existing customer and not an employee/affiliated with the originator’s group (ENEO) |
| --- | --- |

Existing customer and not an employee/affiliated with the originator’s group (ENEO)

| | Existing customer and an employee/affiliated with the originator’s group (EEMO) |
| --- | --- |

Existing customer and an employee/affiliated with the originator’s group (EEMO)

| | Existing customer and employee/affiliation not recorded (ENRO) |
| --- | --- |

Existing customer and employee/affiliation not recorded (ENRO)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Gross annual income (GRAN) |
| --- | --- |

Gross annual income (GRAN)

| | Net annual income (net of tax and social security) (NITS) |
| --- | --- |

Net annual income (net of tax and social security) (NITS)

| | Net annual income (net of tax only) (NITX) |
| --- | --- |

Net annual income (net of tax only) (NITX)

| | Net annual income (net of social security only) (NTIN) |
| --- | --- |

Net annual income (net of social security only) (NTIN)

| | Estimated net annual income (net of tax and social security) (ENIS) |
| --- | --- |

Estimated net annual income (net of tax and social security) (ENIS)

| | Estimated net annual income (net of tax only) (EITX) |
| --- | --- |

Estimated net annual income (net of tax only) (EITX)

| | Estimated net annual income (net of social security only) (EISS) |
| --- | --- |

Estimated net annual income (net of social security only) (EISS)

| | Disposable Income (DSPL) |
| --- | --- |

Disposable Income (DSPL)

| | Borrower is legal entity (CORP) |
| --- | --- |

Borrower is legal entity (CORP)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Self-certified no Checks (SCRT) |
| --- | --- |

Self-certified no Checks (SCRT)

| | Self-certified with Affordability Confirmation (SCNF) |
| --- | --- |

Self-certified with Affordability Confirmation (SCNF)

| | Verified (VRFD) |
| --- | --- |

Verified (VRFD)

| | Non-Verified Income or Fast Track (NVRF) |
| --- | --- |

Non-Verified Income or Fast Track (NVRF)

| | Credit Bureau Information or Scoring (SCRG) |
| --- | --- |

Credit Bureau Information or Scoring (SCRG)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Internet (WEBI) |
| --- | --- |

Internet (WEBI)

| | Branch (BRCH) |
| --- | --- |

Branch (BRCH)

| | Telesale (TLSL) |
| --- | --- |

Telesale (TLSL)

| | Stand (STND) |
| --- | --- |

Stand (STND)

| | Post (POST) |
| --- | --- |

Post (POST)

| | White Label (WLBL) |
| --- | --- |

White Label (WLBL)

| | Magazine (MGZN) |
| --- | --- |

Magazine (MGZN)

| | Automobile Dealer (ADLR) |
| --- | --- |

Automobile Dealer (ADLR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

YES

CMRL25

Purpose

Loan Purpose:

| | Tuition (TUIT) |
| --- | --- |

Tuition (TUIT)

| | Living Expenses (LEXP) |
| --- | --- |

Living Expenses (LEXP)

| | Medical (MDCL) |
| --- | --- |

Medical (MDCL)

| | Home Improvement (HIMP) |
| --- | --- |

Home Improvement (HIMP)

| | Appliance or Furniture (APFR) |
| --- | --- |

Appliance or Furniture (APFR)

| | Travel (TRVL) |
| --- | --- |

Travel (TRVL)

| | Debt Consolidation (DCON) |
| --- | --- |

Debt Consolidation (DCON)

| | New Car (NCAR) |
| --- | --- |

New Car (NCAR)

| | Used Car (UCAR) |
| --- | --- |

Used Car (UCAR)

| | Other Vehicle (OTHV) |
| --- | --- |

Other Vehicle (OTHV)

| | Equipment (EQUP) |
| --- | --- |

Equipment (EQUP)

| | Property (PROP) |
| --- | --- |

Property (PROP)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CMRL35

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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):

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CMRL39

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Total payments due to date |
| --- | --- |

Total payments due to date

| | PLUS any amounts capitalised |
| --- | --- |

PLUS any amounts capitalised

| | PLUS any fees applied to the account |
| --- | --- |

PLUS any fees applied to the account

| | LESS total payments received to date. |
| --- | --- |

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

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:

| | Performing (PERF) |
| --- | --- |

Performing (PERF)

| | Restructured — No Arrears (RNAR) |
| --- | --- |

Restructured — No Arrears (RNAR)

| | Restructured — Arrears (RARR) |
| --- | --- |

Restructured — Arrears (RARR)

| | Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT) |
| --- | --- |

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

| | Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT) |
| --- | --- |

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

| | Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR) |
| --- | --- |

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

| | Defaulted only under another definition of default being met (DADB) |
| --- | --- |

Defaulted only under another definition of default being met (DADB)

| | Arrears (ARRE) |
| --- | --- |

Arrears (ARRE)

| | Repurchased by Seller – Breach of Representations and Warranties (REBR) |
| --- | --- |

Repurchased by Seller – Breach of Representations and Warranties (REBR)

| | Repurchased by Seller – Defaulted (REDF) |
| --- | --- |

Repurchased by Seller – Defaulted (REDF)

| | Repurchased by Seller – Restructured (RERE) |
| --- | --- |

Repurchased by Seller – Restructured (RERE)

| | Repurchased by Seller – Special Servicing (RESS) |
| --- | --- |

Repurchased by Seller – Special Servicing (RESS)

| | Repurchased by Seller – Other Reason (REOT) |
| --- | --- |

Repurchased by Seller – Other Reason (REOT)

| | Redeemed (RDMD) |
| --- | --- |

Redeemed (RDMD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

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:

| | In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX) |
| --- | --- |

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

| | In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX) |
| --- | --- |

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

| | In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD) |
| --- | --- |

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

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:

| | A (EPCA) |
| --- | --- |

A (EPCA)

| | B (EPCB) |
| --- | --- |

B (EPCB)

| | C (EPCC) |
| --- | --- |

C (EPCC)

| | D (EPCD) |
| --- | --- |

D (EPCD)

| | E (EPCE) |
| --- | --- |

E (EPCE)

| | F (EPCF) |
| --- | --- |

F (EPCF)

| | G (EPCG) |
| --- | --- |

G (EPCG)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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: | Employed — Private Sector (EMRS) |

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:

Employed — Private Sector (EMRS)

| | Employed — Public Sector (EMBL) |
| --- | --- |

Employed — Public Sector (EMBL)

| | Employed — Sector Unknown (EMUK) |
| --- | --- |

Employed — Sector Unknown (EMUK)

| | Unemployed (UNEM) |
| --- | --- |

Unemployed (UNEM)

| | Self-employed (SFEM) |
| --- | --- |

Self-employed (SFEM)

| | No Employment, Obligor is Legal Entity (NOEM) |
| --- | --- |

No Employment, Obligor is Legal Entity (NOEM)

| | Student (STNT) |
| --- | --- |

Student (STNT)

| | Pensioner (PNNR) |
| --- | --- |

Pensioner (PNNR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| (a) | has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:






  (i) | a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and |
| --- | --- | --- |

(a)

has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:

(i)

a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and

| (ii) | the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring; |
| --- | --- |

(ii)

the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

| (b) | was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or |
| --- | --- |

(b)

was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or

| (c) | has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised. |
| --- | --- |

(c)

has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

NO

YES

CCDL13

Customer Type

Customer type at origination:

| | New customer and not an employee/affiliated with the originator’s group (CNEO) |
| --- | --- |

New customer and not an employee/affiliated with the originator’s group (CNEO)

| | New customer and an employee/affiliated with the originator’s group (CEMO) |
| --- | --- |

New customer and an employee/affiliated with the originator’s group (CEMO)

| | New customer and employee/affiliation not recorded (CNRO) |
| --- | --- |

New customer and employee/affiliation not recorded (CNRO)

| | Existing customer and not an employee/affiliated with the originator’s group (ENEO) |
| --- | --- |

Existing customer and not an employee/affiliated with the originator’s group (ENEO)

| | Existing customer and an employee/affiliated with the originator’s group (EEMO) |
| --- | --- |

Existing customer and an employee/affiliated with the originator’s group (EEMO)

| | Existing customer and employee/affiliation not recorded (ENRO) |
| --- | --- |

Existing customer and employee/affiliation not recorded (ENRO)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Gross annual income (GRAN) |
| --- | --- |

Gross annual income (GRAN)

| | Net annual income (net of tax and social security) (NITS) |
| --- | --- |

Net annual income (net of tax and social security) (NITS)

| | Net annual income (net of tax only) (NITX) |
| --- | --- |

Net annual income (net of tax only) (NITX)

| | Net annual income (net of social security only) (NTIN) |
| --- | --- |

Net annual income (net of social security only) (NTIN)

| | Estimated net annual income (net of tax and social security) (ENIS) |
| --- | --- |

Estimated net annual income (net of tax and social security) (ENIS)

| | Estimated net annual income (net of tax only) (EITX) |
| --- | --- |

Estimated net annual income (net of tax only) (EITX)

| | Estimated net annual income (net of social security only) (EISS) |
| --- | --- |

Estimated net annual income (net of social security only) (EISS)

| | Disposable Income (DSPL) |
| --- | --- |

Disposable Income (DSPL)

| | Borrower is legal entity (CORP) |
| --- | --- |

Borrower is legal entity (CORP)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

CCDL16

Primary Income Currency

Currency in which the primary obligor’s income or revenue is paid.

YES

NO

CCDL17

Primary Income Verification

Primary Income Verification:

| | Self-certified no Checks (SCRT) |
| --- | --- |

Self-certified no Checks (SCRT)

| | Self-certified with Affordability Confirmation (SCNF) |
| --- | --- |

Self-certified with Affordability Confirmation (SCNF)

| | Verified (VRFD) |
| --- | --- |

Verified (VRFD)

| | Non-Verified Income or Fast Track (NVRF) |
| --- | --- |

Non-Verified Income or Fast Track (NVRF)

| | Credit Bureau Information or Scoring (SCRG) |
| --- | --- |

Credit Bureau Information or Scoring (SCRG)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

NO

CCDL18

Special Scheme

If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.

YES

YES

CCDL19

Origination Date

The date on which the account was opened.

YES

NO

CCDL20

Origination Channel

Channel of Origination:

| | Internet (WEBI) |
| --- | --- |

Internet (WEBI)

| | Branch (BRCH) |
| --- | --- |

Branch (BRCH)

| | Telesale (TLSL) |
| --- | --- |

Telesale (TLSL)

| | Stand (STND) |
| --- | --- |

Stand (STND)

| | Post (POST) |
| --- | --- |

Post (POST)

| | White Label (WLBL) |
| --- | --- |

White Label (WLBL)

| | Magazine (MGZN) |
| --- | --- |

Magazine (MGZN)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CCDL27

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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):

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

CCDL31

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Total payments due to date |
| --- | --- |

Total payments due to date

| | PLUS any amounts capitalised |
| --- | --- |

PLUS any amounts capitalised

| | PLUS any fees applied to the account |
| --- | --- |

PLUS any fees applied to the account

| | LESS total payments received to date. |
| --- | --- |

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

CCDL37

Account Status

Current status of the underlying exposure that has been securitised:

| | Performing (PERF) |
| --- | --- |

Performing (PERF)

| | Restructured — No Arrears (RNAR) |
| --- | --- |

Restructured — No Arrears (RNAR)

| | Restructured — Arrears (RARR) |
| --- | --- |

Restructured — Arrears (RARR)

| | Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT) |
| --- | --- |

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

| | Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT) |
| --- | --- |

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

| | Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR) |
| --- | --- |

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

| | Defaulted only under another definition of default being met (DADB) |
| --- | --- |

Defaulted only under another definition of default being met (DADB)

| | Arrears (ARRE) |
| --- | --- |

Arrears (ARRE)

| | Repurchased by Seller – Breach of Representations and Warranties (REBR) |
| --- | --- |

Repurchased by Seller – Breach of Representations and Warranties (REBR)

| | Repurchased by Seller – Defaulted (REDF) |
| --- | --- |

Repurchased by Seller – Defaulted (REDF)

| | Repurchased by Seller – Restructured (RERE) |
| --- | --- |

Repurchased by Seller – Restructured (RERE)

| | Repurchased by Seller – Special Servicing (RESS) |
| --- | --- |

Repurchased by Seller – Special Servicing (RESS)

| | Repurchased by Seller – Other Reason (REOT) |
| --- | --- |

Repurchased by Seller – Other Reason (REOT)

| | Redeemed (RDMD) |
| --- | --- |

Redeemed (RDMD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

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:

| | In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX) |
| --- | --- |

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

| | In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX) |
| --- | --- |

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

| | In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD) |
| --- | --- |

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

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:






  (a) | has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:






  (i) | a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and |

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:

(a)

has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:

(i)

a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and

| (ii) | the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring; |
| --- | --- |

(ii)

the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

| (b) | was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or |
| --- | --- |

(b)

was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or

| (c) | has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised. |
| --- | --- |

(c)

has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

NO

YES

LESL13

Obligor Basel III Segment

Obligor Basel III Segment:

| | Corporate (CORP) |
| --- | --- |

Corporate (CORP)

| | Small and Medium Enterprise Treated as Corporate (SMEX) |
| --- | --- |

Small and Medium Enterprise Treated as Corporate (SMEX)

| | Retail (RETL) |
| --- | --- |

Retail (RETL)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

YES

LESL14

Customer Type

Customer type at origination:

| | New customer and not an employee/affiliated with the originator’s group (CNEO) |
| --- | --- |

New customer and not an employee/affiliated with the originator’s group (CNEO)

| | New customer and an employee/affiliated with the originator’s group (CEMO) |
| --- | --- |

New customer and an employee/affiliated with the originator’s group (CEMO)

| | New customer and employee/affiliation not recorded (CNRO) |
| --- | --- |

New customer and employee/affiliation not recorded (CNRO)

| | Existing customer and not an employee/affiliated with the originator’s group (ENEO) |
| --- | --- |

Existing customer and not an employee/affiliated with the originator’s group (ENEO)

| | Existing customer and an employee/affiliated with the originator’s group (EEMO) |
| --- | --- |

Existing customer and an employee/affiliated with the originator’s group (EEMO)

| | Existing customer and employee/affiliation not recorded (ENRO) |
| --- | --- |

Existing customer and employee/affiliation not recorded (ENRO)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Micro Enterprise (MICE) - employs fewer than 10 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 2 million |
| --- | --- |

Micro Enterprise (MICE) - employs fewer than 10 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 2 million

| | Small Enterprise (SMAE) - employs fewer than 50 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 10 million |
| --- | --- |

Small Enterprise (SMAE) - employs fewer than 50 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 10 million

| | Medium Enterprise (MEDE) - employs fewer than 250 persons and which has an annual turnover not exceeding EUR 50 million, and/or an annual balance sheet total not exceeding EUR 43 million |
| --- | --- |

Medium Enterprise (MEDE) - employs fewer than 250 persons and which has an annual turnover not exceeding EUR 50 million, and/or an annual balance sheet total not exceeding EUR 43 million

| | Large Enterprise (LARE) – an enterprise that is neither a micro, small, or medium enterprise. |
| --- | --- |

Large Enterprise (LARE) – an enterprise that is neither a micro, small, or medium enterprise.

| | Natural Person (NATP) |
| --- | --- |

Natural Person (NATP)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | (Personal) Contract Purchase (PPUR) |
| --- | --- |

(Personal) Contract Purchase (PPUR)

| | (Personal) Contract Hire (PHIR) |
| --- | --- |

(Personal) Contract Hire (PHIR)

| | Hire Purchase (HIRP) |
| --- | --- |

Hire Purchase (HIRP)

| | Lease Purchase (LEAP) |
| --- | --- |

Lease Purchase (LEAP)

| | Finance Lease (FNLS) |
| --- | --- |

Finance Lease (FNLS)

| | Operating Lease (OPLS) |
| --- | --- |

Operating Lease (OPLS)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Office or Branch Network (BRAN) |
| --- | --- |

Office or Branch Network (BRAN)

| | Broker (BROK) |
| --- | --- |

Broker (BROK)

| | Internet (WEBI) |
| --- | --- |

Internet (WEBI)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

LESL34

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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):

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

LESL38

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Total payments due to date |
| --- | --- |

Total payments due to date

| | PLUS any amounts capitalised |
| --- | --- |

PLUS any amounts capitalised

| | PLUS any fees applied to the account |
| --- | --- |

PLUS any fees applied to the account

| | LESS total payments received to date. |
| --- | --- |

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

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:

| | Performing (PERF) |
| --- | --- |

Performing (PERF)

| | Restructured — No Arrears (RNAR) |
| --- | --- |

Restructured — No Arrears (RNAR)

| | Restructured — Arrears (RARR) |
| --- | --- |

Restructured — Arrears (RARR)

| | Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT) |
| --- | --- |

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

| | Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT) |
| --- | --- |

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

| | Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR) |
| --- | --- |

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

| | Defaulted only under another definition of default being met (DADB) |
| --- | --- |

Defaulted only under another definition of default being met (DADB)

| | Arrears (ARRE) |
| --- | --- |

Arrears (ARRE)

| | Repurchased by Seller – Breach of Representations and Warranties (REBR) |
| --- | --- |

Repurchased by Seller – Breach of Representations and Warranties (REBR)

| | Repurchased by Seller – Defaulted (REDF) |
| --- | --- |

Repurchased by Seller – Defaulted (REDF)

| | Repurchased by Seller – Restructured (RERE) |
| --- | --- |

Repurchased by Seller – Restructured (RERE)

| | Repurchased by Seller – Special Servicing (RESS) |
| --- | --- |

Repurchased by Seller – Special Servicing (RESS)

| | Repurchased by Seller – Other Reason (REOT) |
| --- | --- |

Repurchased by Seller – Other Reason (REOT)

| | Redeemed (RDMD) |
| --- | --- |

Redeemed (RDMD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

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:

| | In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX) |
| --- | --- |

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

| | In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX) |
| --- | --- |

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

| | In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD) |
| --- | --- |

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

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:

| | Liquidation of Collateral (LCOL) |
| --- | --- |

Liquidation of Collateral (LCOL)

| | Enforcement of Guarantees (EGAR) |
| --- | --- |

Enforcement of Guarantees (EGAR)

| | Additional Lending (ALEN) |
| --- | --- |

Additional Lending (ALEN)

| | Cash Recoveries (CASR) |
| --- | --- |

Cash Recoveries (CASR)

| | Mixed (MIXD) |
| --- | --- |

Mixed (MIXD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | New (NEWX) |
| --- | --- |

New (NEWX)

| | Used (USED) |
| --- | --- |

Used (USED)

| | Demo (DEMO) |
| --- | --- |

Demo (DEMO)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Automobile (CARX) |
| --- | --- |

Automobile (CARX)

| | Industrial Vehicle (INDV) |
| --- | --- |

Industrial Vehicle (INDV)

| | Commercial Truck (CMTR) |
| --- | --- |

Commercial Truck (CMTR)

| | Rail Vehicle (RALV) |
| --- | --- |

Rail Vehicle (RALV)

| | Nautical Commercial Vehicle (NACM) |
| --- | --- |

Nautical Commercial Vehicle (NACM)

| | Nautical Leisure Vehicle (NALV) |
| --- | --- |

Nautical Leisure Vehicle (NALV)

| | Aeroplane (AERO) |
| --- | --- |

Aeroplane (AERO)

| | Machine Tool (MCHT) |
| --- | --- |

Machine Tool (MCHT)

| | Industrial Equipment (INDE) |
| --- | --- |

Industrial Equipment (INDE)

| | Office Equipment (OFEQ) |
| --- | --- |

Office Equipment (OFEQ)

| | Medical Equipment (MDEQ) |
| --- | --- |

Medical Equipment (MDEQ)

| | Energy Related Equipment (ENEQ) |
| --- | --- |

Energy Related Equipment (ENEQ)

| | Commercial Building (CBLD) |
| --- | --- |

Commercial Building (CBLD)

| | Residential Building (RBLD) |
| --- | --- |

Residential Building (RBLD)

| | Industrial Building (IBLD) |
| --- | --- |

Industrial Building (IBLD)

| | Other Vehicle (OTHV) |
| --- | --- |

Other Vehicle (OTHV)

| | Other Equipment (OTHE) |
| --- | --- |

Other Equipment (OTHE)

| | Other Real Estate (OTRE) |
| --- | --- |

Other Real Estate (OTRE)

| | Other goods or inventory (OTGI) |
| --- | --- |

Other goods or inventory (OTGI)

| | Security (SECU) |
| --- | --- |

Security (SECU)

| | Guarantee (GUAR) |
| --- | --- |

Guarantee (GUAR)

| | Other Financial Asset (OTFA) |
| --- | --- |

Other Financial Asset (OTFA)

| | IT Equipment (ITEQ) |
| --- | --- |

IT Equipment (ITEQ)

| | Mixed Categories Due to Security Over All Assets of the Obligor (MIXD) |
| --- | --- |

Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Full Appraisal (FAPR) |
| --- | --- |

Full Appraisal (FAPR)

| | Drive-by (DRVB) |
| --- | --- |

Drive-by (DRVB)

| | Automated Value Model (AUVM) |
| --- | --- |

Automated Value Model (AUVM)

| | Indexed (IDXD) |
| --- | --- |

Indexed (IDXD)

| | Desktop (DKTP) |
| --- | --- |

Desktop (DKTP)

| | Managing Agent or Estate Agent (MAEA) |
| --- | --- |

Managing Agent or Estate Agent (MAEA)

| | Purchase Price (PPRI) |
| --- | --- |

Purchase Price (PPRI)

| | Haircut (HCUT) |
| --- | --- |

Haircut (HCUT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Full Appraisal (FAPR) |
| --- | --- |

Full Appraisal (FAPR)

| | Drive-by (DRVB) |
| --- | --- |

Drive-by (DRVB)

| | Automated Value Model (AUVM) |
| --- | --- |

Automated Value Model (AUVM)

| | Indexed (IDXD) |
| --- | --- |

Indexed (IDXD)

| | Desktop (DKTP) |
| --- | --- |

Desktop (DKTP)

| | Managing Agent or Estate Agent (MAEA) |
| --- | --- |

Managing Agent or Estate Agent (MAEA)

| | Purchase Price (PPRI) |
| --- | --- |

Purchase Price (PPRI)

| | Haircut (HCUT) |
| --- | --- |

Haircut (HCUT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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: | Employed — Private Sector (EMRS) |

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:

Employed — Private Sector (EMRS)

| | Employed — Public Sector (EMBL) |
| --- | --- |

Employed — Public Sector (EMBL)

| | Employed — Sector Unknown (EMUK) |
| --- | --- |

Employed — Sector Unknown (EMUK)

| | Unemployed (UNEM) |
| --- | --- |

Unemployed (UNEM)

| | Self-employed (SFEM) |
| --- | --- |

Self-employed (SFEM)

| | No Employment, Obligor is Legal Entity (NOEM) |
| --- | --- |

No Employment, Obligor is Legal Entity (NOEM)

| | Student (STNT) |
| --- | --- |

Student (STNT)

| | Pensioner (PNNR) |
| --- | --- |

Pensioner (PNNR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| (a) | has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:






  (i) | a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and |
| --- | --- | --- |

(a)

has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:

(i)

a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and

| (ii) | the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring; |
| --- | --- |

(ii)

the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

| (b) | was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or |
| --- | --- |

(b)

was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or

| (c) | has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised. |
| --- | --- |

(c)

has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

YES

YES

ESTL15

Obligor Legal Type

Legal form of customer:

| | Public Company (PUBL) |
| --- | --- |

Public Company (PUBL)

| | Limited Company (LLCO) |
| --- | --- |

Limited Company (LLCO)

| | Partnership (PNTR) |
| --- | --- |

Partnership (PNTR)

| | Individual (INDV) |
| --- | --- |

Individual (INDV)

| | Government Entity (GOVT) |
| --- | --- |

Government Entity (GOVT)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Gross annual income (GRAN) |
| --- | --- |

Gross annual income (GRAN)

| | Net annual income (net of tax and social security) (NITS) |
| --- | --- |

Net annual income (net of tax and social security) (NITS)

| | Net annual income (net of tax only) (NITX) |
| --- | --- |

Net annual income (net of tax only) (NITX)

| | Net annual income (net of social security only) (NTIN) |
| --- | --- |

Net annual income (net of social security only) (NTIN)

| | Estimated net annual income (net of tax and social security) (ENIS) |
| --- | --- |

Estimated net annual income (net of tax and social security) (ENIS)

| | Estimated net annual income (net of tax only) (EITX) |
| --- | --- |

Estimated net annual income (net of tax only) (EITX)

| | Estimated net annual income (net of social security only) (EISS) |
| --- | --- |

Estimated net annual income (net of social security only) (EISS)

| | Disposable Income (DSPL) |
| --- | --- |

Disposable Income (DSPL)

| | Borrower is legal entity (CORP) |
| --- | --- |

Borrower is legal entity (CORP)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Self-certified no Checks (SCRT) |
| --- | --- |

Self-certified no Checks (SCRT)

| | Self-certified with Affordability Confirmation (SCNF) |
| --- | --- |

Self-certified with Affordability Confirmation (SCNF)

| | Verified (VRFD) |
| --- | --- |

Verified (VRFD)

| | Non-Verified Income or Fast Track (NVRF) |
| --- | --- |

Non-Verified Income or Fast Track (NVRF)

| | Credit Bureau Information or Scoring (SCRG) |
| --- | --- |

Credit Bureau Information or Scoring (SCRG)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

YES

ESTL34

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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):

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

YES

YES

ESTL41

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Total payments due to date |
| --- | --- |

Total payments due to date

| | PLUS any amounts capitalised |
| --- | --- |

PLUS any amounts capitalised

| | PLUS any fees applied to the account |
| --- | --- |

PLUS any fees applied to the account

| | LESS total payments received to date. |
| --- | --- |

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

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:

| | Performing (PERF) |
| --- | --- |

Performing (PERF)

| | Restructured — No Arrears (RNAR) |
| --- | --- |

Restructured — No Arrears (RNAR)

| | Restructured — Arrears (RARR) |
| --- | --- |

Restructured — Arrears (RARR)

| | Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT) |
| --- | --- |

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

| | Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT) |
| --- | --- |

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

| | Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR) |
| --- | --- |

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

| | Defaulted only under another definition of default being met (DADB) |
| --- | --- |

Defaulted only under another definition of default being met (DADB)

| | Arrears (ARRE) |
| --- | --- |

Arrears (ARRE)

| | Repurchased by Seller – Breach of Representations and Warranties (REBR) |
| --- | --- |

Repurchased by Seller – Breach of Representations and Warranties (REBR)

| | Repurchased by Seller – Defaulted (REDF) |
| --- | --- |

Repurchased by Seller – Defaulted (REDF)

| | Repurchased by Seller – Restructured (RERE) |
| --- | --- |

Repurchased by Seller – Restructured (RERE)

| | Repurchased by Seller – Special Servicing (RESS) |
| --- | --- |

Repurchased by Seller – Special Servicing (RESS)

| | Repurchased by Seller – Other Reason (REOT) |
| --- | --- |

Repurchased by Seller – Other Reason (REOT)

| | Redeemed (RDMD) |
| --- | --- |

Redeemed (RDMD)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

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:

| | In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX) |
| --- | --- |

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

| | In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX) |
| --- | --- |

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

| | In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD) |
| --- | --- |

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

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:

| | Collateral (COLL) |
| --- | --- |

Collateral (COLL)

| | Guarantee backed by further collateral (GCOL) |
| --- | --- |

Guarantee backed by further collateral (GCOL)

| | Guarantee not backed by further collateral (GNCO) |
| --- | --- |

Guarantee not backed by further collateral (GNCO)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Fixed charge (FXCH) |
| --- | --- |

Fixed charge (FXCH)

| | Floating charge (FLCH) |
| --- | --- |

Floating charge (FLCH)

| | No charge (NOCG) |
| --- | --- |

No charge (NOCG)

| | No charge but an irrevocable power of attorney or similar (ATRN) |
| --- | --- |

No charge but an irrevocable power of attorney or similar (ATRN)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Full Appraisal (FAPR) |
| --- | --- |

Full Appraisal (FAPR)

| | Drive-by (DRVB) |
| --- | --- |

Drive-by (DRVB)

| | Automated Value Model (AUVM) |
| --- | --- |

Automated Value Model (AUVM)

| | Indexed (IDXD) |
| --- | --- |

Indexed (IDXD)

| | Desktop (DKTP) |
| --- | --- |

Desktop (DKTP)

| | Managing Agent or Estate Agent (MAEA) |
| --- | --- |

Managing Agent or Estate Agent (MAEA)

| | Purchase Price (PPRI) |
| --- | --- |

Purchase Price (PPRI)

| | Haircut (HCUT) |
| --- | --- |

Haircut (HCUT)

| | Mark to market (MTTM) |
| --- | --- |

Mark to market (MTTM)

| | Obligor’s valuation (OBLV) |
| --- | --- |

Obligor’s valuation (OBLV)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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: | Corporate Restructuring Procedure, which also includes funds (CPRR) |

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:

Corporate Restructuring Procedure, which also includes funds (CPRR)

| | Corporate Insolvency Procedure, which also includes funds (CPRI) |
| --- | --- |

Corporate Insolvency Procedure, which also includes funds (CPRI)

| | Private Individual Obligor Debt Compromise Procedure (PRCM) |
| --- | --- |

Private Individual Obligor Debt Compromise Procedure (PRCM)

| | Private Individual Obligor Insolvency Procedure (PRIP) |
| --- | --- |

Private Individual Obligor Insolvency Procedure (PRIP)

| | Partnership Restructuring Procedure (PRTR) |
| --- | --- |

Partnership Restructuring Procedure (PRTR)

| | Partnership Insolvency Procedure (PRIS) |
| --- | --- |

Partnership Insolvency Procedure (PRIS)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Not in MARP (NMRP) |
| --- | --- |

Not in MARP (NMRP)

| | Exited MARP (EMRP) |
| --- | --- |

Exited MARP (EMRP)

| | Provision 23, 31 days in arrears (MP23) |
| --- | --- |

Provision 23, 31 days in arrears (MP23)

| | Provision 24, Financial difficulty (MP24) |
| --- | --- |

Provision 24, Financial difficulty (MP24)

| | Provision 28, Not cooperating warning (MP28) |
| --- | --- |

Provision 28, Not cooperating warning (MP28)

| | Provision 29, Not cooperating (MP29) |
| --- | --- |

Provision 29, Not cooperating (MP29)

| | Provision 42, Restructure offer (MP42) |
| --- | --- |

Provision 42, Restructure offer (MP42)

| | Provision 45, Restructure declined by seller (MP45) |
| --- | --- |

Provision 45, Restructure declined by seller (MP45)

| | Provision 47, Restructure declined by borrower (MP47) |
| --- | --- |

Provision 47, Restructure declined by borrower (MP47)

| | Self-Cure (MPSC) |
| --- | --- |

Self-Cure (MPSC)

| | Alternative Repayment Arrangement (MPAR) |
| --- | --- |

Alternative Repayment Arrangement (MPAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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: | Trade Receivables (TREC) |

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:

Trade Receivables (TREC)

| | Automobile Loans or Leases (ALOL) |
| --- | --- |

Automobile Loans or Leases (ALOL)

| | Consumer loans (CONL) |
| --- | --- |

Consumer loans (CONL)

| | Equipment Leases (EQPL) |
| --- | --- |

Equipment Leases (EQPL)

| | Floorplan financed (FLRF) |
| --- | --- |

Floorplan financed (FLRF)

| | Insurance Premia (INSU) |
| --- | --- |

Insurance Premia (INSU)

| | Credit-Card Receivables (CCRR) |
| --- | --- |

Credit-Card Receivables (CCRR)

| | Residential Mortgages (RMRT) |
| --- | --- |

Residential Mortgages (RMRT)

| | Commercial Mortgages (CMRT) |
| --- | --- |

Commercial Mortgages (CMRT)

| | Small and Medium Enterprise Loans (SMEL) |
| --- | --- |

Small and Medium Enterprise Loans (SMEL)

| | Non Small and Medium Enterprise Corporate Loans (NSML) |
| --- | --- |

Non Small and Medium Enterprise Corporate Loans (NSML)

| | Future Flow (FUTR) |
| --- | --- |

Future Flow (FUTR)

| | Leverage Fund (LVRG) |
| --- | --- |

Leverage Fund (LVRG)

| | Collateralised Bond Obligation (CBOB) |
| --- | --- |

Collateralised Bond Obligation (CBOB)

| | Collateralised Loan Obligation (CLOB) |
| --- | --- |

Collateralised Loan Obligation (CLOB)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| — | French Amortisation is defined as amortisation in which the total amount — principal plus interest — repaid in each instalment is the same; |
| --- | --- |

—

French Amortisation is defined as amortisation in which the total amount — principal plus interest — repaid in each instalment is the same;

| — | German Amortisation is defined as amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest; |
| --- | --- |

—

German Amortisation is defined as amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest;

| — | Fixed Amortisation Schedule is defined as amortisation in which the principal amount repaid in each instalment is the same; |
| --- | --- |

—

Fixed Amortisation Schedule is defined as amortisation in which the principal amount repaid in each instalment is the same;

| — | Bullet Amortisation is defined as amortisation in which the full principal amount is repaid in the last instalment; |
| --- | --- |

—

Bullet Amortisation is defined as amortisation in which the full principal amount is repaid in the last instalment;

| — | Balloon Amortisation is defined as amortisation consisting of partial principal repayments followed by a larger final principal amount; and |
| --- | --- |

—

Balloon Amortisation is defined as amortisation consisting of partial principal repayments followed by a larger final principal amount; and

| — | Other Amortisation is defined as any other amortisation type not captured by any of the categories listed above. |
| --- | --- |

—

Other Amortisation is defined as any other amortisation type not captured by any of the categories listed above.

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): | Vertical slice — i.e. Article 6(3)(a) (VSLC) |

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):

Vertical slice — i.e. Article 6(3)(a) (VSLC)

| | Seller’s share — i.e. Article 6(3)(b) (SLLS) |
| --- | --- |

Seller’s share — i.e. Article 6(3)(b) (SLLS)

| | Randomly-selected exposures kept on balance sheet — i.e. Article 6(3)(c) (RSEX) |
| --- | --- |

Randomly-selected exposures kept on balance sheet — i.e. Article 6(3)(c) (RSEX)

| | First loss tranche — i.e. Article 6(3)(d) (FLTR) |
| --- | --- |

First loss tranche — i.e. Article 6(3)(d) (FLTR)

| | First loss exposure in each asset — i.e. Article 6(3)(e) (FLEX) |
| --- | --- |

First loss exposure in each asset — i.e. Article 6(3)(e) (FLEX)

| | No compliance with risk retention requirements (NCOM) |
| --- | --- |

No compliance with risk retention requirements (NCOM)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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):

| | Originator (ORIG) |
| --- | --- |

Originator (ORIG)

| | Sponsor (SPON) |
| --- | --- |

Sponsor (SPON)

| | Original Lender (OLND) |
| --- | --- |

Original Lender (OLND)

| | Seller (SELL) |
| --- | --- |

Seller (SELL)

| | No Compliance with Risk Retention Requirement (NCOM) |
| --- | --- |

No Compliance with Risk Retention Requirement (NCOM)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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):

| | Automobile Loan or Lease (ALOL) |
| --- | --- |

Automobile Loan or Lease (ALOL)

| | Consumer Loan (CONL) |
| --- | --- |

Consumer Loan (CONL)

| | Commercial Mortgage (CMRT) |
| --- | --- |

Commercial Mortgage (CMRT)

| | Credit-Card Receivable (CCRR) |
| --- | --- |

Credit-Card Receivable (CCRR)

| | Lease (LEAS) |
| --- | --- |

Lease (LEAS)

| | Residential Mortgage (RMRT) |
| --- | --- |

Residential Mortgage (RMRT)

| | Mixed (MIXD) |
| --- | --- |

Mixed (MIXD)

| | Small and Medium Enterprise (SMEL) |
| --- | --- |

Small and Medium Enterprise (SMEL)

| | Non Small and Medium Enterprise Corporate (NSML) |
| --- | --- |

Non Small and Medium Enterprise Corporate (NSML)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | 100*(1-((1-Periodic CPR)^number of collection periods in a year)) |
| --- | --- |

100*(1-((1-Periodic CPR)^number of collection periods in a year))

| | ‘Periodic CPR’ refers to the CPR during the last collection period i.e. for a securitisation with quarterly paying bonds this will usually be the prior three month period. |
| --- | --- |

‘Periodic CPR’ refers to the CPR during the last collection period i.e. for a securitisation with quarterly paying bonds this will usually be the prior three month period.

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:

| | 100*(1-((1-Periodic CDR)^number of collection periods in a year)) |
| --- | --- |

100*(1-((1-Periodic CDR)^number of collection periods in a year))

| | ‘Periodic CDR’ refers to the CDR during the last collection period, i.e. for a securitisation with quarterly paying bonds this will usually be the prior three month period. |
| --- | --- |

‘Periodic CDR’ refers to the CDR during the last collection period, i.e. for a securitisation with quarterly paying bonds this will usually be the prior three month period.

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):

| | Change in the priority of payments (CHPP) |
| --- | --- |

Change in the priority of payments (CHPP)

| | Replacement of a counterparty (CHCP) |
| --- | --- |

Replacement of a counterparty (CHCP)

| | Both change in the priority of payments and replacement of a counterparty (BOTH) |
| --- | --- |

Both change in the priority of payments and replacement of a counterparty (BOTH)

| | Other consequence (OTHR) |
| --- | --- |

Other consequence (OTHR)

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): | Vertical slice — i.e. Article 6(3)(a) (VSLC) |

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):

Vertical slice — i.e. Article 6(3)(a) (VSLC)

| | Seller’s share — i.e. Article 6(3)(b) (SLLS) |
| --- | --- |

Seller’s share — i.e. Article 6(3)(b) (SLLS)

| | Randomly-selected exposures kept on balance sheet — i.e. Article 6(3)(c) (RSEX) |
| --- | --- |

Randomly-selected exposures kept on balance sheet — i.e. Article 6(3)(c) (RSEX)

| | First loss tranche — i.e. Article 6(3)(d) (FLTR) |
| --- | --- |

First loss tranche — i.e. Article 6(3)(d) (FLTR)

| | First loss exposure in each asset — i.e. Article 6(3)(e) (FLEX) |
| --- | --- |

First loss exposure in each asset — i.e. Article 6(3)(e) (FLEX)

| | No compliance with risk retention requirements (NCOM) |
| --- | --- |

No compliance with risk retention requirements (NCOM)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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):

| | Originator (ORIG) |
| --- | --- |

Originator (ORIG)

| | Sponsor (SPON) |
| --- | --- |

Sponsor (SPON)

| | Original Lender (OLND) |
| --- | --- |

Original Lender (OLND)

| | Seller (SELL) |
| --- | --- |

Seller (SELL)

| | No Compliance with Risk Retention Requirement (NCOM) |
| --- | --- |

No Compliance with Risk Retention Requirement (NCOM)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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):

| | Vertical slice — i.e. Article 6(3)(a) (VSLC) |
| --- | --- |

Vertical slice — i.e. Article 6(3)(a) (VSLC)

| | Seller’s share — i.e. Article 6(3)(b) (SLLS) |
| --- | --- |

Seller’s share — i.e. Article 6(3)(b) (SLLS)

| | Randomly-selected exposures kept on balance sheet — i.e. Article 6(3)(c) (RSEX) |
| --- | --- |

Randomly-selected exposures kept on balance sheet — i.e. Article 6(3)(c) (RSEX)

| | First loss tranche — i.e. Article 6(3)(d) (FLTR) |
| --- | --- |

First loss tranche — i.e. Article 6(3)(d) (FLTR)

| | First loss exposure in each asset — i.e. Article 6(3)(e) (FLEX) |
| --- | --- |

First loss exposure in each asset — i.e. Article 6(3)(e) (FLEX)

| | No compliance with risk retention requirements (NCOM) |
| --- | --- |

No compliance with risk retention requirements (NCOM)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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):

| | Originator (ORIG) |
| --- | --- |

Originator (ORIG)

| | Sponsor (SPON) |
| --- | --- |

Sponsor (SPON)

| | Original Lender (OLND) |
| --- | --- |

Original Lender (OLND)

| | Seller (SELL) |
| --- | --- |

Seller (SELL)

| | No Compliance with Risk Retention Requirement (NCOM) |
| --- | --- |

No Compliance with Risk Retention Requirement (NCOM)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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):

| | Change in the priority of payments (CHPP) |
| --- | --- |

Change in the priority of payments (CHPP)

| | Replacement of a counterparty (CHCP) |
| --- | --- |

Replacement of a counterparty (CHCP)

| | Both change in the priority of payments and replacement of a counterparty (BOTH) |
| --- | --- |

Both change in the priority of payments and replacement of a counterparty (BOTH)

| | Other consequence (OTHR) |
| --- | --- |

Other consequence (OTHR)

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: | Turbo Waterfall (TRWT) |

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:

Turbo Waterfall (TRWT)

| | Sequential Waterfall (SQWT) |
| --- | --- |

Sequential Waterfall (SQWT)

| | Pro-rata Waterfall (PRWT) |
| --- | --- |

Pro-rata Waterfall (PRWT)

| | Currently Sequential, with Possibility to Switch to Pro-rata in the Future (SQPR) |
| --- | --- |

Currently Sequential, with Possibility to Switch to Pro-rata in the Future (SQPR)

| | Currently Pro-rata, with Possibility to Switch to Sequential in the Future (PRSQ) |
| --- | --- |

Currently Pro-rata, with Possibility to Switch to Sequential in the Future (PRSQ)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

NO

SESS9

Master Trust Type

If the securitisation has a master trust structure, select the most appropriate description of the structure:

| | Each SSPE is independent from other SSPEs with respect to note issuance and cashflow distribution (a.k.a. ‘capitalist structure’) (CSTR) |
| --- | --- |

Each SSPE is independent from other SSPEs with respect to note issuance and cashflow distribution (a.k.a. ‘capitalist structure’) (CSTR)

| | Losses are shared across all SSPEs and single classes of notes are issued independently from more senior or junior classes (a.k.a. ‘socialist structure’ or ‘de-linked master trust’) (SSTR) |
| --- | --- |

Losses are shared across all SSPEs and single classes of notes are issued independently from more senior or junior classes (a.k.a. ‘socialist structure’ or ‘de-linked master trust’) (SSTR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SESS10

SSPE Value

If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal and charges) in which the trust or SSPE has a beneficial interest at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SESS11

SSPE Principal Value

If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal only) in which the trust had a beneficial interest at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SESS12

SSPE Number Of Accounts

If the securitisation has a master trust structure, enter the number of accounts in which the trust or SSPE has a beneficial interest at the data cut-off date.

NO

YES

SESS13

Note Principal Balance

If the securitisation has a master trust structure, enter the face value of all asset-backed notes, collateralised by the underlying exposures in the trust.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SESS14

Seller Share

If the securitisation has a master trust structure, enter the originator’s interest in the trust, expressed as a percentage. In the event of multiple originators, enter the aggregate interest across all originators.

NO

YES

SESS15

Funding Share

If the securitisation has a master trust structure, enter the SSPE’s interest of this series in the trust at the data cut-off date, expressed as a percentage.

NO

YES

SESS16

Revenue Allocated To This Series

If the securitisation has a master trust structure, enter the revenue amounts allocated to this series from the trust.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SESS17

Interest Rate Swap Benchmark

Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to:

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SESS18

Interest Rate Swap Maturity Date

Date of maturity for the interest rate swap.

NO

YES

SESS19

Interest Rate Swap Notional

Interest rate swap notional amount as at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SESS20

Currency Swap Payer Currency

Enter the currency that the payer leg of the swap is paying.

NO

YES

SESS21

Currency Swap Receiver Currency

Enter the currency that the receiver leg of the swap is paying.

NO

YES

SESS22

Exchange Rate For Currency Swap

The exchange rate that has been set for a currency swap.

NO

YES

SESS23

Currency Swap Maturity Date

Date of maturity for the currency swap.

NO

YES

SESS24

Currency Swap Notional

Currency swap notional amount as at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

Tranche/bond-level information section

SEST1

Unique Identifier

Report the same unique identifier here as the one entered into field SESS1.

NO

NO

SEST2

Original Tranche Identifier

The original unique identifier assigned to this instrument. The reporting entity must not amend this unique identifier.

NO

NO

SEST3

New Tranche Identifier

If the original identifier in field SEST2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the value in field SEST2. The reporting entity must not amend this unique identifier.

NO

NO

SEST4

International Securities Identification Number

The ISIN code assigned to this tranche, where applicable.

NO

YES

SEST5

Tranche Name

The designation (typically a letter and/or number) given to this tranche of bonds (or class of securities) which exhibit the same rights, priorities and characteristics as defined in the prospectus i.e. Series 1, Class A1 etc.

NO

YES

SEST6

Tranche/Bond Type

Select the most appropriate option to describe the repayment profile of the instrument:

| | Hard bullet (i.e. fixed maturity date) (HBUL) |
| --- | --- |

Hard bullet (i.e. fixed maturity date) (HBUL)

| | Soft bullet (i.e. scheduled maturity date can be extended to the legal maturity date) (SBUL) |
| --- | --- |

Soft bullet (i.e. scheduled maturity date can be extended to the legal maturity date) (SBUL)

| | Scheduled amortisation (i.e. repayment of principal on scheduled amortisation dates) (SAMO) |
| --- | --- |

Scheduled amortisation (i.e. repayment of principal on scheduled amortisation dates) (SAMO)

| | Controlled amortisation (i.e. repayment of principal begins at a specified period) (CAMM) |
| --- | --- |

Controlled amortisation (i.e. repayment of principal begins at a specified period) (CAMM)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Following (FWNG) |
| --- | --- |

Following (FWNG)

| | Modified Following (MODF) |
| --- | --- |

Modified Following (MODF)

| | Nearest (NEAR) |
| --- | --- |

Nearest (NEAR)

| | Preceding (PREC) |
| --- | --- |

Preceding (PREC)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SEST20

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SEST21

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | SSPE only (ISUR) |
| --- | --- |

SSPE only (ISUR)

| | Noteholder (NHLD) |
| --- | --- |

Noteholder (NHLD)

| | Either SSPE or noteholder (ISNH) |
| --- | --- |

Either SSPE or noteholder (ISNH)

| | No option (NOPT) |
| --- | --- |

No option (NOPT)

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:

| | 30/360 (A011) |
| --- | --- |

30/360 (A011)

| | Actual/365 (A005) |
| --- | --- |

Actual/365 (A005)

| | Actual/360 (A004) |
| --- | --- |

Actual/360 (A004)

| | Actual/Actual ICMA (A006) |
| --- | --- |

Actual/Actual ICMA (A006)

| | Actual/Actual ISDA (A008) |
| --- | --- |

Actual/Actual ISDA (A008)

| | Actual/Actual AFB (A010) |
| --- | --- |

Actual/Actual AFB (A010)

| | Actual/366 (A009) |
| --- | --- |

Actual/366 (A009)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SEST30

Settlement Convention

Usual settlement convention for the tranche:

| | T Plus One (TONE) |
| --- | --- |

T Plus One (TONE)

| | T Plus Two (TTWO) |
| --- | --- |

T Plus Two (TTWO)

| | T Plus Three (TTRE) |
| --- | --- |

T Plus Three (TTRE)

| | As soon as possible (ASAP) |
| --- | --- |

As soon as possible (ASAP)

| | At the end of the Contract (ENDC) |
| --- | --- |

At the end of the Contract (ENDC)

| | End of Month (MONT) |
| --- | --- |

End of Month (MONT)

| | Future (FUTU) |
| --- | --- |

Future (FUTU)

| | Next Day (NXTD) |
| --- | --- |

Next Day (NXTD)

| | Regular (REGU) |
| --- | --- |

Regular (REGU)

| | T Plus Five (TFIV) |
| --- | --- |

T Plus Five (TFIV)

| | T Plus Four (TFOR) |
| --- | --- |

T Plus Four (TFOR)

| | When and if issued (WHIF) |
| --- | --- |

When and if issued (WHIF)

| | When Distributed (WDIS) |
| --- | --- |

When Distributed (WDIS)

| | When Issued (WISS) |
| --- | --- |

When Issued (WISS)

| | When Issued or Distributed (WHID) |
| --- | --- |

When Issued or Distributed (WHID)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Credit Default Swap (CDSX) |
| --- | --- |

Credit Default Swap (CDSX)

| | Credit-Linked Note (CLKN) |
| --- | --- |

Credit-Linked Note (CLKN)

| | Total Return Swap (TRES) |
| --- | --- |

Total Return Swap (TRES)

| | Financial Guarantee (a.k.a. unfunded credit risk mitigation) (FGUA) |
| --- | --- |

Financial Guarantee (a.k.a. unfunded credit risk mitigation) (FGUA)

| | Credit Insurance (CINS) |
| --- | --- |

Credit Insurance (CINS)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Cash Reserve Account (CARE) |
| --- | --- |

Cash Reserve Account (CARE)

| | Commingling Reserve Account (CORE) |
| --- | --- |

Commingling Reserve Account (CORE)

| | Set-off Reserve Account (SORE) |
| --- | --- |

Set-off Reserve Account (SORE)

| | Liquidity Facility (LQDF) |
| --- | --- |

Liquidity Facility (LQDF)

| | Margin Account (MGAC) |
| --- | --- |

Margin Account (MGAC)

| | Other Account (OTHR) |
| --- | --- |

Other Account (OTHR)

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:

| | Account Bank (ABNK) |
| --- | --- |

Account Bank (ABNK)

| | Backup Account Bank (BABN) |
| --- | --- |

Backup Account Bank (BABN)

| | Account Bank Facilitator (ABFC) |
| --- | --- |

Account Bank Facilitator (ABFC)

| | Account Bank Guarantor (ABGR) |
| --- | --- |

Account Bank Guarantor (ABGR)

| | Collateral Agent (CAGT) |
| --- | --- |

Collateral Agent (CAGT)

| | Paying Agent (PAYA) |
| --- | --- |

Paying Agent (PAYA)

| | Calculation Agent (CALC) |
| --- | --- |

Calculation Agent (CALC)

| | Administration Agent (ADMI) |
| --- | --- |

Administration Agent (ADMI)

| | Administration Sub-Agent (ADSA) |
| --- | --- |

Administration Sub-Agent (ADSA)

| | Transfer Agent (RANA) |
| --- | --- |

Transfer Agent (RANA)

| | Verification agent (VERI) |
| --- | --- |

Verification agent (VERI)

| | Security agent (SECU) |
| --- | --- |

Security agent (SECU)

| | Cash Advance Provider (CAPR) |
| --- | --- |

Cash Advance Provider (CAPR)

| | Collateral Provider (COLL) |
| --- | --- |

Collateral Provider (COLL)

| | Guaranteed Investment Contract Provider (GICP) |
| --- | --- |

Guaranteed Investment Contract Provider (GICP)

| | Insurance Policy Credit Provider (IPCP) |
| --- | --- |

Insurance Policy Credit Provider (IPCP)

| | Liquidity Facility Provider (LQFP) |
| --- | --- |

Liquidity Facility Provider (LQFP)

| | Backup Liquidity Facility Provider (BLQP) |
| --- | --- |

Backup Liquidity Facility Provider (BLQP)

| | Savings Mortgage Participant (SVMP) |
| --- | --- |

Savings Mortgage Participant (SVMP)

| | Issuer (ISSR) |
| --- | --- |

Issuer (ISSR)

| | Originator (ORIG) |
| --- | --- |

Originator (ORIG)

| | Seller (SELL) |
| --- | --- |

Seller (SELL)

| | Sponsor of the Securitisation Special Purpose Entity (SSSP) |
| --- | --- |

Sponsor of the Securitisation Special Purpose Entity (SSSP)

| | Servicer (SERV) |
| --- | --- |

Servicer (SERV)

| | Backup Servicer (BSER) |
| --- | --- |

Backup Servicer (BSER)

| | Backup Servicer Facilitator (BSRF) |
| --- | --- |

Backup Servicer Facilitator (BSRF)

| | Special Servicer (SSRV) |
| --- | --- |

Special Servicer (SSRV)

| | Subscriber (SUBS) |
| --- | --- |

Subscriber (SUBS)

| | Interest Rate Swap Provider (IRSP) |
| --- | --- |

Interest Rate Swap Provider (IRSP)

| | Backup Interest Rate Swap Provider (BIPR) |
| --- | --- |

Backup Interest Rate Swap Provider (BIPR)

| | Currency Swap Provider (CSPR) |
| --- | --- |

Currency Swap Provider (CSPR)

| | Backup Currency Swap Provider (BCSP) |
| --- | --- |

Backup Currency Swap Provider (BCSP)

| | Auditor (AUDT) |
| --- | --- |

Auditor (AUDT)

| | Counsel (CNSL) |
| --- | --- |

Counsel (CNSL)

| | Trustee (TRUS) |
| --- | --- |

Trustee (TRUS)

| | Representative of Noteholders (REPN) |
| --- | --- |

Representative of Noteholders (REPN)

| | Underwriter (UNDR) |
| --- | --- |

Underwriter (UNDR)

| | Arranger (ARRG) |
| --- | --- |

Arranger (ARRG)

| | Dealer (DEAL) |
| --- | --- |

Dealer (DEAL)

| | Manager (MNGR) |
| --- | --- |

Manager (MNGR)

| | Letter of Credit Provider (LCPR) |
| --- | --- |

Letter of Credit Provider (LCPR)

| | Multi-Seller Conduit (MSCD) |
| --- | --- |

Multi-Seller Conduit (MSCD)

| | Securitisation Special Purpose Entity (SSPE) |
| --- | --- |

Securitisation Special Purpose Entity (SSPE)

| | Liquidity or Liquidation Agent (LQAG) |
| --- | --- |

Liquidity or Liquidation Agent (LQAG)

| | Equity owner of conduit/SSPE (EQOC) |
| --- | --- |

Equity owner of conduit/SSPE (EQOC)

| | Swingline Facility Provider (SWNG) |
| --- | --- |

Swingline Facility Provider (SWNG)

| | Start-up Loan or Lease Provider (SULP) |
| --- | --- |

Start-up Loan or Lease Provider (SULP)

| | Repurchase Agreement Counterparty (RAGC) |
| --- | --- |

Repurchase Agreement Counterparty (RAGC)

| | Cash Manager (CASM) |
| --- | --- |

Cash Manager (CASM)

| | Collection Account Bank (CACB) |
| --- | --- |

Collection Account Bank (CACB)

| | Collateral Account Bank (COLA) |
| --- | --- |

Collateral Account Bank (COLA)

| | Subordinated Loan Provider (SBLP) |
| --- | --- |

Subordinated Loan Provider (SBLP)

| | Collateralised Loan Obligation Manager (CLOM) |
| --- | --- |

Collateralised Loan Obligation Manager (CLOM)

| | Portfolio Advisor (PRTA) |
| --- | --- |

Portfolio Advisor (PRTA)

| | Substitution Agent (SUBA) |
| --- | --- |

Substitution Agent (SUBA)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Balance Sheet Collateralized Loan Obligation (BCLO) |
| --- | --- |

Balance Sheet Collateralized Loan Obligation (BCLO)

| | Arbitrage Collateralized Loan Obligation (ACLO) |
| --- | --- |

Arbitrage Collateralized Loan Obligation (ACLO)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SESC4

Current Period

The current period status of the CLO:

| | Warehouse (WRHS) |
| --- | --- |

Warehouse (WRHS)

| | Ramp-up (RMUP) |
| --- | --- |

Ramp-up (RMUP)

| | Reinvestment (RINV) |
| --- | --- |

Reinvestment (RINV)

| | Post-reinvestment (PORI) |
| --- | --- |

Post-reinvestment (PORI)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Credit Default Swap (CDSX) |
| --- | --- |

Credit Default Swap (CDSX)

| | Credit-Linked Note (CLKN) |
| --- | --- |

Credit-Linked Note (CLKN)

| | Total Return Swap (TRES) |
| --- | --- |

Total Return Swap (TRES)

| | Financial Guarantee (a.k.a. unfunded credit risk mitigation) (FGUA) |
| --- | --- |

Financial Guarantee (a.k.a. unfunded credit risk mitigation) (FGUA)

| | Credit Insurance (CINS) |
| --- | --- |

Credit Insurance (CINS)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | ISDA Agreement 2002 (ISDA) |
| --- | --- |

ISDA Agreement 2002 (ISDA)

| | ISDA Agreement 2014 (IS14) |
| --- | --- |

ISDA Agreement 2014 (IS14)

| | ISDA Agreement Other (ISOT) |
| --- | --- |

ISDA Agreement Other (ISOT)

| | Rhamenvertrag (DERV) |
| --- | --- |

Rhamenvertrag (DERV)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Covers loss of principal only (PRNC) |
| --- | --- |

Covers loss of principal only (PRNC)

| | Covers loss of principal, loss of accrued interest (PACC) |
| --- | --- |

Covers loss of principal, loss of accrued interest (PACC)

| | Covers loss of principal, loss of accrued interest, interest penalties (PAPE) |
| --- | --- |

Covers loss of principal, loss of accrued interest, interest penalties (PAPE)

| | Covers loss of principal, loss of accrued interest, cost of foreclosure (PINF) |
| --- | --- |

Covers loss of principal, loss of accrued interest, cost of foreclosure (PINF)

| | Covers loss of principal, loss of accrued interest, interest penalties, cost of foreclosure (PIPF) |
| --- | --- |

Covers loss of principal, loss of accrued interest, interest penalties, cost of foreclosure (PIPF)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Immediately after a credit event for the full amount of defaulted asset (IFAM) |
| --- | --- |

Immediately after a credit event for the full amount of defaulted asset (IFAM)

| | Immediately after a credit event for the full amount of defaulted assets net of expected recovery (IFAR) |
| --- | --- |

Immediately after a credit event for the full amount of defaulted assets net of expected recovery (IFAR)

| | After a predetermined period allowed for collection activity (ACOL) |
| --- | --- |

After a predetermined period allowed for collection activity (ACOL)

| | After a predetermined period allowed for collection activities, for a sum equal to the actual loss minus the expected recovery (APCR) |
| --- | --- |

After a predetermined period allowed for collection activities, for a sum equal to the actual loss minus the expected recovery (APCR)

| | After full workout of loss, for the actual loss (AWRK) |
| --- | --- |

After full workout of loss, for the actual loss (AWRK)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Cash (CASH) |
| --- | --- |

Cash (CASH)

| | Physical settlement (PHYS) |
| --- | --- |

Physical settlement (PHYS)

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:

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SESV32

Current Index For Payments To Protection Buyer Tenor

Tenor of the interest rate index used for payments to the protection buyer:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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):

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SESV37

Current Index For Payments To Protection Seller Tenor

Tenor of the interest rate index used for payments to the protection seller:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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:

| | Cash (CASH) |
| --- | --- |

Cash (CASH)

| | Government Bond (GBND) |
| --- | --- |

Government Bond (GBND)

| | Commercial Paper (CPAP) |
| --- | --- |

Commercial Paper (CPAP)

| | Unsecured Bank Debt (UBDT) |
| --- | --- |

Unsecured Bank Debt (UBDT)

| | Senior Unsecured Corporate Debt (SUCD) |
| --- | --- |

Senior Unsecured Corporate Debt (SUCD)

| | Junior Unsecured Corporate Debt (JUCD) |
| --- | --- |

Junior Unsecured Corporate Debt (JUCD)

| | Covered Bond (CBND) |
| --- | --- |

Covered Bond (CBND)

| | Asset-Backed Security (ABSE) |
| --- | --- |

Asset-Backed Security (ABSE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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):

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SESI15

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SESI16

Current Interest Rate on Cash Deposits

Where the collateral instrument type is cash deposits, enter the current interest rate on those deposits. In the event of multiple deposit accounts per currency, enter the weighted average current interest rate, using the current balance of cash deposits in the respective accounts as weights.

NO

YES

SESI17

Repo Counterparty Name

If the collateral item forms part of a repurchase agreement (‘repo’), provide the full legal name of the counterparty to the securitisation. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

SESI18

Repo Counterparty Legal Entity Identifier

If the collateral item forms part of a repurchase agreement (‘repo’), provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty where the cash is deposited.

NO

YES

SESI19

Repo Maturity Date

If the collateral item forms part of a repurchase agreement (‘repo’), provide the maturity date of the securitisation.

NO

YES

Any other information section

SESO1

Unique Identifier

The unique identifier entered into field SESS1.

NO

NO

SESO2

Any Other Information Line Number

Enter the line number of the other information

NO

NO

SESO3

Any Other Information

The other information, line by line

NO

NO

---

ANNEX XV

INSIDE INFORMATION OR SIGNIFICANT EVENT INFORMATION — ASSET BACKED COMMERCIAL PAPER SECURITISATION

| Field code | Field name | Content to report | ND1-ND4 allowed? | ND5 allowed? |
| --- | --- | --- | --- | --- |
| Programme information section |
| SEAS1 | Unique Identifier — ABCP Programme | The unique identifier assigned by the reporting entity to this ABCP programme in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. | NO | NO |
| SEAS2 | Data Cut-Off Date | The data cut-off date for this data submission. When submitted alongside an underlying exposures and investor report data submission, this must match the data cut-off date in the applicable underlying exposure and investor report templates submitted. | NO | NO |
| SEAS3 | No Longer STS | Has the ABCP programme ceased to meet STS requirements? If the ABCP programme has never had STS status, then enter ND5. | NO | YES |
| SEAS4 | Remedial Actions | Have competent authorities taken any remedial actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5. | NO | YES |
| SEAS5 | Administrative Actions | Have competent authorities taken any administrative actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5. | NO | YES |
| SEAS6 | Material Amendment to Transaction Documents | Describe any material amendments made to transaction documents, including the name and item code (pursuant to Table 3 in Annex I) of the document as well as a detailed description of the amendments. | NO | YES |
| SEAS7 | Governing Law | Jurisdiction governing the programme. | NO | NO |
| SEAS8 | Length Of The Liquidity Facility | Period during which the programme-level liquidity facility provides coverage to the programme (in days). | NO | YES |
| SEAS9 | Liquidity Facility Coverage | Maximum funding amount (in percentage of the programme underlying exposures) covered by the respective programme-level liquidity facility. | NO | YES |
| SEAS10 | Liquidity Facility Coverage Interval | The maximum number of days’ interval before the programme-level liquidity facility begins to fund the transaction, following any trigger breach generating liquidity facility payouts. | NO | YES |
| SEAS11 | Liquidity Facility Maturity Date | Date at which the programme-level liquidity facility will expire. | NO | YES |
| SEAS12 | Drawings Under Liquidity Facility | If the securitisation has a programme-level liquidity facility confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date. | NO | YES |
| SEAS13 | Total Issuance | Total programme issuance outstanding, converted into EUR.
  Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | NO |
| SEAS14 | Maximum Issuance | If there is a limit to the amount of issuance of the ABCP programme at any time, enter it here.
  Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| Transaction information section |
| SEAR1 | Unique Identifier — ABCP Programme | Report the same unique ABCP programme identifier here as the one entered into field SEAS1. | NO | NO |
| SEAR2 | Unique Identifier — ABCP Transaction | The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) 2020/1224. | NO | NO |
| SEAR3 | Number Of Programmes Funding The Transaction | Number of ABCP programmes that are funding this transaction. | NO | NO |
| SEAR4 | No Longer STS | Has the ABCP transaction ceased to meet STS requirements? If the ABCP transaction has never had STS status, then enter ND5. | NO | YES |
| SEAR5 | Originator A Client Of The Programme Sponsor | Have the originator and programme sponsor been, at the time of the transfer of assets, in a client relationship? | NO | NO |
| SEAR6 | Security Interest Granted | Does the relevant SSPE/bankruptcy-remote subsidiary of the originator grant security interest over its assets to the purchaser (SSPE)? | NO | NO |
| SEAR7 | Revenue | Total originator revenues for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months).
  Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR8 | Operating Expenses | Total originator operating expenses provided by the most recent financial operating statement (i.e. year to date or trailing 12 months).
  Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR9 | Current Assets | Originator current assets (maturing within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement.
  Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR10 | Cash | Originator cash holdings, as of the most recent financial operating statement.
  Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR11 | Marketable Securities | Originator marketable securities, as of the most recent financial operating statement.
  Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR12 | Accounts Receivable | Originator accounts receivable, as of the most recent financial operating statement.
  Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR13 | Current Liabilities | Originator current liabilities (due within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement.
  Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR14 | Total Debt | Originator total debt, as of the most recent financial operating statement.
  Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR15 | Total Equity | Originator total equity, as of the most recent financial operating statement.
  Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. | NO | YES |
| SEAR16 | Financial Statement Currency | The currency used in the financial reporting of fields SEAR7 — SEAR15. | NO | YES |
| SEAR17 | Sponsor Supports Transaction | At what level is the sponsor providing support: | Transaction Level (TRXN) |

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Programme information section

SEAS1

Unique Identifier — ABCP Programme

The unique identifier assigned by the reporting entity to this ABCP programme in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.

NO

NO

SEAS2

Data Cut-Off Date

The data cut-off date for this data submission. When submitted alongside an underlying exposures and investor report data submission, this must match the data cut-off date in the applicable underlying exposure and investor report templates submitted.

NO

NO

SEAS3

No Longer STS

Has the ABCP programme ceased to meet STS requirements? If the ABCP programme has never had STS status, then enter ND5.

NO

YES

SEAS4

Remedial Actions

Have competent authorities taken any remedial actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5.

NO

YES

SEAS5

Administrative Actions

Have competent authorities taken any administrative actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5.

NO

YES

SEAS6

Material Amendment to Transaction Documents

Describe any material amendments made to transaction documents, including the name and item code (pursuant to Table 3 in Annex I) of the document as well as a detailed description of the amendments.

NO

YES

SEAS7

Governing Law

Jurisdiction governing the programme.

NO

NO

SEAS8

Length Of The Liquidity Facility

Period during which the programme-level liquidity facility provides coverage to the programme (in days).

NO

YES

SEAS9

Liquidity Facility Coverage

Maximum funding amount (in percentage of the programme underlying exposures) covered by the respective programme-level liquidity facility.

NO

YES

SEAS10

Liquidity Facility Coverage Interval

The maximum number of days’ interval before the programme-level liquidity facility begins to fund the transaction, following any trigger breach generating liquidity facility payouts.

NO

YES

SEAS11

Liquidity Facility Maturity Date

Date at which the programme-level liquidity facility will expire.

NO

YES

SEAS12

Drawings Under Liquidity Facility

If the securitisation has a programme-level liquidity facility confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date.

NO

YES

SEAS13

Total Issuance

Total programme issuance outstanding, converted into EUR.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

SEAS14

Maximum Issuance

If there is a limit to the amount of issuance of the ABCP programme at any time, enter it here.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

Transaction information section

SEAR1

Unique Identifier — ABCP Programme

Report the same unique ABCP programme identifier here as the one entered into field SEAS1.

NO

NO

SEAR2

Unique Identifier — ABCP Transaction

The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) 2020/1224.

NO

NO

SEAR3

Number Of Programmes Funding The Transaction

Number of ABCP programmes that are funding this transaction.

NO

NO

SEAR4

No Longer STS

Has the ABCP transaction ceased to meet STS requirements? If the ABCP transaction has never had STS status, then enter ND5.

NO

YES

SEAR5

Originator A Client Of The Programme Sponsor

Have the originator and programme sponsor been, at the time of the transfer of assets, in a client relationship?

NO

NO

SEAR6

Security Interest Granted

Does the relevant SSPE/bankruptcy-remote subsidiary of the originator grant security interest over its assets to the purchaser (SSPE)?

NO

NO

SEAR7

Revenue

Total originator revenues for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SEAR8

Operating Expenses

Total originator operating expenses provided by the most recent financial operating statement (i.e. year to date or trailing 12 months).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SEAR9

Current Assets

Originator current assets (maturing within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SEAR10

Cash

Originator cash holdings, as of the most recent financial operating statement.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SEAR11

Marketable Securities

Originator marketable securities, as of the most recent financial operating statement.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SEAR12

Accounts Receivable

Originator accounts receivable, as of the most recent financial operating statement.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SEAR13

Current Liabilities

Originator current liabilities (due within the next 12 months or as per the applicable accounting standard), as of the most recent financial operating statement.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SEAR14

Total Debt

Originator total debt, as of the most recent financial operating statement.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SEAR15

Total Equity

Originator total equity, as of the most recent financial operating statement.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SEAR16

Financial Statement Currency

The currency used in the financial reporting of fields SEAR7 — SEAR15.

NO

YES

SEAR17

Sponsor Supports Transaction

At what level is the sponsor providing support:

Transaction Level (TRXN)

| | Programme Level (PRGM) |
| --- | --- |

Programme Level (PRGM)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SEAR18

Sponsor Support Type

Is the sponsor providing full support to this transaction?

NO

YES

SEAR19

Length Of The Liquidity Facility

Period during which the transaction-level liquidity facility provides coverage to the transaction (in days).

NO

YES

SEAR20

Liquidity Facility Drawn Amount

Amount drawn on the liquidity agreement between the previous data cut-off date and the data cut-off date of the present data submission.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SEAR21

Liquidity Facility Coverage

Maximum funding amount (in percentage of the transaction underlying exposures) covered by the respective transaction-level liquidity facility.

NO

YES

SEAR22

Liquidity Facility Coverage Interval

The maximum number of days interval before the liquidity facility begins to fund the transaction, following any trigger breach generating liquidity facility payouts.

NO

YES

SEAR23

Liquidity Facility Type

Type of transaction-level liquidity facility:

| | Asset Purchase (ASPR) |
| --- | --- |

Asset Purchase (ASPR)

| | Repurchase Agreement (RPAG) |
| --- | --- |

Repurchase Agreement (RPAG)

| | Loan Facility (LOFA) |
| --- | --- |

Loan Facility (LOFA)

| | Participation Agreement (PAGR) |
| --- | --- |

Participation Agreement (PAGR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SEAR24

Liquidity Facility Repurchase Agreement Maturity Date

If the transaction-level liquidity facility uses repurchase agreements, enter the date at which the repurchase agreement will expire.

NO

YES

SEAR25

Liquidity Facility Currency

The currency in which funds from the transaction-level liquidity facility can be drawn.

NO

YES

SEAR26

Liquidity Facility Maturity Date

Date at which the transaction-level liquidity facility will expire.

NO

YES

SEAR27

Liquidity Facility Provider Name

Enter the full legal name of the transaction-level liquidity facility provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

SEAR28

Liquidity Facility Provider Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the transaction-level liquidity facility provider.

NO

YES

SEAR29

Overcollateralisation/Subordinated Interest

The percentage of subordinated interest retained in the underlying exposures sold by the seller (alternatively: the discount granted by the seller on the purchase price of the underlying exposures). Where the percentage of subordinated interest varies across the underlying exposures, the minimum OC across all of the underlying exposures are to be provided.

NO

NO

SEAR30

Transaction Excess Spread

The amount of funds left over after application of all currently-applicable payments, costs, fees, etc., commonly referred to as ‘excess spread’.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

SEAR31

Letter Of Credit Provider Name

Enter the full legal name of the letter of credit provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

SEAR32

Letter Of Credit Provider Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the letter of credit provider for the transaction.

NO

YES

SEAR33

Letter Of Credit Currency

Letter of credit currency denomination.

NO

YES

SEAR34

Maximum Letter Of Credit Protection

Maximum amount of coverage, in percentage of the transaction underlying exposures, under the letter of credit protection agreement.

NO

YES

SEAR35

Guarantor Name

Enter the full legal name of the guarantor--this includes arrangements whereby an institution commits to buy defaulted receivables from the seller. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

SEAR36

Guarantor Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the guarantor--this includes arrangements whereby an institution commits to buy defaulted receivables from the seller.

NO

YES

SEAR37

Maximum Guarantee Coverage

Maximum amount of coverage under the guarantee/purchasing agreement.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SEAR38

Guarantee Currency

The currency in which funds from the guarantee are provided.

NO

YES

SEAR39

Guarantee Maturity Date

Date at which the guarantee will expire.

NO

YES

SEAR40

Receivables Transfer Type

How has the transfer of underlying exposures to the purchaser been achieved?

True sale (1)

Secured loan (2)

Other (3)

NO

NO

SEAR41

Repurchase Agreement Maturity Date

Date at which any repurchase agreement governing the transfer of underlying exposures to the purchaser will expire.

NO

YES

SEAR42

Purchased Amount

Amount of underlying exposures purchased from the originator in this transaction between the previous data cut-off date and the data cut-off date of the present data submission.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

SEAR43

Maximum Funding Limit

Maximum funding limit that can be provided to the originator under the transaction, as at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

SEAR44

Interest Rate Swap Benchmark

Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted interest rate swap.

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender’s Own Rate (LDOR)

Other (OTHR)

NO

YES

SEAR45

Interest Rate Swap Maturity Date

Date of maturity for the transaction-level interest rate swap.

In the event of multiple swaps in this transaction, enter the maturity date of the most recent swap.

NO

YES

SEAR46

Interest Rate Swap Notional

Transaction-level interest rate swap notional amount.

In the event of multiple swaps in this transaction, enter the notional of the most recent interest rate swap.

NO

YES

SEAR47

Currency Swap Payer Currency

Enter the currency that the payer leg of the swap is paying. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted currency rate swap.

NO

YES

SEAR48

Currency Swap Receiver Currency

Enter the currency that the receiver leg of the swap is paying. In the event of multiple swaps in this transaction, this must reference the type of the most recently-contracted currency rate swap.

NO

YES

SEAR49

Exchange Rate For Currency Swap

The exchange rate that has been set for a transaction-level currency swap.

In the event of multiple swaps in this transaction, enter the exchange rate set for the most recent swap.

NO

YES

SEAR50

Currency Swap Maturity Date

Date of maturity for the transaction-level currency swap.

In the event of multiple swaps in this transaction, enter the maturity date of the most recently-concluded swap.

NO

YES

SEAR51

Currency Swap Notional

Transaction-level currency swap notional amount.

In the event of multiple swaps in this transaction, enter the amount covered by the most recently-contracted swap.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

Tranche/bond-level information section

SEAT1

Unique Identifier — ABCP Programme

Report the same unique ABCP programme identifier here as the one entered into field SEAS1.

NO

NO

SEAT2

Original Bond Identifier

The original unique identifier assigned to this instrument. The reporting entity must not amend this unique identifier.

NO

NO

SEAT3

New Bond Identifier

If the original identifier in field SEAT2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the value in field SEAT2. The reporting entity must not amend this unique identifier.

NO

NO

SEAT4

International Securities Identification Number

The ISIN code assigned to this instrument, where applicable.

NO

YES

SEAT5

Tranche/Bond Type

Select the most appropriate option to describe the repayment profile of the instrument:

| | Hard bullet (i.e. fixed maturity date) (HBUL) |
| --- | --- |

Hard bullet (i.e. fixed maturity date) (HBUL)

| | Soft bullet (i.e. scheduled maturity date can be extended to the legal maturity date) (SBUL) |
| --- | --- |

Soft bullet (i.e. scheduled maturity date can be extended to the legal maturity date) (SBUL)

| | Scheduled amortisation (i.e. repayment of principal on scheduled amortisation dates) (SAMO) |
| --- | --- |

Scheduled amortisation (i.e. repayment of principal on scheduled amortisation dates) (SAMO)

| | Controlled amortisation (i.e. repayment of principal begins at a specified period) (CAMM) |
| --- | --- |

Controlled amortisation (i.e. repayment of principal begins at a specified period) (CAMM)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

NO

SEAT6

Issue Date

Date on which this instrument was issued.

NO

NO

SEAT7

Legal Maturity

The date before which this instrument must be repaid in order not to be in default.

NO

YES

SEAT8

Currency

The currency denomination of this instrument.

NO

NO

SEAT9

Current Principal Balance

The par, or notional, balance of this instrument after the current Principal Payment Date

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

SEAT10

Current Coupon

The coupon on the instrument in basis points.

NO

NO

SEAT11

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

| | MuniAAA (MAAA) |
| --- | --- |

MuniAAA (MAAA)

| | FutureSWAP (FUSW) |
| --- | --- |

FutureSWAP (FUSW)

| | LIBID (LIBI) |
| --- | --- |

LIBID (LIBI)

| | LIBOR (LIBO) |
| --- | --- |

LIBOR (LIBO)

| | SWAP (SWAP) |
| --- | --- |

SWAP (SWAP)

| | Treasury (TREA) |
| --- | --- |

Treasury (TREA)

| | Euribor (EURI) |
| --- | --- |

Euribor (EURI)

| | Pfandbriefe (PFAN) |
| --- | --- |

Pfandbriefe (PFAN)

| | EONIA (EONA) |
| --- | --- |

EONIA (EONA)

| | EONIASwaps (EONS) |
| --- | --- |

EONIASwaps (EONS)

| | EURODOLLAR (EUUS) |
| --- | --- |

EURODOLLAR (EUUS)

| | EuroSwiss (EUCH) |
| --- | --- |

EuroSwiss (EUCH)

| | TIBOR (TIBO) |
| --- | --- |

TIBOR (TIBO)

| | ISDAFIX (ISDA) |
| --- | --- |

ISDAFIX (ISDA)

| | GCFRepo (GCFR) |
| --- | --- |

GCFRepo (GCFR)

| | STIBOR (STBO) |
| --- | --- |

STIBOR (STBO)

| | BBSW (BBSW) |
| --- | --- |

BBSW (BBSW)

| | JIBAR (JIBA) |
| --- | --- |

JIBAR (JIBA)

| | BUBOR (BUBO) |
| --- | --- |

BUBOR (BUBO)

| | CDOR (CDOR) |
| --- | --- |

CDOR (CDOR)

| | CIBOR (CIBO) |
| --- | --- |

CIBOR (CIBO)

| | MOSPRIM (MOSP) |
| --- | --- |

MOSPRIM (MOSP)

| | NIBOR (NIBO) |
| --- | --- |

NIBOR (NIBO)

| | PRIBOR (PRBO) |
| --- | --- |

PRIBOR (PRBO)

| | TELBOR (TLBO) |
| --- | --- |

TELBOR (TLBO)

| | WIBOR (WIBO) |
| --- | --- |

WIBOR (WIBO)

| | Bank of England Base Rate (BOER) |
| --- | --- |

Bank of England Base Rate (BOER)

| | European Central Bank Base Rate (ECBR) |
| --- | --- |

European Central Bank Base Rate (ECBR)

| | Lender’s Own Rate (LDOR) |
| --- | --- |

Lender’s Own Rate (LDOR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SEAT12

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

| | Overnight (OVNG) |
| --- | --- |

Overnight (OVNG)

| | IntraDay (INDA) |
| --- | --- |

IntraDay (INDA)

| | 1 day (DAIL) |
| --- | --- |

1 day (DAIL)

| | 1 week (WEEK) |
| --- | --- |

1 week (WEEK)

| | 2 week (TOWK) |
| --- | --- |

2 week (TOWK)

| | 1 month (MNTH) |
| --- | --- |

1 month (MNTH)

| | 2 month (TOMN) |
| --- | --- |

2 month (TOMN)

| | 3 month (QUTR) |
| --- | --- |

3 month (QUTR)

| | 4 month (FOMN) |
| --- | --- |

4 month (FOMN)

| | 6 month (SEMI) |
| --- | --- |

6 month (SEMI)

| | 12 month (YEAR) |
| --- | --- |

12 month (YEAR)

| | On Demand (ONDE) |
| --- | --- |

On Demand (ONDE)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

YES

SEAT13

Interest Payment Frequency

The frequency with which interest is due to be paid on this instrument:

| | Monthly (MNTH) |
| --- | --- |

Monthly (MNTH)

| | Quarterly (QUTR) |
| --- | --- |

Quarterly (QUTR)

| | Semi Annual (SEMI) |
| --- | --- |

Semi Annual (SEMI)

| | Annual (YEAR) |
| --- | --- |

Annual (YEAR)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

NO

NO

SEAT14

Current Credit Enhancement

The current instrument credit enhancement, calculated as per the originator/sponsor/SSPE’s definition

NO

NO

SEAT15

Credit Enhancement Formula

Describe/Enter the formula used to calculate the bond-level credit enhancement.

NO

YES

Account-level information section

SEAA1

Unique Identifier — ABCP Transaction

Report the same unique ABCP transaction identifier here as the one entered into field SEAR2.

NO

NO

SEAA2

Original Account Identifier

The original unique account identifier. The reporting entity must not amend this unique identifier.

NO

NO

SEAA3

New Account Identifier

If the original identifier in field SEAA2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in SEAA2. The reporting entity must not amend this unique identifier.

NO

NO

SEAA4

Account Type

The type of account:

| | Cash Reserve Account (CARE) |
| --- | --- |

Cash Reserve Account (CARE)

| | Commingling Reserve Account (CORE) |
| --- | --- |

Commingling Reserve Account (CORE)

| | Set-off Reserve Account (SORE) |
| --- | --- |

Set-off Reserve Account (SORE)

| | Liquidity Facility (LQDF) |
| --- | --- |

Liquidity Facility (LQDF)

| | Margin Account (MGAC) |
| --- | --- |

Margin Account (MGAC)

| | Other Account (OTHR) |
| --- | --- |

Other Account (OTHR)

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:

| | Account Bank (ABNK) |
| --- | --- |

Account Bank (ABNK)

| | Backup Account Bank (BABN) |
| --- | --- |

Backup Account Bank (BABN)

| | Account Bank Facilitator (ABFC) |
| --- | --- |

Account Bank Facilitator (ABFC)

| | Account Bank Guarantor (ABGR) |
| --- | --- |

Account Bank Guarantor (ABGR)

| | Collateral Agent (CAGT) |
| --- | --- |

Collateral Agent (CAGT)

| | Paying Agent (PAYA) |
| --- | --- |

Paying Agent (PAYA)

| | Calculation Agent (CALC) |
| --- | --- |

Calculation Agent (CALC)

| | Administration Agent (ADMI) |
| --- | --- |

Administration Agent (ADMI)

| | Administration Sub-Agent (ADSA) |
| --- | --- |

Administration Sub-Agent (ADSA)

| | Transfer Agent (RANA) |
| --- | --- |

Transfer Agent (RANA)

| | Verification agent (VERI) |
| --- | --- |

Verification agent (VERI)

| | Security agent (SECU) |
| --- | --- |

Security agent (SECU)

| | Cash Advance Provider (CAPR) |
| --- | --- |

Cash Advance Provider (CAPR)

| | Collateral Provider (COLL) |
| --- | --- |

Collateral Provider (COLL)

| | Guaranteed Investment Contract Provider (GICP) |
| --- | --- |

Guaranteed Investment Contract Provider (GICP)

| | Insurance Policy Credit Provider (IPCP) |
| --- | --- |

Insurance Policy Credit Provider (IPCP)

| | Liquidity Facility Provider (LQFP) |
| --- | --- |

Liquidity Facility Provider (LQFP)

| | Backup Liquidity Facility Provider (BLQP) |
| --- | --- |

Backup Liquidity Facility Provider (BLQP)

| | Savings Mortgage Participant (SVMP) |
| --- | --- |

Savings Mortgage Participant (SVMP)

| | Issuer (ISSR) |
| --- | --- |

Issuer (ISSR)

| | Originator (ORIG) |
| --- | --- |

Originator (ORIG)

| | Seller (SELL) |
| --- | --- |

Seller (SELL)

| | Sponsor of the Securitisation Special Purpose Entity (SSSP) |
| --- | --- |

Sponsor of the Securitisation Special Purpose Entity (SSSP)

| | Servicer (SERV) |
| --- | --- |

Servicer (SERV)

| | Backup Servicer (BSER) |
| --- | --- |

Backup Servicer (BSER)

| | Backup Servicer Facilitator (BSRF) |
| --- | --- |

Backup Servicer Facilitator (BSRF)

| | Special Servicer (SSRV) |
| --- | --- |

Special Servicer (SSRV)

| | Subscriber (SUBS) |
| --- | --- |

Subscriber (SUBS)

| | Interest Rate Swap Provider (IRSP) |
| --- | --- |

Interest Rate Swap Provider (IRSP)

| | Backup Interest Rate Swap Provider (BIPR) |
| --- | --- |

Backup Interest Rate Swap Provider (BIPR)

| | Currency Swap Provider (CSPR) |
| --- | --- |

Currency Swap Provider (CSPR)

| | Backup Currency Swap Provider (BCSP) |
| --- | --- |

Backup Currency Swap Provider (BCSP)

| | Auditor (AUDT) |
| --- | --- |

Auditor (AUDT)

| | Counsel (CNSL) |
| --- | --- |

Counsel (CNSL)

| | Trustee (TRUS) |
| --- | --- |

Trustee (TRUS)

| | Representative of Noteholders (REPN) |
| --- | --- |

Representative of Noteholders (REPN)

| | Underwriter (UNDR) |
| --- | --- |

Underwriter (UNDR)

| | Arranger (ARRG) |
| --- | --- |

Arranger (ARRG)

| | Dealer (DEAL) |
| --- | --- |

Dealer (DEAL)

| | Manager (MNGR) |
| --- | --- |

Manager (MNGR)

| | Letter of Credit Provider (LCPR) |
| --- | --- |

Letter of Credit Provider (LCPR)

| | Multi-Seller Conduit (MSCD) |
| --- | --- |

Multi-Seller Conduit (MSCD)

| | Securitisation Special Purpose Entity (SSPE) |
| --- | --- |

Securitisation Special Purpose Entity (SSPE)

| | Liquidity or Liquidation Agent (LQAG) |
| --- | --- |

Liquidity or Liquidation Agent (LQAG)

| | Equity owner of conduit/SSPE (EQOC) |
| --- | --- |

Equity owner of conduit/SSPE (EQOC)

| | Swingline Facility Provider (SWNG) |
| --- | --- |

Swingline Facility Provider (SWNG)

| | Start-up Loan or Lease Provider (SULP) |
| --- | --- |

Start-up Loan or Lease Provider (SULP)

| | Repurchase Agreement Counterparty (RAGC) |
| --- | --- |

Repurchase Agreement Counterparty (RAGC)

| | Cash Manager (CASM) |
| --- | --- |

Cash Manager (CASM)

| | Collection Account Bank (CACB) |
| --- | --- |

Collection Account Bank (CACB)

| | Collateral Account Bank (COLA) |
| --- | --- |

Collateral Account Bank (COLA)

| | Subordinated Loan Provider (SBLP) |
| --- | --- |

Subordinated Loan Provider (SBLP)

| | Collateralised Loan Obligation Manager (CLOM) |
| --- | --- |

Collateralised Loan Obligation Manager (CLOM)

| | Portfolio Advisor (PRTA) |
| --- | --- |

Portfolio Advisor (PRTA)

| | Substitution Agent (SUBA) |
| --- | --- |

Substitution Agent (SUBA)

| | Other (OTHR) |
| --- | --- |

Other (OTHR)

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

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