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)
Date: 2019-10-16
Institutions: Directorate-General for Financial Stability, Financial Services and Capital Markets Union, European Commission
Subjects: banking, capital market, credit, credit institution, disclosure of information, financial legislation, financial market, investment, investment company, technical standard




L_2020289EN.01000101.xml










3.9.2020   


EN


Official Journal of the European Union


L 289/1








            COMMISSION DELEGATED REGULATION (EU) 2020/1224
of 16 October 2019
         
supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE
(Text with EEA relevance)


THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,


Having regard to Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (1), and in particular Articles 7(3) and 17(2)(a) thereof,

Whereas:







(1)


The scope of Article 7(3) of Regulation (EU) 2017/2402 refers to all securitisations, including securitisations where a prospectus has to be drawn up pursuant to Regulation (EU) 2017/1129 of the European Parliament and of the Council (2) (commonly referred to as ‘public’ securitisations) and securitisations where a prospectus does not have to be drawn up (commonly referred to as ‘private’ securitisations). Article 17(2)(a) of Regulation (EU) 2017/2402 refers to securitisations making information available via a securitisation repository, which does not include private securitisations. To reflect this distinction, this Regulation has been organised into separate sections specifying the information concerning all securitisations and the information concerning public securitisations only.












(2)


The disclosure of certain information relating to a securitisation is necessary for investors and potential investors so that they may effectively conduct due diligence and a proper risk-assessment of the credit risks of the underlying exposures, the model risk, the legal risk, the operational risk, the counterparty risk, the servicing risk, the liquidity risk, and the concentration risk. The information to be disclosed should also be sufficiently detailed so as to enable the entities listed in Article 17(1) of Regulation (EU) 2017/2402 to effectively monitor the overall functioning of securitisation markets, trends in underlying asset pools, securitisation structures, interconnectedness among counterparties and the effects of securitisation in the broader macro-financial landscape of the Union.












(3)


Securitisations accommodate many types of underlying exposures, such as loans, leases, debts, credits or other cash flow generating receivables. It is therefore appropriate to establish tailored reporting requirements for the underlying exposure types that are the most prominent in the Union, taking into account both outstanding amounts and presence across localities. Specific reporting requirements for ‘esoteric’ underlying exposures that do not conform to the most prominent types should also be established in order to ensure that all types of underlying exposures are disclosed.












(4)


An underlying exposure type may fall within several possible sets of reporting requirements under this Regulation. In line with current market practice, information on a pool of underlying exposures that is comprised entirely of automobile underlying exposures should be reported using the corresponding template on automobile underlying exposures set out in the Annexes to this Regulation, regardless of whether the underlying automobile underlying exposures are loans or leases. Equally, in line with current market practice, information on a pool of underlying exposures where the underlying exposures are entirely leases should be reported using the corresponding template on leasing underlying exposures set out in the Annexes to this Regulation, unless the pool of underlying exposures is comprised entirely of automobile leases in which case the template on automobile underlying exposures set out in the Annexes to this Regulation should be used to report information.












(5)


For reasons of consistency, terms relating to residential and commercial real estate lending which derive from Recommendation ESRB/2016/14 of the European Systemic Risk Board should be applied (3). In line with that Recommendation, a property that has a mixed commercial and residential use should be considered as different properties, where it is feasible to make such a breakdown. Where such a breakdown is not possible, the property should be classified according to its dominant use.












(6)


In order to provide continuity with existing templates for disclosures of certain information, terms relating to micro, small, and medium-sized enterprises which derive from Commission Recommendation (2003/361/EC) (4) should also be applied. Equally, terms relating to automobile, consumer, credit card, and leasing underlying exposures which derive from Commission Delegated Regulation (EU) 2015/3 (5) should be applied.












(7)


The granularity of the information to be disclosed for non-ABCP securitisation underlying exposures should reflect the loan/lease-level depth used in existing disclosure and data collection provisions. For due-diligence, monitoring, and supervisory purposes, disaggregated underlying exposure-level data is valuable for securitisation investors, potential investors, competent authorities and, with regard to public securitisations for the other entities listed in Article 17 of Regulation (EU) 2017/2402. Furthermore, disaggregated underlying exposure-level data is key to restoring public and investor confidence in securitisation markets. As regards ABCP, both the short-term nature of the liabilities and the presence of additional forms of support beyond underlying exposures reduce the need for loan/lease-level data.












(8)


It is less useful for investors, potential investors, competent authorities and, with regard to public securitisations, the other entities listed in Article 17(1) of Regulation (EU) 2017/2402, to continue receiving information on ‘inactive’ exposures. This is because ‘inactive’ exposures, such as loans that have defaulted with no further recoveries expected or loans that have been redeemed, prepaid, cancelled, repurchased or substituted, no longer contribute to the risk profile of the securitisation. It is therefore appropriate that information on the transition of inactive exposures from ‘active’ to ‘inactive’ status is reported for reasons of transparency, but there is no need to report such exposures thereafter.












(9)


It is possible that the reporting requirements under Regulation (EU) 2017/2402 require making available a substantial number and variety of documents and other items. In order to facilitate the tracking of such documentation, a set of item codes should be used by the originator, sponsor, or SSPE when making information available to a securitisation repository.












(10)


In accordance with best practices for reporting requirements and in order to assist investors, potential investors, competent authorities and, with regard to public securitisations, the other entities listed in Article 17(1) of Regulation (EU) 2017/2402 in tracking the relevant information, standardised identifiers should be assigned to the information made available. Furthermore, those standardised identifiers should be unique and permanent so that the evolution of securitisation information may be effectively monitored over time.












(11)


In order to allow investors, potential investors, competent authorities and, with regard to public securitisations, the other entities listed in Article 17(1) of Regulation (EU) 2017/2402 to satisfy their due diligence and other obligations under that Regulation, it is essential that information made available is complete, consistent and up-to-date. A change in the risk characteristics of the underlying exposures or in the aggregated cash flows generated by those underlying exposures or in other information set out in the investor report can materially impact the performance of the securitisation and have a significant effect on the prices of the tranches/bonds of that securitisation. Therefore, inside information or significant event information should be made available, for public securitisations, the moment information on underlying exposures and investor report is made available via a securitisation repository. Furthermore, for public securitisations, inside information or significant event information should include detailed information on the non-ABCP securitisation, the ABCP programme, the ABCP transaction, the tranches/bonds, the accounts, the counterparties and information on features that are relevant for synthetic or Collateralised Loan Obligation securitisations.












(12)


For reasons of transparency, where information cannot be made available or is not applicable, the originator, sponsor, or SSPE should signal and explain, in a standardised manner, the specific reason and circumstances why the data is not reported. A set of ‘No data’ options should therefore be developed for that purpose, reflecting existing practices for disclosures of securitisation information.












(13)


The set of ‘No data’ (‘ND’) options should only be used where information is not available for justifiable reasons, including where a specific reporting item is not applicable due to the heterogeneity of the underlying exposures for a given securitisation. The use of ND options should however in no way constitute a circumvention of reporting requirements. The use of ND options should therefore be objectively verifiable on an ongoing basis, in particular by providing explanations to competent authorities at any time, upon request, of the circumstances that have resulted in the use of the ND values.












(14)


For reasons of accuracy, reported information should be up-to-date. Therefore, information made available should reference a time period that is as close as possible to the date of submission, having due regard to the operational steps to be undertaken by the originator, sponsor, or SSPE to organise and submit the required information.












(15)


The provisions in this Regulation are closely linked, since they deal with the information about a securitisation that the originator, sponsor or SSPE of that securitisation are to make available to various parties as required under Regulation (EU) 2017/2402. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and efficient access to all the relevant information of a securitisation, it is necessary to include the regulatory technical standards in a single Regulation.












(16)


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












(17)


ESMA has conducted open public consultation on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council (6),





HAS ADOPTED THIS REGULATION:



Article 1

Definitions

For the purposes of this Regulation, the following definitions shall apply:






(1)


‘reporting entity’ means the entity designated in accordance with the first subparagraph of Article 7(2) of Regulation (EU) 2017/2402;










(2)


‘data cut-off date’ means the reference date of the information being reported in accordance with this Regulation;










(3)


‘active underlying exposure’ means an underlying exposure which, at the data cut-off date, may be expected to generate cash inflows or outflows in the future;










(4)


‘inactive underlying exposure’ means an underlying exposure that has defaulted with no further recoveries expected or that has been redeemed, prepaid, cancelled, repurchased or substituted;










(5)


‘debt service coverage ratio’ means the annual rental income generated by commercial real estate that is wholly or partially financed by debt, net of taxes and net of any operational expenses to maintain the property’s value, relative to the annual combined interest and principal repayment on a borrower’s total debt over a given period on the loan secured by the property;










(6)


‘interest coverage ratio’ means the gross annual rental income, before operational expenses and taxes, accruing from a buy-to-let property or the net annual rental income accruing from a commercial real estate property or set of properties relative to the annual interest cost of the loan secured by the property or set of properties.







SECTION 1




Information to be made available for all securitisations




Article 2

Information on underlying exposures


1.   The information to be made available for a non-ABCP securitisation pursuant to Article 7(1)(a) of Regulation (EU) 2017/2402 is specified in:






(a)


Annex II for loans to private households secured by residential real estate, regardless of the purpose of those loans;










(b)


Annex III for loans for the purposes of acquiring commercial real estate or secured by commercial real estate;










(c)


Annex IV for corporate underlying exposures, including underlying exposures to micro, small- and medium-sized enterprises;










(d)


Annex V for automobile underlying exposures, including both loans and leases to legal or natural persons backed by automobiles;










(e)


Annex VI for consumer underlying exposures;










(f)


Annex VII for credit card underlying exposures;










(g)


Annex VIII for leasing underlying exposures;










(h)


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




For the purposes of point (a), residential real estate means any immovable property, available for dwelling purposes (including buy-to-let housing or property), acquired, built or renovated by a private household and that is not qualified as commercial real estate.
For the purposes of point (b), commercial real estate means any income-producing real estate, either existing or under development, and excludes social housing and property owned by end-users.


2.   Where a non-ABCP securitisation includes more than one of the types of underlying exposures listed in paragraph 1, the reporting entity for that securitisation shall make available the information specified in the applicable Annex for each underlying exposure type.


3.   The reporting entity for a non-performing exposure securitisation shall make available the information specified in:






(a)


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










(b)


Annex X.




For the purposes of this paragraph, a ‘non-performing exposure securitisation’ shall be considered to be a non-ABCP securitisation the majority of whose active underlying exposures, measured in terms of outstanding principal balance as at the data cut-off date, are one of the following:






(a)


non-performing exposures as referred to in paragraphs 213 to 239 of Annex V, Part 2, to Commission Implementing Regulation (EU) No 680/2014 (7);










(b)


credit-impaired financial assets as defined in Appendix A to International Financial Reporting Standard 9 in Commission Regulation (EC) No 1126/2008 (8) or financial assets accounted for as credit impaired under national rules applying the Generally Accepted Accounting Principles (GAAP) based on Council Directive 86/635/EEC (9).






4.   The reporting entity for an ABCP transaction shall make available the information specified in Annex XI.


5.   For the purposes of this Article, the information to be made available pursuant to paragraphs 1 to 4 shall be on:






(a)


active underlying exposures as at the data cut-off date;










(b)


inactive underlying exposures that were active underlying exposures at the immediately-preceding data cut-off date.







Article 3

Information on investor reports


1.   The reporting entity for a non-ABCP securitisation shall make available the information on investor reports specified in Annex XII.


2.   The reporting entity for an ABCP securitisation shall make available the information on investor reports specified in Annex XIII.



Article 4

Information granularity


1.   The reporting entity shall make available the information specified in Annexes II to X and XII on the following:






(a)


underlying exposures, in relation to each individual underlying exposure;










(b)


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






(i)


the underlying exposure is secured by a guarantee;










(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;














(c)


tenants, for each of the three largest tenants occupying a commercial real estate property, measured as the total annual rent payable by each tenant occupying the property;










(d)


historical collections, for each underlying exposure and for each month in the period from the data cut-off date up to 36 months prior to that date;










(e)


cashflows, for each inflow or outflow item in the securitisation, as set out in the applicable priority of receipts or payments as at the data cut-off date;










(f)


tests/events/triggers, for each test/event/trigger that triggers changes in the priority of payments or the replacement of any counterparties.




For the purposes of points (a) and (d), securitised loan parts shall be treated as individual underlying exposures.
For the purposes of point (b), each property acting as security for loans referred to in points (a) and (b) of Article 2(1) shall be treated as a single item of collateral.


2.   The reporting entity shall make available the information specified in Annexes XI and XIII on the following:






(a)


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










(b)


each ABCP programme that is funding the ABCP transactions for which information is made available pursuant to point (a), as at the data cut-off date;










(c)


tests/events/triggers, for each test/event/trigger in the ABCP securitisation that triggers changes in the priority of payments or the replacement of any counterparties;










(d)


underlying exposures, for each ABCP transaction on which information is made available pursuant to point (a) and for each exposure type that is present in that ABCP transaction as at the data cut-off date, in accordance with the list in field IVAL5 in Annex XI.









SECTION 2




Information to be made available for securitisations for which a prospectus has to be drawn up (public securitisations)




Article 5

Item codes

Reporting entities shall assign item codes to the information made available to securitisation repositories. For this purpose, reporting entities shall assign the item code specified in Table 3 of Annex I that best corresponds to that information.


Article 6

Inside information


1.   The reporting entity for a non-ABCP securitisation shall make available the inside information specified in Annex XIV.


2.   The reporting entity for an ABCP securitisation shall make available the inside information specified in Annex XV.



Article 7

Information on significant events


1.   The reporting entity for a non-ABCP securitisation shall make available the information on significant events specified in Annex XIV.


2.   The reporting entity for an ABCP securitisation shall make available the information on significant events specified in Annex XV.



Article 8

Information granularity


1.   The reporting entity shall make available the information specified in Annex XIV on the following:






(a)


the tranches/bonds in the securitisation, for each tranche issuance in the securitisation or other instrument to which an International Securities Identification Number has been assigned and for each subordinated loan in the securitisation;










(b)


accounts, for each account in the securitisation;










(c)


counterparties, for each counterparty in the securitisation;










(d)


where the securitisation is a synthetic non-ABCP securitisation:






(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;














(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.








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


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






(a)


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










(b)


ABCP programmes, for as many ABCP programmes that, at the data cut-off date, are funding the ABCP transactions on which information is made available pursuant to point (a);










(c)


the tranches/bonds in the ABCP programme, for each tranche or commercial paper issuance in the ABCP programme or other instrument to which an International Securities Identification Number has been assigned and for each subordinated loan in the ABCP programme;










(d)


accounts, for each account in the ABCP securitisation;










(e)


counterparties, for each counterparty in the ABCP securitisation.









SECTION 3




Common provisions




Article 9

Information completeness and consistency


1.   The information made available pursuant to this Regulation shall be complete and consistent.


2.   Where the reporting entity identifies factual errors in any information that it has made available pursuant to this Regulation, it shall make available, without undue delay, a corrected report of all information about the securitisation required under this Regulation.


3.   Where permitted in the corresponding Annex, the reporting entity may report one of the following ‘No Data Option’ (‘ND’) values corresponding to the reason justifying the unavailability of the information to be made available:






(a)


value ‘ND1’, where the required information has not been collected because it was not required by the lending or underwriting criteria at the time of origination of the underlying exposure;










(b)


value ‘ND2’, where the required information has been collected at the time of origination of the underlying exposure but is not loaded into the reporting system of the reporting entity at the data cut-off date;










(c)


value ‘ND3’, where the required information has been collected at the time of origination of the underlying exposure but is loaded into a separate system from the reporting system of the reporting entity at the data cut-off date;










(d)


value ‘ND4-YYYY-MM-DD’, where the required information has been collected but it will only be possible to make it available at a date taking place after the data cut-off date. ‘YYYY-MM-DD’ shall respectively refer to the numerical year, month, and day corresponding to the future date at which the required information will be made available;










(e)


value ‘ND5’, where the required information is not applicable to the item being reported.




For the purposes of this paragraph, the report of any ND values shall not be used to circumvent the requirements in this Regulation.
Upon request by competent authorities, the reporting entity shall provide details of the circumstances that justify the use of those ND values.



Article 10

Information timeliness


1.   Where a securitisation is not an ABCP securitisation, the information made available pursuant to this Regulation shall not have a data cut-off date later than two calendar months prior to the submission date.


2.   Where a securitisation is an ABCP securitisation:






(a)


the information specified in Annex XI and in the ‘transaction information section’ in Annexes XIII and XV shall not have a data cut-off date later than two calendar months prior to the submission date;










(b)


the information specified in all sections of Annexes XIII and XV other than the ‘transaction information section’ shall not have a data cut-off date later than one calendar month prior to the submission date.







Article 11

Unique identifiers


1.   Each securitisation shall be assigned a unique identifier composed of the following elements, in sequential order:






(a)


the Legal Entity Identifier of the reporting entity;










(b)


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










(c)


the four-digit year corresponding to:






(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;














(d)


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






2.   Each ABCP transaction in an ABCP programme shall be assigned a unique identifier composed of the following elements, in sequential order:






(a)


the Legal Entity Identifier of the reporting entity;










(b)


the letter ‘T’;










(c)


the four-digit year corresponding to the first closing date of the ABCP transaction;










(d)


the number 01 or, where there is more than one ABCP transaction with the same identifier as referred to in points (a), (b) and (c) of this paragraph, a two-digit sequential number corresponding to the order of the first closing date of each ABCP transaction. The order of simultaneous ABCP transactions shall be discretionary.






3.   Unique identifiers shall not be amended by the reporting entity.



Article 12

Classifications reporting


1.   The information relating to the European System of Accounts (ESA) 2010 classification referred to in Regulation (EU) No 549/2013 of the European Parliament and of the Council (10) shall be made available using the codes set out in Table 1 of Annex I.


2.   The information relating to the Servicer Watchlist classifications shall be made available using the codes set out in Table 2 of Annex I.



Article 13

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.





This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 16 October 2019.


For the Commission


The President

Jean Claude JUNCKER
            





(1)  
            OJ L 347, 28.12.2017, p. 35.

(2)  Regulation (EU) 2017/1129 of the European Parliament and of the Council of 14 June 2017 on the prospectus to be published when securities are offered to the public or admitted to trading on a regulated market, and repealing Directive 2003/71/EC (OJ L 168, 30.6.2017, p. 12).

(3)  Recommendation of the European Systemic Risk Board of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) (OJ C 31, 31.1.2017, p. 1).

(4)  Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (2003/361/EC) (OJ L 124, 20.5.2003, p. 36).

(5)  Commission Delegated Regulation (EU) 2015/3 of 30 September 2014 supplementing Regulation (EC) No 1060/2009 of the European Parliament and of the Council with regard to regulatory technical standards on disclosure requirements for structured finance instruments (OJ L 2, 6.1.2015, p. 57).

(6)  Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).

(7)  Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).

(8)  Commission Regulation (EC) No 1126/2008 of 3 November 2008 adopting certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council (OJ L 320, 29.11.2008, p. 1).

(9)  Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).

(10)  Regulation (EU) No 549/2013 of the European Parliament and of the Council of 21 May 2013 on the European system of national and regional accounts in the European Union (OJ L 174, 26.6.2013, p. 1).




ANNEX I

Table 1: European System of Accounts Secure Codes









Sectors




Sub-sectors




ESA Code






Non-financial corporations



Public non-financial corporations


S.11001




National private non-financial corporations


S.11002




Foreign controlled non-financial corporations


S.11003





Monetary financial institutions (MFIs)



Central bank


S.121




Public deposit-taking corporations except the central bank


S.12201




National private deposit-taking corporations except the central bank


S.12202




Foreign controlled deposit-taking corporations except the central bank


S.12203




Public money market funds (MMFs)


S.12301




National private money market funds (MMFs)


S.12302




Foreign controlled money market funds (MMFs)


S.12303





Financial corporations except MFIs and Insurance corporations and pension funds (ICPFs)



Public non-MMF investment funds


S.12401




National private non-MMF investment funds


S.12402




Foreign controlled non-MMF investment funds


S.12403




Public other financial intermediaries, except insurance corporations and pension funds


S.12501




National private other financial intermediaries, except insurance corporations and pension funds


S.12502




Foreign controlled other financial intermediaries, except insurance corporations and pension funds


S.12503




Public financial auxiliaries


S.12601




National private financial auxiliaries


S.12602




Foreign controlled financial auxiliaries


S.12603




Public captive financial institutions and money lenders


S.12701




National private captive financial institutions and money lenders


S.12702




Foreign controlled captive financial institutions and money lenders


S.12703





ICPFs



Public insurance corporations


S.12801




National private insurance corporations


S.12802




Foreign controlled insurance corporations


S.12803




Public pension funds


S.12901




National private pension funds


S.12902




Foreign controlled pension funds


S.12903





Other



General government


S.13




Central government (excluding social security funds)


S.1311




State government (excluding social security funds)


S.1312




Local government (excluding social security funds)


S.1313




Social security funds


S.1314




Households


S.14




Employers and own-account workers


S.141+S.142




Employees


S.143




Recipients of property and transfer income


S.144




Recipients of property income


S.1441




Recipients of pensions


S.1442




Recipients of other transfers


S.1443




Non-profit institutions serving households


S.15




Member States of the European Union


S.211




Institutions and bodies of the European Union


S.212




Non-member countries and international organisations non-resident in the European Union


S.22





Table 2: Servicer Watchlist Codes










Servicer Watchlist Code




Meaning




Inclusion Threshold




Release Threshold





1A


Delinquent P&I payment


2 payments behind


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




1B


Delinquent insurance renewal or forced placed coverage


30 days overdue


Receipt of proof of satisfactory insurance




1C


Interest Coverage Ratio below dividend trap.


Interest Coverage Ratio < required loan covenant (cash trap or default level);
Interest Coverage Ratio < 1.00 on a loan by loan basis


Interest Coverage Ratio above threshold




1D


Debt Service Coverage Ratio absolute level


Debt Service Coverage Ratio < 1.00;
Debt Service Coverage Ratio < 1.20 for healthcare and lodging;
or on a loan by loan basis


Debt Service Coverage Ratio above threshold




1E


Debt Service Coverage Ratio decreases from ‘Securitisation Date’


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


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




1F


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


When notice received by servicer


Default has been cured or subordinate debt approved by servicer




1G


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


Any occurrence on a loan by loan basis.


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




2A


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


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


Satisfactory verification that repairs have been completed




2B


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


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


When plan deficiencies are cured




2C


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


Any occurrence


Cure of the event that required action under the mortgage documents




2D


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


Any occurrence for 6 months or greater


Cure of the event that required action under the mortgage documents




2E


Operating licence or franchise agreement default


When notice received by servicer


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




2F


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


When notice received by servicer


Retain on Watchlist until Interest Payment Date following cure.




3A(i)


Inspection reveals poor condition


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


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




3A(ii)


Inspection reveals poor accessibility


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


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




3B


Inspection reveals harmful environmental issue


Any occurrence


In Servicer’s discretion that property deficiencies cured




3C


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


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


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




4A


Overall property portfolio occupancy decrease


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


When condition no longer exists




4B


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


Only applies to office, industrial and retail.


When condition no longer exists or Servicer’s discretion.




4C


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


> 30 % Net Rental Income


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




5A


Pending loan maturity


< 180 days until maturity


Loan is paid off.





Table 3: Item types and codes









Item type




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




Item code





Underlying exposures or underlying receivables or credit claims


7(1)(a)


1




Investor report


7(1)(e)


2




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


7(1)(b)(i)


3




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


7(1)(b)(ii)


4




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


7(1)(b)(iii)


5




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


7(1)(b)(iv)


6




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


7(1)(b)(v)


7




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


7(1)(b)(vi)


8




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


7(1)(b)


9




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


7(1)(d)


10




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



7(1)(f)


11




A significant event, such as:






(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;










(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;










(v)


any material amendment to transaction documents.






7(1)(g)


12






(1)  Regulation (EU) No 596/2014 of the European Parliament and of the Council of 16 April 2014 on market abuse (market abuse regulation) and repealing Directive 2003/6/EC of the European Parliament and of the Council and Commission Directives 2003/124/EC, 2003/125/EC and 2004/72/EC (OJ L 173, 12.6.2014, p. 1).





ANNEX II

UNDERLYING EXPOSURES INFORMATION — RESIDENTIAL REAL ESTATE (RRE)










Field code


Field name


Content to report


ND1-ND4 allowed?


ND5 allowed?




Underlying exposures information section




RREL1


Unique Identifier


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


NO


NO




RREL2


Original Underlying Exposure Identifier


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


NO


NO




RREL3


New Underlying Exposure Identifier


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


NO


NO




RREL4


Original Obligor Identifier


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


NO


NO




RREL5


New Obligor Identifier


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


NO


NO




RREL6


Data Cut-Off Date


The data cut-off date for this data submission.


NO


NO




RREL7


Pool Addition Date


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


NO


YES




RREL8


Date Of Repurchase


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


NO


YES




RREL9


Redemption Date


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


NO


YES




RREL10


Resident


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


YES


NO




RREL11


Geographic Region — Obligor


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


YES


NO




RREL12


Geographic Region Classification


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


YES


NO




RREL13


Employment Status


Employment status of the primary obligor:






 


Employed — Private Sector (EMRS)










 


Employed — Public Sector (EMBL)










 


Employed — Sector Unknown (EMUK)










 


Unemployed (UNEM)










 


Self-employed (SFEM)










 


No Employment, Obligor is Legal Entity (NOEM)










 


Student (STNT)










 


Pensioner (PNNR)










 


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










(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










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










 


New customer and employee/affiliation not recorded (CNRO)










 


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 employee/affiliation not recorded (ENRO)










 


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)










 


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










 


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










 


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 only) (EITX)










 


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










 


Disposable Income (DSPL)










 


Borrower is legal entity (CORP)










 


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 with Affordability Confirmation (SCNF)










 


Verified (VRFD)










 


Non-Verified Income or Fast Track (NVRF)










 


Credit Bureau Information or Scoring (SCRG)










 


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 with Affordability Confirmation (SCNF)










 


Verified (VRFD)










 


Non-Verified Income or Fast Track (NVRF)










 


Credit Bureau Information or Scoring (SCRG)










 


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)










 


Central or Direct (DRCT)










 


Broker (BROK)










 


Internet (WEBI)










 


Package (TPAC)










 


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










 


Other (OTHR)






YES


YES




RREL27


Purpose


The reason for the obligor taking out the loan:






 


Purchase (PURC)










 


Remortgage (RMRT)










 


Renovation (RENV)










 


Equity Release (EQRE)










 


Construction (CNST)










 


Debt Consolidation (DCON)










 


Remortgage with Equity Release (RMEQ)










 


Business Funding (BSFN)










 


Combination Mortgage (CMRT)










 


Investment Mortgage (IMRT)










 


Right to Buy (RGBY)










 


Government Sponsored Loan (GSPL)










 


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)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


Other (OTHR)






NO


YES




RREL38


Scheduled Interest Payment Frequency


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






 


Monthly (MNTH)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


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 linked to one index that will revert to another index in the future (FINX)










 


Fixed rate underlying exposure (for life) (FXRL)










 


Fixed with future periodic resets (FXPR)










 


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










 


Floating rate underlying exposure with floor (FLFL)










 


Floating rate underlying exposure with cap (CAPP)










 


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










 


Discount (DISC)










 


Switch Optionality (SWIC)










 


Obligor Swapped (OBLS)










 


Modular (MODE)










 


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)










 


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




RREL45


Current Interest Rate Index Tenor


Tenor of the current interest rate index:






 


Overnight (OVNG)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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










 


PLUS any amounts capitalised










 


PLUS any fees applied to the account










 


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)










 


Restructured — No Arrears (RNAR)










 


Restructured — Arrears (RARR)










 


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)










 


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)










 


Arrears (ARRE)










 


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










 


Repurchased by Seller – Defaulted (REDF)










 


Repurchased by Seller – Restructured (RERE)










 


Repurchased by Seller – Special Servicing (RESS)










 


Repurchased by Seller – Other Reason (REOT)










 


Redeemed (RDMD)










 


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 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)






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)










 


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




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)










 


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










 


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










 


Holiday or Second Home (HOLD)










 


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 (Flat or Apartment) (RFLT)










 


Residential (Bungalow) (RBGL)










 


Residential (Terraced House) (RTHS)










 


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)










 


Commercial or Business Use (BIZZ)










 


Land Only (LAND)










 


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)










 


B (EPCB)










 


C (EPCC)










 


D (EPCD)










 


E (EPCE)










 


F (EPCF)










 


G (EPCG)










 


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, only external inspection (FOEI)










 


Drive-by (DRVB)










 


Automated Value Model (AUVM)










 


Indexed (IDXD)










 


Desktop (DKTP)










 


Managing Agent or Estate Agent (MAEA)










 


Tax Authority (TXAT)










 


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, only external inspection (FOEI)










 


Drive-by (DRVB)










 


Automated Valuation Model (AUVM)










 


Indexed (IDXD)










 


Desktop (DKTP)










 


Managing Agent/Estate Agent (MAEA)










 


Tax Authority (TXAT)










 


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)










 


Individual — Family Relation (FAML)










 


Individual — Other (IOTH)










 


Government (GOVE)










 


Bank (BANK)










 


Insurance Product (INSU)










 


Nationale Hypotheek Garantie Guarantee Scheme (NHGX)










 


Fonds de Garantie de l’Accession Sociale (FGAS)










 


Caution (CATN)










 


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)










 


Minimum Debt Service Coverage Ratio (MDSC)










 


Maximum Loan-To-Value (MLTV)










 


Multiple Conditions (MLTC)










 


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 Liquidation (ACQL)










 


Refinancing (RFIN)










 


Construction (CNST)










 


Redevelopment (RDVL)










 


Other (OTHR)






YES


NO




CREL31


Structure


Underlying Exposure Structure:






 


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 subordinate debt outside the issuance vehicle (PMLS)










 


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










 


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










 


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










 


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










 


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










 


Structural mezzanine financing (MZZD)










 


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










 


Other (OTHR)






YES


NO




CREL32


Waterfall A-B Pre Enforcement Scheduled Interest Payments


Waterfall pre-enforcement schedule for interest payments:






 


Sequential (SQNL)










 


B loan first (BLLF)










 


Pro-Rata (PRAT)










 


Modified Pro-Rata (MPRT)










 


Other (OTHR)






NO


YES




CREL33


Waterfall A-B Pre Enforcement Scheduled Principal Payments


Waterfall pre-enforcement schedule for principal payments:






 


Sequential (SQNL)










 


B loan first (BLLF)










 


Pro-Rata (PRAT)










 


Modified Pro-Rata (MPRT)










 


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










 


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)










 


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)










 


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)










 


Novation (NOVA)










 


Equitable Assignment (EQTB)










 


Funded Participation (pari passu interest) (PARI)










 


Junior Participation Interest (JUNP)










 


Legal Assignment (LGAS)










 


Notified Assignment (NOTA)










 


Sub Participation (SUBP)










 


Risk Participation (RSKP)










 


Sale Event (SALE)










 


Other (OTHR)






NO


YES




CREL47


Consequence For Breach Of Financial Covenant


The consequence for the financial covenant breach:






 


Event of Default (EDFT)










 


Additional Amortisation (AAMR)










 


Cash Trap Reserve (CTRS)










 


Terminate Property Manager (TPRM)










 


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)










 


Loan to Value Trigger (LVTX)










 


Interest Coverage Trigger (ICVR)










 


Debt Service Coverage Trigger (DSCT)










 


Net Operating Income Trigger (NOIT)










 


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)










 


Trigger Event (TREV)










 


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)










 


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)










 


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)










 


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










 


Whole loan based on loan agreements (WLAG)










 


Whole loan based on other method (WLOT)










 


Trust Note based on loan agreement (TNAG)










 


Trust Note based on other method (TNOT)










 


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)










 


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)










 


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)










 


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










 


Whole loan based on loan agreements (WLAG)










 


Whole loan based on other method (WLOT)










 


Trust Note based on loan agreement (TNAG)










 


Trust Note based on other method (TNOT)










 


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)










 


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)






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)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


Other (OTHR)






NO


YES




CREL91


Scheduled Interest Payment Frequency


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






 


Monthly (MNTH)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


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)










 


Payoff Prior to Maturity (PTPY)










 


Liquidation or Disposition (LQDP)










 


Repurchase or Substitution (RPSB)










 


Full Payoff at Maturity (FLPY)










 


Discounted Payoff (DPOX)










 


Payoff with Penalty (PYPN)










 


Payoff with Yield Maintenance (YLMT)










 


Curtailment with Penalty (CTPL)










 


Curtailment with Yield Maintenance (CTYL)










 


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 linked to one index that will revert to another index in the future (FINX)










 


Fixed rate underlying exposure (for life) (FXRL)










 


Fixed with future periodic resets (FXPR)










 


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










 


Floating rate underlying exposure with floor (FLFL)










 


Floating rate underlying exposure with cap (CAPP)










 


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










 


Discount (DISC)










 


Switch Optionality (SWIC)










 


Obligor Swapped (OBLS)










 


Modular (MODE)










 


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)










 


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




CREL112


Current Interest Rate Index Tenor


Tenor of the current interest rate index:






 


Overnight (OVNG)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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)










 


Actual/365 (A005)










 


Actual/360 (A004)










 


Actual/Actual ICMA (A006)










 


Actual/Actual ISDA (A008)










 


Actual/Actual AFB (A010)










 


Actual/366 (A009)










 


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










 


PLUS any amounts capitalised










 


PLUS any fees applied to the account










 


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 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)






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)










 


Restructured — No Arrears (RNAR)










 


Restructured — Arrears (RARR)










 


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)










 


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)










 


Arrears (ARRE)










 


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










 


Repurchased by Seller – Defaulted (REDF)










 


Repurchased by Seller – Restructured (RERE)










 


Repurchased by Seller – Special Servicing (RESS)










 


Repurchased by Seller – Other Reason (REOT)










 


Redeemed (RDMD)










 


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)










 


Enforcement (ENFR)










 


Receivership (RCVR)










 


Insolvency (NSOL)










 


Extension (XTSN)










 


Loan Sale (LLES)










 


Discounted Pay Off (DPFF)










 


Property in Possession (PPOS)










 


Resolved (RSLV)










 


Pending Return to Servicer (PRTS)










 


Deed in Lieu of Foreclosure (DLFR)










 


Full Pay Off (FPOF)










 


Representations and Warranties (REWR)










 


Other (OTHR)






NO


YES




CREL144


Modification


Type of modification:






 


Maturity Date Extension (MEXT)










 


Amortisation Change (AMMC)










 


Principal Write-off (PWOF)










 


Temporary Rate Reduction (TMRR)










 


Capitalisation of Interest (CINT)










 


Capitalisation of Costs Advanced (e.g. insurance, ground rent) (CPCA)










 


Combination (COMB)










 


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)










 


Debt Service Coverage Ratio (DSCR)










 


Loan-to-Value (LLTV)










 


Interest Coverage Ratio or Debt Service Coverage Ratio (ICDS)










 


Interest Coverage Ratio or Debt Service Coverage Ratio or Loan-to-Value (ICDL)










 


Property Level Breach (PROP)










 


Obligor Level Breach (OBLG)










 


Tenant or Vacancy Level Breach (TENT)










 


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)










 


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)




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


NO


YES




CREC12


Property Type


Property type:






 


Caravan Park (CRVP)










 


Car Park (CARP)










 


Health Care (HEAL)










 


Hospitality or Hotel (HOTL)










 


Industrial (IDSR)










 


Land Only (LAND)










 


Leisure (LEIS)










 


Multifamily (MULF)










 


Mixed Use (MIXD)










 


Office (OFFC)










 


Pub (PUBX)










 


Retail (RETL)










 


Self Storage (SSTR)










 


Warehouse (WARE)










 


Various (VARI)










 


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)










 


Freehold (FREE)










 


Mixed (MIXD)










 


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)










 


Vacant Possession (VCNT)










 


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, 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




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










(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










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










 


New customer and employee/affiliation not recorded (CNRO)










 


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 employee/affiliation not recorded (ENRO)










 


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)










 


Small and Medium Enterprise Treated as Corporate (SMEX)










 


Retail (RETL)










 


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










 


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










 


Large Enterprise (LARE) - an enterprise that is neither a micro, small, or medium enterprise.










 


Natural Person (NATP)










 


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)










 


Guarantee (DGAR)










 


Promissory Notes (PRMS)










 


Participation Rights (PRTR)










 


Overdraft (ODFT)










 


Letter of Credit (LCRE)










 


Working Capital Facility (WCFC)










 


Equity (EQUI)










 


Other (OTHR)






NO


NO




CRPL25


Securitised Receivables


What receivables associated with this underlying exposure have been securitised:






 


Principal and Interest (PRIN)










 


Principal Only (PRPL)










 


Interest Only (INTR)










 


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)










 


Mezzanine Debt (MZZD)










 


Junior Debt (JUND)










 


Subordinated Debt (SBOD)










 


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)










 


Broker (BROK)










 


Internet (WEBI)










 


Other (OTHR)






YES


YES




CRPL36


Purpose


underlying exposure Purpose:






 


Overdraft or Working Capital (OVRD)










 


New Plant and Equipment Investment (EQPI)










 


New Information Technology Investment (INFT)










 


Refurbishment of Existing Plant, Equipment, or Technology (RFBR)










 


Merger and Acquisition (MGAQ)










 


Other Expansionary Purpose (OEXP)










 


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)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


Other (OTHR)






NO


YES




CRPL49


Scheduled Interest Payment Frequency


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






 


Monthly (MNTH)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


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 linked to one index that will revert to another index in the future (FINX)










 


Fixed rate underlying exposure (for life) (FXRL)










 


Fixed with future periodic resets (FXPR)










 


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










 


Floating rate underlying exposure with floor (FLFL)










 


Floating rate underlying exposure with cap (CAPP)










 


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










 


Discount (DISC)










 


Switch Optionality (SWIC)










 


Obligor Swapped (OBLS)










 


Modular (MODE)










 


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)










 


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




CRPL55


Current Interest Rate Index Tenor


Tenor of the current interest rate index:






 


Overnight (OVNG)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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










 


PLUS any amounts capitalised










 


PLUS any fees applied to the account










 


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)










 


Restructured — No Arrears (RNAR)










 


Restructured — Arrears (RARR)










 


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)










 


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)










 


Arrears (ARRE)










 


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










 


Repurchased by Seller – Defaulted (REDF)










 


Repurchased by Seller – Restructured (RERE)










 


Repurchased by Seller – Special Servicing (RESS)










 


Repurchased by Seller – Other Reason (REOT)










 


Redeemed (RDMD)










 


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 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)






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)










 


Enforcement of Guarantees (EGAR)










 


Additional Lending (ALEN)










 


Cash Recoveries (CASR)










 


Mixed (MIXD)










 


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)










 


Guarantee backed by further collateral (GCOL)










 


Guarantee not backed by further collateral (GNCO)










 


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)










 


Floating charge (FLCH)










 


No charge (NOCG)










 


No charge but an irrevocable power of attorney or similar (ATRN)










 


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)










 


Employed — Public Sector (EMBL)










 


Employed — Sector Unknown (EMUK)










 


Unemployed (UNEM)










 


Self-employed (SFEM)










 


No Employment, Obligor is Legal Entity (NOEM)










 


Student (STNT)










 


Pensioner (PNNR)










 


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










(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










(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)










 


Limited Company (LLCO)










 


Partnership (PNTR)










 


Individual (INDV)










 


Government Entity (GOVT)










 


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










 


New customer and employee/affiliation not recorded (CNRO)










 


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 employee/affiliation not recorded (ENRO)










 


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)










 


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










 


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










 


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 only) (EITX)










 


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










 


Disposable Income (DSPL)










 


Borrower is legal entity (CORP)










 


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 with Affordability Confirmation (SCNF)










 


Verified (VRFD)










 


Non-Verified Income or Fast Track (NVRF)










 


Credit Bureau Information or Scoring (SCRG)










 


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 Hire (PHIR)










 


Hire Purchase (HIRP)










 


Lease Purchase (LEAP)










 


Finance Lease (FNLS)










 


Operating Lease (OPLS)










 


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)










 


Broker (BROK)










 


Direct (DIRE)










 


Indirect (IDRT)










 


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)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


Other (OTHR)






NO


YES




AUTL35


Scheduled Interest Payment Frequency


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






 


Monthly (MNTH)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


Other (OTHR)






NO


YES




AUTL36


Payment Method


Usual method of payment (can be based upon last payment received):






 


Direct Debit (CDTX)










 


Standing Order (SORD)










 


Cheque (CHKX)










 


Cash (CASH)










 


Bank Transfer (neither direct debit nor standing order) (BTRA)










 


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)










 


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




AUTL42


Current Interest Rate Index Tenor


Tenor of the current interest rate index:






 


Overnight (OVNG)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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)










 


Used (USED)










 


Demo (DEMO)










 


Other (OTHR)






YES


NO




AUTL57


Energy Performance Certificate Value


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






 


A (EPCA)










 


B (EPCB)










 


C (EPCC)










 


D (EPCD)










 


E (EPCE)










 


F (EPCF)










 


G (EPCG)










 


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










 


PLUS any amounts capitalised










 


PLUS any fees applied to the account










 


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)










 


Restructured – No Arrears (RNAR)










 


Restructured – Arrears (RARR)










 


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)










 


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)










 


Arrears (ARRE)










 


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










 


Repurchased by Seller – Defaulted (REDF)










 


Repurchased by Seller – Restructured (RERE)










 


Repurchased by Seller – Special Servicing (RESS)










 


Repurchased by Seller – Other Reason (REOT)










 


Redeemed (RDMD)










 


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 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)






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)










 


Employed – Public Sector (EMBL)










 


Employed – Sector Unknown (EMUK)










 


Unemployed (UNEM)










 


Self-employed (SFEM)










 


No Employment, Obligor is Legal Entity (NOEM)










 


Student (STNT)










 


Pensioner (PNNR)










 


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










(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










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










 


New customer and employee/affiliation not recorded (CNRO)










 


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 employee/affiliation not recorded (ENRO)










 


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)










 


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










 


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










 


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 only) (EITX)










 


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










 


Disposable Income (DSPL)










 


Borrower is legal entity (CORP)










 


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 with Affordability Confirmation (SCNF)










 


Verified (VRFD)










 


Non-Verified Income or Fast Track (NVRF)










 


Credit Bureau Information or Scoring (SCRG)










 


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)










 


Branch (BRCH)










 


Telesale (TLSL)










 


Stand (STND)










 


Post (POST)










 


White Label (WLBL)










 


Magazine (MGZN)










 


Automobile Dealer (ADLR)










 


Other (OTHR)






YES


YES




CMRL25


Purpose


Loan Purpose:






 


Tuition (TUIT)










 


Living Expenses (LEXP)










 


Medical (MDCL)










 


Home Improvement (HIMP)










 


Appliance or Furniture (APFR)










 


Travel (TRVL)










 


Debt Consolidation (DCON)










 


New Car (NCAR)










 


Used Car (UCAR)










 


Other Vehicle (OTHV)










 


Equipment (EQUP)










 


Property (PROP)










 


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)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


Other (OTHR)






NO


YES




CMRL35


Scheduled Interest Payment Frequency


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






 


Monthly (MNTH)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


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)










 


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




CMRL39


Current Interest Rate Index Tenor


Tenor of the current interest rate index:






 


Overnight (OVNG)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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










 


PLUS any amounts capitalised










 


PLUS any fees applied to the account










 


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)










 


Restructured — No Arrears (RNAR)










 


Restructured — Arrears (RARR)










 


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)










 


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)










 


Arrears (ARRE)










 


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










 


Repurchased by Seller – Defaulted (REDF)










 


Repurchased by Seller – Restructured (RERE)










 


Repurchased by Seller – Special Servicing (RESS)










 


Repurchased by Seller – Other Reason (REOT)










 


Redeemed (RDMD)










 


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 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)






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)










 


B (EPCB)










 


C (EPCC)










 


D (EPCD)










 


E (EPCE)










 


F (EPCF)










 


G (EPCG)










 


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)










 


Employed — Public Sector (EMBL)










 


Employed — Sector Unknown (EMUK)










 


Unemployed (UNEM)










 


Self-employed (SFEM)










 


No Employment, Obligor is Legal Entity (NOEM)










 


Student (STNT)










 


Pensioner (PNNR)










 


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










(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










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










 


New customer and employee/affiliation not recorded (CNRO)










 


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 employee/affiliation not recorded (ENRO)










 


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)










 


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










 


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










 


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 only) (EITX)










 


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










 


Disposable Income (DSPL)










 


Borrower is legal entity (CORP)










 


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 with Affordability Confirmation (SCNF)










 


Verified (VRFD)










 


Non-Verified Income or Fast Track (NVRF)










 


Credit Bureau Information or Scoring (SCRG)










 


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)










 


Branch (BRCH)










 


Telesale (TLSL)










 


Stand (STND)










 


Post (POST)










 


White Label (WLBL)










 


Magazine (MGZN)










 


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)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


Other (OTHR)






NO


YES




CCDL27


Scheduled Interest Payment Frequency


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






 


Monthly (MNTH)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


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)










 


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




CCDL31


Current Interest Rate Index Tenor


Tenor of the current interest rate index:






 


Overnight (OVNG)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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










 


PLUS any amounts capitalised










 


PLUS any fees applied to the account










 


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)










 


Restructured — No Arrears (RNAR)










 


Restructured — Arrears (RARR)










 


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)










 


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)










 


Arrears (ARRE)










 


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










 


Repurchased by Seller – Defaulted (REDF)










 


Repurchased by Seller – Restructured (RERE)










 


Repurchased by Seller – Special Servicing (RESS)










 


Repurchased by Seller – Other Reason (REOT)










 


Redeemed (RDMD)










 


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 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)






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










(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










(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)










 


Small and Medium Enterprise Treated as Corporate (SMEX)










 


Retail (RETL)










 


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










 


New customer and employee/affiliation not recorded (CNRO)










 


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 employee/affiliation not recorded (ENRO)










 


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










 


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










 


Large Enterprise (LARE) – an enterprise that is neither a micro, small, or medium enterprise.










 


Natural Person (NATP)










 


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 Hire (PHIR)










 


Hire Purchase (HIRP)










 


Lease Purchase (LEAP)










 


Finance Lease (FNLS)










 


Operating Lease (OPLS)










 


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)










 


Broker (BROK)










 


Internet (WEBI)










 


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)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


Other (OTHR)






NO


YES




LESL34


Scheduled Interest Payment Frequency


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






 


Monthly (MNTH)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


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)










 


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




LESL38


Current Interest Rate Index Tenor


Tenor of the current interest rate index:






 


Overnight (OVNG)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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










 


PLUS any amounts capitalised










 


PLUS any fees applied to the account










 


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)










 


Restructured — No Arrears (RNAR)










 


Restructured — Arrears (RARR)










 


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)










 


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)










 


Arrears (ARRE)










 


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










 


Repurchased by Seller – Defaulted (REDF)










 


Repurchased by Seller – Restructured (RERE)










 


Repurchased by Seller – Special Servicing (RESS)










 


Repurchased by Seller – Other Reason (REOT)










 


Redeemed (RDMD)










 


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 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)






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)










 


Enforcement of Guarantees (EGAR)










 


Additional Lending (ALEN)










 


Cash Recoveries (CASR)










 


Mixed (MIXD)










 


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)










 


Used (USED)










 


Demo (DEMO)










 


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)










 


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)










 


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)










 


Security (SECU)










 


Guarantee (GUAR)










 


Other Financial Asset (OTFA)










 


IT Equipment (ITEQ)










 


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










 


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)










 


Drive-by (DRVB)










 


Automated Value Model (AUVM)










 


Indexed (IDXD)










 


Desktop (DKTP)










 


Managing Agent or Estate Agent (MAEA)










 


Purchase Price (PPRI)










 


Haircut (HCUT)










 


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)










 


Drive-by (DRVB)










 


Automated Value Model (AUVM)










 


Indexed (IDXD)










 


Desktop (DKTP)










 


Managing Agent or Estate Agent (MAEA)










 


Purchase Price (PPRI)










 


Haircut (HCUT)










 


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)










 


Employed — Public Sector (EMBL)










 


Employed — Sector Unknown (EMUK)










 


Unemployed (UNEM)










 


Self-employed (SFEM)










 


No Employment, Obligor is Legal Entity (NOEM)










 


Student (STNT)










 


Pensioner (PNNR)










 


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










(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










(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)










 


Limited Company (LLCO)










 


Partnership (PNTR)










 


Individual (INDV)










 


Government Entity (GOVT)










 


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)










 


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










 


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










 


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 only) (EITX)










 


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










 


Disposable Income (DSPL)










 


Borrower is legal entity (CORP)










 


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 with Affordability Confirmation (SCNF)










 


Verified (VRFD)










 


Non-Verified Income or Fast Track (NVRF)










 


Credit Bureau Information or Scoring (SCRG)










 


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)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


Other (OTHR)






YES


YES




ESTL34


Scheduled Interest Payment Frequency


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






 


Monthly (MNTH)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


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)










 


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




ESTL41


Current Interest Rate Index Tenor


Tenor of the current interest rate index:






 


Overnight (OVNG)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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










 


PLUS any amounts capitalised










 


PLUS any fees applied to the account










 


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)










 


Restructured — No Arrears (RNAR)










 


Restructured — Arrears (RARR)










 


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)










 


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)










 


Arrears (ARRE)










 


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










 


Repurchased by Seller – Defaulted (REDF)










 


Repurchased by Seller – Restructured (RERE)










 


Repurchased by Seller – Special Servicing (RESS)










 


Repurchased by Seller – Other Reason (REOT)










 


Redeemed (RDMD)










 


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 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)






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)










 


Guarantee backed by further collateral (GCOL)










 


Guarantee not backed by further collateral (GNCO)










 


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)










 


Floating charge (FLCH)










 


No charge (NOCG)










 


No charge but an irrevocable power of attorney or similar (ATRN)










 


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)










 


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




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)










 


Corporate Insolvency Procedure, which also includes funds (CPRI)










 


Private Individual Obligor Debt Compromise Procedure (PRCM)










 


Private Individual Obligor Insolvency Procedure (PRIP)










 


Partnership Restructuring Procedure (PRTR)










 


Partnership Insolvency Procedure (PRIS)










 


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)










 


Exited MARP (EMRP)










 


Provision 23, 31 days in arrears (MP23)










 


Provision 24, Financial difficulty (MP24)










 


Provision 28, Not cooperating warning (MP28)










 


Provision 29, Not cooperating (MP29)










 


Provision 42, Restructure offer (MP42)










 


Provision 45, Restructure declined by seller (MP45)










 


Provision 47, Restructure declined by borrower (MP47)










 


Self-Cure (MPSC)










 


Alternative Repayment Arrangement (MPAR)










 


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)










 


Automobile Loans or Leases (ALOL)










 


Consumer loans (CONL)










 


Equipment Leases (EQPL)










 


Floorplan financed (FLRF)










 


Insurance Premia (INSU)










 


Credit-Card Receivables (CCRR)










 


Residential Mortgages (RMRT)










 


Commercial Mortgages (CMRT)










 


Small and Medium Enterprise Loans (SMEL)










 


Non Small and Medium Enterprise Corporate Loans (NSML)










 


Future Flow (FUTR)










 


Leverage Fund (LVRG)










 


Collateralised Bond Obligation (CBOB)










 


Collateralised Loan Obligation (CLOB)










 


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;










—


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;










—


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










—


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)










 


Seller’s share — i.e. Article 6(3)(b) (SLLS)










 


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 exposure in each asset — i.e. Article 6(3)(e) (FLEX)










 


No compliance with risk retention requirements (NCOM)










 


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)










 


Sponsor (SPON)










 


Original Lender (OLND)










 


Seller (SELL)










 


No Compliance with Risk Retention Requirement (NCOM)










 


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)










 


Consumer Loan (CONL)










 


Commercial Mortgage (CMRT)










 


Credit-Card Receivable (CCRR)










 


Lease (LEAS)










 


Residential Mortgage (RMRT)










 


Mixed (MIXD)










 


Small and Medium Enterprise (SMEL)










 


Non Small and Medium Enterprise Corporate (NSML)










 


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))










 


‘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))










 


‘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)










 


Replacement of a counterparty (CHCP)










 


Both change in the priority of payments and replacement of a counterparty (BOTH)










 


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)










 


Seller’s share — i.e. Article 6(3)(b) (SLLS)










 


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 exposure in each asset — i.e. Article 6(3)(e) (FLEX)










 


No compliance with risk retention requirements (NCOM)










 


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)










 


Sponsor (SPON)










 


Original Lender (OLND)










 


Seller (SELL)










 


No Compliance with Risk Retention Requirement (NCOM)










 


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)










 


Seller’s share — i.e. Article 6(3)(b) (SLLS)










 


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 exposure in each asset — i.e. Article 6(3)(e) (FLEX)










 


No compliance with risk retention requirements (NCOM)










 


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)










 


Sponsor (SPON)










 


Original Lender (OLND)










 


Seller (SELL)










 


No Compliance with Risk Retention Requirement (NCOM)










 


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)










 


Replacement of a counterparty (CHCP)










 


Both change in the priority of payments and replacement of a counterparty (BOTH)










 


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)










 


Sequential Waterfall (SQWT)










 


Pro-rata Waterfall (PRWT)










 


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)










 


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)










 


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)






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)










 


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




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)










 


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)










 


Controlled amortisation (i.e. repayment of principal begins at a specified period) (CAMM)










 


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)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


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)










 


Modified Following (MODF)










 


Nearest (NEAR)










 


Preceding (PREC)










 


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)










 


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




SEST21


Current Interest Rate Index Tenor


Tenor of the current interest rate index:






 


Overnight (OVNG)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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)










 


Noteholder (NHLD)










 


Either SSPE or noteholder (ISNH)










 


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)










 


Actual/365 (A005)










 


Actual/360 (A004)










 


Actual/Actual ICMA (A006)










 


Actual/Actual ISDA (A008)










 


Actual/Actual AFB (A010)










 


Actual/366 (A009)










 


Other (OTHR)






NO


YES




SEST30


Settlement Convention


Usual settlement convention for the tranche:






 


T Plus One (TONE)










 


T Plus Two (TTWO)










 


T Plus Three (TTRE)










 


As soon as possible (ASAP)










 


At the end of the Contract (ENDC)










 


End of Month (MONT)










 


Future (FUTU)










 


Next Day (NXTD)










 


Regular (REGU)










 


T Plus Five (TFIV)










 


T Plus Four (TFOR)










 


When and if issued (WHIF)










 


When Distributed (WDIS)










 


When Issued (WISS)










 


When Issued or Distributed (WHID)










 


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-Linked Note (CLKN)










 


Total Return Swap (TRES)










 


Financial Guarantee (a.k.a. unfunded credit risk mitigation) (FGUA)










 


Credit Insurance (CINS)










 


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)










 


Commingling Reserve Account (CORE)










 


Set-off Reserve Account (SORE)










 


Liquidity Facility (LQDF)










 


Margin Account (MGAC)










 


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)










 


Backup Account Bank (BABN)










 


Account Bank Facilitator (ABFC)










 


Account Bank Guarantor (ABGR)










 


Collateral Agent (CAGT)










 


Paying Agent (PAYA)










 


Calculation Agent (CALC)










 


Administration Agent (ADMI)










 


Administration Sub-Agent (ADSA)










 


Transfer Agent (RANA)










 


Verification agent (VERI)










 


Security agent (SECU)










 


Cash Advance Provider (CAPR)










 


Collateral Provider (COLL)










 


Guaranteed Investment Contract Provider (GICP)










 


Insurance Policy Credit Provider (IPCP)










 


Liquidity Facility Provider (LQFP)










 


Backup Liquidity Facility Provider (BLQP)










 


Savings Mortgage Participant (SVMP)










 


Issuer (ISSR)










 


Originator (ORIG)










 


Seller (SELL)










 


Sponsor of the Securitisation Special Purpose Entity (SSSP)










 


Servicer (SERV)










 


Backup Servicer (BSER)










 


Backup Servicer Facilitator (BSRF)










 


Special Servicer (SSRV)










 


Subscriber (SUBS)










 


Interest Rate Swap Provider (IRSP)










 


Backup Interest Rate Swap Provider (BIPR)










 


Currency Swap Provider (CSPR)










 


Backup Currency Swap Provider (BCSP)










 


Auditor (AUDT)










 


Counsel (CNSL)










 


Trustee (TRUS)










 


Representative of Noteholders (REPN)










 


Underwriter (UNDR)










 


Arranger (ARRG)










 


Dealer (DEAL)










 


Manager (MNGR)










 


Letter of Credit Provider (LCPR)










 


Multi-Seller Conduit (MSCD)










 


Securitisation Special Purpose Entity (SSPE)










 


Liquidity or Liquidation Agent (LQAG)










 


Equity owner of conduit/SSPE (EQOC)










 


Swingline Facility Provider (SWNG)










 


Start-up Loan or Lease Provider (SULP)










 


Repurchase Agreement Counterparty (RAGC)










 


Cash Manager (CASM)










 


Collection Account Bank (CACB)










 


Collateral Account Bank (COLA)










 


Subordinated Loan Provider (SBLP)










 


Collateralised Loan Obligation Manager (CLOM)










 


Portfolio Advisor (PRTA)










 


Substitution Agent (SUBA)










 


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)










 


Arbitrage Collateralized Loan Obligation (ACLO)










 


Other (OTHR)






NO


YES




SESC4


Current Period


The current period status of the CLO:






 


Warehouse (WRHS)










 


Ramp-up (RMUP)










 


Reinvestment (RINV)










 


Post-reinvestment (PORI)










 


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-Linked Note (CLKN)










 


Total Return Swap (TRES)










 


Financial Guarantee (a.k.a. unfunded credit risk mitigation) (FGUA)










 


Credit Insurance (CINS)










 


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 2014 (IS14)










 


ISDA Agreement Other (ISOT)










 


Rhamenvertrag (DERV)










 


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, loss of accrued interest (PACC)










 


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, interest penalties, cost of foreclosure (PIPF)










 


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 assets net of expected recovery (IFAR)










 


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 full workout of loss, for the actual loss (AWRK)










 


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)










 


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)










 


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




SESV32


Current Index For Payments To Protection Buyer Tenor


Tenor of the interest rate index used for payments to the protection buyer:






 


Overnight (OVNG)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


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)










 


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




SESV37


Current Index For Payments To Protection Seller Tenor


Tenor of the interest rate index used for payments to the protection seller:






 


Overnight (OVNG)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


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)










 


Government Bond (GBND)










 


Commercial Paper (CPAP)










 


Unsecured Bank Debt (UBDT)










 


Senior Unsecured Corporate Debt (SUCD)










 


Junior Unsecured Corporate Debt (JUCD)










 


Covered Bond (CBND)










 


Asset-Backed Security (ABSE)










 


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)










 


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




SESI15


Current Interest Rate Index Tenor


Tenor of the current interest rate index:






 


Overnight (OVNG)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


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)










 


Programme Level (PRGM)










 


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)










 


Repurchase Agreement (RPAG)










 


Loan Facility (LOFA)










 


Participation Agreement (PAGR)










 


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)










 


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)










 


Controlled amortisation (i.e. repayment of principal begins at a specified period) (CAMM)










 


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)










 


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




SEAT12


Current Interest Rate Index Tenor


Tenor of the current interest rate index:






 


Overnight (OVNG)










 


IntraDay (INDA)










 


1 day (DAIL)










 


1 week (WEEK)










 


2 week (TOWK)










 


1 month (MNTH)










 


2 month (TOMN)










 


3 month (QUTR)










 


4 month (FOMN)










 


6 month (SEMI)










 


12 month (YEAR)










 


On Demand (ONDE)










 


Other (OTHR)






NO


YES




SEAT13


Interest Payment Frequency


The frequency with which interest is due to be paid on this instrument:






 


Monthly (MNTH)










 


Quarterly (QUTR)










 


Semi Annual (SEMI)










 


Annual (YEAR)










 


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)










 


Commingling Reserve Account (CORE)










 


Set-off Reserve Account (SORE)










 


Liquidity Facility (LQDF)










 


Margin Account (MGAC)










 


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)










 


Backup Account Bank (BABN)










 


Account Bank Facilitator (ABFC)










 


Account Bank Guarantor (ABGR)










 


Collateral Agent (CAGT)










 


Paying Agent (PAYA)










 


Calculation Agent (CALC)










 


Administration Agent (ADMI)










 


Administration Sub-Agent (ADSA)










 


Transfer Agent (RANA)










 


Verification agent (VERI)










 


Security agent (SECU)










 


Cash Advance Provider (CAPR)










 


Collateral Provider (COLL)










 


Guaranteed Investment Contract Provider (GICP)










 


Insurance Policy Credit Provider (IPCP)










 


Liquidity Facility Provider (LQFP)










 


Backup Liquidity Facility Provider (BLQP)










 


Savings Mortgage Participant (SVMP)










 


Issuer (ISSR)










 


Originator (ORIG)










 


Seller (SELL)










 


Sponsor of the Securitisation Special Purpose Entity (SSSP)










 


Servicer (SERV)










 


Backup Servicer (BSER)










 


Backup Servicer Facilitator (BSRF)










 


Special Servicer (SSRV)










 


Subscriber (SUBS)










 


Interest Rate Swap Provider (IRSP)










 


Backup Interest Rate Swap Provider (BIPR)










 


Currency Swap Provider (CSPR)










 


Backup Currency Swap Provider (BCSP)










 


Auditor (AUDT)










 


Counsel (CNSL)










 


Trustee (TRUS)










 


Representative of Noteholders (REPN)










 


Underwriter (UNDR)










 


Arranger (ARRG)










 


Dealer (DEAL)










 


Manager (MNGR)










 


Letter of Credit Provider (LCPR)










 


Multi-Seller Conduit (MSCD)










 


Securitisation Special Purpose Entity (SSPE)










 


Liquidity or Liquidation Agent (LQAG)










 


Equity owner of conduit/SSPE (EQOC)










 


Swingline Facility Provider (SWNG)










 


Start-up Loan or Lease Provider (SULP)










 


Repurchase Agreement Counterparty (RAGC)










 


Cash Manager (CASM)










 


Collection Account Bank (CACB)










 


Collateral Account Bank (COLA)










 


Subordinated Loan Provider (SBLP)










 


Collateralised Loan Obligation Manager (CLOM)










 


Portfolio Advisor (PRTA)










 


Substitution Agent (SUBA)










 


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