LegalizeCommission 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)
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
| Field code | Field name | Content to report | ND1-ND4 allowed? | ND5 allowed? |
|---|---|---|---|---|
| Underlying exposures information section | Underlying exposures information section | Underlying exposures information section | Underlying exposures information section | 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 | Collateral-level information section | Collateral-level information section | Collateral-level information section | 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 | Underlying exposures information section | Underlying exposures information section | Underlying exposures information section | 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 | Collateral-level information section | Collateral-level information section | Collateral-level information section | 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 | Historical collections information section | Historical collections information section | Historical collections information section | 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 | Underlying exposures information section | Underlying exposures information section | Underlying exposures information section | 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
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