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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 Text with EEA relevance

Type Delegated Regulation
Publication 2015-01-06
State In force
Text As published
Department European Commission
Source EUR-Lex
articles 8

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.

Reform history JSON API
Field Name Static/Dynamic Data Type Field Definition and Criteria
Fields at Security or Bond Level Data Fields at Security or Bond Level Data Fields at Security or Bond Level Data Fields at Security or Bond Level Data
Report Date Dynamic Date The date on which the transaction report was issued.
Issuer Static Text Name of issuer and issue series, if applicable.
Drawings under Liquidity Facility Dynamic Y/N If the transaction 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.
Fields at Collateral Level Data Fields at Collateral Level Data Fields at Collateral Level Data Fields at Collateral Level Data
Trigger Measurements/Ratios Dynamic Y/N Have any trigger event occurred? The status of various delinquency, dilution, default, loss and similar collateral measurements and ratios in relation to their early amortisation or other trigger event levels, as at the current determination date.
Average Constant Pre-payment Rate Dynamic Numeric The report shall include the Average (Avg) Constant Pre-payment Rate (CPR) speed of the underlying loans. Avg CPR speed is the amount expressed as an annualised percentage of principal prepaid in excess of scheduled repayments. The Avg CPR speed is calculated by first dividing the Current Loan Principal Balance (i.e. the actual balance) by the Scheduled Loan Principal Balance assuming no pre-payments have been made (i.e. only scheduled repayments have been made). This quotient is then raised to a power whereby the exponent is the quantity twelve divided by the number of months since issue. Subtract this result from one then multiply it by one hundred (100) to determine the Avg CPR speed.
Fields for Transaction Report Contact Information Fields for Transaction Report Contact Information Fields for Transaction Report Contact Information Fields for Transaction Report Contact Information
Point Contact Static Text Name of the department or the point person(s) of the information sources.
Contact Information Static Text Telephone number and e-mail address.
BOND INFO BY TRANCHE:
Field Name Static/Dynamic Data Type Field Definition and Criteria
Fields at Tranche Level Fields at Tranche Level Fields at Tranche Level Fields at Tranche Level
Bond Class Name Static Text/Numeric The designation (typically a letter and/or number) given to a tranche of Bonds which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1, Class A1 etc.
International Securities Identification Number Static Text/Numeric The security identification code assigned to each class of SME pursuant to standards established by the International Standards Organisation (ISIN) or other unique securities code established by an exchange or other entity.
Interest Payment Date Dynamic Date The periodic date on which the last payment of interest to holders of a specific tranche of bonds is scheduled to occur.
Principal Payment Date Dynamic Date The last periodic date on which a payment of principal to holders of a specific tranche of bonds is scheduled to occur.
Bond Currency Static Text Bond denomination.
Reference Rate Static List The base reference interest index as defined in the offering document (e.g. three-month Euribor) applicable to a specific tranche of bonds.
Legal Maturity Static Date The date before which a specific tranche of bonds must be repaid in order not to be in default.
Bond Issue Date Static Date Date the bonds were issued.

ANNEX IV

Loan Level Data — Reporting template for structured finance instruments backed by auto-loans

ASSETS:
Field Name Static/Dynamic Data Type Field Definition and Criteria
Deal-Specific Information Deal-Specific Information Deal-Specific Information Deal-Specific Information
Pool Cut-off Date Dynamic YYYY-MM-DD Pool or portfolio cut-off date. This is the date at which the underlying asset data within the report is referenced.
Pool Identifier Static Text/Numeric Pool or portfolio identifier/name of transaction.
Servicer Name Dynamic Text/Numeric Unique identifier per servicer to flag which entity is servicing the loan or lease.
Backup Servicer Name Dynamic Text Name of the Backup Servicer.
Loan or Lease-Level Information Loan or Lease-Level Information Loan or Lease-Level Information Loan or Lease-Level Information
Loan or Lease Identifier Static Text/Numeric Unique identifier for the loan or lease. The ID should not change through the life of the transaction.
Originator Static Text Lender that advanced the original loan or lease.
Borrower Identifier Static Text/Numeric Unique identifier for the borrower or lessee.
Group Company Identifier Dynamic Text Unique group company identifier which identifies the borrower’s ultimate parent company.
Loan or Lease Currency Denomination Static List The loan or lease currency denomination.
Borrower’s Employment Status Static List Employment status of the primary applicant.
Primary Income Static 9(11).99 Primary borrower underwritten gross annual income.
Primary Income Currency Static List The income currency denomination
Amortisation Type Dynamic List Amortisation type.
Income Verification for Primary Income Static List Income verification for primary income.
Geographic Region Static List The region where the borrower is located as at underwriting.
Origination Date Static YYYY-MM Date of original loan advance or lease commencement.
Expected Loan or Lease Maturity Dynamic YYYY-MM The expected date of maturity of the loan or expiry of the lease.
Original Loan or Lease Term Static Numeric Original contractual term (number of months).
Pool Addition Date Static YYYY-MM The date that the loan or lease was transferred to the SPV.
Original Principal Balance Static 9(11).99 Borrower’s loan principal balance or discounted lease balance (inclusive of capitalised fees) at origination.
Current Principal Outstanding Balance Dynamic 9(11).99 Borrower’s loan or discounted lease balance outstanding as of the pool cut-off date. This should include 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 transaction, these should be added.
Scheduled Payment Due Dynamic 9(11).99 The next contractual scheduled payment due (the payment due if there are no other payment arrangements in force).
Scheduled Payment Frequency Dynamic List Scheduled payment frequency.
Down Payment Amount Static 9(11).99 Amount of deposit/down payment on origination of loan or lease (this should include the value of traded-in vehicles etc.)
Original Loan to Value Static 9(3).99 The LTV of the vehicle at origination, which may be rounded to the nearest 5 per cent.
Product Type Static List Product type.
Option to Buy Price Static 9(11).99 The amount the borrower has to pay at the end of the lease or loan in order to take ownership of the vehicle.
Interest Rate Reset Interval Static 9(2).99 Number of months between each interest rate reset date on the loan or lease.
Current Interest or Discount Rate Dynamic 9(4).9(5) Total current interest or discount rate (%) applicable to the loan or lease (may be rounded to the nearest half a per cent).
Current Interest Rate Basis Dynamic List Current interest rate basis.
Current Interest Rate Margin Dynamic 9(4).9(5) Current interest rate (%) margin of the loan or lease (may be rounded to the nearest half a per cent). For fixed-rate loans, this is the same as Current Interest or Discount Rate. For floating rate loans this is the margin over (or under, in which case input as a negative) the index rate.
Discount Rate Static 9(4).9(5) Discount rate applied to the receivable when it was sold to the SPV (may be rounded to the nearest half per cent).
Car Manufacturer Static Text Brand name of the vehicle manufacturer.
Car Model Static Text/Numeric Name of the car model.
New or Used Car Static List Condition of vehicle at point of loan or lease origination.
Original Residual Value of Vehicle Static 9(11).99 The estimated residual value of the vehicle, at the date of loan or lease origination. Response may be rounded.
Securitised Residual Value Static 9(11).99 Residual value amount which has been securitised only. Response may be rounded.
Updated Residual Value of Vehicle Dynamic 9(11).99 Most recent estimated residual value of vehicle at end of contract. Response may be rounded.
Date of Updated Residual Valuation of Vehicle Dynamic YYYY-MM The date that 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.
Customer Type Static List Legal form of customer.
Payment method Dynamic List Usual method of payment (can be based upon last payment received).
Date Removed from the Pool Dynamic YYYY-MM Date that the loan or lease was removed from the pool, e.g. on repurchase, redemption, prepayment or end of recovery process.
Interest Cap Rate Dynamic 9(4).9(8) If there is a cap to the interest rate that can be charged on this account, enter this cap here — do not include the % symbol.
Interest Floor Rate Dynamic 9(4).9(8) If there is a floor to the interest rate that can be charged on this account, enter this floor here — do not include the % symbol.
Arrears Balance Dynamic 9(11).99 Current balance of arrears.
Number of Months in Arrears Dynamic 9(5).99 Number of months the loan or lease is in arrears as of the pool cut-off date.
Default Date Dynamic YYYY-MM The date of default.
Gross Default Amount Dynamic 9(11).99 Gross default amount on this account.
Sale Price Dynamic 9(11).99
Loss on Sale Dynamic 9(11).99 Gross default amount less sale proceeds (excluding prepayment charge if subordinate to principal recoveries).
Cumulative Recoveries Dynamic 9(11).99 Cumulative recoveries on this account, net of costs.
Redemption Date Dynamic YYYY-MM Date on which account redeemed or date that the recovery process was completed for defaulted loans.
Residual Value Losses Dynamic 9(11).99 Residual value loss arising on turn-in of vehicle.
Account Status Dynamic List Current status of account
BOND INFO:
Field Name Static/Dynamic Data Type Field Definition and Criteria
Bond-Level Information Bond-Level Information Bond-Level Information Bond-Level Information
Report Date Dynamic YYYY-MM-DD The date on which the transaction report was issued, i.e. the submission date of the completed loan-level data template to the data repository.
Issuer Static Text Name of issuer and issue series, if applicable.
All Reserve Accounts at Target Balance Dynamic Y/N Are all reserve accounts (cash reserve, commingling reserve, set-off reserve etc.) at their required levels?
Drawings under Liquidity Facility Dynamic Y/N Has the liquidity facility been used to cover shortfalls in the period ending on the last interest payment date?
Trigger Measurements/Ratios Dynamic Y/N Has any trigger event occurred?
Annualised Constant Prepayment Rate Dynamic 9(3).99 The annualised Constant Prepayment Rate (CPR) of the underlying receivables based upon the most recent periodic CPR. Periodic CPR is equal to the total unscheduled principal received in the most recent period divided by the start of period principal balance.
Total Receivables Sold to SPV Dynamic 9(11).99 Sum of principal amount of receivables sold to SPV (i.e. at closing and during the replenishment period if applicable) to date.
Cumulative Gross Defaults – Pool Dynamic 9(11).99 Sum of all gross defaults since closing, in currency amount.
Cumulative Recoveries - Pool Dynamic 9(11).99 Sum of all recoveries since closing, net of costs, in currency amount.
Revolving Period End Date Dynamic YYYY-MM The date that the revolving period is expected to end, or actually ended.
Transaction Report Contact Information Transaction Report Contact Information Transaction Report Contact Information Transaction Report Contact Information
Point Contact Static Text/Numeric Name of the department and the point person(s) of the information sources.
Contact Information Static Text/Numeric Telephone number and e-mail address.
BOND INFO BY TRANCHE:
Field Name Static/Dynamic Data Type Field Definition and Criteria
Tranche Level Information Tranche Level Information Tranche Level Information Tranche Level Information
Bond Class Name Static Text/Numeric The designation (typically a letter and/or number) given to this tranche of bonds which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1a etc.
International Securities Identification Number Static Text/Numeric The international security identification code or codes, or if no ISIN, then any other unique securities code such as a CUSIP, assigned to this tranche by an exchange or other entity. If more than one code, enter comma- delimited.
Interest Payment Date Dynamic YYYY-MM-DD The first occurring date, after the pool cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche.
Principal Payment Date Dynamic YYYY-MM-DD The first occurring date, after the pool cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche.
Bond Currency Static List The denomination of this tranche.
Reference Rate Static List The base reference interest index as defined in the offering document (e.g. three months Euribor) applicable to this specific tranche.
Legal Maturity Static YYYY-MM-DD The date before which this specific tranche must be repaid in order not to be in default.
Bond Issue Date Static YYYY-MM-DD Date the bonds were issued.
Interest Payment Frequency Static List The frequency with which interest is due to be paid on this tranche.

ANNEX V

Loan Level Data — Reporting template for structured finance instruments backed by loans to consumers

ASSETS:
Field Name Static/Dynamic Data Type Field Definition and Criteria
Deal-Specific Information Deal-Specific Information Deal-Specific Information Deal-Specific Information
Pool Cut-off Date Dynamic YYYY-MM-DD Pool or Portfolio cut-off date. This is the date at which the underlying asset data within the report is referenced.
Pool Identifier Static Text/Numeric Pool or Portfolio identifier/name of transaction.
Servicer Name Dynamic Text/Numeric Unique identifier per servicer to flag which entity is servicing the loan.
Backup Servicer Name Dynamic Text Name of the Backup Servicer.
Loan Level Information Loan Level Information Loan Level Information Loan Level Information
Loan Identifier Static Text/Numeric Unique identifier for a particular loan in the pool.
Originator Static Text Lender that advanced the original loan.
Borrower Identifier Static Text/Numeric Unique identifier for a borrower. This must be encrypted (i.e. not the actual identification number) to ensure anonymity of the borrower.
Loan Currency Denomination Static List Loan currency denomination.
Total Credit Limit Dynamic 9(11).99 For loans with flexible re-draw/revolving characteristics — the maximum loan amount that could potentially be outstanding.
Revolving End Date - Loan Dynamic YYYY-MM For loans with flexible re-draw/revolving characteristics — the date when the flexible features are expected to expire, i.e. when the revolving period will end.
Borrower's Employment Status Static List Employment status of the primary applicant.
Primary Income Static 9(11).99 Primary borrower underwritten gross annual income (not rent). Should be rounded to the nearest 1 000 units.
Primary Income Currency Static List The income currency denomination.
Income Verification for Primary Income Static List Income verification for primary income.
Geographic Region Static List The region where the borrower is located.
Origination Date Static YYYY-MM Date of original loan advance.
Expected Loan Maturity Dynamic YYYY-MM The expected date of maturity of the loan.
Original Loan Term Static Numeric Original contractual term (number of months).
Pool Addition Date Static YYYY-MM The date that the loan was transferred to the SPV.
Original Principal Balance Static 9(11).99 Original loan principal balance (inclusive of capitalised fees) at origination.
Current Principal Outstanding Balance Dynamic 9(11).99 The loan principal balance outstanding as of the pool cut-off date. Exclude any interest arrears or penalty amounts.
Scheduled Payment Due Dynamic 9(11).99 The next contractual scheduled payment due (the payment due if there are no other payment arrangements in force).
Scheduled Payment Frequency Dynamic List Payment frequency.
Repayment Method Dynamic List Type of principal repayment.
Interest Rate Reset Interval Static 9(2).99 Number of months between each interest rate reset date.
Current Interest Rate Dynamic 9(4).9(8) Total current interest rate (%) applicable to the loan. Do not include the % symbol.
Current Interest Rate Basis Dynamic List Current interest rate basis.
Current Interest Rate Margin Dynamic 9(4).9(5) Current interest rate (%) margin of the loan. For fixed-rate loans, this is the same as Current Interest Rate.
Number of Borrowers Dynamic Numeric Number of borrowers to the loan.
Percentage of Prepayments allowed Dynamic 9(3).99 Maximum percentage of the outstanding balance allowed annually as a prepayment without incurring a penalty. Do not include the % symbol.
Early Repayment Charges Dynamic 9(3).99 Percentage of the outstanding balance which is payable as a charge if the prepayment limit is exceeded. Do not include the % symbol.
Customer Type Static List Customer type at origination.
Payment Method Dynamic List Usual method of payment (can be based upon last payment received).
Date Removed from the Pool Dynamic YYYY-MM Date that the loan was removed from the pool, e.g. on repurchase, redemption, prepayment or end of recovery process.
Employee Static Y/N Is the borrower an employee of the originator?
Interest Cap Rate Dynamic 9(4).9(8) If there is a cap to the interest rate that can be charged on this account, enter this cap here.
Interest Floor Rate Dynamic 9(4).9(8) If there is a floor to the interest rate that can be charged on this account, enter this floor here.
Performance Information Performance Information Performance Information Performance Information
Arrears Balance Dynamic 9(11).99 Current balance of arrears, defined as the sum of minimum contractual payments due but unpaid by the borrower.
Number of Months in Arrears Dynamic 9(5).99 Number of months the loan is in arrears as of the pool cut-off date.
Default Date Dynamic YYYY-MM The date of default.
Gross Default Amount Dynamic 9(11).99 Gross default amount on this account.
Cumulative Recoveries Dynamic 9(11).99 Cumulative recoveries on this account, net of costs.
Redemption Date Dynamic YYYY-MM Date on which account redeemed or the date that the recovery process was completed for defaulted loans.
Account Status Dynamic List Current status of account.
Arrears Balance Capitalised Dynamic 9(11).99 Sum of arrears capitalised to date.
Date of Most Recent Arrears Capitalisation Dynamic YYYY-MM Most recent date that arrears were capitalised on this account.
BOND INFO:
Field Name Dynamic/Static Data Type Field Definition and Criteria
Security or Bond Level Information Security or Bond Level Information Security or Bond Level Information Security or Bond Level Information
Report Date Dynamic YYYY-MM-DD The date on which the transaction report was issued, i.e. the submission date of the completed loan-level data template to the data repository.
Issuer Static Text Name of issuer and issue series, if applicable.
All Reserve Accounts at Target Balance Dynamic Y/N Are all reserve accounts (cash reserve, commingling reserve, set-off reserve etc.) at their required levels?
Drawings under Liquidity Facility Dynamic Y/N Has the liquidity facility been used to cover shortfalls in the period ending on the last interest payment date?
Trigger Measurements/Ratios Dynamic Y/N Has any trigger event occurred?
Annualised Constant Prepayment Rate Dynamic 9(3).99 The annualised Constant Prepayment Rate (CPR) of the underlying receivables based upon the most recent periodic CPR. Periodic CPR is equal to the total unscheduled principal received in the most recent period divided by the start of period principal balance. This is then annualised as follows: 1-((1-Periodic CPR)^number of periods in a year) Do not include the % symbol.
Total Receivables Sold to SPV Dynamic 9(11).99 Sum of principal amount of receivables sold to SPV (i.e. at closing and during the replenishment period if applicable) to date.
Cumulative Gross Defaults – Pool Dynamic 9(11).99 Sum of all gross defaults since closing, in currency amount.
Cumulative Recoveries - Pool Dynamic 9(11).99 Sum of all recoveries in the pool since closing, net of costs, in currency amount.
Revolving Period End Date Dynamic YYYY-MM The date that the transaction revolving period is expected to end, or actually ended.
Transaction Report Contact Information Transaction Report Contact Information Transaction Report Contact Information Transaction Report Contact Information
Point Contact Static Text/Numeric Name of the department and the point person(s) of the information sources.
Contact Information Static Text/Numeric Telephone number and e-mail address.
BOND INFO BY TRANCHE:
Field Name Static/Dynamic Data Type Field Definition and Criteria
Tranche Level Information Tranche Level Information Tranche Level Information Tranche Level Information
Bond Class Name Static Text/Numeric The designation (typically a letter and/or number) given to a tranche of bonds which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1a etc.
International Securities Identification Number Static Text/Numeric The international security identification code or codes, or if no ISIN then any other unique securities code such as a CUSIP, assigned to this tranche by an exchange or other entity. If more than one code, enter comma-delimited.
Interest Payment Date Dynamic YYYY-MM-DD The first occurring date, after the pool cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche.
Principal Payment Date Dynamic YYYY-MM-DD The first occurring date, after the pool cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche.
Bond Currency Static List The denomination of this tranche.
Reference Rate Static List The base reference interest index as defined in the prospectus applicable to this specific tranche.
Legal Maturity Static YYYY-MM-DD The date by which this specific tranche must be fully repaid in order not to be in default.
Bond Issue Date Static YYYY-MM-DD Date the bonds were issued.
Interest Payment Frequency Static List The frequency with which interest is due to be paid on this tranche.

ANNEX VI

Loan Level Data — Reporting template for structured finance instruments backed by credit card loans

ASSETS:
Field Name Static/Dynamic Data Type Field Definition and Criteria
Deal-Specific Information Deal-Specific Information Deal-Specific Information Deal-Specific Information
Pool Cut-Off Date Dynamic YYYY-MM-DD Pool or portfolio cut-off date. This is the date at which the underlying asset data within the report is referenced.
Pool Identifier Static Text/Numeric Pool or portfolio identifier, e.g. Master Issuer plc, or SPV 2012-1 plc.
Servicer Name Static Text/Numeric Name of the entity servicing the account.
Backup Servicer Name Dynamic Text/Numeric Name of the backup servicer.
Seller Static Text/Numeric Name of Seller.
Type of Transaction Static List Standalone, Master Trust — Capitalist, Master Trust — Socialist or Other.
Loan Level Information Loan Level Information Loan Level Information Loan Level Information
Account Identifier Static Text/Numeric Unique identifier for a particular account in the pool. It must be encrypted to ensure data protection.
Originator Static Text/Numeric Lender that originated the account. If unknown, please enter Seller.
Borrower Identifier Static Text/Numeric Unique identifier for a particular borrower; must be encrypted to ensure data protection. This may be the same as the Account Identifier.
Currency Denomination Of Receivable Static List The currency in which the receivable is denominated.
Pool Addition Date Static YYYY-MM Date that the account entered the pool.
Borrower’s Employment Status Static List Employment status of the primary applicant.
Primary Income Currency Static List Primary income currency denomination.
Income Verification For Primary Income Static List Income verification for primary income.
Geographic Region Dynamic List The region where the borrower is located.
Employee Static Y/N Is the borrower an employee of the originator or seller?
Account Opening Date Static YYYY-MM The date that the account was opened.
Total Current Balance Dynamic 9(11).99 What is the total current amount owed by the borrower (including all fees and interest) on the account?
Total Credit Limit Dynamic 9(11).99 What is the credit limit of the borrower on the account?
Scheduled Payment Frequency Dynamic List What is the minimum frequency with which the borrower are obliged to make payments if they have a balance outstanding.
Next Minimum Contractual Payment Dynamic 9(11).99 The next minimum scheduled payment due from the borrower.
Current Blended Yield Dynamic 9(3).99 Total weighted average yield including all fees applicable at last billing date (i.e. this is billed, not cash yield) (%).
Current Interest Rate Basis Dynamic List Current interest rate basis.
Account Status Dynamic List Current status of account.
Arrears Balance Dynamic 9(11).99 Current balance of arrears, defined as the sum of minimum contractual payments due but unpaid by the borrower.
Arrears Balance Capitalised Dynamic 9(11).99 Sum of arrears capitalised to date.
Date of Most Recent Arrears Capitalisation Dynamic YYYY-MM Most recent date that arrears were capitalised on this card.
Number Of Days In Arrears Dynamic Numeric Number of days the account is in arrears as of the pool cut-off date.
Payment Method Dynamic List Usual method of payment (can be based upon last payment received).
Date Of Charge Off Dynamic YYYY-MM The date of default.
Original Charge Off Amount Dynamic 9(11).99 The total balance on the account at the date the account was charged-off.
Cumulative Recoveries Dynamic 9(11).99 Cumulative recoveries — only relevant for accounts that have charged-off. For accounts that have not been charged-off, enter 0.
POOL AND BOND INFO:
Field Name Static/Dynamic Data Type Field Definition and Criteria
Collateral Level Data (To be completed for all structures) Collateral Level Data (To be completed for all structures) Collateral Level Data (To be completed for all structures) Collateral Level Data (To be completed for all structures)
Gross Charge Offs In The Period Dynamic 9(11).99 Face value of gross principal charge-offs (i.e. before recoveries) for the period. Charge-off is as per transaction definition, or alternatively per lender’s usual practice.
Recoveries In The period Dynamic 9(11).99 Gross recoveries received during the period.
Delinquencies 30-59 Days % Dynamic 9(3).99 Based upon total balance of receivables, not number of accounts (%).
Delinquencies 60-89 Days % Dynamic 9(3).99 Based upon total balance of receivables, not number of accounts (%).
Delinquencies 90-119 Days % Dynamic 9(3).99 Based upon total balance of receivables, not number of accounts (%).
Delinquencies 120-149 Days % Dynamic 9(3).99 Based upon total balance of receivables, not number of accounts (%).
Delinquencies 150-179 Days % Dynamic 9(3).99 Based upon total balance of receivables, not number of accounts (%).
Delinquencies 180+ Days % Dynamic 9(3).99 Based upon total balance of receivables, not number of accounts (%).
Dilutions Dynamic 9(11).99 Total reductions in principal receivables during the period, i.e. inclusive of fraud claims.
Revenue Collections In The Period Dynamic 9(11).99 Collections treated as revenue in the period.
Principal Collections In The Period Dynamic 9(11).99 Collections treated as principal in the period.
Any Trigger Occurrence Dynamic Y/N Has any trigger event occurred, that is still outstanding? e.g. any pay-out event, any trigger based upon the originator’s rating, status or value of delinquencies, yield, dilutions, defaults etc.
SPV Size - Value Dynamic 9(11).99 Face value of all receivables (principal and charges) in which the trust or SPV has a beneficial interest at the cut-off date.
SPV Size - Number Of Accounts Dynamic 9(11).99 Number of accounts in which the trust or SPV has a beneficial interest at the cut-off date.
SPV Size - Value - Principal Only Dynamic 9(11).99 Face value of all receivables (principal only) in which the trust or SPV had a beneficial interest at the cut-off date.
Note Balance Dynamic 9(11).99 Face value of all asset-backed notes, collateralised by the receivables in the trust or SPV.
Transferor Interest % Dynamic 9(3).99 The actual transferor’s interest in the trust, expressed as a percentage.
Excess Spread Amount Dynamic 9(11).99 The amount remaining after note interest and topping up of any reserve account.
Report Date Dynamic YYYY-MM-DD The date on which the transaction report was issued.
Series Level Information (For master trusts only) Series Level Information (For master trusts only) Series Level Information (For master trusts only) Series Level Information (For master trusts only)
Series Name Static Text/Numeric Name of series, if part of a master trust.
Investor Interest For This Series At End Of Period % Dynamic 9(3).9(5) The investor’s interest of this series in the trust, expressed as a percentage.
Revenue Allocated To This Series Dynamic 9(11).99 Revenue amounts allocated to this series from the trust.
Excess Spread Amount Dynamic 9(11).99 The amount remaining after the period’s collections have been fully applied to cover the issuer’s obligations per the revenue waterfall in the transaction documentation.
Transaction Report Contact Information Transaction Report Contact Information Transaction Report Contact Information Transaction Report Contact Information
Point Contact Static Text/Numeric Name of the department and the point person(s) of the information sources.
Contact Information Static Text/Numeric Telephone number and email address.
BOND INFO BY TRANCHE:
Field Name Static/Dynamic Data Type Field Definition and Criteria
Tranche Level Information (For this series only) Tranche Level Information (For this series only) Tranche Level Information (For this series only) Tranche Level Information (For this series only)
Bond Class Name Static Text/Numeric The designation (typically a letter and/or number) given to a tranche of bonds which exhibit the same rights, priorities and characteristics as defined in the prospectus, e.g. 2012 Class A1a etc.
International Securities Identification Number Static Text/Numeric The international security identification code or codes, or if no ISIN then any other unique securities code such as a CUSIP, assigned to this tranche by an exchange or other entity. If more than one code, enter comma-delimited.
Interest Payment Date Dynamic YYYY-MM-DD The first occurring date, after the pool cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche.
Principal Payment Date Dynamic YYYY-MM-DD The first occurring date, after the pool cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche.
Bond Currency Static List The denomination of this tranche.
Reference Rate Static List The base reference interest index as defined in the prospectus or final terms applicable to this specific tranche.
Legal Maturity Static YYYY-MM-DD The date by which this specific tranche must be fully repaid in order not to be in default.
Bond Issue Date Static YYYY-MM-DD Date this bond was issued.
Interest Payment Frequency Static List The frequency with which interest is due to be paid on this specific tranche.
Series name Static Text/Numeric Name of series, if part of a master trust. If standalone, use Pool Identifier.

ANNEX VII

Loan Level Data — Reporting template for structured finance instruments backed by leases to individuals or businesses

Field Name Static/Dynamic Data Type Field Definition and Criteria
Deal-Specific Information Deal-Specific Information Deal-Specific Information Deal-Specific Information
Pool Cut-off Date Dynamic YYYY-MM-DD Pool or Portfolio cut-off date. This is the date at which the underlying asset data within the report is referenced.
Pool Identifier Static Text/Numeric Pool or Portfolio identifier/name of transaction.
Servicer Name Dynamic Text/Numeric Servicer name.
Backup Servicer Name Dynamic Text Name of the Backup Servicer.
Lease-Level Information Lease-Level Information Lease-Level Information Lease-Level Information
Lease Identifier Static Text/Numeric Unique identifier (ID) for each Lease which should be encrypted to ensure anonymity. The Lease ID should not change through the life of the transaction.
Originator Static Text Lender that advanced the original Lease. Where original originator is not known, for example in case of mergers, name of Seller to be provided.
Lessee Identifier Static Text/Numeric Unique identifier (ID) per Lessee which should be encrypted (not showing the real name) to ensure anonymity — to enable Lessees with multiple Leases in the pool to be identified.
Group Company Identifier Dynamic Text/Numeric Unique group company identifier.
Lease Currency Denomination Static List Lease currency denomination.
Country Static List Country of permanent establishment of the lessee.
Geographic Region Static List The region where the obligor is located as at underwriting.
Lessee Legal Form/Business Type Static List Legal form of lessee.
Borrower Basel III Segment Static List Corporate (1).
Originator Affiliate? Static Y/N Is the borrower an affiliate of the originator?
Syndicated? Static Y/N Is the lease syndicated?
Bank Internal Rating Dynamic 99(3).99 Bank internal 1 Year Probability of Default.
Last Internal Obligor Rating Review Dynamic YYYY-MM Date of last internal review of obligor as referenced in ‘Bank Internal Rating’.
Bank Internal Loss Given Default (LGD) Estimate Dynamic 9(3).99 Loss Given Default in normal economic conditions. Do not include the % symbol.
NACE Industry Code Static Text/Numeric Borrower industry NACE Code.
Subsidised Dynamic Y/N Is the lease subsidised (to the best of your knowledge)?
Date Removed from the Pool Dynamic YYYY-MM Date that the lease was removed from the pool, e.g. on repurchase, expiry of lease term, prepayment or end of recovery process.
Lease Characteristics Lease Characteristics Lease Characteristics Lease Characteristics
Lease Origination Date Static YYYY-MM Date of lease origination.
Date of Lease Maturity Dynamic YYYY-MM The expected expiry date of the lease maturity.
Pool Addition Date Static YYYY-MM Date that the lease was transferred to the SPV. For all leases in the pool as at the date of the pool cut-off.
Lease Term Static 99(4).99 Original contractual term (number of months).
Original Principal Balance Static 9(11).99 Original Principal (or discounted) lease balance (inclusive of capitalised fees) at origination.
Current Principal Outstanding Balance Dynamic 9(11).99 Principal (or discounted) lease balance outstanding as of the pool cut-off date, including any amounts that have been added to the lease balance and are part of the principal in the transaction.
Securitised Residual Value Static 9(11).99 Residual value amount which has been securitised only.
Repayment Method Static List Type of principal repayment.
Principal Payment Frequency Static List Frequency of principal payments due, i.e. number of months between payments.
Interest Payment Frequency Static List Frequency of interest payments due, i.e. number of months between payments.
Payment Due Dynamic 9(11).99 The next periodic contractual payment due (the payment due if there are no other payment arrangements in force).
Option to Buy Price Static 9(11).99 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 field ‘Securitised Residual Value’.
Down Payment Amount Static 9(11).99 Amount of deposit/down payment on origination of lease (this should include the value of traded-in equipment etc.).
Amortisation Type Dynamic List Amortisation type.
Payment Method Dynamic List Usual method of payment (can be based upon last payment received).
Product Type Static List The classification of the lease, per lessor’s definitions.
Updated Residual Value of Asset Dynamic 9(11).99 Most recent forecast residual value of the asset at the end of the lease term. Response may be rounded.
Date of Updated Residual Valuation of Asset Dynamic YYYY-MM The date that the most recent updated estimation of the residual value of the asset was calculated.
Interest Rate Interest Rate Interest Rate Interest Rate
Interest Rate Reset Interval Static 9(2).99 Number of months between each interest rate reset date.
Current Interest Rate or Discount Rate Dynamic 9(4).9(5) Total current interest rate (%) or discount rate applicable to the lease.
Current Interest Rate Basis Dynamic List Current interest rate basis.
Current Interest Rate Margin Dynamic 9(4).9(5) Current interest rate margin of the lease.
Discount Rate Static 9(4).9(5) Discount rate applied to the receivable when it was sold to the SPV.
Interest Cap Rate Dynamic 9(4).9(8) If there is a cap to the interest rate that can be charged on this account, enter this cap here.
Interest Floor Rate Dynamic 9(4).9(8) If there is a floor to the interest rate that can be charged on this account, enter this floor here.
Performance Information Performance Information Performance Information Performance Information
Arrears Balance Dynamic 9(11).99 Current balance of arrears. Arrears defined as: Total payments due to date LESS Total payments received to date LESS any amounts capitalised. This should not include any fees applied to the account.
Number of Months in Arrears Dynamic 9(5).99 Number of months this Lease is in arrears (at pool cut-off date) according to the definition of the issuer.
Default or Foreclosure on the Lease Dynamic Y/N Whether there has been a default or foreclosure on the lease per the transaction definition, or alternatively, per the lessor’s usual definition.
Default or Foreclosure on the Lease per Basel III definition Dynamic Y/N Whether there has been a default or foreclosure on the Lease per Basel III definition.
Reason for Default (Basel III definition) Dynamic List Using Basel III definition, reason for default.
Default Date Dynamic YYYY-MM Date the Lease defaulted per the transaction default definition, or alternatively, per the lessor’s usual definition.
Default Amount Dynamic 9(11).99 Total default amount (per the transaction definition, or alternatively, per the lessor’s usual definition) before the application of sale proceeds and recoveries.
Cumulative Recoveries Dynamic 9(11).99 Cumulative recoveries on this account, net of costs.
Allocated Losses Dynamic 9(11).99 The allocated losses to date.
Redemption Date Dynamic YYYY-MM Date on which account redeemed or the date that the recovery process was completed for defaulted leases.
Date Loss Allocated Dynamic YYYY-MM The date when the loss was allocated.
Account Status Dynamic List Current status of account.
Arrears 1 Month Ago Dynamic 9(11).99 Arrears balance (defined as per ‘arrears balance’) for the previous month.
Arrears 2 Months Ago Dynamic 9(11).99 Arrears balance (defined as per ‘arrears balance’) two months ago.
Litigation Dynamic Y/N Flag to indicate litigation proceedings underway (if account has recovered and is no longer being actively litigated this should be re-set to N).
Sale Price Dynamic 9(11).99 Price achieved on sale of asset in case of foreclosure, in same currency denomination as lease.
Loss on Sale Dynamic 9(11).99 Total loss net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries).
Residual Value Losses Dynamic 9(11).99 Residual value loss arising on turn-in of asset.
Collateral Collateral Collateral Collateral
Country of Asset Static List The country where the asset is located.
Asset Manufacturer Static Text Name of the manufacturer.
Asset Name/Model Static Text Name of the asset/model.
New or Used Asset Static List Condition of asset at point of lease origination.
Original Residual Value of Asset Static 9(11).99 The estimated residual value of the asset at the date of lease origination.
Asset Type Static List Asset type.
Original Valuation amount Static 9(11).99 Valuation of asset at lease origination.
Original Valuation type Static List Valuation type at lease origination.
Original Valuation date Static YYYY-MM Date of asset valuation at origination.
Updated Valuation amount Dynamic 9(11).99 Latest asset valuation.
Updated Valuation type Dynamic List Valuation type at most recent valuation date.
Updated Valuation date Dynamic YYYY-MM Date of latest asset valuation. If no revaluation has occurred since origination, enter original valuation date.
BOND INFO:
Field Name Static/Dynamic Data Type Field Definition and Criteria
Security or Bond Level Information Security or Bond Level Information Security or Bond Level Information Security or Bond Level Information
Report Date Dynamic YYYY-MM-DD The date on which the transaction report was issued, i.e. the submission date of the completed loan-level data template to the data repository.
Issuer Static Text Name of issuer and issue series, if applicable.
All Reserve Accounts at Target Balance Dynamic Y/N Are all reserve accounts (cash reserve, commingling reserve, set-off reserve etc.) at their required levels?
Drawings under Liquidity Facility Dynamic Y/N Has the liquidity facility been used to cover shortfalls in the period ending on the last interest payment date?
Trigger Measurements/Ratios Dynamic Y/N Has any trigger event occurred?
Annualised Constant Prepayment Rate Dynamic 9(3).99 The annualised Constant Prepayment Rate (CPR) of the underlying receivables based upon the most recent periodic CPR. Periodic CPR is equal to the total unscheduled principal received in the most recent period divided by the start of period principal balance.
Total Receivables Sold to SPV Dynamic 9(11).99 Sum of principal amount of receivables sold to SPV (i.e. at closing and during the replenishment period if applicable) to date.
Cumulative Gross Defaults - Pool Dynamic 9(11).99 Sum of all gross defaults since closing, in currency amount.
Cumulative Recoveries - Pool Dynamic 9(11).99 Sum of all recoveries since closing, in currency amount.
Revolving Period End Date Dynamic YYYY-MM The date that the revolving period is expected to end, or actually ended.
Transaction Report Contact Information Transaction Report Contact Information Transaction Report Contact Information Transaction Report Contact Information
Point Contact Static Text/Numeric Name of the department and the point person(s) of the information sources.
Contact Information Static Text/Numeric Telephone number and e-mail address.
BOND INFO BY TRANCHE:
Field Name Static/Dynamic Data Type Field Definition and Criteria
Tranche Level Information Tranche Level Information Tranche Level Information Tranche Level Information
Bond Class Name Static Text/Numeric The designation (typically a letter and/or number) given to this tranche of bonds which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1a etc.
International Securities Identification Number Static Text/Numeric The international security identification code or codes, or if no ISIN, then any other unique securities code such as a CUSIP, assigned to this tranche by an exchange or other entity.
Interest Payment Date Dynamic YYYY-MM-DD The first occurring date, after the pool cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche.
Principal Payment Date Dynamic YYYY-MM-DD The first occurring date, after the pool cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche.
Bond Currency Static List The denomination of this tranche.
Reference Rate Static List The base reference interest index as defined in the offering document applicable to this specific tranche of Bond.
Legal Maturity Static YYYY-MM-DD The date before which this specific tranche must be repaid in order not to be in default.
Bond Issue Date Static YYYY-MM-DD Date the bonds were issued.
Interest Payment Frequency Static List The frequency with which interest is due to be paid on this tranche.

ANNEX VIII

Investor reports

The investor reports shall contain information on:

  • (a) asset performance;
  • (b) a detailed cash flow allocation;
  • (c) a list of all triggers of the transaction and their status;
  • (d) a list of all counterparties involved in a transaction, their role and their credit ratings;
  • (e) details of cash injected into the transaction by the originator/sponsor or any other support provided to the transaction including any drawings under or utilisation of any liquidity or credit support and support provided by a third party;
  • (f) amounts standing to the credit of guaranteed investment contract and other bank accounts;
  • (g) details of any swaps (e.g. rates, payments and notionals) and other hedging arrangements to the transaction, including any related collateral postings;
  • (h) definitions of key terms (such as delinquencies, defaults and pre-payments);
  • (i) LEI, ISIN and other security or entity identification codes of the issuer and the structured finance instrument;
  • (j) contact details of the entity producing the investor report.

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