Commission Delegated Regulation (EU) 2015/3Show full title

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)

THE EUROPEAN COMMISSION,

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

Having regard to Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies(1), and in particular the third subparagraph of Article 8b(3) thereof,

Whereas:

(1) In accordance with Article 8b of Regulation (EC) No 1060/2009, investors should receive sufficient information on the quality and performance of their underlying assets with a view to enabling them to perform an informed assessment of the creditworthiness of structured finance instruments. This would also reduce investors’ dependence on credit ratings and should facilitate the issuance of unsolicited credit ratings.

(2) This Regulation should apply to all financial instruments or other assets resulting from a securitisation transaction or scheme referred to in Article 4(1)(61) of Regulation (EU) No 575/2013 of the European Parliament and of the Council(2) on condition that the issuer, originator or sponsor, is established, and for that purpose has its statutory seat, in the Union. Therefore, this Regulation should only cover financial instruments or other assets resulting from any transaction or scheme whereby the credit risk associated with an exposure or pool of exposures is tranched and has the characteristics referred to in that Article. Therefore, in line with that Regulation, an exposure that creates a direct payment obligation for a transaction or scheme used to finance or operate physical assets should not be considered an exposure to a securitisation, even if the transaction or scheme has payment obligations of different seniority.

(3) The scope of this Regulation should not be limited to the issuance of structured finance instruments that qualify as securities, but also should include other financial instruments and assets resulting from a securitisation transaction or scheme, such as money-market instruments, including asset-backed commercial paper programmes. In addition, this Regulation should apply to structured finance instruments with and without credit ratings assigned by a credit rating agency registered in the Union. Private and bilateral transactions should also be within the scope of this Regulation, as well as transactions that are not offered to the public or admitted to trading on a regulated market.

(4) This Regulation contains standardised disclosure templates for a number of asset class categories. Without prejudice to the scope of this Regulation and until reporting obligations have been developed by ESMA and adopted by the Commission, those standardised disclosure templates and all reporting obligations under this Regulation should apply only to structured finance instruments that are backed by underlying assets which are included in the list of underlying asset class categories specified in this Regulation and which in addition are not of a private or bilateral nature.

(5) When complying with this Regulation, issuers, originators and sponsors should comply with national and Union legislation governing the protection of confidentiality of information sources or the processing of personal data in order to avoid potential breaches of such legislation.

(6) The issuer, originator and sponsor may designate an entity responsible for reporting the information to the website to be set up by ESMA in accordance with Article 8b(4) of Regulation (EC) No 1060/2009 (the SFIs website). Outsourcing the reporting obligation to another entity, for example a servicer, should also be possible. This should be without prejudice to the responsibility of the issuer, originator and sponsor under this Regulation.

(7) A number of technical reporting instructions concerning, among others, the transmission or the format of the files to be submitted by issuers, originators and sponsors should be communicated by ESMA on its website. ESMA should communicate those technical reporting instructions in due course before the date of application of the reporting obligations laid down in this Regulation, in order to enable issuers, originators, sponsors and other parties involved to be given enough time to develop adequate systems and procedures following the technical instructions provided by ESMA.

(8) The information to be provided pursuant to this Regulation should be compiled in a standard format to allow for automatic processing of the data on the SFIs website. The information should also be published in a format that is easily accessible for any user of the SFIs website. ESMA should ensure that sectoral competent authorities have access to the SFIs website so as to carry out the tasks assigned to them under Regulation (EC) No 1060/2009.

(9) This Regulation is based on the draft regulatory technical standards submitted by ESMA to the Commission in accordance with Article 10 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council(3).

(10) ESMA has conducted an open public consultation on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010.

(11) A reasonable time is necessary in order to allow the issuers, the originators and the sponsors of a structured finance instrument established in the Union to adapt and take the necessary steps to comply with this Regulation and to allow ESMA to develop the SFIs website on which disclosure of the information required by this Regulation should take place. Therefore, this Regulation should apply from 1 January 2017. However, ESMA should communicate necessary technical reporting instructions in a timely manner before the date of application of this Regulation. This is necessary in order to enable the issuers, the originators and the sponsors of a structured finance instrument established in the Union to be given enough time to develop adequate systems and procedures following those technical instructions with a view to ensuring complete and correct reporting and to take into account further developments in the financial markets in the Union,

HAS ADOPTED THIS REGULATION:

Modifications etc. (not altering text)

C1 The “appropriate regulator” has power to make such provision as they consider appropriate by means of an instrument in writing to prevent, remedy or mitigate any failure of the provisions of this Regulation to operate effectively or any other deficiency arising from the withdrawal of the United Kingdom from the EU, see The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 1 (with saving on IP completion day by S.I. 2019/680, regs. 1(2), 11; 2020 c. 1, Sch. 5 para. 1(1))

C2 Regulation: power to modify conferred (11.7.2023) by Financial Services and Markets Act 2023 (c. 29), ss. 3, 86(3), Sch. 1 Pts. 1, 3; S.I. 2023/779, reg. 2(d)

Article 1 U.K. Scope

This Regulation shall apply to structured finance instruments where the issuer, the originator or the sponsor is established in the Union and which are issued after the date of entry into force of this Regulation.

Article 2 U.K. Reporting entity

1. The issuer, the originator and the sponsor of a structured finance instrument may designate one or multiple reporting entities that publish the information required pursuant to Articles 3 and 4, and Article 5(3) of this Regulation on the website referred to in Article 8b(4) of Regulation (EC) No 1060/2009 (the SFIs website). Those entities shall publish the required information on the SFIs website in accordance with Articles 4 to 7 of this Regulation.

2. The issuer, the originator and the sponsor of a structured finance instrument that has designated the entity or entities referred to in paragraph 1 shall notify ESMA without undue delay of any entity designated in accordance with that paragraph. That designation shall be without prejudice to the responsibility of the issuer, the originator and the sponsor to comply with Article 8b of Regulation (EC) No 1060/2009.

Article 3 U.K. Information to be reported

Where a structured finance instrument is backed by any of the underlying assets referred to in Article 4, the reporting entity shall provide the following information to the SFIs website:

(a)

loan level information through the standardised disclosure templates included in Annexes I to VII;

(b)

where applicable to a structured finance instrument, the following documents, including a detailed description of the waterfall of payments of the structured finance instrument:

(i)

the final offering document or prospectus, together with the closing transaction documents, including any public documents referenced in the prospectus or which govern the workings of the transaction and excluding legal opinions;

(ii)

the asset sale agreement, assignment, novation or transfer agreement and any relevant declaration of trust;

(iii)

the servicing, back-up servicing, administration and cash management agreements;

(iv)

the trust deed, security deed, agency agreement, account bank agreement, guaranteed investment contract, incorporated terms or master trust framework or master definitions agreement;

(v)

any relevant inter-creditor agreements, swap documentation, subordinated loan agreements, start-up loan agreements and liquidity facility agreements;

(vi)

any other underlying documentation that is essential for the understanding of the transaction;

(c)

where a prospectus has not been drawn up in compliance with Directive 2003/71/EC of the European Parliament and of the Council(4), a transaction summary or overview of the main features of a structured finance instrument, including:

(i)

deal structure;

(ii)

the asset characteristics, cash flows, credit enhancement and liquidity support features;

(iii)

the note holder voting rights, the relationship between note holders and other secured creditors in a transaction;

(iv)

a list of all triggers and events referred to in the documents provided to the SFIs website in accordance with point (b) that could have a material impact on the performance of the structured finance instruments;

(v)

the structure diagrams containing an overview of the transaction, the cash flows and the ownership structure;

(d)

the investor reports, containing the information included in Annex VIII.

Article 4 U.K. Underlying assets

The information requirements set out in Article 3 shall apply to structured finance instruments backed by the following underlying assets:

(a)

residential mortgages: this class of structured finance instruments includes structured finance instruments backed by prime and non-prime mortgages and home equity loans. For this class of structured finance instruments, the information included in the template in Annex I shall be provided to the SFIs website;

(b)

commercial mortgages: this class of structured finance instruments includes structured finance instruments backed by retail or office property loans, hospital loans, care residences, storage facilities, hotel loans, nursing facilities, industrial loans, and multifamily properties. For this class of structured finance instruments, the information included in the template in Annex II shall be provided to the SFIs website;

(c)

loans to small and medium-sized enterprises: for this class of structured finance instruments, the information included in the template in Annex III shall be provided to the SFIs website;

(d)

auto-loans: for this class of structured finance instruments, the information included in the template in Annex IV shall be provided to the SFIs website;

(e)

consumer loans: for this class of structured finance instruments, the information included in the template in Annex V shall be provided to the SFIs website;

(f)

credit card-loans: for this class of structured finance instruments, the information included in the template in Annex VI shall be provided to the SFIs website;

(g)

leases to individuals and/or businesses: for this class of structured finance instruments, the information included in the template in Annex VII shall be provided to the SFIs website.

Article 5 U.K. Frequency of reporting

1. The information set out in Article 3(a) and (d) shall be made available on a quarterly basis, no later than one month following the due date for payment of interest on the structured finance instrument concerned.

2. The information set out in Article 3(b) and (c) shall be made available without delay after the issuance of a structured finance instrument.

3. In addition to the requirements set out in paragraphs 1 and 2:

(a) where the requirements laid down in Article 17 of Regulation (EU) No 596/2014 of the European Parliament and of the Council(5) on insider dealing and market manipulation (market abuse) apply also in relation to a structured finance instrument, any disclosure of information pursuant to that article shall also subsequently be published without delay on the SFIs website by the reporting entity;

(b) where point (a) does not apply, the reporting entity shall disclose without delay on the SFIs website any significant change or event in any of the following cases:

(i)

a breach of the obligations laid down in the documents provided in accordance with Article 3(b);

(ii)

structural features that can materially impact on the performance of the structured finance instrument;

(iii)

the risk characteristics of the structured finance instrument and of the underlying assets.

Article 6 U.K. Reporting procedures

1. The reporting entity shall submit data files in accordance with the reporting system of the SFIs website and the technical instructions to be provided by ESMA on its website.

2. ESMA shall publish those technical instructions on its website at the latest on 1 July 2016.

3. The reporting entity shall store the files sent to and received by the SFIs website in electronic form for at least five years. Upon request, those files shall be made available by the reporting entity or the issuer, the originator or the sponsor to the sectoral competent authorities as defined in Article 3(1)(r) of Regulation (EC) No 1060/2009.

4. Where the reporting entity or the issuer, the originator or the sponsor, identifies factual errors in the data that has been provided to the SFIs website they shall correct the relevant data without undue delay.

Article 7 U.K. Reporting between the date of entry into force and the date of application

1. With respect to the structured finance instruments issued in the time period between the date of entry into force and the date of application of this Regulation, the issuer, the originator and the sponsor shall comply with the reporting requirements laid down in this Regulation only in relation to the structured finance instruments which are still outstanding at the date of application of this Regulation.

2. The issuer, the originator and the sponsor shall not be required to keep a backlog of the information required pursuant to this Regulation between the date of entry into force and the date of application of this Regulation.

Article 8 U.K. Entry into force

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

It shall apply from 1 January 2017.

However, Article 6(2) shall apply from the date of entry into force of this Regulation.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 30 September 2014.

For the Commission

The President

José Manuel Barroso

ANNEX I U.K. Reporting template for structured finance instruments backed by residential mortgages

ASSETS:

Field Name	Static/Dynamic	Data Type	Field Definition and Criteria
Pool Cut-off Date	Dynamic	Date	Pool or portfolio cut-off date. All dates take YYYY-MM-DD format.
Pool Identifier	Static	Text/Numeric	Pool or portfolio identifier/name of transaction.
Loan Identifier	Static	Text/Numeric	Unique identifier (ID) for each loan. The loan ID should not change through the life of the transaction.
Originator	Static	Text	Lender that advanced the original loan.
Servicer Identifier	Static	Text/Numeric	Unique identifier per servicer to flag which entity is servicing the loan.
Borrower Identifier	Static	Text/Numeric	Unique identifier (ID) per borrower (not showing the real name) — to enable borrowers with multiple loans in the pool to be identified (e.g. further advances/second liens are shown as separate entries). The borrower ID should not change over the life of the transaction.
Property Identifier	Static	Text/Numeric	Unique identifier per property to enable properties with multiple loans in the pool to be identified (e.g. further advances/second liens are shown as separate entries).
Borrower Information
Borrower’s Employment Status	Static	List	Employment status of the primary applicant.
Primary Income	Static	Numeric	Primary borrower underwritten gross annual income (not rent).
Income Verification for Primary Income	Static	List	Income verification for primary income.
Loan Characteristics
Loan Origination Date	Static	Date/Numeric	Date of original loan advance.
Date of Loan Maturity	Dynamic	Date/Numeric	The date of loan maturity.
Purpose	Static	List	Loan purpose.
Loan Term	Static	Numeric	Original contractual term (number of months).
Loan Currency Denomination	Static	List	The loan currency denomination.
Original Balance	Static	Numeric	Original loan balance (inclusive of fees).
Current Balance	Dynamic	Numeric	Amount of loan outstanding as of pool cut-off date, This should include any amounts that are secured by the mortgage and will be classed as principal in the transaction.
Repayment Method	Static	List	Type of principal repayment.
Payment Frequency	Static	List	Frequency of payments due, i.e. number of months between payments.
Payment Due	Dynamic	Numeric	Periodic contractual payment due (the payment due if there are no other payment arrangements in force).
Payment Type	Static	List	Principal payment type.
Interest Rate
Interest Rate Type	Static	List	Interest rate type.
Current Interest Rate Index	Dynamic	List	Current interest rate index (the reference rate off which the mortgage interest rate is set).
Current Interest Rate	Dynamic	Numeric	Current interest rate (%).
Current Interest Rate Margin	Dynamic	Numeric	Current interest rate margin (for fixed rate loans this is the same as the current interest rate, for floating rate loans this is the margin over (or under if input as a negative) the index rate).
Interest Rate Reset Interval	Dynamic	Numeric	The interval in months at which the interest rate is adjusted (for floating loans).
Revision Margin 1	Dynamic	Numeric	The margin (%) for the loan at the first revision date.
Interest Revision Date 1	Dynamic	Date/Numeric	Date interest rate next changes (e.g. discount margin changes, fixed period ends, loan re-fixed etc. This is not the next LIBOR reset date).
Revision Margin 2	Dynamic	Numeric	The margin (%) for the loan at the second revision date.
Interest Revision Date 2	Dynamic	Date/Numeric	Date of second interest rate change.
Revision Margin 3	Dynamic	Numeric	The margin (%) for the loan at the third revision date.
Interest Revision Date 3	Dynamic	Date/Numeric	Date of third interest rate change.
Revised Interest Rate Index	Dynamic	List	Next interest rate index.
Property and Additional Collateral
Property Postcode	Static	Text/Numeric	First two or three characters must be provided at a minimum.
Property Type	Static	List	Property type.
Original Loan to Value	Static	Numeric	Originator’s original underwritten Loan To Value ratio (LTV). For second lien loans this should be the combined or total LTV.
Valuation Amount	Static	Numeric	Property value as of date of latest loan advance prior to a securitisation. Valuation amounts should be in the same currency as the loan.
Original Valuation Type	Static	List	Valuation type at origination.
Valuation Date	Static	Date/Numeric	Date of latest property valuation at time of latest loan advance prior to a securitisation.
Current Loan to Value	Dynamic	Numeric	Originator’s current Loan to Value ratio (LTV). For second lien loans this should be the combined or total LTV.
Current Valuation Amount	Dynamic	Numeric	Most recent valuation amount (if, for example, at repossession there were multiple valuations, this should reflect the lowest). Valuation amounts should be in the same currency as the loan.
Current Valuation Type	Dynamic	List	Current valuation type.
Current Valuation Date	Dynamic	Date/Numeric	The date of most recent valuation.
Performance Information
Account Status	Dynamic	List	Current status of account.
Arrears Balance	Dynamic	Numeric	Current balance of arrears. Arrears defined as: total payments due to date LESS total payments received to date LESS any amounts capitalised. This should not include any fees applied to the account.
Number Months in Arrears	Dynamic	Numeric	Number of months this loan is in arrears (at pool cut-off date) according to the definition of the issuer.
Arrears 1 Month Ago	Dynamic	Numeric	Arrears balance (defined as per ‘arrears balance’) for the previous month.
Arrears 2 Months Ago	Dynamic	Numeric	Arrears balance (defined as per ‘arrears balance’) two months ago.
Litigation	Dynamic	Y/N	Flag to indicate litigation proceedings underway.
Redemption Date	Dynamic	Date/Numeric	Date on which account redeemed.
Default or Foreclosure	Dynamic	Numeric	Total default amount before the application of sale proceeds and recoveries.
Date of Default or Foreclosure	Dynamic	Numeric	The date of default or foreclosure.
Sale Price lower limit	Dynamic	Numeric	Price achieved on sale of property in case of foreclosure, rounded down to nearest 10k.
Loss on Sale	Dynamic	Numeric	Total loss net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries).
Cumulative Recoveries	Dynamic	Numeric	Cumulative recoveries — only relevant for cases with losses.

BOND INFO:

Field Name	Static/Dynamic	Data Type	Field Definition and Criteria
Fields at Security or Bond Level Data
Report Date	Dynamic	Date	The date on which the transaction report was issued. All dates take YYYY-MM-DD format.
Issuer	Static	Text	Name of issuer and issue series, if applicable.
Drawings under Liquidity Facility	Dynamic	Y/N	Confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date.
Fields at Collateral Level Data
Trigger Measurements/Ratios	Dynamic	Y/N	The status of various delinquency, dilution, default, loss and similar collateral measurements and ratios in relation to their early amortisation or other trigger event levels, as at the current determination date. Has any trigger event occurred?
Average Constant Pre-payment Rate	Dynamic	Numeric	The report shall include the Average (Avg) Constant Pre-payment Rate (CPR) speed of the underlying residential mortgage loans. In some jurisdictions, the mortgage pool may also include commercial loans. Avg CPR speed is the amount expressed as an annualised percentage of principal prepaid in excess of scheduled repayments. The Avg CPR speed is calculated by first dividing the Current Residential Mortgage Loan Principal Balance (i.e. the actual balance) by the Scheduled Residential Mortgage Loan Principal Balance assuming no pre-payments have been made (i.e. only scheduled repayments have been made). This quotient is then raised to a power whereby the exponent is the quantity twelve divided by the number of months since issue. Subtract this result from one then multiply it by one hundred (100) to determine the Avg CPR speed. This calculation is expressed as follows:
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
Bond Class Name	Static	Text/Numeric	The designation (typically a letter and/or number) given to a tranche of RMBS which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1 etc.
International Securities Identification Number	Static	Text/Numeric	The international security identification code or codes, or if no ISIN, then any other unique securities code such as a CUSIP, assigned to this tranche by an exchange or other entity. If more than one code, enter comma-delimited.
Interest Payment Date	Dynamic	Date	The periodic date on which a payment of interest to holders of a specific tranche of residential mortgage backed structured finance instrument is scheduled to occur.
Principal Payment Date	Dynamic	Date	The periodic date on which a payment of principal to holders of a specific tranche of residential mortgage backed structured finance instrument is scheduled to occur.
Currency	Static	Text	The unit(s) of exchange in which security-level balance(s) and payments are reported.
Reference Rate	Static	List	The base reference interest index as defined in the offering document (e.g. three months Euribor) applicable to a specific tranche of residential mortgage backed structured finance instrument.
Bond Issue Date	Static	Date	Date the bonds were issued.

ANNEX II U.K. Loan Level Data — Reporting template for structured finance instruments backed by commercial mortgages

LOAN:

Field Name	Static/Dynamic	Data Type	Field Definition and Criteria
Loan Identifiers
Transaction Pool Identifier	Static	Text/Numeric	The unique transaction or deal name.
Pool Cut-off Date	Dynamic	Date	Current pool or portfolio cut-off date.
Securitisation Date	Static	Date	Date of issue of the deal — First bond listing date
Original Loan Terms
Group Identifier	Static	Text/Numeric	The alpha-numeric code assigned to each loan group within an issue.
Loan Servicer Identifier	Static	Text/Numeric	The loan servicer unique identification string assigned to the loan.
Offering Circular Loan Identifier	Static	Text/Numeric	The offering circular or prospectus unique number or transaction loan name assigned to the loan within the transaction or pool.
Loan Sponsor	Static	Text/Numeric	Loan sponsor.
Loan Origination Date	Static	Date	Date of original loan advance.
Loan Currency	Static	List	Loan currency denomination.
Whole Loan Balance at Origination Date	Static	Numeric	Whole loan balance at origination representing 100 % full facility, i.e. securitised and unsecuritised/owned and un-owned amount (in loan currency).
Original Term of Loan	Static	Numeric	Contractual term (in months) at Origination date.
Start Date of Amortisation	Static	Date	The date that amortisation will commence on the whole loan (this may be a date prior to the securitisation date).
Interest Rate Index Code	Static	List	Current interest rate index (the reference rate off which the mortgage interest rate is set).
Original Loan Interest Rate	Static	Numeric	Loan all-in interest rate at loan origination date. If multiple tranches with different interest rates then apply a weighted average rate.
First Interest Payment Due Date	Static	Date	The date that the first interest payment was due on the loan following origination date.
Loan Country	Static	List	Country of the loan.
Loan Purpose	Static	List	Loan purpose.
Mortgage Security	Static	Y/N	Is the loan secured by mortgages on the properties?
Loan Statistics at Securitisation Date
Debt Service Coverage Ratio for the loan (whole) at the Securitisation Date	Static	Numeric	The Debt Service Coverage Ratio for the loan (whole) at the Securitisation Date.
Loan to Value Ratio for the loan (whole) at the Securitisation Date	Static	Numeric	The Loan to Value Ratio for the loan (whole) at the Securitisation Date.
Securitisation Date Interest Cover Ratio (A-Loan)	Static	Numeric	At securitisation interest coverage ratio calculation for the A-Loan based on the offering documentation.
Securitisation Date Debt Service Cover Ratio (A-Loan)	Static	Numeric	At securitisation debt service coverage ratio calculation for the A-Loan based on the offering documentation.
Securitisation Date Loan to Value Ratio (A-Loan)	Static	Numeric	At securitisation Loan to Value ratio (LTV) for the A-Loan based on the offering documentation.
Committed Principal Balance at Securitisation Date	Static	Numeric	The committed balance, including any undrawn amounts, of the whole loan at Securitisation Date.
Actual Principal Balance at Securitisation Date (Whole Loan)	Static	Numeric	Actual Principal Balance of the whole loan at the Securitisation Date as identified in the offering circular.
Periodic Principal and Interest Payment at Securitisation Date	Static	Numeric	The scheduled principal and interest amount that is due on the next Loan Payment Date as at the Securitisation Date.
Loan Rate at Securitisation Date	Static	Numeric	The total interest rate (e.g. Libor + Margin) that is being used to calculate interest due on the loan at the Securitisation Date.
Ranking of Charge at Securitisation Date	Static	List	Is the security granted to the Securitisation a first ranking security?
Remaining Term at Securitisation Date	Static	Numeric	Remaining number of months (excluding any extension options) until maturity of loan at Securitisation Date.
Remaining Amortisation Term at Securitisation Date	Static	Numeric	The number of months remaining to maturity of the loan of the amortisation term. If amortisation has not commenced at the Securitisation Date this will be less than the Remaining Term at Securitisation Date.
Loan Maturity Date at Securitisation Date	Static	Date	The maturity date of the loan as defined in the loan agreement. This would not take into account any extended maturity date that may be allowed under the loan agreement, but the initial maturity date.
Actual Principal Balance at Securitisation Date (A-Loan)	Static	Numeric	Actual Principal Balance of the A Note loan at the Securitisation Date as identified in the offering circular.
Extension Option	Dynamic	Y/N	Indicate whether there is an option to extend the term of the loan and push out the maturity date.
Duration of Shortest Extension Option	Static	Numeric	Duration in months of the shortest extension option available to the loan.
Nature of extension option	Static	List	Type of extension option.
Collateral Details
Number of Properties at Securitisation Date	Static	Numeric	The number of properties that serve as security for the loan at the Securitisation Date.
Number of Properties at Pool cut-off Date	Dynamic	Numeric	The number of properties that serve as security for the loan at the pool cut-off date.
Properties Collateralised to the Loan at Securitisation	Static	Text/Numeric	Enter the unique property identifiers (PC1) of the properties that served as security for the loan at the Securitisation Date.
Properties Collateralised to the Loan at Pool cut-off date	Dynamic	Text/Numeric	Enter the unique property identifiers (PC1) of the properties that serve as security for the loan at the cut-off date.
Loan Covenant Details
Interest Coverage Ratio Method (Whole Loan)	Static	List	Please define calculation of ICR financial covenant requirement at the whole loan level, the inferred method of calculation.
Debt Service Coverage Ratio Method (Whole Loan)	Static	List	Please define calculation of DSCR financial covenant requirement at the whole loan level, the inferred method of calculation.
Loan to Value Method (Whole)	Static	List	Please define calculation of LTV financial covenant requirement at the whole loan level, the inferred method of calculation.
Other Financial Covenant Code (Whole)	Static	List	If there is another code required for ICR or DSCR financial covenant requirement at the whole loan level.
Interest Coverage Ratio Method (A-Loan)	Static	List	Please define the A-Loan Interest Coverage Ratio method of calculation.
Debt Service Coverage Ratio Method (A-Loan)	Static	List	Please define the A-Loan Debt Service Coverage Ratio method of calculation.
Loan to Value Method (A-Loan)	Static	List	Please define the A-Loan Loan to Value Method of calculation.
Underlying Property Statistics at Securitisation Date
Revenue at Securitisation Date	Static	Numeric	The total underwritten revenue from all sources for a property as described in the offering circular. If multiple properties, sum the values of the properties.
Operating Expenses at Securitisation Date	Static	Numeric	Total underwritten operating expenses for the properties as described in the offering circular. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the landlord; capital expenditures and leasing commissions are excluded.
NOI at Securitisation Date	Static	Numeric	Revenue less Operating Expenses at Securitisation Date (Field ‘Revenue at Securitisation Date’ minus ‘Operating Expenses at Securitisation Date’). If multiple properties, sum the values.
Capital Expenditures at Securitisation Date	Static	Numeric	Capex at Securitisation Date (as opposed to repairs and maintenance) if identified in the offering circular.
NCF at Securitisation Date	Static	Numeric	NOI less Capex at Securitisation Date (Field ‘NOI at Securitisation Date’ less ‘Capital Expenditures at Securitisation Date’).
Currency of Financial Reporting at Securitisation	Static	List	The currency used in the initial financial reporting of Fields ‘Revenue at Securitisation Date’ — ‘NCF at Securitisation Date’.
ICR/DSCR Indicator at Securitisation Date	Static	List	How the DSCR is calculated/applied when a loan has multiple properties.
Property Portfolio Value at Securitisation Date	Static	Numeric	The valuation of the properties securing the loan at Securitisation Date as described in the Offering Circular. If multiple properties sum the value of the properties.
Property Portfolio Valuation Currency at Securitisation Date	Static	List	The currency of the valuation in ‘Property Portfolio Value at Securitisation Date’.
Valuation Date at Securitisation Date	Static	Date	The date the valuation was prepared for the values disclosed in the offering circular. For multiple properties, if several dates, take the most recent date.
Economic Occupancy at Securitisation Date	Static	Numeric	The percentage of rentable space with signed leased in place at Securitisation Date if disclosed in offering circular (tenants may not be in occupation but are paying rent). If multiple properties use weighted average by using the calculation {Current Allocated % (Prop) × (Occupancy)} for each property.
Amounts Held in Escrow at Securitisation Date	Static	Numeric	Total balance of the legally charged reserve accounts at the loan level at the Securitisation Date.
Collection Of Escrows	Static	Y/N	Enter Y if any payments are held in reserve accounts to cover ground lease payments, insurance or taxes only (not maintenance, improvements, capex, etc.) as required under the loan agreement, if this is not done enter N.
Collection Of Other Reserves	Static	Y/N	Are any amounts other than ground rents taxes or insurance held in reserve accounts as required under the terms of the loan agreement for tenant improvements, leasing commissions and similar items in respect of the related property or for purpose of providing additional collateral for such loan?
Escrow Held Upon Trigger Event	Static	Y/N	Does the loan agreement require reserve amounts to be made upon the occurrence of any trigger events?
Trigger for Escrow to be Held	Static	List	Type of trigger event.
Target Escrow Amounts/Reserves	Static	Numeric	Target escrow amounts/reserves.
Escrow Account Release Conditions	Static	Text	Release conditions of the escrow account.
Conditions of Drawing Cash Reserve	Static	List	When can the Cash Reserve be used.
Escrow Currency	Static	List	Currency of the Escrow payments. Fields ‘Amounts Held in Escrow at Securitisation Date’ and ‘Target Escrow Amounts/Reserves’.
Loan Grouping and Substitutions Details
Cross-Collateralised Loan	Static	Y/N	Indicate if this is a cross collateralised loan (Example: loans 1 and 44 are cross collateralised as are loans 4 and 47).
Substituted Loan	Dynamic	Y/N	Is this loan a substitute for another loan on a date after the Securitisation Date?
Date of Substitution	Dynamic	Date	If loan was substituted after the Securitisation Date, the date of such substitution.
Grace Days Allowed	Static	Numeric	The number of days after a payment is due in which the lender will not charge a late penalty or report the payment as late.
Additional Financing Indicator	Static	List	Has the whole loan had additional financing/mezzanine debt?
Loan Interest Rate Details (at Securitisation Date)
Interest Rate Type	Static	List	Type of interest rate applied to the loan.
Interest Accrual Method Code	Static	List	The ‘days’ convention used to calculate interest.
Interest in Arrears	Static	Y/N	Is the interest that accrues on the loan paid in arrears?
A-Loan Amortisation Type (if applicable)	Static	List	A-Loan amortisation type.
Whole Loan Amortisation Details (at Securitisation Date)
Whole Loan Amortisation Type (if applicable)	Static	List	Whole loan amortisation type.
Accrual of Interest Allowed	Static	Y/N	Do the loan documents allow for interest to be accrued and capitalised?
Prepayment Lock-out End Date	Static	Date	The date after which the lender allows prepayment of the loan.
Yield Maintenance End Date	Static	Date	The date after which the lender allows prepayment of the loan without requirement for a prepayment fee or yield maintenance to be paid. Date after which loan can be prepaid without yield maintenance.
Prepayment Premium End Date	Static	Date	The date after which the lender allows prepayment of the loan without requirement for a prepayment fee to be paid.
Prepayment Terms Description	Static	Text/Numeric	Should reflect the information in offering circular. For instance, if the prepayment terms are the payment of a 1 % fee in year one, 0,5 % in year two and 0,25 % in year three of the loan this may be shown in the offering circular as: 1 % (12), 0,5 % (24), 0,25 % (36).
Do Non-payments on Prior Ranking Claims Constitute a Default of the Loan?	Static	Y/N	Do Non-payments on Prior Ranking Claims Constitute a Default of the Loan?
Non-payments on Equal Ranking Loans Constitute Default of Property?	Static	Y/N	Do Non-payments on Equal Ranking Loans Constitute Default of Property?
Loan Hedging Details (at Securitisation Date)
Lifetime Rate Cap	Static	Numeric	Maximum rate that the borrower must pay on a floating rate loan as required under the terms of the loan agreement.
Lifetime Rate Floor	Static	Numeric	Minimum rate that the borrower must pay on a floating rate loan as required under the terms of the loan agreement.
Type of Loan Level Swap	Static	List	Describe the type of loan level swap that applies.
Loan Swap Provider	Dynamic	Text	Name of loan swap provider.
Type of Interest Rate Loan Level Swap	Static	List	Describe the type of interest rate swap that applies to the loan.
Type of Currency Loan Level Swap	Static	List	Describe the type of currency rate swap.
Exchange Rate for Loan Level Swap	Static	Numeric	The exchange rate that has been set for a currency loan level swap.
Start Date of Loan Level Swap	Static	Date	Start Date of Loan Level Swap.
End Date of Loan Level Swap	Static	Date	End Date of Loan Level Swap.
Borrower Obligation to Pay Breakage on Loan Level Swap	Static	List	Extent to which Borrower is obligated to pay breakage costs to loan swap provider.
Loan Rate Adjustment Details (at Securitisation Date)
Payment Frequency	Static	List	Frequency of interest and amortisation payments on Loan according to original loan documents.
Rate Reset Frequency	Static	List	Frequency with which the interest rate is reset according to original loan documents.
Pay Reset Frequency	Static	List	Frequency with which the P&I payment is reset according to original loan documents.
Index Look Back In Days	Static	Numeric	The number of days prior to the interest payment date that the interest rate is set (e.g. Euribor set two days prior to interest payment date).
Index Determination Date	Static	Date	If the Loan Agreement states specific dates for the index to be set, enter the next index determination date.
Loan Syndication and Participation Details
Loan Structure	Static	List	Use the Loan Structure Code to describe what structure applies to this loan, e.g. whole loan, A/B splits, syndicated.
Syndicated Loan	Static	Y/N	Is the loan part of a syndicated loan?
Percentage of Total Loan Facility being Securitised	Static	Numeric	Percentage of total loan in securitisation at Securitisation Date.
Rights of Controlling Party for Material Decisions	Static	Y/N	Does owner of any participation other than the issuer have the right to make major decisions?
Agent Bank of Syndication	Static	Text	Agent bank.
Miscellaneous Loan Details
Remedy for Breach of Financial Covenant	Static	List	The remedy for the financial covenant breach.
Loan Originator	Static	Text	Name of the originator/Lender that sold the loan to the Issuer. Name of entity ultimately responsible for the representations and warranties of the loan.
Financial Information Submission Penalties	Static	List	Indicator for penalties for borrower’s failure to submit required financial information (Op. Statement, Schedule, etc.) as per loan documents.
Loan Recourse	Static	Y/N	Is there recourse to another party (e.g. guarantor) if the event the borrower defaults on an obligation under the loan agreement?
Rounding Code	Static	List	The method for rounding the interest rate.
Rounding Increment	Static	Numeric	The incremental percentage by which an index rate should be rounded in determining the interest rate as set out in the loan agreement.
Special Servicer Name at Securitisation Date	Static	Text	Special Servicer name at Securitisation date.
Servicing Standard	Static	List	Servicing Standard (Choice). Does the servicer of the loan service the Whole Loan (both the A and B components) or just the A or B component?
Payment Date Details
Loan Payment Date	Dynamic	Date	The date principal and interest is paid to the Issuer, this would normally be the interest payment date of the loan.
Paid through Date	Dynamic	Date	The date at which all payments have been paid in full with no shortfalls. On a performing loan this will be the Loan Payment Date immediately prior to the date entered in field ‘Loan Payment Date’.
Index Rate Reset Date	Dynamic	Date	For adjustable rate loans, the next date that the interest rate is due to change. For fixed rate loans, enter the next interest payment date.
Next Payment Adjustment Date	Dynamic	Date	For adjustable rate loans, the next date that the amount of scheduled principal and/or interest is due to change. For fixed rate loans, enter the next payment date.
Loan Maturity Date	Dynamic	Date	The current maturity date of the loan as defined in the loan agreement. This would not take into account any approved maturity date extensions that may be allowed under the loan agreement.
Next Loan Payment Date	Dynamic	Date	Date of next loan payment.
Rate Details
Current Index Rate (Whole Loan)	Dynamic	Numeric	The index rate used to determine the current whole loan interest rate. The interest rate (before margin) used to calculate the interest paid on the (Whole) Loan Payment Date in Field ‘Loan Payment Date’.
Current Margin Rate (Whole Loan)	Dynamic	Numeric	Margin used to determine the current whole loan interest rate. The margin being used to calculate the interest paid on the (Whole) Loan Payment Date in Field ‘Loan Payment Date’.
Current Interest Rate (Whole Loan)	Dynamic	Numeric	The total interest rate being used to calculate the interest paid on the (Whole) Loan Payment Date in Field ‘Loan Payment Date’ (sum of Field ‘Current Index Rate (Whole Loan)’ and ‘Current Margin Rate (Whole Loan)’ for floating loans).
Current Interest Rate (A-Loan)	Dynamic	Numeric	Gross rate per annum used to calculate the current period scheduled interest on the A portion of the loan.
Next Index Rate (Whole Loan)	Dynamic	Numeric	The next period index rate used to determine the current whole loan interest rate. The interest rate (before margin) used to calculate the interest paid based on the Actual Ending Loan Balance (Whole Loan) ‘Actual Ending Loan Balance (Whole Loan)’.
Current Default Rate (Whole Loan)	Dynamic	Numeric	Total interest being used to calculate the default interest paid on the loan payment date in field ‘Loan Payment Date’.
Principal Details
Current Beginning Opening Balance (Whole Loan)	Dynamic	Numeric	Outstanding balance at beginning of current period. The outstanding balance of the loan at the beginning of the interest period used to calculate the interest due on the Loan Payment Date in Field ‘Loan Payment Date’.
Scheduled Principal Amount (Whole Loan)	Dynamic	Numeric	Scheduled principal payment due on the loan for the current period. The principal payment due to be paid to the Issuer on the Loan Payment Date in Field ‘Loan Payment Date’ e.g. amortisation but not prepayments.
Current Ending Scheduled Balance (Whole Loan)	Dynamic	Numeric	Outstanding scheduled principal balance of loan at end of current period following amortisation but prior to any prepayments. The principal balance of the loan that would be outstanding following the scheduled principal payment but prior to any prepayments (Field ‘Current Beginning Opening Balance (Whole Loan)’ minus ‘Scheduled Principal Amount (Whole Loan)’).
Unscheduled Principal Collections (Whole Loan)	Dynamic	Numeric	Unscheduled payments of principal received during the current period. Other principal payments received during the interest period that will be used to pay down the loan. This may relate to sales proceeds, voluntary prepayments, or liquidation amounts.
Other Principal Adjustments (Whole Loan)	Dynamic	Numeric	Unscheduled principal adjustments for interest period, not associated with movement of cash. Any other amounts that would cause the balance of the loan to be decreased or increased in the current period which are not considered Unscheduled Principal Collections and are not Scheduled Principal.
Actual principal paid	Dynamic	Numeric	The actual principal paid as of the most recent IPD.
Actual Ending Loan Balance (Whole Loan)	Dynamic	Numeric	Outstanding actual principal balance at the end of the current period. The actual balance of the loan outstanding for the next interest period following all principal payments.
Current Beginning Balance (A-Loan)	Dynamic	Numeric	Outstanding balance (A-Loan) at beginning of current period. The outstanding balance of the A-Loan at the beginning of the interest period used to calculate the interest due on the Loan Payment Date.
Total Principal Collections (A-Loan)	Dynamic	Numeric	All payments of principal (A-Loan) received during the current period. The principal payment of the A-Loan due to be paid to the Issuer on the Loan Payment Date in Field ‘Loan Payment Date’ e.g. amortisation but not prepayments.
Actual Ending Loan Balance (A-Loan)	Dynamic	Numeric	Outstanding actual principal balance (A-Loan) at the end of the current period. The principal balance of the A-Loan that would be outstanding following the scheduled principal payment.
Committed Undrawn Facility Loan Balance (Whole Loan)	Dynamic	Numeric	The total whole loan (senior debt) remaining facility/ Undrawn balance at the end of the period. The total whole loan (senior debt) remaining facility at the end of the Interest Payment Date that the borrower can still draw upon.
Interest Details
Scheduled Interest Amount Due (Whole Loan)	Dynamic	Numeric	Gross interest for period assuming no repayment in current period for the whole loan. The total interest that is due on the Loan Payment Date, assuming no prepayments are made during the interest period. Interest should be based on the underlying rate as per the loan agreement.
Prepayment Interest Excess/ Shortfall	Dynamic	Numeric	Shortfall or excess of actual interest payment from the scheduled interest payment for the current period that is not related to a loan default. Results from a prepayment received on a date other than a scheduled payment due date.
Other Interest Adjustment	Dynamic	Numeric	Companion field for Other Principal Adjustments (Field ‘Other Principal Adjustments (Whole Loan)’) to show unscheduled interest adjustments for the related collection period.
Negative Amortisation	Dynamic	Numeric	Negative amortisation/deferred interest/capitalised interest without penalty.
Actual Interest Paid (Whole Loan)	Dynamic	Numeric	Whole Loan actual interest paid current period. Total amount of interest paid by the borrower during the interest period or on the Loan Payment Date.
Actual Interest Paid (A-Loan)	Dynamic	Numeric	Total amount of interest paid to the A-Loan during the interest period or on the Loan Payment Date.
Actual Default Interest	Dynamic	Numeric	Whole loan actual default interest paid in current period. Total amount of default interest paid by the borrower during the interest period or on the loan payment date.
Deferred Interest (Whole Loan)	Dynamic	Numeric	Deferred interest on the whole loan. Deferred interest is the amount by which the interest a borrower is required to pay on a mortgage loan is less than the amount of interest accrued on the outstanding principal balance.
Capitalised Interest (Whole Loan)	Dynamic	Numeric	Capitalised interest on the whole loan. Capitalised interest is where interest is added to the loan balance at the end of the interest period in accordance with loan agreement.
Principal and Interest Details
Total Scheduled Principal and Interest due (Whole Loan)	Dynamic	Numeric	Scheduled principal and interest payment due on the loan for the current period for the Issuer (whole loan). The total scheduled principal and interest due on the Loan Payment Date (sum of Fields ‘Scheduled Principal Amount (Whole Loan)’ and ‘Scheduled Interest Amount Due (Whole Loan)’) — can be used for DSCR calculations.
Total Shortfalls in Principal and Interest Outstanding (Whole Loan)	Dynamic	Numeric	Cumulative outstanding P&I amounts due on loan at the end of the current period. The cumulative amount of any unpaid principal and interest on the Loan Payment Date.
Total Other Amounts Outstanding	Dynamic	Numeric	Cumulative outstanding amounts on loan (e.g. insurance premium, ground rents, cap ex) at the end of the current period that have been expended by Issuer/Servicer. The cumulative amount of any property protection advances or other sums that have been advanced by the Servicer or Issuer and not yet reimbursed by the borrower.
Cumulative Amount Outstanding	Dynamic	Numeric	The sum of Field ‘Total Shortfalls in Principal and Interest Outstanding (Whole Loan)’ and ‘Total Other Amounts Outstanding’.
Amortisation Trigger Reached	Dynamic	Y/N	Has the amortisation trigger been reached?
Current Amortisation Type	Dynamic	List	The type of amortisation that applies to the A-Loan.
Total Scheduled Principal and Interest Paid (A-Loan)	Dynamic	Numeric	Scheduled Principal and Interest payment due on the A-Loan for the current period for the Issuer.
Most Recent YTD Financial Details
Borrower Reporting Breach	Dynamic	Y/N	Is Borrower in breach of its obligation to deliver reports to loan servicer or lender?
Most Recent Revenue	Dynamic	Numeric	Total revenues for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months) for all the properties.
Most Recent Loan to Value Ratio (Whole Loan)	Dynamic	Numeric	Most recent Loan to Value (LTV) for the loan (whole) based on the loan documentation.
Most Recent Debt Service Cover Ratio (Whole Loan)	Dynamic	Numeric	Most recent Debt Service Coverage Ratio (DSCR) for the loan (whole) based on the loan documentation.
Most Recent Interest Cover Ratio (Whole Loan)	Dynamic	Numeric	Most recent Interest Coverage Ratio (ICR) for the loan (whole) based on the loan documentation.
Most Recent Interest Cover Ratio (A-Loan)	Dynamic	Numeric	Most recent interest coverage ratio calculation for the A-Loan based on the offering documentation.
Most Recent Debt Service Cover Ratio (A-Loan)	Dynamic	Numeric	Most recent debt service coverage ratio calculation for the A-Loan based on the offering documentation.
Most Recent Loan to Value Ratio (A-Loan)	Dynamic	Numeric	Most recent Loan to Value ratio (LTV) for the A-Loan based on the offering documentation.
Reserve and Escrow Details
Total Reserve Balance	Dynamic	Numeric	Total balance of the reserve accounts at the loan level at the Loan Payment Date. Includes Maintenance, Repairs and Environmental, etc. (excludes Tax and Insurance reserves Includes LC’s for reserves. Should be completed if Field ‘Collection of Other Reserves’ in Loan Set up is ‘Y’ = Yes.
Escrow Trigger Event Occurred	Dynamic	Y/N	Enter Y if an event has occurred which has caused reserve amounts to be established. Enter N if payments are built up as a normal condition of the loan agreement.
Amounts Added to Escrows in Current Period	Dynamic	Numeric	Amount that has been added to any escrows or reserves during Current Period.
Reserve Balance Currency	Dynamic	List	Reserve account currency denomination.
Escrow Currency	Static	List	Escrow account currency denomination.
Liquidation and Prepayment Details
Liquidation/Prepayment Date	Dynamic	Date	The date on which an unscheduled principal payment or liquidation proceeds are received.
Liquidation/Prepayment Code	Dynamic	List	Code assigned to any unscheduled principal payments or liquidation proceeds received during the collection period.
Borrower Level Hedging Details
Name of Loan Swap Provider (Borrower Level)	Dynamic	Text	The name of the Swap provider for the loan if the Borrower has the direct contract with the swap counterparty.
Actual Ratings of Loan Swap Provider (Borrower Level)	Dynamic	Text/Numeric	Identify the ratings of the Swap Counterparty as of the Loan Payment Date.
Full or Partial Termination Event of Loan Level Swap for Current Period (Borrower Level)	Dynamic	List	If loan swap has been terminated during current period, identify reason.
Net Periodic Payment due to Loan Swap Provider (Borrower Level)	Dynamic	Numeric	Amount of payment made by the borrower to the swap counterparty on the Loan Payment Date as required by the Swap contract.
Net Periodic Payment due from Loan Swap Provider (Borrower Level)	Dynamic	Numeric	Amount of payment made by the swap counterparty to the borrower on the Loan Payment Date as required by the Swap contract.
Breakage Costs Due to Loan Swap Provider	Dynamic	Numeric	Amount of any payment due from the borrower to the swap counterparty for partial of full termination of the Swap.
Shortfall in Payment of Breakage Costs on Loan Level Swap	Dynamic	Numeric	Amount of any shortfall, if any, of breakage costs resulting from the full or partial termination of the swap, paid by the borrower.
Breakage Costs Due from Loan Level Swap Counterparty	Dynamic	Numeric	Amount of any gains paid by the swap counterparty to the borrower on full or partial termination.
Next Reset Date for the Loan Level Swap	Dynamic	Date	Date of next reset date on the loan level swap.
Swap Details	Dynamic	Text	Details of the Swap.
Delinquent Loan Status Details
Status of Properties	Dynamic	List	Status of properties.
Loan Status	Dynamic	List	Loan status (i.e. current, non-payment etc.). If a loan has multiple Status Codes triggered, Servicer discretion to determine which code reported.
Enforcement Start Date	Dynamic	Date	The date on which foreclosure or administration proceedings or alternative enforcement procedures were initiated against or agreed by the borrower.
Workout Strategy Code	Dynamic	List	Work-out strategy.
Expected Timing of Recoveries	Dynamic	Numeric	Expected recovery timing in months.
In Insolvency	Dynamic	Y/N	Insolvency Status of Loan (if in insolvency ‘Y’, else ‘N’).
Insolvency Date	Dynamic	Date	Date of Insolvency.
Property Possession Date	Dynamic	Date	The date on which title to (or an alternative form of effective control and ability to dispose of) the collateral property was obtained.
Net Proceeds Received on Liquidation	Dynamic	Numeric	Net proceeds received on liquidation used to determine loss to the Issuer per the Transaction Documents. The amount of the net proceeds of sale received, this will determine whether there is a loss or shortfall on the loan.
Liquidation Expense	Dynamic	Numeric	Expenses associated with the liquidation to be netted from the other assets of issuer to determine loss per the Transaction Documents. Amount of any liquidation expenses that will be paid out of the net sales proceeds to determine whether there will be any loss.
Realised Loss to Securitisation	Dynamic	Numeric	Outstanding balance of loan (plus Liquidation Expenses) less net Liquidation Proceeds Received. The amount of any loss to the Issuer after deducting liquidation expenses from the net sales proceeds.
Number of months in Arrears	Dynamic	Numeric	Number of months this loan is in arrears at the end of the current period according to the definition of the issuer.
Default Amount	Dynamic	Numeric	Total default amount before the application of sale proceeds and recoveries.
Cumulative Recoveries	Dynamic	Numeric	Total recoveries including all sale proceeds.
Special Servicing Status	Dynamic	Y/N	As of the Loan Payment Date is the loan currently being specially serviced?
Default Date	Dynamic	Date	Date the loan defaulted.
Liquidation Currency	Dynamic	List	Liquidation currency denomination.
Currency of Losses	Dynamic	List	Losses currency denomination.
Default/Arrears Currency	Dynamic	List	Default/Arrears currency denomination.
Loan Modification Details
Noteholder Consent	Dynamic	Y/N	Is Noteholder consent needed in a restructuring?
Noteholder Meeting Scheduled	Dynamic	Date	What date is the next noteholder meeting scheduled for?
Last Loan Sale Date	Dynamic	Date	The date the loan was sold to the Issuer, if the loan was part of the original securitisation, then this will be the Securitisation Date.
Last Property Securitisation Date	Dynamic	Date	Date the latest property or properties were contributed to this securitisation. If any properties have been substituted, enter the date of the last substitution. If the properties were part of the original transaction, this will be the Securitisation Date.
Date of Assumption	Dynamic	Date	Date the assignment/novation or assumption was executed by the new borrower.
Appraisal Reduction Amount Date	Dynamic	Date	Date the Appraisal Reduction Amount was calculated and approved (initial or updated calculation as of date).
Date of Last Modification	Dynamic	Date	Last effective date the loan was modified.
Modification Code	Dynamic	List	Type of modification.
Modified Payment Rate	Dynamic	Numeric	If the loan has been restructured (probably during a workout process), and the amortisation schedule has been amended, then the new amount, expressed as a percentage of the loan balance, should be entered.
Modified Loan Interest Rate	Dynamic	Numeric	If the loan has been restructured (probably during a workout process), and the interest rate/margin has been amended, then the new rate should be entered.
Special Servicing Details
Servicer Watchlist	Dynamic	Date	Determination Date that a loan was placed on the Watchlist. If loan came off the Watchlist in a prior period and is now coming back on, use the new entry date.
Most Recent Special Servicer Transfer Date	Dynamic	Date	The date a loan was transferred to the special Servicer following a servicing transfer event. Note: If the loan has had multiple transfers, this should be the last date transferred to special servicing.
Most Recent Primary Servicer Return Date	Dynamic	Date	The date a loan becomes a ‘corrected mortgage loan’, which is the date the loan was returned to the master/primary Servicer from the special Servicer.
Non-Recoverability Determined	Dynamic	Y/N	Indicator (Yes/No) as to whether the Servicer/Special has determined that there will be a shortfall in recovering any advances it has made and the outstanding loan balance and any other amounts owing on the loan from proceeds upon sale or liquidation of the property or Loan.
Date of Loan Breach	Dynamic	Date	The date the breach occurred. If multiple breaches, the date of the earliest breach.
Date of Loan Breach Cure	Dynamic	Date	The date the breach cured. If multiple breaches, the date which the last breach cured.
Watchlist Criteria Code	Dynamic	List	Servicer Watchlist Code. If multiple criteria are applicable, please list the most detrimental code.
Currency of Fees	Dynamic	List	Fees currency denomination.
Special Servicer Details
Special Servicer Name	Dynamic	Text	Special Servicer name.
Special Servicer Change?	Dynamic	Y/N	Has there been a change in the Special Servicer since the prior reporting period?
Other Ranking Lender Enforcement Involvement	Dynamic	Y/N	Is another ranking lender involved in enforcement?
Defaulted Loan Status Details
Default or Foreclosure	Dynamic	Y/N	Is the loan currently in default or foreclosure?
Default Reason	Dynamic		Reason for default.
Covenant Breach/Trigger	Dynamic	List	Type of Covenant Breach/Trigger.
Capital Requirement Directive Information
Specify Originator compliance with one of four retention options	Dynamic	List	Type of retention.
Retained by Originator	Dynamic	Numeric	Net economic interest retained by the originator in percentage (%) terms as under Article 405 of Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (CRR).

PROPERTY:

Field Name	Static/Dynamic	Data Type	Field Definition and Criteria
Property Collateral Details
Property Identifier	Static	Text/Numeric	Unique identifier for the property. If multiple properties (such as a block of apartments) this should be a unique identifier which identifies them collectively.
Property Cross-Collateralised Loan Grouping	Dynamic	Text/Numeric	Please enter relevant Offering Circular Loan Identifiers, if one property secures several loans within the transaction or pool then separate IDs with comma delimiters.
Property Name	Static	Text/Numeric	The name of the property that serves as security for the loan. If multiple properties (such as a block of apartments) this should be the name which identifies them collectively.
Property Address	Static	Text/Numeric	The address of the property that serves as security for the loan.
Property City Town	Static	Text	City or town name where the property is located.
Property Post Code	Static	Text/Numeric	The primary property postal code. First 2-4 characters must be provided at a minimum.
Property Country	Static	List	The country where the property is located.
Property Type Code	Static	List	The property type or use reference defined in the valuation report or offering documentation.
Year Built	Static	Date	Year the property was built per the valuation report or offering document.
Year Last Renovated	Dynamic	Date	Year that last major renovation/new construction was completed on the property per the valuation report or offering document.
Net Square Metres At Securitisation Date	Dynamic	Numeric	The total net rentable area of the properties in square metres that serve as security for the loan per the most recent valuation report. For multiple properties sum the area.
Net Internal Floor Area Validated	Dynamic	Y/N	Has a valuer verified the net internal floor area of the property?
Number of Units/Beds/Rooms	Static	Numeric	For property type Multifamily enter number of units, for Hospitality/Hotel/Healthcare — beds, for Caravan Parks — units, Lodging rooms, Self-Storage units. For Multiple properties, if all the same Property Type, sum the values.
Property Status	Dynamic	List	Most recent loan status of property.
Property Form of Title	Static	List	The relevant form of property title. A lease on land only, in which the borrower usually owns a building or is required to build as specified in the lease.
Property Leasehold Expiry	Static	Date	Provide the earliest date the leasehold interest expires.
Ground Rent Payable	Dynamic	Numeric	If property is leasehold, please provide the current annual leasehold rent payable to the lessor.
Date of Most Recent Valuation	Dynamic	Date	Date of the last property valuation.
Most Recent Valuation	Dynamic	Numeric	The most recent valuation of the property.
Most Recent Valuation Basis	Dynamic	List	The most recent Valuation Basis.
Ground Rent Currency	Dynamic	List	Currency of the Ground Rent (‘Ground Rent Payable’).
Most Recent Valuation Currency	Dynamic	List	Currency of the Most Recent Valuation (‘Most Recent Valuation’).
Securitisation Date Details
Property Securitisation Date	Static	Date	Date the property was contributed to this securitisation. If this property has been substituted, enter the date of the substitution. If the property was part of the original transaction, this will be the Securitisation Date.
Allocated Percentage of Loan at Securitisation Date	Static	Numeric	Allocated loan % attributable to property at Securitisation Date where there is more than one property securing the loan.
Date of Financials at Securitisation Date	Static	Date	The end date of the financials for the information used in the offering circular (e.g. year to date, annual, quarterly or trailing 12 months).
Net Operating Income at Securitisation Date	Dynamic	Numeric	Revenue less Operating Expenses at Securitisation Date.
Valuation at Securitisation Date	Static	Numeric	The valuation of the properties securing the loan at Securitisation Date as described in the Offering Circular.
Name of Valuer at Securitisation	Static	Text	Name of valuation firm who performed the property valuation at securitisation.
Date of Valuation at Securitisation Date	Dynamic	Date	The date the valuation was prepared for the values disclosed in the offering circular.
Vacant Possession Value at Date of Securitisation	Dynamic	Numeric	Vacant possession value at Date of Securitisation.
Commercial Area	Dynamic	Numeric	The total net Commercial rentable area of the property in square metres that serves as security for the loan per the most recent valuation report.
Residential Area	Dynamic	Numeric	The total net residential rentable area of the property in square metres that serves as security for the loan per the most recent valuation report.
Currency of Financials	Dynamic	List	Loan currency denomination.
Property Most Recent YTD Financial Details
Current Allocated Loan Percentage	Dynamic	Numeric	Allocated loan % attributable to property at Loan Payment Date where there is more than one property securing the loan, the sum of all % should total 100 %. This may be set out in the Loan Agreement.
Current Allocated Ending Loan Amount	Dynamic	Numeric	Apply the Current Allocated % to the Actual Balance outstanding on the Loan.
Most Recent Financial As of Start Date	Dynamic	Date	The first day of the financials used for the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months).
Most Recent Financial As of End Date	Dynamic	Date	The end date of the financials used for the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months).
Last Month of Year used for Reporting Financials	Dynamic	Text/Numeric	Enter the month that the financials for each year (most recent, preceding and second preceding) will end.
Most Recent Financial Indicator	Dynamic	List	This field is used to describe the period for which the most recent financial data is reflected.
Most Recent Revenue	Dynamic	Numeric	Total revenues for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for all the properties. For multiple properties then sum the revenue.
Most Recent Operating Expenses	Dynamic	Numeric	Total operating expenses for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for all properties.
Most Recent Net Operating Income	Dynamic	Numeric	Total revenues less total operating expenses for the period covered by the most recent financial operating statement.
Most Recent Capital Expenditure	Dynamic	Numeric	Total Capital Expenditure (as opposed to repairs and maintenance) for the period covered by the most recent financial operating statement, e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for all the properties.
Most Recent Net Cash Flow	Dynamic	Numeric	Total Net Operating Income less Capital Expenses for the period covered by the most recent financial operating statement.
Most Recent Debt Service Amount	Dynamic	Numeric	Total scheduled payments of principal and interest due during the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months).
Most Recent DSCR (NOI)	Dynamic	Numeric	Calculate the DSCR based on NOI for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months).
Contractual Annual Rental Income	Dynamic	Numeric	The contractual annual rental income derived from the most recent Borrower tenancy schedule.
Property Occupancy Details
Occupancy as of Date	Dynamic	Date	Date of most recently received rent roll/ tenancy schedule. (for hospitality (hotels), and health care properties use average occupancy for the period for which the financial statements are reported).
Physical Occupancy at Securitisation Date	Dynamic	Numeric	At Securitisation the available percentage of rentable space actually occupied (i.e. where tenants are actually in occupation and not vacated). Should be derived from a rent roll or other document indicating occupancy consistent with most recent financial year information.
Most Recent Physical Occupancy	Dynamic	Numeric	The most recent available percentage of rentable space actually occupied (i.e. where tenants are actually in occupation and not vacated). Should be derived from a rent roll or other document indicating occupancy consistent with most recent financial year information.
Available Tenant by Tenant Data	Dynamic	Y/N	Is the tenant information available on a tenant by tenant basis?
Weighted Average Lease Terms	Dynamic	Numeric	Weighted average lease terms in years.
Weighted Average Lease Terms (1st Break)	Dynamic	Numeric	Weighted average lease terms (in years) after all 1st Break options
Top Three Tenant Details
% Income expiring 1-12 months	Dynamic	Numeric	Percentage of income expiring in 1 to 12 months.
% Income expiring 13-24 months	Dynamic	Numeric	Percentage of income expiring in 13 to 24 months.
% Income expiring 25-36 months	Dynamic	Numeric	Percentage of income expiring in 25 to 36 months.
% Income expiring 37-48 months	Dynamic	Numeric	Percentage of income expiring in 37 to 48 months.
% Income expiring 49+ months	Dynamic	Numeric	Percentage of income expiring in 49 or more months.
Largest Tenant by income (Net)	Dynamic	Text/Numeric	Name of largest current tenant by net rent.
Date of Lease Expiration of Largest Tenant	Dynamic	Date	Expiration date of lease of largest current tenant (by net rent).
Rent Payable by Largest Tenant	Dynamic	Numeric	Annual Rent payable by largest current tenant.
2nd Largest Tenant by Income (Net)	Dynamic	Text/Numeric	Name of second largest current tenant (by net rent).
Date of Lease Expiration of 2nd Largest Tenant	Dynamic	Date	Expiration date of lease of second largest current tenant (net annual rent).
Rent Payable by 2nd Largest Tenant	Dynamic	Numeric	Rent Payable by second largest current tenant.
3rd Largest Tenant by Income (Net)	Dynamic	Text/Numeric	Name of third largest current tenant (by net rent).
Date of Lease Expiration of 3rd Largest Tenant	Dynamic	Date	Expiration date of lease of third largest current tenant (net annual rent).
Rent Payable by 3rd Largest Tenant	Dynamic	Numeric	Rent Payable by third largest current tenant.
Rent Currency	Dynamic	List	Rent currency denomination.
Foreclosure Details
Date Asset Expected to Be Resolved or Foreclosed	Dynamic	Date	Estimated date the Special Servicer expects resolution. If multiple properties, enter latest date from the affiliated properties. If in foreclosure = Expected Date of Foreclosure and if Property Possession = Expected Sale Date.
Possession Proceedings Start Date	Dynamic	Date	The date on which foreclosure proceedings or alternative enforcement procedures were initiated against or agreed by the borrower.
Date of Receivership	Dynamic	Date	The date on which title to (or an alternative form of effective control and ability to dispose of) the collateral property was obtained.

BOND INFO:

Field Name	Static/Dynamic	Data Type	Field Definition and Criteria
Bond General Details
Transaction Pool Identifier	Static	Text/Numeric	The unique transaction or pool identification string.
Distribution Date	Static	Date	The interest and principal payment date of the bond tranche.
Record Date	Static	Date	Date note class must be held as of to be considered holder of record.
Bond Class Name	Static	Text/Numeric	The designation (typically a letter and/or number) given to a tranche of commercial mortgage backed structured finance instrument which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1 etc.
CUSIP (Rule 144A)	Static	Text/Numeric	The security identification code assigned to each note class or tranche pursuant to standards established by the Committee on Uniform Security Identification Procedures number for Rule 144A requirements or other securities code established by an exchange or other entity.
International Securities Identification Number	Static	Text/Numeric	The security identification code assigned to each note class or tranche pursuant to standards established by the International Standards Organisation (ISIN) or other securities code established by an exchange or other entity.
Common Code (Rule 144A)	Static	Text/Numeric	Nine-digit identification code issued for each note class or tranche jointly by CEDEL and Euroclear.
International Securities Identification Number (Reg. S)	Static	Text/Numeric	The security identification code assigned to each note class or tranche pursuant to standards established by the International Standards Organisation (ISIN) for Regulation S requirements or other securities code established by an exchange or other entity.
Common Code (Reg. S)	Static	Text/Numeric	The security identification code assigned to each note class or tranche pursuant to standards established by the Committee on Uniform Security Identification Procedures number for Regulation S requirements or other securities code established by an exchange or other entity.
Bond Issuance Date	Static	Date	Date of bond issuance.
Legal Maturity Date	Static	Date	The date which note class specific or tranche of must be repaid in order not to be in default.
Currency	Static	List	Type of currency in which the note class or tranche monetary value is expressed.
Original Principal Balance	Static	Numeric	The original principal balance of the specific note class or tranche at the issuance date.
Bond Principal Details
Notional Flag	Static	Y/N	‘Y’ for Notional, ‘N’ if this note class or tranche is interest only, i.e. an IO strip.
Beginning Principal Balance	Static	Numeric	The outstanding principal balance of the note class or tranche at the beginning of the current period.
Scheduled Principal	Static	Numeric	The scheduled principal paid to the note class or tranche during the period.
Unscheduled Principal	Dynamic	Numeric	The unscheduled principal paid to the note class or tranche during the period.
Total Principal Distribution	Dynamic	Numeric	The total principal (scheduled and unscheduled) paid to the note class or tranche during the period.
Amortisation Type	Static	List	The amortisation method in which the note class or tranche is paid periodically.
Interest Only Period Duration	Static	Numeric	Length of interest only period in months.
Capitalised Interest	Dynamic	Numeric	Any interest added to the class balance including negative amortisation.
Principal Loss	Dynamic	Numeric	The total principal loss for the reporting period.
Cumulative Principal Losses	Dynamic	Numeric	Principal losses allocated cumulative-to-date.
Ending Principal Balance	Dynamic	Numeric	The outstanding principal balance of the note class or tranche at the end of the current period.
Payment Note factor	Dynamic	Numeric	Principal paid on the note class or tranche in the reporting period as a fraction of the note or tranche original (initial) balance (0<x<1), up to 12 decimal points.
Ending Note factor	Dynamic	Numeric	Ending note class or tranche principal after the payments of the current reporting period as a fraction of the note or tranche original (initial) balance (0<x<1), up to 12 decimal points.
Next Note Payment Date	Dynamic	Date	The next period note class or tranche payment/distribution date.
Bond Interest Details
Index Rate Type	Static	List	The base reference interest index as defined in the offering document applicable to the specific note class or tranche. Current interest rate index.
Current Index Rate	Dynamic	Numeric	The current value of the index rate applied to the specific note class or tranche during the current accrual period, to a minimum of 5 decimal places.
Accrual Method	Static	List	The accrual method in which the note class or tranche is calculated periodically.
Current Accrual Days	Dynamic	Numeric	The number of accrual days applicable to the calculation of current period remittance interest.
Interest Accrued	Dynamic	Numeric	The amount of accrued interest.
Available Funds Cap Applicable	Static	Y/N	Does the Note class benefit an Available Funds Cap (AFC) mechanism?
Appraisal Reduction Amount	Dynamic	Numeric	Current appraisal reduction allocated to this class.
Cumulative Appraisal Reduction	Dynamic	Numeric	Total cumulative appraisal reduction allocated.
Other Interest Distribution	Dynamic	Numeric	Other specific additions to interest.
Current Interest Shortfall	Dynamic	Numeric	Interest shortfall amount for this reporting period for this class.
Cumulative Interest Shortfall	Dynamic	Numeric	Cumulative Interest Shortfall to date.
Total Interest Distribution	Dynamic	Numeric	The total interest payment made.
Beginning Unpaid Interest Balance	Dynamic	Numeric	Outstanding interest shortfall at the beginning of the current period.
Short-Term Unpaid Interest	Dynamic	Numeric	Any interest deferred in the current period and payable on the next Payment Date.
Long-Term Unpaid Interest	Dynamic	Numeric	Any interest deferred in the current period and payable on the Maturity Date.
Available Funds Cap Trigger Event	Dynamic	Y/N	Has an Available Funds Cap (AFC) event been triggered?
Next Period Index Rate	Dynamic	Numeric	The next period value of the Index rate.
Next Index Reset Date	Dynamic	Date	The next period Index Rate reset date.
Liquidity Facility Details
Liquidity Facility - Beginning Balance	Dynamic	Numeric	The beginning balance of the liquidity facility.
Adjustments To The Liquidity Facility	Dynamic	Numeric	Any adjustments to the liquidity facility.
Drawdowns On The Liquidity Facility	Dynamic	Numeric	Amount of drawdown on the liquidity facility.
Repayments To The Liquidity Facility	Dynamic	Numeric	Repayment amounts to the liquidity facility.
Closing Liquidity Facility Balance	Dynamic	Numeric	The closing balance.
Liquidity Facility Currency	Dynamic	List	Currency of the liquidity facility.

ANNEX III U.K. Loan Level Data — Reporting template for structured finance instruments backed by loans to small and medium-sized enterprises

ASSETS:

Field Name	Static/Dynamic	Data Type	Field Definition and Criteria
Pool Cut-off Date	Dynamic	Date	Current pool or portfolio cut-off date.
Pool Identifier	Static	Text/Numeric	The unique transaction or pool identification string/transaction name.
Loan Identifier	Static	Text/Numeric	Unique identifier for each loan.
Originator	Static	Text	Lender that advanced the original loan.
Servicer Identifier	Static	Text/Numeric	Unique identifier per servicer to flag which entity is servicing the loan.
Servicer Name	Dynamic	Text	Servicer name.
Borrower Identifier	Static	Text/Numeric	Unique identifier per borrower — to enable borrowers with multiple loans in the pool to be identified (e.g. further advances/other loans shown as separate entries)
Obligor Information
Country	Static	List	Country of permanent establishment.
Postcode	Static	Text	First two or three characters must be provided at a minimum. Do not supply the full postcode.
Obligor Legal Form/Business Type	Static	List
Borrower Basel III Segment	Static	List
Originator Affiliate?	Static	Y/N	Is the borrower an affiliate of the originator?
Asset Type	Static	List
Seniority	Dynamic	List
Bank Internal Loss Given Default (LGD) Estimate	Dynamic	Numeric	Loss Given Default in normal economic conditions.
NACE Industry Code	Static	Text/Numeric	Borrower industry NACE Code.
Lease characteristics
Loan Origination Date	Static	Date	Date of original loan advance.
Final Maturity Date	Static	Date	Final maturity date of the loan.
Loan Denomination Currency	Static	List	Loan denomination.
Loan Hedged	Dynamic	Y/N	Has the specific loan been hedged for currency risk?
Original Loan Balance	Static	Numeric	Original total loan balance.
Current Balance	Dynamic	Numeric	Amount of loan outstanding as of pool cut-off date, This should include any amounts that are classed as principal in the transaction. For example if fees have been added to the loan balance and are part of the principal in the transaction these should be added. Excluding any interest arrears or penalty amounts.
Securitised Loan Amount	Static	Numeric	Balance of the securitised loan as of the cut-off date
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.
Amortisation Type	Dynamic	List	Amortisation type.
Type of Loan	Static	List
Balloon Amount	Dynamic	Numeric	The balloon payment amount
Payment type	Dynamic	List
Interest Rate
Current Interest Rate	Dynamic	Numeric	Current interest rate (%)
Interest Cap Rate	Dynamic	Numeric	Interest rate cap (%).
Interest Floor Rate	Static	Numeric	Interest rate floor (%).
Interest Rate Type	Dynamic	List	Interest Rate Type.
Current Interest Rate Index	Dynamic	List	Current interest rate index (the reference rate off which the mortgage interest rate is set).
Current Interest Rate Margin	Dynamic	Numeric	Current interest rate margin (for fixed rate loans this is the same as the current interest rate, for floating rate loans this is the margin over or under if input as a negative) the index rate.
Interest Reset Period	Static	List
Performance Information
Interest Arrears Amount	Dynamic	Numeric	Current balance of interest arrears.
Number of Days in Interest Arrears	Dynamic	Numeric	Number of days this loan is in arrears (at pool cut-off date) according to the definition of the issuer
Principal Arrears Amount	Dynamic	Numeric	Current balance of principal arrears. Arrears defined as: Total principal payments due to date LESS Total principal payments received to date LESS any amounts capitalised.
Number of Days in Principal Arrears	Dynamic	Numeric	Number of days this loan is in arrears (at pool cut-off date) according to the definition of the issuer.
Default or Foreclosure on the loan per the transaction definition	Dynamic	Y/N	Whether there has been a default or foreclosure on the loan per the transaction definition.
Default or Foreclosure on the loan per Basel III definition	Dynamic	Y/N	Whether there has been a default or foreclosure on the loan per Basel III definition.
Reason for Default (Basel II definition)	Dynamic	List	Using Basel II Definition Reason for default.
Default Date	Dynamic	Date	Date the loan defaulted per the transaction default definition.
Default Amount	Dynamic	Numeric	Total default amount (per the transaction default definition) before the application of sale proceeds and recoveries.
Cumulative Recoveries	Dynamic	Numeric	Total recoveries including all sale proceeds. Only relevant for loans that have defaulted/foreclosed.
Allocated Losses	Dynamic	Numeric	The allocated losses to date.
Date Loss Allocated	Dynamic	Date	The date when the loss was allocated.

AMORTISATION PROFILE:

Field Name	Static/Dynamic	Data Type	Field Definition and Criteria
Outstanding Balance Period 1	Dynamic	Numeric	Amortisation Profile with 0 % prepayments
Outstanding Balance Period 1 Date	Dynamic	Date	Date associated with Period 1 Balance
Outstanding Balance Period [2-120]	Dynamic	Numeric	Amortisation Profile with 0 % prepayments
Outstanding Balance Period [2-120] Date	Dynamic	Date	Date associated with Period [2-120] Balance

COLLATERAL:

Field Name	Static/Dynamic	Data Type	Field Definition and Criteria
Collateral
Collateral ID	Static	Text	Unique collateral code for the originating entity.
Loan Identifier	Static	Text/Numeric	Unique loan identifier associated with the collateral. These should match the identifiers from field ‘Loan Identifier’.
Security Type	Static	List	Is there a fixed or floating charge over the assets?
Collateral Type	Static	List	Collateral type.
Original Valuation Amount	Static	Numeric	Property value as of date of latest loan advance prior to a securitisation.
Original Valuation Date	Static	Date	Date of latest property valuation at time of latest loan advance prior to a securitisation.
Current Valuation Date	Dynamic	Date	This should be the date of the most recent valuation.
Original Valuation Type	Static	List	Valuation type at origination.
Ranking	Dynamic	Text
Property Postcode	Static	Text	First two or three characters must be provided at a minimum.
Origination Channel/Arranging Bank or Division	Static	List
Collateral Currency	Static	List	This should be the currency relating to the valuation amount in ‘Collateral Value’.
Number of Collateral Items Securing The Loan	Dynamic	Numeric	The total number of collateral pieces securing the loan. The number should reflect the number of collateral reports submitted for the loan in the current file.

BOND INFO:

Field Name	Static/Dynamic	Data Type	Field Definition and Criteria
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
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
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
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 U.K. 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
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 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
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
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
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 U.K. 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
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 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
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
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
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
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 U.K. 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
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
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)
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 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
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)
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 U.K. 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
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 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 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 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
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
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
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
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
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 U.K. 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.

(1)

OJ L 302, 17.11.2009, p. 1.

(2)

Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).

(3)

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

(4)

Directive 2003/71/EC of the European Parliament and of the Council of 4 November 2003 on the prospectus to be published when securities are offered to the public or admitted to trading and amending Directive 2001/34/EC (OJ L 345, 31.12.2003, p. 64).

(5)

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