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

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.