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

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.