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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)

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Commission Delegated Regulation (EU) 2015/3, ANNEX VII is up to date with all changes known to be in force on or before 11 December 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations. Help about Changes to Legislation

EUR 2015 No. 3 may be subject to amendment by EU Exit Instruments made by the Financial Conduct Authority under powers set out in The Financial Regulators' Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 1. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.

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

Field NameStatic/DynamicData TypeField Definition and Criteria
Deal-Specific Information
Pool Cut-off DateDynamicYYYY-MM-DDPool or Portfolio cut-off date. This is the date at which the underlying asset data within the report is referenced.
Pool IdentifierStaticText/NumericPool or Portfolio identifier/name of transaction.
Servicer NameDynamicText/NumericServicer name.
Backup Servicer NameDynamicTextName of the Backup Servicer.
Lease-Level Information
Lease IdentifierStaticText/NumericUnique identifier (ID) for each Lease which should be encrypted to ensure anonymity. The Lease ID should not change through the life of the transaction.
OriginatorStaticTextLender that advanced the original Lease. Where original originator is not known, for example in case of mergers, name of Seller to be provided.
Lessee IdentifierStaticText/NumericUnique 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 IdentifierDynamicText/NumericUnique group company identifier.
Lease Currency DenominationStaticListLease currency denomination.
CountryStaticListCountry of permanent establishment of the lessee.
Geographic RegionStaticListThe region where the obligor is located as at underwriting.
Lessee Legal Form/Business TypeStaticListLegal form of lessee.
Borrower Basel III SegmentStaticListCorporate (1).
Originator Affiliate?StaticY/NIs the borrower an affiliate of the originator?
Syndicated?StaticY/NIs the lease syndicated?
Bank Internal RatingDynamic99(3).99Bank internal 1 Year Probability of Default.
Last Internal Obligor Rating ReviewDynamicYYYY-MMDate of last internal review of obligor as referenced in ‘Bank Internal Rating’.
Bank Internal Loss Given Default (LGD) EstimateDynamic9(3).99Loss Given Default in normal economic conditions. Do not include the % symbol.
NACE Industry CodeStaticText/NumericBorrower industry NACE Code.
SubsidisedDynamicY/NIs the lease subsidised (to the best of your knowledge)?
Date Removed from the PoolDynamicYYYY-MMDate 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 DateStaticYYYY-MMDate of lease origination.
Date of Lease MaturityDynamicYYYY-MMThe expected expiry date of the lease maturity.
Pool Addition DateStaticYYYY-MMDate that the lease was transferred to the SPV. For all leases in the pool as at the date of the pool cut-off.
Lease TermStatic99(4).99Original contractual term (number of months).
Original Principal BalanceStatic9(11).99Original Principal (or discounted) lease balance (inclusive of capitalised fees) at origination.
Current Principal Outstanding BalanceDynamic9(11).99Principal (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 ValueStatic9(11).99Residual value amount which has been securitised only.
Repayment MethodStaticListType of principal repayment.
Principal Payment FrequencyStaticListFrequency of principal payments due, i.e. number of months between payments.
Interest Payment FrequencyStaticListFrequency of interest payments due, i.e. number of months between payments.
Payment DueDynamic9(11).99The next periodic contractual payment due (the payment due if there are no other payment arrangements in force).
Option to Buy PriceStatic9(11).99The 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 AmountStatic9(11).99Amount of deposit/down payment on origination of lease (this should include the value of traded-in equipment etc.).
Amortisation TypeDynamicListAmortisation type.
Payment MethodDynamicListUsual method of payment (can be based upon last payment received).
Product TypeStaticListThe classification of the lease, per lessor’s definitions.
Updated Residual Value of AssetDynamic9(11).99Most recent forecast residual value of the asset at the end of the lease term. Response may be rounded.
Date of Updated Residual Valuation of AssetDynamicYYYY-MMThe date that the most recent updated estimation of the residual value of the asset was calculated.
Interest Rate
Interest Rate Reset IntervalStatic9(2).99Number of months between each interest rate reset date.
Current Interest Rate or Discount RateDynamic9(4).9(5)Total current interest rate (%) or discount rate applicable to the lease.
Current Interest Rate BasisDynamicListCurrent interest rate basis.
Current Interest Rate MarginDynamic9(4).9(5)Current interest rate margin of the lease.
Discount RateStatic9(4).9(5)Discount rate applied to the receivable when it was sold to the SPV.
Interest Cap RateDynamic9(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 RateDynamic9(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 BalanceDynamic9(11).99Current 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 ArrearsDynamic9(5).99Number of months this Lease is in arrears (at pool cut-off date) according to the definition of the issuer.
Default or Foreclosure on the LeaseDynamicY/NWhether 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 definitionDynamicY/NWhether there has been a default or foreclosure on the Lease per Basel III definition.
Reason for Default (Basel III definition)DynamicListUsing Basel III definition, reason for default.
Default DateDynamicYYYY-MMDate the Lease defaulted per the transaction default definition, or alternatively, per the lessor’s usual definition.
Default AmountDynamic9(11).99Total default amount (per the transaction definition, or alternatively, per the lessor’s usual definition) before the application of sale proceeds and recoveries.
Cumulative RecoveriesDynamic9(11).99Cumulative recoveries on this account, net of costs.
Allocated LossesDynamic9(11).99The allocated losses to date.
Redemption DateDynamicYYYY-MMDate on which account redeemed or the date that the recovery process was completed for defaulted leases.
Date Loss AllocatedDynamicYYYY-MMThe date when the loss was allocated.
Account StatusDynamicListCurrent status of account.
Arrears 1 Month AgoDynamic9(11).99Arrears balance (defined as per ‘arrears balance’) for the previous month.
Arrears 2 Months AgoDynamic9(11).99Arrears balance (defined as per ‘arrears balance’) two months ago.
LitigationDynamicY/NFlag to indicate litigation proceedings underway (if account has recovered and is no longer being actively litigated this should be re-set to N).
Sale PriceDynamic9(11).99Price achieved on sale of asset in case of foreclosure, in same currency denomination as lease.
Loss on SaleDynamic9(11).99Total loss net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries).
Residual Value LossesDynamic9(11).99Residual value loss arising on turn-in of asset.
Collateral
Country of AssetStaticListThe country where the asset is located.
Asset ManufacturerStaticTextName of the manufacturer.
Asset Name/ModelStaticTextName of the asset/model.
New or Used AssetStaticListCondition of asset at point of lease origination.
Original Residual Value of AssetStatic9(11).99The estimated residual value of the asset at the date of lease origination.
Asset TypeStaticListAsset type.
Original Valuation amountStatic9(11).99Valuation of asset at lease origination.
Original Valuation typeStaticListValuation type at lease origination.
Original Valuation dateStaticYYYY-MMDate of asset valuation at origination.
Updated Valuation amountDynamic9(11).99Latest asset valuation.
Updated Valuation typeDynamicListValuation type at most recent valuation date.
Updated Valuation dateDynamicYYYY-MMDate of latest asset valuation. If no revaluation has occurred since origination, enter original valuation date.

BOND INFO:

Field NameStatic/DynamicData TypeField Definition and Criteria
Security or Bond Level Information
Report DateDynamicYYYY-MM-DDThe date on which the transaction report was issued, i.e. the submission date of the completed loan-level data template to the data repository.
IssuerStaticTextName of issuer and issue series, if applicable.
All Reserve Accounts at Target BalanceDynamicY/NAre all reserve accounts (cash reserve, commingling reserve, set-off reserve etc.) at their required levels?
Drawings under Liquidity FacilityDynamicY/NHas the liquidity facility been used to cover shortfalls in the period ending on the last interest payment date?
Trigger Measurements/RatiosDynamicY/NHas any trigger event occurred?
Annualised Constant Prepayment RateDynamic9(3).99The 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 SPVDynamic9(11).99Sum of principal amount of receivables sold to SPV (i.e. at closing and during the replenishment period if applicable) to date.
Cumulative Gross Defaults - PoolDynamic9(11).99Sum of all gross defaults since closing, in currency amount.
Cumulative Recoveries - PoolDynamic9(11).99Sum of all recoveries since closing, in currency amount.
Revolving Period End DateDynamicYYYY-MMThe date that the revolving period is expected to end, or actually ended.
Transaction Report Contact Information
Point ContactStaticText/NumericName of the department and the point person(s) of the information sources.
Contact InformationStaticText/NumericTelephone number and e-mail address.

BOND INFO BY TRANCHE:

Field NameStatic/DynamicData TypeField Definition and Criteria
Tranche Level Information
Bond Class NameStaticText/NumericThe 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 NumberStaticText/NumericThe 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 DateDynamicYYYY-MM-DDThe 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 DateDynamicYYYY-MM-DDThe 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 CurrencyStaticListThe denomination of this tranche.
Reference RateStaticListThe base reference interest index as defined in the offering document applicable to this specific tranche of Bond.
Legal MaturityStaticYYYY-MM-DDThe date before which this specific tranche must be repaid in order not to be in default.
Bond Issue DateStaticYYYY-MM-DDDate the bonds were issued.
Interest Payment FrequencyStaticListThe frequency with which interest is due to be paid on this tranche.

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