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

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

Field Name	Static/Dynamic	Data Type	Field Definition and Criteria
Deal-Specific Information
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.