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

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.