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Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

Preamble

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012, and in particular Articles 7(3) and 17(2)(a) thereof,

Whereas:

  1. (1)

    The scope of Article 7(3) of Regulation (EU) 2017/2402 refers to all securitisations, including securitisations where a prospectus has to be drawn up pursuant to Regulation (EU) 2017/1129 of the European Parliament and of the Council (commonly referred to as "public" securitisations) and securitisations where a prospectus does not have to be drawn up (commonly referred to as "private" securitisations). Article 17(2)(a) of Regulation (EU) 2017/2402 refers to securitisations making information available via a securitisation repository, which does not include private securitisations. To reflect this distinction, this Regulation has been organised into separate sections specifying the information concerning all securitisations and the information concerning public securitisations only.

  2. (2)

    The disclosure of certain information relating to a securitisation is necessary for investors and potential investors so that they may effectively conduct due diligence and a proper risk-assessment of the credit risks of the underlying exposures, the model risk, the legal risk, the operational risk, the counterparty risk, the servicing risk, the liquidity risk, and the concentration risk. The information to be disclosed should also be sufficiently detailed so as to enable the entities listed in Article 17(1) of Regulation (EU) 2017/2402 to effectively monitor the overall functioning of securitisation markets, trends in underlying asset pools, securitisation structures, interconnectedness among counterparties and the effects of securitisation in the broader macro-financial landscape of the Union.

  3. (3)

    Securitisations accommodate many types of underlying exposures, such as loans, leases, debts, credits or other cash flow generating receivables. It is therefore appropriate to establish tailored reporting requirements for the underlying exposure types that are the most prominent in the Union, taking into account both outstanding amounts and presence across localities. Specific reporting requirements for "esoteric" underlying exposures that do not conform to the most prominent types should also be established in order to ensure that all types of underlying exposures are disclosed.

  4. (4)

    An underlying exposure type may fall within several possible sets of reporting requirements under this Regulation. In line with current market practice, information on a pool of underlying exposures that is comprised entirely of automobile underlying exposures should be reported using the corresponding template on automobile underlying exposures set out in the Annexes to this Regulation, regardless of whether the underlying automobile underlying exposures are loans or leases. Equally, in line with current market practice, information on a pool of underlying exposures where the underlying exposures are entirely leases should be reported using the corresponding template on leasing underlying exposures set out in the Annexes to this Regulation, unless the pool of underlying exposures is comprised entirely of automobile leases in which case the template on automobile underlying exposures set out in the Annexes to this Regulation should be used to report information.

  5. (5)

    For reasons of consistency, terms relating to residential and commercial real estate lending which derive from Recommendation ESRB/2016/14 of the European Systemic Risk Board should be applied. In line with that Recommendation, a property that has a mixed commercial and residential use should be considered as different properties, where it is feasible to make such a breakdown. Where such a breakdown is not possible, the property should be classified according to its dominant use.

  6. (6)

    In order to provide continuity with existing templates for disclosures of certain information, terms relating to micro, small, and medium-sized enterprises which derive from Commission Recommendation (2003/361/EC) should also be applied. Equally, terms relating to automobile, consumer, credit card, and leasing underlying exposures which derive from Commission Delegated Regulation (EU) 2015/3 should be applied.

  7. (7)

    The granularity of the information to be disclosed for non-ABCP securitisation underlying exposures should reflect the loan/lease-level depth used in existing disclosure and data collection provisions. For due-diligence, monitoring, and supervisory purposes, disaggregated underlying exposure-level data is valuable for securitisation investors, potential investors, competent authorities and, with regard to public securitisations for the other entities listed in Article 17 of Regulation (EU) 2017/2402. Furthermore, disaggregated underlying exposure-level data is key to restoring public and investor confidence in securitisation markets. As regards ABCP, both the short-term nature of the liabilities and the presence of additional forms of support beyond underlying exposures reduce the need for loan/lease-level data.

  8. (8)

    It is less useful for investors, potential investors, competent authorities and, with regard to public securitisations, the other entities listed in Article 17(1) of Regulation (EU) 2017/2402, to continue receiving information on "inactive" exposures. This is because "inactive" exposures, such as loans that have defaulted with no further recoveries expected or loans that have been redeemed, prepaid, cancelled, repurchased or substituted, no longer contribute to the risk profile of the securitisation. It is therefore appropriate that information on the transition of inactive exposures from "active" to "inactive" status is reported for reasons of transparency, but there is no need to report such exposures thereafter.

  9. (9)

    It is possible that the reporting requirements under Regulation (EU) 2017/2402 require making available a substantial number and variety of documents and other items. In order to facilitate the tracking of such documentation, a set of item codes should be used by the originator, sponsor, or SSPE when making information available to a securitisation repository.

  10. (10)

    In accordance with best practices for reporting requirements and in order to assist investors, potential investors, competent authorities and, with regard to public securitisations, the other entities listed in Article 17(1) of Regulation (EU) 2017/2402 in tracking the relevant information, standardised identifiers should be assigned to the information made available. Furthermore, those standardised identifiers should be unique and permanent so that the evolution of securitisation information may be effectively monitored over time.

  11. (11)

    In order to allow investors, potential investors, competent authorities and, with regard to public securitisations, the other entities listed in Article 17(1) of Regulation (EU) 2017/2402 to satisfy their due diligence and other obligations under that Regulation, it is essential that information made available is complete, consistent and up-to-date. A change in the risk characteristics of the underlying exposures or in the aggregated cash flows generated by those underlying exposures or in other information set out in the investor report can materially impact the performance of the securitisation and have a significant effect on the prices of the tranches/bonds of that securitisation. Therefore, inside information or significant event information should be made available, for public securitisations, the moment information on underlying exposures and investor report is made available via a securitisation repository. Furthermore, for public securitisations, inside information or significant event information should include detailed information on the non-ABCP securitisation, the ABCP programme, the ABCP transaction, the tranches/bonds, the accounts, the counterparties and information on features that are relevant for synthetic or Collateralised Loan Obligation securitisations.

  12. (12)

    For reasons of transparency, where information cannot be made available or is not applicable, the originator, sponsor, or SSPE should signal and explain, in a standardised manner, the specific reason and circumstances why the data is not reported. A set of "No data" options should therefore be developed for that purpose, reflecting existing practices for disclosures of securitisation information.

  13. (13)

    The set of "No data" ("ND") options should only be used where information is not available for justifiable reasons, including where a specific reporting item is not applicable due to the heterogeneity of the underlying exposures for a given securitisation. The use of ND options should however in no way constitute a circumvention of reporting requirements. The use of ND options should therefore be objectively verifiable on an ongoing basis, in particular by providing explanations to competent authorities at any time, upon request, of the circumstances that have resulted in the use of the ND values.

  14. (14)

    For reasons of accuracy, reported information should be up-to-date. Therefore, information made available should reference a time period that is as close as possible to the date of submission, having due regard to the operational steps to be undertaken by the originator, sponsor, or SSPE to organise and submit the required information.

  15. (15)

    The provisions in this Regulation are closely linked, since they deal with the information about a securitisation that the originator, sponsor or SSPE of that securitisation are to make available to various parties as required under Regulation (EU) 2017/2402. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and efficient access to all the relevant information of a securitisation, it is necessary to include the regulatory technical standards in a single Regulation.

  16. (16)

    This Regulation is based on the draft regulatory technical standards submitted by European Securities and Markets Authority (ESMA) to the Commission.

  17. (17)

    ESMA has conducted open public consultation on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established by Article 37 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council,

HAS ADOPTED THIS REGULATION:

Article 1 Definitions

For the purposes of this Regulation, the following definitions shall apply:

  1. (1)

    "reporting entity" means the entity designated in accordance with the first subparagraph of Article 7(2) of Regulation (EU) 2017/2402;

  2. (2)

    "data cut-off date" means the reference date of the information being reported in accordance with this Regulation;

  3. (3)

    "active underlying exposure" means an underlying exposure which, at the data cut-off date, may be expected to generate cash inflows or outflows in the future;

  4. (4)

    "inactive underlying exposure" means an underlying exposure that has defaulted with no further recoveries expected or that has been redeemed, prepaid, cancelled, repurchased or substituted;

  5. (5)

    "debt service coverage ratio" means the annual rental income generated by commercial real estate that is wholly or partially financed by debt, net of taxes and net of any operational expenses to maintain the property's value, relative to the annual combined interest and principal repayment on a borrower's total debt over a given period on the loan secured by the property;

  6. (6)

    "interest coverage ratio" means the gross annual rental income, before operational expenses and taxes, accruing from a buy-to-let property or the net annual rental income accruing from a commercial real estate property or set of properties relative to the annual interest cost of the loan secured by the property or set of properties.

  7. (7)

    ‘IP completion day’ has the meaning given in section 39 of the European Union (Withdrawal Agreement) Act 2020;

  8. (8)

    ‘UK-adopted IFRS’ means UK-adopted international accounting standards; and

  9. (9)

    ‘UK-adopted international accounting standards’ means (in accordance with section 474(1) of the Companies Act 2006) the international accounting standards which are adopted for use within the United Kingdom by virtue of Chapter 2 or 3 of Part 2 of the International Accounting Standards and European Public Limited-Liability Company (Amendment etc.) (EU Exit) Regulations 2019.

Signature

Done at Brussels, 16 October 2019.

For the Commission

The President

Jean Claude JUNCKER

ANNEX I Table 1: System of Accounts Secure Codes Table 2: Servicer Watchlist Codes Table 3: Item types and codes

Table 1: System of Accounts Secure Codes

Sectors

Sub-sectors

SA Code

Non-financial corporations

Public non-financial corporations

S.11001

National private non-financial corporations

S.11002

Foreign controlled non-financial corporations

S.11003

Monetary financial institutions (MFIs)

Central bank

S.121

Public deposit-taking corporations except the central bank

S.12201

National private deposit-taking corporations except the central bank

S.12202

Foreign controlled deposit-taking corporations except the central bank

S.12203

Public money market funds (MMFs)

S.12301

National private money market funds (MMFs)

S.12302

Foreign controlled money market funds (MMFs)

S.12303

Financial corporations except MFIs and Insurance corporations and pension funds (ICPFs)

Public non-MMF investment funds

S.12401

National private non-MMF investment funds

S.12402

Foreign controlled non-MMF investment funds

S.12403

Public other financial intermediaries, except insurance corporations and pension funds

S.12501

National private other financial intermediaries, except insurance corporations and pension funds

S.12502

Foreign controlled other financial intermediaries, except insurance corporations and pension funds

S.12503

Public financial auxiliaries

S.12601

National private financial auxiliaries

S.12602

Foreign controlled financial auxiliaries

S.12603

Public captive financial institutions and money lenders

S.12701

National private captive financial institutions and money lenders

S.12702

Foreign controlled captive financial institutions and money lenders

S.12703

ICPFs

Public insurance corporations

S.12801

National private insurance corporations

S.12802

Foreign controlled insurance corporations

S.12803

Public pension funds

S.12901

National private pension funds

S.12902

Foreign controlled pension funds

S.12903

Other

General government

S.13

Central government (excluding social security funds)

S.1311

State government (excluding social security funds)

S.1312

Local government (excluding social security funds)

S.1313

Social security funds

S.1314

Households

S.14

Employers and own-account workers

S.141+S.142

Employees

S.143

Recipients of property and transfer income

S.144

Recipients of property income

S.1441

Recipients of pensions

S.1442

Recipients of other transfers

S.1443

Non-profit institutions serving households

S.15

Member States of the European Union

S.211

Institutions and bodies of the European Union

S.212

Non-member countries and international organisations non-resident in the European Union

S.22

Table 2: Servicer Watchlist Codes

Servicer Watchlist Code

Meaning

Inclusion Threshold

Release Threshold

1A

Delinquent P&I payment

2 payments behind

Arrears cleared and loan is current. Remain on Watchlist for 2 quarters/periods

1B

Delinquent insurance renewal or forced placed coverage

30 days overdue

Receipt of proof of satisfactory insurance

1C

Interest Coverage Ratio below dividend trap.

Interest Coverage Ratio < required loan covenant (cash trap or default level);

Interest Coverage Ratio < 1.00 on a loan by loan basis

Interest Coverage Ratio above threshold

1D

Debt Service Coverage Ratio absolute level

Debt Service Coverage Ratio < 1.00;

Debt Service Coverage Ratio < 1.20 for healthcare and lodging;

or on a loan by loan basis

Debt Service Coverage Ratio above threshold

1E

Debt Service Coverage Ratio decreases from "Securitisation Date"

Debt Service Coverage Ratio < 80 % of the "Securitisation Date" Debt Service Coverage Ratio

Debt Service Coverage Ratio above threshold. Remain on Watchlist for 2 quarters/periods

1F

Defaulted, matured, or discovery of previous undisclosed subordinate lien including mezzanine loan.

When notice received by servicer

Default has been cured or subordinate debt approved by servicer

1G

Any unplanned draw on a letter of credit, debt service reserve, or working capital to pay debt service

Any occurrence on a loan by loan basis.

After funds or Letter of Credit replaced if required by the documents otherwise after two Interest Payment Dates with no further draws

2A

Absolute required repairs reserved for at closing, or otherwise disclosed to servicer, but not completed by due date

If required repair is not completed with 60 days following the due date (including extensions approved by the Servicer) and it is the lesser of 10 % of the unpaid principal balance or €250,000

Satisfactory verification that repairs have been completed

2B

Any required spending plan deficiencies (i.e.: capex, FF&E)

Any knowledge of deficiency that adversely affects the performance or value of property; on a loan by loan basis/material (> 5 % of loan outstanding balance)

When plan deficiencies are cured

2C

Occurrence of any trigger event in the mortgage loan documents. (e.g. required loan pay down, posting of additional reserves, minimum thresholds breached, etc.)

Any occurrence

Cure of the event that required action under the mortgage documents

2D

Verification of financial performance. Unsatisfactory or non-delivery of tenancy schedules or operating statements, etc.

Any occurrence for 6 months or greater

Cure of the event that required action under the mortgage documents

2E

Operating licence or franchise agreement default

When notice received by servicer

New franchise or licence in place, or default under franchise or licence has been cured - Relationship agreement

2F

Borrower/owner/sponsor bankruptcy or similar event (e.g. insolvency arrangement/proceedings, bankruptcy, receivership, liquidation, company voluntary arrangement (CVA)/individual voluntary arrangement (IVA)), becomes the subject of winding up order bankruptcy petition or other.

When notice received by servicer

Retain on Watchlist until Interest Payment Date following cure.

3A(i)

Inspection reveals poor condition

Any occurrence on a loan by loan basis/material 5 % > of net rental income (NRI)

In Servicer's discretion that property deficiencies cured or access allowed and inspection completed

3A(ii)

Inspection reveals poor accessibility

Any occurrence on a loan by loan basis/material 5 % > of net rental income (NRI)

In Servicer's discretion that property deficiencies cured or access allowed and inspection completed

3B

Inspection reveals harmful environmental issue

Any occurrence

In Servicer's discretion that property deficiencies cured

3C

Properties affected by major casualty or compulsory purchase proceeding affecting future cash flows, value/blight/caution.

When servicer becomes aware of issue and it affects > 10 % of value or €500,000

In Servicer's discretion that all necessary repairs have been completed satisfactorily or that condemnation proceedings have been completed and the asset can perform satisfactorily

4A

Overall property portfolio occupancy decrease

20 % less than "Securitisation Date" level; on a loan by loan basis

When condition no longer exists

4B

Any 1 tenant or combination of TOP 3 TENANTS (based on gross rental) with leases > 30 % expiring within the next 12 months.

Only applies to office, industrial and retail.

When condition no longer exists or Servicer's discretion.

4C

Major tenant lease or leases that are in default, terminated or are dark (Not occupied, but rent being paid)

> 30 % Net Rental Income

When condition no longer exists, or Servicer's discretion.

5A

Pending loan maturity

< 180 days until maturity

Loan is paid off.

Table 3: Item types and codes

Item type

Article(s) of Regulation (EU) 2017/2402

Item code

Underlying exposures or underlying receivables or credit claims

7(1)(a)

1

Investor report

7(1)(e)

2

Final offering document; prospectus; closing transaction documents, excluding legal opinions

7(1)(b)(i)

3

Asset sale agreement; assignment; novation or transfer agreement; any relevant declaration of trust

7(1)(b)(ii)

4

Derivatives and guarantees agreements; any relevant documents on collateralisation arrangements where the exposures being securitised remain exposures of the originator

7(1)(b)(iii)

5

Servicing; back-up servicing; administration and cash management agreements

7(1)(b)(iv)

6

Trust deed; security deed; agency agreement; account bank agreement; guaranteed investment contract; incorporated terms or master trust framework or master definitions agreement or such legal documentation with equivalent legal value

7(1)(b)(v)

7

Inter-creditor agreements; derivatives documentation; subordinated loan agreements; start-up loan agreements and liquidity facility agreements

7(1)(b)(vi)

8

Any other underlying documentation that is essential for the understanding of the transaction

7(1)(b)

9

Simple, transparent and standardised notification pursuant to Article 27 of Regulation (EU) 2017/2402

7(1)(d)

10

Inside information relating to the securitisation that the originator, sponsor or SSPE is obliged to make public in accordance with Article 17 of Regulation (EU) No 596/2014 of the European Parliament and of the Council

7(1)(f)

11

A significant event, such as:

(i) a material breach of the obligations provided for in the documents made available in accordance with Article 7(1)(b) of Regulation (EU) 2017/2402, including any remedy, waiver or consent subsequently provided in relation to such a breach;

(ii) a change in the structural features that can materially impact the performance of the securitisation;

(iii) a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation;

(iv) in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where the competent authority has taken remedial or administrative actions;

(v) any material amendment to transaction documents.

7(1)(g)

12

ANNEX II

UNDERLYING EXPOSURES INFORMATION – RESIDENTIAL REAL ESTATE (RRE)

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

RREL1

Unique Identifier

The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Commission Delegated Regulation (EU) 2020/1224.

NO

NO

RREL2

Original Underlying Exposure Identifier

Unique underlying exposure identifier. The identifier must be different from any external identification number to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

RREL3

New Underlying Exposure Identifier

If the original identifier in field RREL2 cannot be maintained in this field, enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in RREL2. The reporting entity must not amend this unique identifier.

NO

NO

RREL4

Original Obligor Identifier

Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

RREL5

New Obligor Identifier

If the original identifier in field RREL4 cannot be maintained in this field, enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in RREL4. The reporting entity must not amend this unique identifier.

NO

NO

RREL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

RREL7

Pool Addition Date

The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available, enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.

NO

YES

RREL8

Date Of Repurchase

Date on which the underlying exposure was repurchased from the pool.

NO

YES

RREL9

Redemption Date

Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.

NO

YES

RREL10

Resident

Is the primary obligor a resident of the country in which the collateral and underlying exposure reside?

YES

NO

RREL11

Geographic Region - Obligor

The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in RREL12 to provide the year of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

NO

RREL12

Geographic Region Classification

Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. 2016 should be entered for new exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.

YES

NO

RREL13

Employment Status

Employment status of the primary obligor:

Employed - Private Sector (EMRS)

Employed - Public Sector (EMBL)

Employed - Sector Unknown (EMUK)

Unemployed (UNEM)

Self-employed (SFEM)

No Employment, Obligor is Legal Entity (NOEM)

Student (STNT)

Pensioner (PNNR)

Other (OTHR)

YES

NO

RREL14

Credit Impaired Obligor

Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator's or original lender's knowledge:

(a) has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:

(i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and

(ii) the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

(b) was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or

(c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

NO

YES

RREL15

Customer Type

Customer type at origination:

New customer and not an employee/affiliated with the originator's group (CNEO)

New customer and an employee/affiliated with the originator's group (CEMO)

New customer and employee/affiliation not recorded (CNRO)

Existing customer and not an employee/affiliated with the originator's group (ENEO)

Existing customer and an employee/affiliated with the originator's group (EEMO)

Existing customer and employee/affiliation not recorded (ENRO)

Other (OTHR)

YES

NO

RREL16

Primary Income

Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor's annual revenue.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

RREL17

Primary Income Type

Indicate what income in RREL16 is displayed:

Gross annual income (GRAN)

Net annual income (net of tax and social security) (NITS)

Net annual income (net of tax only) (NITX)

Net annual income (net of social security only) (NTIN)

Estimated net annual income (net of tax and social security) (ENIS)

Estimated net annual income (net of tax only) (EITX)

Estimated net annual income (net of social security only) (EISS)

Disposable Income (DSPL)

Borrower is legal entity (CORP)

Other (OTHR)

YES

NO

RREL18

Primary Income Currency

Currency in which the primary obligor's income or revenue is paid.

YES

NO

RREL19

Primary Income Verification

Primary Income Verification:

Self-certified no Checks (SCRT)

Self-certified with Affordability Confirmation (SCNF)

Verified (VRFD)

Non-Verified Income or Fast Track (NVRF)

Credit Bureau Information or Scoring (SCRG)

Other (OTHR)

YES

NO

RREL20

Secondary Income

Secondary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the secondary obligory is a legal person/entity, enter that obligor's annual revenue. When there are more than two obligors in this underlying exposure, indicate total annual combined income across all obligors in this field.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL21

Secondary Income Verification

Income verification for secondary income:

Self-certified no Checks (SCRT)

Self-certified with Affordability Confirmation (SCNF)

Verified (VRFD)

Non-Verified Income or Fast Track (NVRF)

Credit Bureau Information or Scoring (SCRG)

Other (OTHR)

YES

YES

RREL22

Special Scheme

If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.

YES

YES

RREL23

Origination Date

Date of original underlying exposure advance.

YES

NO

RREL24

Maturity Date

The date of maturity of the underlying exposure or expiry of the lease.

NO

YES

RREL25

Original Term

Original contractual term (number of months) at the origination date.

YES

YES

RREL26

Origination Channel

Origination channel of the underlying exposure:

Office or Branch Network (BRAN)

Central or Direct (DRCT)

Broker (BROK)

Internet (WEBI)

Package (TPAC)

Third Party Channel but Underwriting Performed Entirely by the Originator (TPTC)

Other (OTHR)

YES

YES

RREL27

Purpose

The reason for the obligor taking out the loan:

Purchase (PURC)

Remortgage (RMRT)

Renovation (RENV)

Equity Release (EQRE)

Construction (CNST)

Debt Consolidation (DCON)

Remortgage with Equity Release (RMEQ)

Business Funding (BSFN)

Combination Mortgage (CMRT)

Investment Mortgage (IMRT)

Right to Buy (RGBY)

Government Sponsored Loan (GSPL)

Other (OTHR)

YES

NO

RREL28

Currency Denomination

The underlying exposure currency denomination.

NO

NO

RREL29

Original Principal Balance

Original underlying exposure balance (inclusive of fees).

This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure's sale to the SSPE or the closing date of the securitisation.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL30

Current Principal Balance

Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. It excludes any interest arrears or penalty amounts.

Current balance includes the principal arrears. However, savings amount is to be deducted if a subparticipation exists. (i.e. underlying exposure balance = underlying exposure +/- subparticipation; +/- 0 if no subparticipation).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL31

Prior Principal Balances

Total balances ranking prior to this underlying exposure (including those held with other lenders). If there are no prior balances, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL32

Pari Passu Underlying Exposures

Total value of underlying exposures to this obligor ranking pari passu with this underlying exposure (regardless of whether or not they are included in this pool). If there are no balances ranking pari passu, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL33

Total Credit Limit

For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn't been withdrawn in full - the maximum underlying exposure amount that could potentially be outstanding.

This field is only to be populated for underlying exposures that have flexible or further drawing characteristics.

This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL34

Purchase Price

Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.

NO

YES

RREL35

Amortisation Type

Type of amortisation of the underlying exposure including principal and interest.

French - i.e. Amortisation in which the total amount - principal plus interest - repaid in each instalment is the same. (FRXX)

German - i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)

Fixed amortisation schedule - i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)

Bullet - i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)

Other (OTHR)

YES

NO

RREL36

Principal Grace Period End Date

If applicable as at the data cut-off date, indicate the principal grace period end date.

NO

YES

RREL37

Scheduled Principal Payment Frequency

Frequency of principal payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

RREL38

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

RREL39

Payment Due

This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL40

Debt To Income Ratio

Debt defined as the amount of underlying exposure outstanding as of data cut-off date, this includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts.

Income defined as combined income, sum of primary and secondary income fields (field numbers RREL16 and RREL20) and any other income.

YES

YES

RREL41

Balloon Amount

Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL42

Interest Rate Type

Interest rate type:

Floating rate underlying exposure (for life) (FLIF)

Floating rate underlying exposure linked to one index that will revert to another index in the future (FINX)

Fixed rate underlying exposure (for life) (FXRL)

Fixed with future periodic resets (FXPR)

Fixed rate underlying exposure with compulsory future switch to floating (FLCF)

Floating rate underlying exposure with floor (FLFL)

Floating rate underlying exposure with cap (CAPP)

Floating rate underlying exposure with both floor and cap (FLCA)

Discount (DISC)

Switch Optionality (SWIC)

Obligor Swapped (OBLS)

Modular (MODE)

Other (OTHR)

NO

YES

RREL43

Current Interest Rate

Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised.

NO

YES

RREL44

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

NO

YES

RREL45

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

NO

YES

RREL46

Current Interest Rate Margin

Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.

NO

YES

RREL47

Interest Rate Reset Interval

Number of months between each interest rate reset date on the underlying exposure.

NO

YES

RREL48

Interest Rate Cap

Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

RREL49

Interest Rate Floor

Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

RREL50

Revision Margin 1

The margin for the underlying exposure at the 1st revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).

The full revised margin must be entered in this field, not the change in the margin.

YES

YES

RREL51

Interest Revision Date 1

Date interest rate next changes (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).

YES

YES

RREL52

Revision Margin 2

The margin for the underlying exposure at the 2nd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).

The full revised margin must be entered in this field, not the change in the margin.

YES

YES

RREL53

Interest Revision Date 2

Date of 2nd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).

YES

YES

RREL54

Revision Margin 3

The margin for the underlying exposure at the 3rd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).

The full revised margin must be entered in this field, not the change in the margin.

YES

YES

RREL55

Interest Revision Date 3

Date of 3rd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).

YES

YES

RREL56

Revised Interest Rate Index

Next interest rate index.

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

YES

YES

RREL57

Revised Interest Rate Index Tenor

Tenor of the next interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

YES

YES

RREL58

Number Of Payments Before Securitisation

Enter the number of payments made prior to the exposure being transferred to the securitisation.

YES

NO

RREL59

Percentage Of Prepayments Allowed Per Year

Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.

YES

YES

RREL60

Prepayment Lock-Out End Date

The date after which the lender allows prepayment of the underlying exposure.

YES

YES

RREL61

Prepayment Fee

Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a "break cost" to make up interest payments up to the underlying exposure Payment Date. This includes amounts collected that have not been securitised.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL62

Prepayment Fee End Date

The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.

YES

YES

RREL63

Prepayment Date

The latest date on which an unscheduled principal payment was received.

YES

YES

RREL64

Cumulative Prepayments

Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL65

Date Of Restructuring

Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

In the event of multiple dates, all dates must be provided in accordance with the XML schema.

YES

YES

RREL66

Date Last In Arrears

Date the underlying exposure was last in arrears.

YES

YES

RREL67

Arrears Balance

Current balance of arrears, which is defined as:

Total payments due to date

PLUS any amounts capitalised

PLUS any fees applied to the account

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

RREL68

Number Of Days In Arrears

Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.

NO

NO

RREL69

Account Status

Current status of the underlying exposure that has been securitised:

Performing (PERF)

Restructured - No Arrears (RNAR)

Restructured - Arrears (RARR)

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

Defaulted only under another definition of default being met (DADB)

Arrears (ARRE)

Repurchased by Seller - Breach of Representations and Warranties (REBR)

Repurchased by Seller - Defaulted (REDF)

Repurchased by Seller - Restructured (RERE)

Repurchased by Seller - Special Servicing (RESS)

Repurchased by Seller - Other Reason (REOT)

Redeemed (RDMD)

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

RREL70

Reason for Default or Foreclosure

If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

RREL71

Default Amount

Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL72

Default Date

The date of default.

NO

YES

RREL73

Allocated Losses

The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL74

Cumulative Recoveries

Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL75

Litigation

Flag to indicate litigation proceedings underway (if account has recovered and is no longer being actively litigated this is to be re-set to N).

NO

YES

RREL76

Recourse

Is there recourse (full or limited) to the obligor's assets beyond the proceeds of any collateral for this underlying exposure?

YES

YES

RREL77

Deposit Amount

The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool.

Use the same currency denomination as that used for this underlying exposure.

If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL78

Insurance Or Investment Provider

Name of the insurance or investment provider (i.e. for life insurance or investment underlying exposures).

YES

YES

RREL79

Original Lender Name

Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

RREL80

Original Lender Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

RREL81

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

RREL82

Originator Name

Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

RREL83

Originator Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.

NO

NO

RREL84

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

Collateral-level information section

RREC1

Unique Identifier

Report the same unique identifier here as the one entered into field RREL1.

NO

NO

RREC2

Underlying Exposure Identifier

Unique identifier for each underlying exposure. This must match field RREL3.

NO

NO

RREC3

Original Collateral Identifier

The original unique identifier assigned to the collateral. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

RREC4

New Collateral Identifier

If the original identifier in field RREC2 cannot be maintained in this field enter the new identifier here. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. If there has been no change in the identifier, enter the same identifier as in RREC2. The reporting entity must not amend this unique identifier.

NO

NO

RREC5

Collateral Type

The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.

Automobile (CARX)

Industrial Vehicle (INDV)

Commercial Truck (CMTR)

Rail Vehicle (RALV)

Nautical Commercial Vehicle (NACM)

Nautical Leisure Vehicle (NALV)

Aeroplane (AERO)

Machine Tool (MCHT)

Industrial Equipment (INDE)

Office Equipment (OFEQ)

IT Equipment (ITEQ)

Medical Equipment (MDEQ)

Energy Related Equipment (ENEQ)

Commercial Building (CBLD)

Residential Building (RBLD)

Industrial Building (IBLD)

Other Vehicle (OTHV)

Other Equipment (OTHE)

Other Real Estate (OTRE)

Other goods or inventory (OTGI)

Securities (SECU)

Guarantee (GUAR)

Other Financial Asset (OTFA)

Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)

Other (OTHR)

NO

NO

RREC6

Geographic Region - Collateral

The geographic region (NUTS3 classification) where the physical collateral is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

YES

RREC7

Occupancy Type

Type of property occupancy:

Owner Occupied i.e. owned by a private household with the purpose of providing shelter to its owner (FOWN)

Partially Owner Occupied (A property which is partly rented) (POWN)

Non-Owner Occupied or Buy-To-Let (TLET)

Holiday or Second Home (HOLD)

Other (OTHR)

If the collateral being reported is not property collateral, enter ND5.

YES

YES

RREC8

Lien

Highest lien position held by the originator in relation to the collateral.

If the collateral being reported is not property collateral, enter ND5.

YES

YES

RREC9

Property Type

Property type:

Residential (House, detached or semi-detached) (RHOS)

Residential (Flat or Apartment) (RFLT)

Residential (Bungalow) (RBGL)

Residential (Terraced House) (RTHS)

Multifamily House (properties with more than four units securing one underlying exposure) (MULF)

Partial Commercial use (property is used as a residence as well as for commercial use where less than 50 % of its value derived from commercial use, e.g. doctor's surgery and house) (PCMM)

Commercial or Business Use (BIZZ)

Land Only (LAND)

Other (OTHR)

If the collateral being reported is not property collateral, enter ND5.

NO

YES

RREC10

Energy Performance Certificate Value

The energy performance certificate value of the collateral at the time of origination:

A (EPCA)

B (EPCB)

C (EPCC)

D (EPCD)

E (EPCE)

F (EPCF)

G (EPCG)

Other (OTHR)

YES

YES

RREC11

Energy Performance Certificate Provider Name

Enter the full legal name of the energy performance certificate provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

RREC12

Current Loan-To-Value

Current loan to Value ratio (LTV). For non-first lien loans this is the combined or total LTV. Where the current loan balance is negative, enter 0.

If the collateral being reported is not property collateral, enter ND5.

YES

YES

RREC13

Current Valuation Amount

The most recent valuation of the collateral as assessed by an independent external or internal appraiser. If such assessment is not available, the current value of the collateral can be estimated using a real estate value index sufficiently granular with respect to geographical location and type of collateral; if such real estate value index is also not available, a real estate price index sufficiently granular with respect to geographical location and type of collateral can be used after application of a suitably chosen mark-down to account for the depreciation of the collateral.

If the collateral being reported is not property collateral, enter the most recent valuation of the collateral as assessed by an independent external or internal appraiser or, if not available, by the originator.

If the collateral being reported is a guarantee, enter the amount of underlying exposure guaranteed by this collateral item to the benefit of the originator.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREC14

Current Valuation Method

The method of calculating the most recent value of the collateral, as provided in RREC13:

Full, internal and external inspection (FIEI)

Full, only external inspection (FOEI)

Drive-by (DRVB)

Automated Value Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent or Estate Agent (MAEA)

Tax Authority (TXAT)

Other (OTHR)

YES

NO

RREC15

Current Valuation Date

The date of the most recent valuation, as provided in RREC13.

YES

YES

RREC16

Original Loan-To-Value

Originator's original underwritten loan To Value ratio (LTV). For non-first lien loans, this is the combined or total LTV.

If the collateral being reported is not property collateral, enter ND5.

YES

YES

RREC17

Original Valuation Amount

The original valuation of the collateral used when the underlying exposure was originated (i.e. before securitisation).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

RREC18

Original Valuation Method

The method of calculating the value of the collateral at the time of underlying exposure origination, as provided in RREC17:

Full, internal and external inspection (FIEI)

Full, only external inspection (FOEI)

Drive-by (DRVB)

Automated Valuation Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent/Estate Agent (MAEA)

Tax Authority (TXAT)

Other (OTHR)

YES

NO

RREC19

Original Valuation Date

The date of original valuation of the collateral, as provided in RREC17.

YES

NO

RREC20

Date Of Sale

The date of sale of the foreclosed collateral.

YES

YES

RREC21

Sale Price

Price achieved on sale of collateral in case of foreclosure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREC22

Collateral Currency

This is the currency in which the valuation amount provided in RREC13 is denominated.

NO

YES

RREC23

Guarantor Type

Guarantor Type:

No Guarantor (NGUA)

Individual - Family Relation (FAML)

Individual - Other (IOTH)

Government (GOVE)

Bank (BANK)

Insurance Product (INSU)

Nationale Hypotheek Garantie Guarantee Scheme (NHGX)

Fonds de Garantie de l'Accession Sociale (FGAS)

Caution (CATN)

Other (OTHR)

YES

NO

ANNEX III

UNDERLYING EXPOSURES INFORMATION – COMMERCIAL REAL ESTATE (CRE)

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

CREL1

Unique Identifier

The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224

NO

NO

CREL2

Original Obligor Identifier

Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

CREL3

New Obligor Identifier

If the original identifier in field CREL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREL2. The reporting entity must not amend this unique identifier.

NO

NO

CREL4

Original Underlying Exposure Identifier

Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

CREL5

New Underlying Exposure Identifier

If the original identifier in field CREL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREL4. The reporting entity must not amend this unique identifier.

NO

NO

CREL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

CREL7

Pool Addition Date

The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.

NO

YES

CREL8

Date Of Restructuring

Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

In the event of multiple dates, all dates must be provided in accordance with the XML schema.

YES

YES

CREL9

Date Of Repurchase

Date on which the underlying exposure was repurchased from the pool.

NO

YES

CREL10

Date Of Substitution

If underlying exposure was substituted for another underlying exposure after the Securitisation Date, the date of such substitution.

NO

YES

CREL11

Redemption Date

Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.

NO

YES

CREL12

Geographic Region - Obligor

The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in CREL13 to provide the year of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

NO

CREL13

Geographic Region Classification

Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. 2016 should be entered for new exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.

YES

NO

CREL14

Special Scheme

If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.

YES

YES

CREL15

Origination Date

Date of original underlying exposure advance.

YES

NO

CREL16

Start Date Of Amortisation

The date on which amortisation will commence on the securitised underlying exposure (this can be a date prior to the securitisation date).

YES

YES

CREL17

Maturity Date At Securitisation Date

The maturity date of the underlying exposure as defined in the underlying exposure agreement. This would not take into account any extended maturity date on which may be allowed under the underlying exposure agreement.

NO

YES

CREL18

Maturity Date

The date of maturity of the underlying exposure or expiry of the lease.

NO

YES

CREL19

Original Term

Original contractual term (number of months) at the origination date.

YES

YES

CREL20

Duration Of Extension Option

Duration in months of any maturity extension option available to the underlying exposure. In the event of multiple maturity extensions available, enter the duration of the option that has the shortest extension period for the underlying exposure.

NO

YES

CREL21

Nature Of Extension Option

Reference thresholds involved for the possibility of triggering/exercising the extension option referred to in field CREL20:

Minimum Interest Coverage Ratio (MICR)

Minimum Debt Service Coverage Ratio (MDSC)

Maximum Loan-To-Value (MLTV)

Multiple Conditions (MLTC)

Other (OTHR)

NO

YES

CREL22

Currency Denomination

The underlying exposure currency denomination.

NO

NO

CREL23

Current Principal Balance

Outstanding principal balance of the securitised underlying exposure. This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. It excludes any interest arrears or penalty amounts.

Current balance includes the principal arrears. However, savings amount are to be deducted if a subparticipation exists. (i.e. underlying exposure balance = underlying exposure +/- subparticipation; +/- 0 if no subparticipation).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL24

Original Principal Balance

Original underlying exposure balance (inclusive of fees).

This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure's sale to the SSPE or the closing date of the securitisation.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CREL25

Original Principal Balance At Securitisation Date

Original Principal Balance of the securitised underlying exposure at the Securitisation Date as identified in the Offering Circular.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CREL26

Committed Undrawn Facility Underlying Exposure Balance

The total whole underlying exposure remaining facility/Undrawn balance at the end of the period. The total whole underlying exposure remaining facility at the end of the Interest Payment date on which the obligor can still draw upon.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

CREL27

Total Other Amounts Outstanding

Cumulative outstanding amounts on loan (e.g. insurance premium, ground rents, cap ex) that have been expended by SSPE/Servicer. The cumulative amount of any property protection advances or other sums that have been advanced by the Servicer or SSPE and not yet reimbursed by the obligor.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL28

Purchase Price

Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.

NO

YES

CREL29

Latest Utilisation Date

Date of the most recent utilisation/drawdown of the underlying exposure facility agreement.

NO

YES

CREL30

Purpose

Underlying exposure purpose - In the event of multiple purposes, report the option that best describes the arrangement:

Acquisition for investment (ACQI)

Acquisition for Liquidation (ACQL)

Refinancing (RFIN)

Construction (CNST)

Redevelopment (RDVL)

Other (OTHR)

YES

NO

CREL31

Structure

Underlying Exposure Structure:

Whole loan - not split into subordinated debt items/notes (LOAN)

Participated mortgage underlying exposure with pari passu debt outside the issuance vehicle (PMLP)

Participated mortgage underlying exposure with subordinate debt outside the issuance vehicle (PMLS)

A Loan; as part of an A/B participation structure (AABP)

B Loan; as part of an A/B participation structure (BABP)

A Loan; as part of an A/B/C participation structure (AABC)

B Loan; as part of an A/B/C participation structure (BABC)

C Loan; as part of an A/B/C participation structure (CABC)

Structural mezzanine financing (MZZD)

Subordinate debt with separate loan documentation outside the issuance vehicle (SOBD)

Other (OTHR)

YES

NO

CREL32

Waterfall A-B Pre Enforcement Scheduled Interest Payments

Waterfall pre-enforcement schedule for interest payments:

Sequential (SQNL)

B loan first (BLLF)

Pro-Rata (PRAT)

Modified Pro-Rata (MPRT)

Other (OTHR)

NO

YES

CREL33

Waterfall A-B Pre Enforcement Scheduled Principal Payments

Waterfall pre-enforcement schedule for principal payments:

Sequential (SQNL)

B loan first (BLLF)

Pro-Rata (PRAT)

Modified Pro-Rata (MPRT)

Other (OTHR)

NO

YES

CREL34

Principal Payment Allocation To Senior Loan

Insert % of all periodical scheduled principal payments that go to the senior loan (e.g. A loan), if there are multiple loans in the lending arrangement (for example, if field CREL31 is completed with values PMLS, AABP, BABP, AABC, BABC, or CABC).

NO

YES

CREL35

Waterfall Type

Type of waterfall governing the overall lending arrangement:

Interest A, principal A, interest B, principal B (IPIP)

Interest A, interest B, principal A, principal B (IIPP)

Other (OTHR)

NO

YES

CREL36

Defaulted Underlying Exposure Purchase Price

If the subordinated loan holder (e.g. B loan holder) can purchase the senior loan in an event of default, enter the purchase price as per the applicable co-lender/intercreditor agreement.

NO

YES

CREL37

Cure Payments Possible?

Can the subordinated loan holder (e.g. B loan holder) make cure payments in lieu of the mortgage obligor? Select from the list below:

No possibility to make cure payment (NCPP)

Cure payment can be made up to a fixed number limit over the lifetime of the underlying exposure (FNLP)

Cure payment can be made without limit over the lifetime of the underlying exposure (NLCP)

Other (OTHR)

YES

NO

CREL38

Restrictions On Sale Of Subordinated Loan?

Are there any restrictions on the ability of the subordinated loan holder (e.g. B loan holder) to sell off the loan to a third party?

NO

YES

CREL39

Subordinated Loan Holder Affiliated To Obligor?

Is there a non-disenfranchised subordinated loan holder (e.g. B loan holder) affiliated (i.e. part of the same financial group) to the commercial mortgage obligor?

NO

YES

CREL40

Subordinated Loan Holder Control Of Workout Process

Can the subordinated loan holder (e.g. B loan holder) exercise control over the decision to and process to enforce and sell the loan collateral?

NO

YES

CREL41

Do Non-Payments On Prior Ranking Claims Constitute A Default Of The Underlying Exposure?

Do Non-payments on Prior Ranking Claims Constitute a Default of the underlying exposure?

NO

YES

CREL42

Do Non-Payments On Equal Ranking Underlying Exposures Constitute Default Of Property?

Do Non-payments on Equal Ranking underlying exposures Constitute Default of Property?

NO

YES

CREL43

Noteholder Consent

Is Noteholder consent needed in any restructuring? Restructuring includes changes in the securitised underlying exposure's payment terms (including interest rate, fees, penalties, maturity, repayment schedule, and/or other generally-accepted measures of payment terms)

YES

NO

CREL44

Noteholder Meeting Scheduled

What date is the next noteholder meeting scheduled for?

NO

YES

CREL45

Syndicated

Is the underlying exposure syndicated?

YES

NO

CREL46

Participation Of SSPE

Method used by the SSPE to acquire ownership in the syndicated underlying exposure:

Assignment (ASGN)

Novation (NOVA)

Equitable Assignment (EQTB)

Funded Participation (pari passu interest) (PARI)

Junior Participation Interest (JUNP)

Legal Assignment (LGAS)

Notified Assignment (NOTA)

Sub Participation (SUBP)

Risk Participation (RSKP)

Sale Event (SALE)

Other (OTHR)

NO

YES

CREL47

Consequence For Breach Of Financial Covenant

The consequence for the financial covenant breach:

Event of Default (EDFT)

Additional Amortisation (AAMR)

Cash Trap Reserve (CTRS)

Terminate Property Manager (TPRM)

Other (OTHR)

NO

YES

CREL48

Financial Information Non-Submission Penalties

Are there are monetary penalties for obligor's failure to submit required financial information (Op. Statement, Schedule, etc.) as per underlying exposure documents?

YES

NO

CREL49

Recourse

Is there recourse (full or limited) to the obligor's assets beyond the proceeds of any collateral for this underlying exposure?

YES

YES

CREL50

Recourse - 3rd Party

Is there recourse (full or limited) to another party (e.g. guarantor) in the event the obligor defaults on an obligation under the underlying exposure agreement?

YES

YES

CREL51

Servicing Standard

Does the servicer of this securitised underlying exposure also service the whole underlying exposure or only one/several components of the whole underlying exposure (e.g. A or B component; or one of the pari-passu components)?

NO

NO

CREL52

Amounts Held In Escrow

Total balance of the legally charged reserve accounts as at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL53

Collection Of Escrows

Enter Y if any payments are held in reserve accounts to cover ground lease payments, insurance or taxes only (not maintenance, improvements, capex etc.) as required under the underlying exposure agreement.

YES

NO

CREL54

Collection Of Other Reserves

Are any amounts other than ground rents taxes or insurance held in reserve accounts as required under the terms of the underlying exposure agreement for tenant improvements, leasing commissions and similar items in respect of the related property or for purpose of providing additional collateral for such underlying exposure?

NO

NO

CREL55

Trigger For Escrow To Be Held

Type of trigger event leading to amounts to be paid into escrow:

No Trigger (NONE)

Loan to Value Trigger (LVTX)

Interest Coverage Trigger (ICVR)

Debt Service Coverage Trigger (DSCT)

Net Operating Income Trigger (NOIT)

Other (OTHR)

YES

NO

CREL56

Target Escrow Amounts/Reserves

Target escrow amounts/reserves.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL57

Escrow Account Release Conditions

Release conditions of the escrow account. If multiple conditions, each condition must be provided in accordande with the XML schema.

NO

YES

CREL58

Conditions Of Drawing Cash Reserve

When the Cash Reserve can be used:

Financial Covenant Breach (FICB)

Trigger Event (TREV)

Other (OTHR)

NO

YES

CREL59

Escrow Account Currency

Escrow account currency denomination.

NO

YES

CREL60

Escrow Payments Currency

Currency of the Escrow payments. Fields CREL52 and CREL56.

NO

YES

CREL61

Total Reserve Balance

Total balance of the reserve accounts at the underlying exposure level at the underlying exposure Payment Date. Includes Maintenance, Repairs & Environmental, etc. (excludes Tax & Insurance reserves Includes LC's for reserves. to be completed if field CREL54 ("Collection of Other Reserves") is equal to "Y" = Yes.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL62

Reserve Balance Currency

Reserve account currency denomination.

NO

YES

CREL63

Escrow Trigger Event Occurred

Enter Y if an event has occurred which has caused reserve amounts to be established. Enter N if payments are built up as a normal condition of the underlying exposure agreement.

NO

NO

CREL64

Amounts Added To Escrows In Current Period

Amount that has been added to any escrows or reserves between the previous data cut-off date and the data cut-off date of this data submission.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL65

Revenue

Total revenues from all sources for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months) for all the properties. May be normalised if required by the applicable servicing agreement.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CREL66

Operating Expenses At Securitisation Date

Total underwritten operating expenses for all the properties as described in the Offering Circular. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the landlord; capital expenditures and leasing commissions are excluded. If multiple properties exist, total the operating expenses of the underlying properties.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL67

Capital Expenditures At Securitisation Date

Anticipated capex over the life of the securitised underlying exposure at Securitisation Date (as opposed to repairs and maintenance) if identified in the Offering Circular.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL68

Financial Statement Currency

The currency used in the initial financial reporting of fields CREL65 - CREL66.

YES

NO

CREL69

Obligor Reporting Breach

Is obligor in breach of its obligation to deliver reports to underlying exposure servicer or lender? Y = Yes or N = No.

YES

NO

CREL70

Debt Service Coverage Ratio Method

Define the calculation of the Debt Service Coverage Ratio financial covenant requirement, the inferred method of calculation. If the calculation method differs between the whole loan and the A-loan, then enter the A-loan method.

Current Period (CRRP)

Projection - 6 month forward calculation (PRSF)

Projection - 12 month forward calculation (PRTF)

Combo 6 - Current period and a 6 month forward calculation (CMSF)

Combo 12 - Current period and a 6 month forward calculation (CMTF)

Historical - 6 month forward calculation (HISF)

Historical - 12 month forward calculation (HITF)

Modified - Includes a reserve injection or a percentage rental income probability calculation (MODI)

Multiple Period - Consecutive period calculation (MLTP)

Other (OTHR)

YES

NO

CREL71

Debt Service Coverage Ratio Indicator At Securitisation Date

How the Debt Service Coverage Ratio is calculated or applied when an underlying exposure relates to multiple properties:

Partial - Not all properties received financials, servicer to leave empty (PRTL)

Average - Not all properties received financials, servicer allocates debt service only to properties where financials are received (AVER)

Full - All statements collected for all properties (FULL)

Worst Case - Not all properties received financials, servicer allocates 100 % of debt service to all properties where financials are received (WCAS)

None Collected - No financials were received (NCOT)

Consolidated - All properties reported on one "rolled up" financial from the obligor (COND)

Whole loan based on loan agreements (WLAG)

Whole loan based on other method (WLOT)

Trust Note based on loan agreement (TNAG)

Trust Note based on other method (TNOT)

Other (OTHR)

NO

YES

CREL72

Most Recent Debt Service Coverage Ratio Indicator

How the Debt Service Coverage Ratio is calculated or applied when an underlying exposure relates to multiple properties:

Partial - Not all properties received financials, servicer to leave empty (PRTL)

Average - Not all properties received financials, servicer allocates debt service only to properties where financials are received (AVER)

Full - All statements collected for all properties (FULL)

Worst Case - Not all properties received financials, servicer allocates 100 % of debt service to all properties where financials are received (WCAS)

None Collected - No financials were received (NCOT)

Consolidated - All properties reported on one "rolled up" financial from the obligor (COND)

Whole loan based on loan agreements (WLAG)

Whole loan based on other method (WLOT)

Trust Note based on loan agreement (TNAG)

Trust Note based on other method (TNOT)

Other (OTHR)

NO

YES

CREL73

Debt Service Coverage Ratio At The Securitisation Date

The Debt Service Coverage Ratio calculation for the securitised underlying exposure, at the Securitisation Date, based on the underlying exposure documentation.

YES

NO

CREL74

Current Debt Service Coverage Ratio

Current Debt Service Coverage Ratio calculation for the securitised underlying exposure, based on the underlying exposure documentation.

YES

NO

CREL75

Original Loan-To-Value

The Loan to Value ratio (LTV) for the entire lending arrangement (i.e. not just reflecting the securitised loan amount), as at the Securitisation Date.

YES

NO

CREL76

Current Loan-To-Value

Current Loan to Value ratio (LTV) for the entire lending arrangement (i.e. not just reflecting the securitised loan amount).

YES

NO

CREL77

Interest Coverage Ratio At The Securitisation Date

The Interest Coverage Ratio calculation for the securitised underlying exposure, at the Securitisation Date.

YES

NO

CREL78

Current Interest Coverage Ratio

Current Interest Coverage Ratio calculation for the securitised underlying exposure.

YES

NO

CREL79

Interest Coverage Ratio Method

Define the calculation of the Interest Coverage Ratio financial covenant requirement at the level of the securitised underlying exposure (or the whole underlying exposure level if not specified for any specific underlying exposure arrangements within the overall lending arrangement), the inferred method of calculation:

Current Period (CRRP)

Projection - 6 month forward calculation (PRSF)

Projection - 12 month forward calculation (PRTF)

Combo 6 - Current period and a 6 month forward calculation (CMSF)

Combo 12 - Current period and a 6 month forward calculation (CMTF)

Historical - 6 month forward calculation (HISF)

Historical - 12 month forward calculation (HITF)

Modified - Includes a reserve injection or a percentage rental income probability calculation (MODI)

Multiple Period - Consecutive period calculation (MLTP)

Other (OTHR)

NO

YES

CREL80

Number Of Properties At Securitisation Date

The number of properties that serve as security for the underlying exposure at the Securitisation Date.

NO

YES

CREL81

Number Of Properties At Data Cut-Off Date

The number of properties that serve as security for the underlying exposure.

YES

NO

CREL82

Properties Collateralised To The Underlying Exposure

Enter the unique collateral identifiers (CREC4) of the properties that serve as security for the underlying exposure at the data cut-off date. If multiple properties enter all of the identifiers as set out in the XML schema.

NO

NO

CREL83

Property Portfolio Value At Securitisation Date

The valuation of the properties securing the underlying exposure at the Securitisation Date as described in the Offering Circular. If multiple properties then sum the value of the properties.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL84

Property Portfolio Valuation Currency At Securitisation Date

The currency of the valuation in CREL83.

NO

YES

CREL85

Status Of Properties

Status of properties. Where multiple situations from the list below exist, choose the situation which best represents the overall set of properties.

Lasting Power of Attorney (LPOA)

Receivership (RCVR)

In Foreclosure (FCLS)

Real Estate Owned (REOW)

Defeased (DFSD)

Partial Release (PRLS)

Released (RLSD)

Same as at Securitisation Date (SCDT)

In special servicing (SSRV)

Other (OTHR)

NO

YES

CREL86

Valuation Date At Securitisation Date

The date the valuation was prepared for the values disclosed in the Offering Circular. For multiple properties, if several dates, take the most recent date.

NO

YES

CREL87

Amortisation Type

Type of amortisation of the underlying exposure including principal and interest.

French - i.e. Amortisation in which the total amount - principal plus interest - repaid in each instalment is the same. (FRXX)

German - i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)

Fixed amortisation schedule - i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)

Bullet - i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)

Other (OTHR)

YES

NO

CREL88

Principal Grace Period End Date

If applicable as at the data cut-off date, indicate the principal grace period end date.

NO

YES

CREL89

Grace Days Allowed

The number of days after a payment is due in which the lender will not consider the missed payment to be an Event of Default. This refers to missed payments due to non-technical reasons (i.e. missed payments not due to systems failures for example).

NO

YES

CREL90

Scheduled Principal Payment Frequency

Frequency of principal payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

CREL91

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

CREL92

Number Of Payments Before Securitisation

Enter the number of payments made prior to the exposure being transferred to the securitisation.

YES

NO

CREL93

Prepayment Terms Description

Must reflect the information in offering circular. For instance, if the prepayment terms are the payment of a 1 % fee in year one, 0,5 % in year two and 0,25 % in year three of the loan this may be shown in the offering circular as: 1 %(12), 0,5 %(24), 0,25 %(36).

YES

YES

CREL94

Prepayment Lock-Out End Date

The date after which the lender allows prepayment of the underlying exposure.

YES

YES

CREL95

Yield Maintenance End Date

Date after which underlying exposure can be prepaid without yield maintenance.

NO

YES

CREL96

Prepayment Fee

Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a "break cost" to make up interest payments up to the underlying exposure Payment Date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL97

Prepayment Fee End Date

The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.

YES

YES

CREL98

Unscheduled Principal Collections

Unscheduled payments of principal received in the most recent collection period. Other principal payments received during the interest period that will be used to pay down the underlying exposure. This may relate to sales proceeds, voluntary prepayments, or liquidation amounts.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL99

Liquidation/Prepayment Date

The most recent date on which an unscheduled principal payment was received or liquidation proceeds are received.

NO

YES

CREL100

Liquidation/Prepayment Code

Code assigned to any unscheduled principal payments or liquidation proceeds received during the collection period:

Partial Liquidation (Curtailment) (PTLQ)

Payoff Prior to Maturity (PTPY)

Liquidation or Disposition (LQDP)

Repurchase or Substitution (RPSB)

Full Payoff at Maturity (FLPY)

Discounted Payoff (DPOX)

Payoff with Penalty (PYPN)

Payoff with Yield Maintenance (YLMT)

Curtailment with Penalty (CTPL)

Curtailment with Yield Maintenance (CTYL)

Other (OTHR)

NO

YES

CREL101

Prepayment Interest Excess/Shortfall

Shortfall or excess of actual interest payment from the scheduled interest payment that is not related to an underlying exposure default. Results from a prepayment received on a date other than a scheduled payment due date: Shortfall - The difference by which the amount of interest paid is less than the scheduled interest that was due on the underlying exposure Payment Date, (this would only apply if there is a shortfall after the obligor has paid any break costs). Excess - Interest collected in excess of the accrued interest due for the underlying exposure interest accrual period. A negative number represents a shortfall and excess is represented as a positive number.

Refers to the entire lending arrangement (i.e. not just reflecting the securitised underlying exposure amount)

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL102

Payment Date

The most recent date principal and interest is paid to the SSPE as at the data cut-off date, this would normally be the interest payment date of the underlying exposure.

NO

YES

CREL103

Next Payment Adjustment Date

For adjustable rate underlying exposures, the next date on which the amount of scheduled principal and/or interest is due to change. For fixed rate underlying exposures, enter the next payment date.

NO

YES

CREL104

Next Payment Date

Date of next underlying exposure payment.

NO

YES

CREL105

Payment Due

This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL106

Original Interest Rate

Underlying exposure all-in interest rate at the date of origination of the securitised underlying exposure.

YES

NO

CREL107

Interest Rate At The Securitisation Date

The total interest rate (e.g. EURIBOR + Margin) that is being used to calculate interest due on the securitised underlying exposure for the first Interest Payment Date after the Securitisation Date.

YES

NO

CREL108

First Payment Adjustment Date

For adjustable rate underlying exposures, the first date on which the amount of scheduled principal and/or interest is due to change. For fixed rate underlying exposures, enter the first date on which the amount of scheduled principal or interest is due (not the first date after securitisation on which it could change).

YES

YES

CREL109

Interest Rate Type

Interest rate type:

Floating rate underlying exposure (for life) (FLIF)

Floating rate underlying exposure linked to one index that will revert to another index in the future (FINX)

Fixed rate underlying exposure (for life) (FXRL)

Fixed with future periodic resets (FXPR)

Fixed rate underlying exposure with compulsory future switch to floating (FLCF)

Floating rate underlying exposure with floor (FLFL)

Floating rate underlying exposure with cap (CAPP)

Floating rate underlying exposure with both floor and cap (FLCA)

Discount (DISC)

Switch Optionality (SWIC)

Obligor Swapped (OBLS)

Modular (MODE)

Other (OTHR)

NO

YES

CREL110

Current Interest Rate

Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised.

NO

YES

CREL111

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

NO

YES

CREL112

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

NO

YES

CREL113

Current Interest Rate Margin

Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.

NO

YES

CREL114

Interest Rate Reset Interval

Number of months between each interest rate reset date on the underlying exposure.

NO

YES

CREL115

Current Index Rate

The index rate used to determine the current securitised underlying exposure interest rate. The interest rate (before margin) used to calculate the interest paid on the securitised underlying exposure payment date in field CREL102.

NO

YES

CREL116

Index Determination Date

If the underlying exposure Agreement states specific dates for the index to be set, enter the next index determination date.

NO

YES

CREL117

Rounding Increment

The incremental percentage by which an index rate is to be rounded in determining the interest rate as set out in the underlying exposure agreement.

NO

YES

CREL118

Interest Rate Cap

Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

CREL119

Interest Rate Floor

Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

CREL120

Current Default Interest Rate

Interest rate used to calculate the default interest paid on the securitised underlying exposure payment date in field CREL102.

NO

YES

CREL121

Accrual Of Interest Allowed

Do the documents describing the terms and conditions of the underlying exposure allow for interest to be accrued and capitalised?

YES

NO

CREL122

Day Count Convention

The "days" convention used to calculate interest:

30/360 (A011)

Actual/365 (A005)

Actual/360 (A004)

Actual/Actual ICMA (A006)

Actual/Actual ISDA (A008)

Actual/Actual AFB (A010)

Actual/366 (A009)

Other (OTHR)

NO

YES

CREL123

Total Scheduled Principal & Interest Due

Scheduled principal & interest payment due on the securitised underlying exposure on the most recent payment date, as at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

CREL124

Total Scheduled Principal & Interest Paid

Scheduled Principal & Interest payment paid on the securitised underlying exposure on the most recent payment date, as at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

CREL125

Negative Amortisation

Negative amortisation/deferred interest/capitalised interest without penalty. Negative amortisation occurs when interest accrued during a payment period is greater than the scheduled payment and the excess amount is added to the outstanding underlying exposure balance. Refers to the entire lending arrangement (i.e. not just reflecting the securitised underlying exposure amount)

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CREL126

Deferred Interest

Deferred interest on the whole loan (i.e. including the securitised loan and any other loan belonging to the lending arrangement with the obligor). Deferred interest is the amount by which the interest an obligor is required to pay on a mortgage loan, less than the amount of interest accrued on the outstanding principal balance.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CREL127

Total Shortfalls In Principal & Interest Outstanding

Cumulative outstanding principal and interest amounts due on the entire lending arrangement (i.e. not just the securitised underlying exposure) as at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL128

Date Last In Arrears

Date the obligor was last in arrears.

YES

YES

CREL129

Arrears Balance

Current balance of arrears, which is defined as:

Total payments due to date

PLUS any amounts capitalised

PLUS any fees applied to the account

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

CREL130

Number Of Days In Arrears

Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.

NO

NO

CREL131

Reason for Default or Foreclosure

If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

CREL132

Default Amount

Total gross default amount before the application of sale proceeds and recoveries and inclusive of any capitalised fees/penalties/etc. If not in default, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL133

Default Date

The date of default.

NO

YES

CREL134

Interest In Arrears

Is the interest that accrues on the underlying exposure paid in arrears?

NO

NO

CREL135

Actual Default Interest

Actual default interest paid between the previous data cut-off date and the data cut-off date of this data submission. Total amount of default interest paid by the obligor during the interest period or on the underlying exposure payment date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL136

Account Status

Current status of the underlying exposure that has been securitised:

Performing (PERF)

Restructured - No Arrears (RNAR)

Restructured - Arrears (RARR)

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

Defaulted only under another definition of default being met (DADB)

Arrears (ARRE)

Repurchased by Seller - Breach of Representations and Warranties (REBR)

Repurchased by Seller - Defaulted (REDF)

Repurchased by Seller - Restructured (RERE)

Repurchased by Seller - Special Servicing (RESS)

Repurchased by Seller - Other Reason (REOT)

Redeemed (RDMD)

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

CREL137

Allocated Losses

The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL138

Net Proceeds Received On Liquidation

Net proceeds received on liquidation used to determine loss to the SSPE per the Securitisation Documents. The amount of the net proceeds of sale received, this will determine whether there is a loss or shortfall on the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL139

Liquidation Expense

Expenses associated with the liquidation to be netted from the other assets of issuer to determine loss per the Securitisation Documents. Amount of any liquidation expenses that will be paid out of the net sales proceeds to determine whether there will be any loss.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL140

Expected Timing Of Recoveries

The underlying exposure servicer's expected recovery timing in months.

NO

YES

CREL141

Cumulative Recoveries

Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL142

Enforcement Start Date

The date on which foreclosure or administration proceedings or alternative enforcement procedures were initiated against or agreed by the obligor.

NO

YES

CREL143

Workout Strategy Code

Work-out strategy:

Modification (MODI)

Enforcement (ENFR)

Receivership (RCVR)

Insolvency (NSOL)

Extension (XTSN)

Loan Sale (LLES)

Discounted Pay Off (DPFF)

Property in Possession (PPOS)

Resolved (RSLV)

Pending Return to Servicer (PRTS)

Deed in Lieu of Foreclosure (DLFR)

Full Pay Off (FPOF)

Representations and Warranties (REWR)

Other (OTHR)

NO

YES

CREL144

Modification

Type of modification:

Maturity Date Extension (MEXT)

Amortisation Change (AMMC)

Principal Write-off (PWOF)

Temporary Rate Reduction (TMRR)

Capitalisation of Interest (CINT)

Capitalisation of Costs Advanced (e.g. insurance, ground rent) (CPCA)

Combination (COMB)

Other (OTHR)

NO

YES

CREL145

Special Servicing Status

As of the underlying exposure Payment Date is the underlying exposure currently being specially serviced?

NO

NO

CREL146

Most Recent Special Servicer Transfer Date

The date an underlying exposure was transferred to the special Servicer following a servicing transfer event. Note: If the underlying exposure has had multiple transfers, this is the last date transferred to special servicing.

NO

YES

CREL147

Most Recent Primary Servicer Return Date

The date an underlying exposure becomes a "corrected mortgage underlying exposure", which is the date the underlying exposure was returned to the master/primary Servicer from the special Servicer. Note: If the underlying exposure has had multiple transfers, this is the last date returned to the master/primary Servicer from special servicing.

NO

YES

CREL148

Non Recoverability Determined

Indicator (Yes/No) as to whether the Servicer or Special Servicer has determined that there will be a shortfall in recovering any advances it has made and the outstanding underlying exposure balance and any other amounts owing on the underlying exposure from proceeds upon sale or liquidation of the property or underlying exposure.

YES

YES

CREL149

Covenant Breach/Trigger

Type of Covenant Breach/Trigger:

Interest Coverage Ratio (ICRX)

Debt Service Coverage Ratio (DSCR)

Loan-to-Value (LLTV)

Interest Coverage Ratio or Debt Service Coverage Ratio (ICDS)

Interest Coverage Ratio or Debt Service Coverage Ratio or Loan-to-Value (ICDL)

Property Level Breach (PROP)

Obligor Level Breach (OBLG)

Tenant or Vacancy Level Breach (TENT)

Other (OTHR)

NO

YES

CREL150

Date Of Breach

The date on which any breach of the underlying exposure terms and conditions occurred. If multiple breaches, the date of the earliest breach.

YES

YES

CREL151

Date Of Breach Cure

The date on which any breach reported in field CREL150 cured. If multiple breaches, the date which the last breach cured.

NO

YES

CREL152

Servicer Watchlist Code

If the underlying exposure has been entered onto the servicer watchlist, enter the most appropriate corresponding code from Table 2 in Annex I of this Regulation. If multiple criteria are applicable, list the most detrimental code.

NO

YES

CREL153

Servicer Watchlist Date

Determination date on which an underlying exposure was placed on the Watchlist. If underlying exposure came off the Watchlist in a prior period and is now coming back on, use the new entry date.

NO

YES

CREL154

Interest Rate Swap Provider

If there is an interest rate swap on the underlying exposure, provide the full legal name of the interest rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

CREL155

Interest Rate Swap Provider Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure interest rate swap provider.

NO

YES

CREL156

Interest Rate Swap Maturity Date

Date of maturity for the interest rate underlying exposure level swap.

NO

YES

CREL157

Interest Rate Swap Notional

Interest rate underlying exposure level swap notional amount

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL158

Currency Swap Provider

If there is an exchange rate swap on the underlying exposure, provide the full legal name of the exchange rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

CREL159

Currency Swap Provider Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure currency swap provider.

NO

YES

CREL160

Currency Swap Maturity Date

Date of maturity for the currency underlying exposure level swap.

NO

YES

CREL161

Currency Swap Notional

Currency underlying exposure level swap notional amount

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL162

Exchange Rate For Swap

The exchange rate that has been set for a currency underlying exposure level swap.

NO

YES

CREL163

Other Swap Provider

The full legal name of the swap provider for the underlying exposure, where the swap is neither an interest rate nor currency swap. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

CREL164

Other Swap Provider Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure "other" swap provider.

NO

YES

CREL165

Obligor Must Pay Breakage On Swap

Extent to which the obligor is obligated to pay breakage costs to the underlying exposure swap provider. In the event of multiple swaps, enter the most appropriate value.

Total Indemnification from obligor (TOTL)

Partial Indemnification from obligor (PINO)

No Indemnification from obligor (NOPE)

YES

NO

CREL166

Full Or Partial Termination Event Of Swap For Current Period

If underlying exposure swap has been terminated between the previous data cut-off date and the data cut-off date of the current report submission, identify reason. In the event of multiple swaps, enter the most appropriate value.

Swap Terminated due to Ratings Downgrade of Underlying Exposure Swap Provider (RTDW)

Swap Terminated due to Payment Default to Underlying Exposure Swap Provider (PYMD)

Swap Terminated due to Other Type of Default by Underlying Exposure Swap Counterparty (CNTD)

Swap Terminated due to Full or Partial Prepayment by Obligor (PRPY)

Swap Terminated due to Other Type of Default by Obligor (OBGD)

Other (OTHR)

NO

YES

CREL167

Net Periodic Payment Made By Swap Provider

Net amount of payment made by the swap counterparty securitised underlying exposure, on the underlying exposure Payment Date as required by the swap contract. This does not include any breakage or termination payments. In the event of multiple swaps, enter the sum across all swaps.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL168

Breakage Costs Due To Underlying Exposure Swap Provider

Amount of any payment due from the obligor to the swap counterparty for partial of full termination of the swap. In the event of multiple swaps, enter the most appropriate value.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL169

Shortfall In Payment Of Breakage Costs On Swap

Amount of any shortfall, if any, of breakage costs resulting from the full or partial termination of the swap, paid by the obligor. In the event of multiple swaps, enter the sum across all swaps.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL170

Breakage Costs Due From Swap Counterparty

Amount of any gains paid by the swap counterparty to the obligor on full or partial termination. In the event of multiple swaps, enter the most appropriate value.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREL171

Next Swap Reset Date

Date of next reset date on the underlying exposure level swap. In the event of multiple swaps, enter the most appropriate value.

NO

YES

CREL172

Sponsor

The name of the underlying exposure sponsor.

NO

YES

CREL173

Agent Bank Of Syndication Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the agent bank of syndication, i.e. the entity acting as an interface between the obligor and the lending parties involved in the syndicated underlying exposure.

NO

YES

CREL174

Servicer Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure servicer.

NO

YES

CREL175

Servicer Name

Give the full legal name of the underlying exposure servicer. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

CREL176

Originator Name

Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

CREL177

Originator Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.

NO

NO

CREL178

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

CREL179

Original Lender Name

Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

CREL180

Original Lender Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

CREL181

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

Collateral-level information section

CREC1

Unique Identifier

Report the same unique identifier here as the one entered into field CREL1.

NO

NO

CREC2

Underlying Exposure Identifier

Unique underlying exposure identifier. This must match the identifier in field CREL5. The reporting entity must not amend this unique identifier.

NO

NO

CREC3

Original Collateral Identifier

The original unique identifier assigned to the collateral. The reporting entity must not amend this unique identifier.

NO

NO

CREC4

New Collateral Identifier

If the original identifier in field CREC3 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CREC3. The reporting entity must not amend this unique identifier.

NO

NO

CREC5

Collateral Type

The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.

Automobile (CARX)

Industrial Vehicle (INDV)

Commercial Truck (CMTR)

Rail Vehicle (RALV)

Nautical Commercial Vehicle (NACM)

Nautical Leisure Vehicle (NALV)

Aeroplane (AERO)

Machine Tool (MCHT)

Industrial Equipment (INDE)

Office Equipment (OFEQ)

IT Equipment (ITEQ)

Medical Equipment (MDEQ)

Energy Related Equipment (ENEQ)

Commercial Building (CBLD)

Residential Building (RBLD)

Industrial Building (IBLD)

Other Vehicle (OTHV)

Other Equipment (OTHE)

Other Real Estate (OTRE)

Other goods or inventory (OTGI)

Securities (SECU)

Guarantee (GUAR)

Other Financial Asset (OTFA)

Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)

Other (OTHR)

NO

NO

CREC6

Property Name

The name of the property that serves as security for the underlying exposure.

If the collateral being reported is not property collateral, enter ND5.

NO

YES

CREC7

Property Address

The address of the property that serves as security for the underlying exposure.

If the collateral being reported is not property collateral, enter ND5.

NO

YES

CREC8

Geographic Region - Collateral

The geographic region (NUTS3 classification) where the physical collateral is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

YES

CREC9

Property Post Code

The primary property full postal code.

If the collateral being reported is not property collateral, enter ND5.

NO

YES

CREC10

Lien

Highest lien position held by the originator in relation to the collateral.

YES

YES

CREC11

Property Status

Status of property:

Lasting Power of Attorney (LPOA)

Receivership (RCVR)

In Foreclosure (FCLS)

Real Estate Owned (REOW)

Defeased (DFSD)

Partial Release (PRLS)

Released (RLSD)

Same as at Securitisation Date (SCDT)

In Special Servicing (SSRV)

Other (OTHR)

If the collateral being reported is not property collateral, enter ND5.

NO

YES

CREC12

Property Type

Property type:

Caravan Park (CRVP)

Car Park (CARP)

Health Care (HEAL)

Hospitality or Hotel (HOTL)

Industrial (IDSR)

Land Only (LAND)

Leisure (LEIS)

Multifamily (MULF)

Mixed Use (MIXD)

Office (OFFC)

Pub (PUBX)

Retail (RETL)

Self Storage (SSTR)

Warehouse (WARE)

Various (VARI)

Other (OTHR)

If the collateral being reported is not property collateral, enter ND5.

NO

YES

CREC13

Property Form Of Title

The relevant form of property title. A lease on land only, in which the obligor usually owns a building or is required to build as specified in the lease. Such leases are usually long-term net leases; the obligor's rights and obligations continue until the lease expires or is terminated through default:

Leasehold (LESH)

Freehold (FREE)

Mixed (MIXD)

Other (OTHR)

If the collateral being reported is not property collateral, enter ND5.

NO

YES

CREC14

Current Valuation Date

The date of the most recent valuation.

YES

YES

CREC15

Current Valuation Amount

The most recent valuation of the property as assessed by an independent external or internal appraiser; if such assessment is not available, the current value of the property can be estimated using a real estate value index sufficiently granular with respect to geographical location and type of property; if such real estate value index is also not available, a real estate price index sufficiently granular with respect to geographical location and type of property can be used after application of a suitably chosen mark-down to account for the depreciation of the property.

If the collateral being reported is not property collateral, enter the most recent valuation of the collateral as assessed by an independent external or internal appraiser or, if not available, by the originator.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CREC16

Current Valuation Method

The most recent method of calculating the value of the collateral provided in field CREC15.

Full, internal and external inspection (FALL)

Full, only external inspection (FEXT)

Drive-by (DRVB)

Automated Valuation Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent/Estate Agent (MAEA)

Tax Authority (TXAT)

Other (OTHR)

YES

NO

CREC17

Current Valuation Basis

The most recent Valuation Basis:

Open Market (OPEN)

Vacant Possession (VCNT)

Other (OTHR)

YES

NO

CREC18

Original Valuation Method

The method of calculating the value of the collateral at the time of underlying exposure origination:

Full, internal and external inspection (FALL)

Full, only external inspection (FEXT)

Drive-by (DRVB)

Automated Valuation Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent/Estate Agent (MAEA)

Tax Authority (TXAT)

Other (OTHR)

YES

NO

CREC19

Collateral Securitisation Date

Date the property/collateral was contributed as security for the underlying exposure. If this property/collateral has been substituted, enter the date of the substitution. If the property/collateral was part of the original securitisation, this will be the Securitisation Date.

YES

NO

CREC20

Allocated Percentage Of Underlying Exposure At Securitisation Date

Allocated underlying exposure % attributable to property/collateral at Securitisation Date where there is more than one property/collateral item securing the underlying exposure. This may be set out in the underlying exposure Agreement, otherwise assign by valuation or Net Operating Income.

YES

YES

CREC21

Current Allocated Underlying Exposure Percentage

Allocated underlying exposure % attributable to the collateral at the underlying exposure payment date. Where there is more than one collateral item securing the underlying exposure, the sum of all percentages is equal to 100 %. This may be set out in the underlying exposure agreement, otherwise assign by valuation (Net Operating Income).

NO

YES

CREC22

Valuation At Securitisation

The valuation of the property/collateral securing the underlying exposure at Securitisation Date as described in the Offering Circular.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREC23

Name Of Valuer At Securitisation

Name of valuation firm who performed the property/collateral valuation at the Date of Securitisation.

NO

YES

CREC24

Date Of Valuation At Securitisation

The date the valuation was prepared for the values disclosed in the Offering Circular.

NO

YES

CREC25

Year Built

Year the property was built per the valuation report or underlying exposure document.

YES

YES

CREC26

Year Last Renovated

Year that last major renovation/new construction was completed on the property per the valuation report or underlying exposure document.

YES

YES

CREC27

Number Of Units

For property type Multifamily enter number of units, for Hospitality/Hotel/Healthcare - beds, for Caravan Parks - units, Lodging = rooms, Self Storage = units.

NO

YES

CREC28

Net Square Metres

The total net rentable area of the property in square metres that serve as security for the underlying exposure per the most recent valuation report.

NO

YES

CREC29

Commercial Area

The total net Commercial rentable area of the property in square metres that serves as security for the underlying exposure per the most recent valuation report.

NO

YES

CREC30

Residential Area

The total net Residential rentable area of the property in square metres that serves as security for the loan per the most recent valuation report.

NO

YES

CREC31

Net Internal Floor Area Validated

Has the valuer (of the most recent valuation) verified the net internal floor area of the property?

YES

YES

CREC32

Occupancy As Of Date

Date of most recently received rent roll/tenancy schedule. For hospitality (hotels), and health care properties use average occupancy for the period for which the financial statements are reported.

NO

YES

CREC33

Economic Occupancy At Securitisation

The percentage of rentable space with signed leases in place at Securitisation Date if disclosed in Offering Circular (tenants may not be in occupation but are paying rent).

NO

YES

CREC34

Physical Occupancy At Securitisation

At securitisation, the available percentage of rentable space actually occupied (i.e. where tenants are actually in occupation and not vacated), if disclosed in Offering Circular. To be derived from a rent roll or other document indicating occupancy consistent with most recent financial year information.

NO

YES

CREC35

Vacant Possession Value At Securitisation Date

Vacant possession value at Date of Securitisation.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREC36

Date Of Financials At Securitisation

The end date of the financials for the information used in the Offering Circular (e.g. year to date, annual, quarterly or trailing 12 months).

YES

YES

CREC37

Net Operating Income At Securitisation

Revenue less Operating Expenses at Securitisation Date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CREC38

Most Recent Financials As Of Start Date

The first day of the period covered in the most recent financial operating statement available (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months).

YES

YES

CREC39

Most Recent Financials As Of End Date

The end date of the financials used for the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months).

YES

YES

CREC40

Most Recent Revenue

Total revenues for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CREC41

Most Recent Operating Expenses

Total operating expenses for the period covered by the most recent financial operating statement (e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the landlord; capital expenditures and leasing commissions are excluded.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CREC42

Most Recent Capital Expenditure

Total Capital Expenditure (as opposed to repairs and maintenance) for the period covered by the most recent financial operating statement e.g. Monthly, Quarterly, Year to Date or Trailing 12 months) for the property.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CREC43

Ground Rent Payable

If property is leasehold, provide the current annual leasehold rent payable to the lessor.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREC44

Weighted Average Lease Terms

Weighted average lease terms in years, using as weights the latest-available outstanding value of the lease.

NO

YES

CREC45

Property Leasehold Expiry

Provide the earliest date the leasehold interest expires.

NO

YES

CREC46

Contractual Annual Rental Income

The contractual annual rental income derived from the most recent obligor tenancy schedule.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CREC47

Income Expiring 1-12 Months

Percentage of income expiring in 1 to 12 months.

YES

YES

CREC48

Income Expiring 13-24 Months

Percentage of income expiring in 13 to 24 months.

YES

YES

CREC49

Income Expiring 25-36 Months

Percentage of income expiring in 25 to 36 months.

YES

YES

CREC50

Income Expiring 37-48 Months

Percentage of income expiring in 37 to 48 months.

YES

YES

CREC51

Income Expiring 49+ Months

Percentage of income expiring in 49 or more months.

YES

YES

Tenant-level information section

CRET1

Unique Identifier

Report the same unique identifier here as the one entered into field CREL1.

NO

NO

CRET2

Underlying Exposure Identifier

Unique underlying exposure identifier. This must match the identifier in field CREL5. The reporting entity must not amend this unique identifier.

NO

NO

CRET3

Collateral Identifier

Unique identifier for the collateral. This field must match CREC4, to allow mapping.

NO

NO

CRET4

Tenant Identifier

Unique identifier for the tenant. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

CRET5

Tenant Name

Name of current tenant. If tenant is a natural person, then this field must be entered with the same entry as field CRET4.

YES

NO

CRET6

SIC Industry Code

Tenant industry SIC Code, as set out in the condensed SIC Code list used by UK Companies House

Refers to the condensed version of Standard Industrial Classification (SIC) codes used by UK Companies House to classify business establishments and other standard units by the type of economic activity in which they are engaged, as presented in the document “Nature of business: Standard Industrial Classification (SIC) codes.” http://resources.companieshouse.gov.uk/sic/ .

YES

YES

CRET7

Date Of Lease Expiration

Expiration date of lease of current tenant.

NO

YES

CRET8

Rent Payable

Annual Rent payable by current tenant.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRET9

Rent Currency

Rent currency denomination.

NO

YES

ANNEX IV

UNDERLYING EXPOSURES INFORMATION – CORPORATE

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

CRPL1

Unique Identifier

The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.

NO

NO

CRPL2

Original Underlying Exposure Identifier

Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

CRPL3

New Underlying Exposure Identifier

If the original identifier in field CRPL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CRPL2. The reporting entity must not amend this unique identifier.

NO

NO

CRPL4

Original Obligor Identifier

Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

CRPL5

New Obligor Identifier

If the original identifier in field CRPL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CRPL4. The reporting entity must not amend this unique identifier.

NO

NO

CRPL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

CRPL7

Pool Addition Date

The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.

NO

YES

CRPL8

Date Of Repurchase

Date on which the underlying exposure was repurchased from the pool.

NO

YES

CRPL9

Redemption Date

Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.

NO

YES

CRPL10

Geographic Region - Obligor

The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in CRPL11 to provide the year of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

NO

CRPL11

Geographic Region Classification

Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. 2016 should be entered for new exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.

YES

NO

CRPL12

Credit Impaired Obligor

Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator's or original lender's knowledge:

(a) has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:

(i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and

(ii) the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

(b) was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or

(c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

NO

YES

CRPL13

Customer Type

Customer type at origination:

New customer and not an employee/affiliated with the originator's group (CNEO)

New customer and an employee/affiliated with the originator's group (CEMO)

New customer and employee/affiliation not recorded (CNRO)

Existing customer and not an employee/affiliated with the originator's group (ENEO)

Existing customer and an employee/affiliated with the originator's group (EEMO)

Existing customer and employee/affiliation not recorded (ENRO)

Other (OTHR)

YES

NO

CRPL14

SIC Industry Code

Obligor industry SIC Code, as set out in the condensed SIC Code List used by UK Companies House

YES

YES

CRPL15

Obligor Basel III Segment

Obligor Basel III Segment:

Corporate (CORP)

Small and Medium Enterprise Treated as Corporate (SMEX)

Retail (RETL)

Other (OTHR)

YES

YES

CRPL16

Enterprise Size

Classification of enterprises by size, in accordance with the Annex to Commission Recommendation 2003/361/EC as it applied in the UK immediately before IP completion day:

Micro Enterprise (MICE) - employs fewer than 10 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 2 million

Small Enterprise (SMAE) - employs fewer than 50 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 10 million

Medium Enterprise (MEDE) - employs fewer than 250 persons and which has an annual turnover not exceeding EUR 50 million, and/or an annual balance sheet total not exceeding EUR 43 million

Large Enterprise (LARE) - an enterprise that is neither a micro, small, or medium enterprise.

Natural Person (NATP)

Other (OTHR)

YES

NO

CRPL17

Revenue

Annual sales volume net of all discounts and sales taxes of the obligor. Equivalent to the concept of "total annual sales" in Article 153(4) of Regulation (EU) No 575/2013.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CRPL18

Total Debt

Total gross debt of the obligor, including the financing provided in the present underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CRPL19

EBITDA

Recurring earnings from continuing operations plus interest, taxes, depreciation, and amortisation.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CRPL20

Enterprise Value

Enterprise value i.e. market capitalisation plus debt, minority interest and preferred shares, minus total cash and cash equivalents.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CRPL21

Free Cashflow

Net income plus non-cash charges plus interest x (1 - tax rate) plus long-term investments less investments in working capital. Non-cash charges include depreciation, amortisation, depletion, stock-based compensation and asset impairments.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CRPL22

Date Of Financials

The date of the financial information (e.g. EBITDA) on the obligor of this underlying exposure.

YES

YES

CRPL23

Financial Statement Currency

The reporting currency of the financial statements.

YES

NO

CRPL24

Debt Type

Debt Type:

Loan or Lease (LOLE)

Guarantee (DGAR)

Promissory Notes (PRMS)

Participation Rights (PRTR)

Overdraft (ODFT)

Letter of Credit (LCRE)

Working Capital Facility (WCFC)

Equity (EQUI)

Other (OTHR)

NO

NO

CRPL25

Securitised Receivables

What receivables associated with this underlying exposure have been securitised:

Principal and Interest (PRIN)

Principal Only (PRPL)

Interest Only (INTR)

Other (OTHR)

NO

NO

CRPL26

International Securities Identification Number

The ISIN code assigned to this underlying exposure, where applicable.

NO

YES

CRPL27

Seniority

Debt Instrument Seniority:

Senior Debt (SNDB)

Mezzanine Debt (MZZD)

Junior Debt (JUND)

Subordinated Debt (SBOD)

Other (OTHR)

NO

YES

CRPL28

Syndicated

Is the underlying exposure syndicated?

YES

NO

CRPL29

Leveraged Transaction

Is the underlying exposure a leveraged transaction.

A leveraged transaction is any transaction that meets at least one of the conditions below:

1. all types of loan or credit exposure, irrespective of the classification in the regulatory banking book or regulatory trading book, where the borrower’s post-financing level of leverage exceeds a Total Debt to EBITDA ratio of 4.0 times;

2. all types of loan or credit exposures where the borrower is owned by one or more financial sponsors.

In relation to point (1) above:

(a) For the purpose of this guidance, exposure refers to all gross direct commitments to a leveraged borrower, including drawn and undrawn facilities, term loans, bridge loans or revolving credit facilities, committed exposures not yet syndicated or distributed, and exposures being warehoused for a later sale.

(b) The term “Total Debt” refers to total committed debt (including drawn and undrawn debt) and any additional debt that loan agreements may permit. Committed undrawn liquidity facilities, according to the Basel Committee on Banking Supervision’s Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools (BCBS 238), are excluded. Cash should not be netted against debt. For the purpose of leverage multiple, when calculated at transaction origination, the pro forma financial statements of the resulting company after the transaction has taken place should be considered.

(c) EBITDA refers to earnings before interest, tax, depreciation and amortisation. Any enhancements to EBITDA should be duly justified and reviewed by a function independent of the front office function.

(d) The designation of a financing as a “leveraged transaction” is made at loan origination, modification or refinancing.

(e) The leverage multiple should be calculated at the consolidated borrower level, unless group support cannot be assumed in case the borrowing entity is experiencing financial difficulties. Any deviation from the calculation at consolidated level should be justified and documented on a case-by-case basis.

In relation to point (2) above:

(a) As per point (37) of Article 4(1) of Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (the Capital Requirements Regulation, the CRR), a financial sponsor (for which definition see below) is deemed to be the owner if it controls or owns more than 50% of the borrower’s equity.

(b) The term “financial sponsor” refers to an investment firm that undertakes private equity investments in and/or leveraged buyouts of companies with the intention of exiting those investments on a medium term basis.

The following transactions are not expected to be covered by the leveraged transaction definition:

1. loans with natural persons, credit institutions, investment firms, public sector entities and financial sector entities (the terms “credit institution”, “investment firm”, “public sector entity” and “financial sector entity” are defined in points (1), (2), (8) and (27) respectively of Article 4(1) of the CRR);

2. loans to small and medium-sized enterprises (SMEs) as defined by Commission Recommendation 2003/361/EC except where the borrower is owned by one or more financial sponsors (see notes above as to where the borrower is owned and the term “financial sponsor”);

3. loans classified as specialised lending; “specialised lending” is defined in Article 147(8) of the CRR; and also in the EBA’s Regulatory Technical Standards on Assigning Risk Weights to Specialised Lending Exposures under Article 153(9) of the CRR; and in the BCBS’s Working Paper on the Internal Ratings-Based Approach to Specialised Lending Exposures of 2001; “specialised lending” comprises project finance, real estate, object financing and commodities financing;

4. trade finance; as per Article 4(80) of the CRR, trade finance means financing, including guarantees, connected to the exchange of goods and services through financial products of fixed short-term maturity, generally of less than one year, without automatic rollover;

5. Asset-Based Loans (ABLs) that are the only source of funding in the borrower's capital structure;

6. loans secured only by financial assets.

NO

NO

CRPL30

Managed by CLO

Is the underlying exposure also being managed by the CLO manager?

NO

YES

CRPL31

Payment in Kind

Underlying exposure currently paying in kind? (i.e. interest is paid in the form of capitalised principal)

YES

NO

CRPL32

Special Scheme

If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.

YES

YES

CRPL33

Origination Date

Date of original underlying exposure advance.

YES

NO

CRPL34

Maturity Date

The date of maturity of the underlying exposure or expiry of the lease.

NO

YES

CRPL35

Origination Channel

Origination channel of the underlying exposure:

Office or Branch Network (BRAN)

Broker (BROK)

Internet (WEBI)

Other (OTHR)

YES

YES

CRPL36

Purpose

underlying exposure Purpose:

Overdraft or Working Capital (OVRD)

New Plant and Equipment Investment (EQPI)

New Information Technology Investment (INFT)

Refurbishment of Existing Plant, Equipment, or Technology (RFBR)

Merger and Acquisition (MGAQ)

Other Expansionary Purpose (OEXP)

Other (OTHR)

YES

NO

CRPL37

Currency Denomination

The underlying exposure currency denomination.

NO

NO

CRPL38

Original Principal Balance

Original underlying exposure balance (inclusive of fees).

This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure's sale to the SSPE or the closing date of the securitisation.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CRPL39

Current Principal Balance

Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRPL40

Prior Principal Balances

Total balances ranking prior to this underlying exposure (including those held with other lenders). If there are no prior balances, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CRPL41

Market Value

For Collateralised Loan Obligation securitisations, enter the market value of the security.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRPL42

Total Credit Limit

For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn't been withdrawn in full - the maximum underlying exposure amount that could potentially be outstanding.

This field is only to be populated for underlying exposures that have flexible or further drawing characteristics.

This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRPL43

Purchase Price

Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.

NO

YES

CRPL44

Put Date

If there exists an option to sell back the underlying exposure, enter the date at which the option can be exercised. If the date is unknown (e.g. the option is an American option), enter the equivalent of 31 December 2099.

NO

YES

CRPL45

Put Strike

If there exists an option to sell back the underlying exposure, enter the strike (exercise) price. If the strike price is moveable (e.g. the option is a lookback option), enter the best estimate of the strike price as at the data cut-off date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRPL46

Amortisation Type

Type of amortisation of the underlying exposure including principal and interest.

French - i.e. Amortisation in which the total amount - principal plus interest - repaid in each instalment is the same. (FRXX)

German - i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)

Fixed amortisation schedule - i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)

Bullet - i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)

Other (OTHR)

YES

NO

CRPL47

Principal Grace Period End Date

If applicable as at the data cut-off date, indicate the principal grace period end date.

YES

YES

CRPL48

Scheduled Principal Payment Frequency

Frequency of principal payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

CRPL49

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

CRPL50

Payment Due

This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRPL51

Balloon Amount

Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CRPL52

Interest Rate Type

Interest rate type:

Floating rate underlying exposure (for life) (FLIF)

Floating rate underlying exposure linked to one index that will revert to another index in the future (FINX)

Fixed rate underlying exposure (for life) (FXRL)

Fixed with future periodic resets (FXPR)

Fixed rate underlying exposure with compulsory future switch to floating (FLCF)

Floating rate underlying exposure with floor (FLFL)

Floating rate underlying exposure with cap (CAPP)

Floating rate underlying exposure with both floor and cap (FLCA)

Discount (DISC)

Switch Optionality (SWIC)

Obligor Swapped (OBLS)

Modular (MODE)

Other (OTHR)

NO

YES

CRPL53

Current Interest Rate

Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised.

NO

YES

CRPL54

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

NO

YES

CRPL55

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

NO

YES

CRPL56

Current Interest Rate Margin

Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.

NO

YES

CRPL57

Interest Rate Reset Interval

Number of months between each interest rate reset date on the underlying exposure.

NO

YES

CRPL58

Interest Rate Cap

Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

CRPL59

Interest Rate Floor

Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

CRPL60

Revision Margin 1

The margin for the underlying exposure at the 1st revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).

The full revised margin must be entered in this field, not the change in the margin.

YES

YES

CRPL61

Interest Revision Date 1

Date interest rate next changes (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).

YES

YES

CRPL62

Revision Margin 2

The margin for the underlying exposure at the 2nd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).

The full revised margin must be entered in this field, not the change in the margin.

YES

YES

CRPL63

Interest Revision Date 2

Date of 2nd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).

YES

YES

CRPL64

Revision Margin 3

The margin for the underlying exposure at the 3rd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).

The full revised margin must be entered in this field, not the change in the margin.

YES

YES

CRPL65

Interest Revision Date 3

Date of 3rd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).

YES

YES

CRPL66

Revised Interest Rate Index

Next interest rate index.

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

YES

YES

CRPL67

Revised Interest Rate Index Tenor

Tenor of the next interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

YES

YES

CRPL68

Number Of Payments Before Securitisation

Enter the number of payments made prior to the exposure being transferred to the securitisation.

YES

NO

CRPL69

Percentage Of Prepayments Allowed Per Year

Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.

YES

YES

CRPL70

Prepayment Lock-Out End Date

The date after which the lender allows prepayment of the underlying exposure.

YES

YES

CRPL71

Prepayment Fee

Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a "break cost" to make up interest payments up to the underlying exposure Payment Date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRPL72

Prepayment Fee End Date

The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.

YES

YES

CRPL73

Prepayment Date

The latest date on which an unscheduled principal payment was received.

YES

YES

CRPL74

Cumulative Prepayments

Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CRPL75

Date Of Restructuring

Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

In the event of multiple dates, all dates must be provided in accordance with the XML schema.

YES

YES

CRPL76

Date Last In Arrears

Date the obligor was last in arrears.

YES

YES

CRPL77

Arrears Balance

Current balance of arrears, which is defined as:

Total payments due to date

PLUS any amounts capitalised

PLUS any fees applied to the account

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

CRPL78

Number Of Days In Arrears

Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.

NO

NO

CRPL79

Account Status

Current status of the underlying exposure that has been securitised:

Performing (PERF)

Restructured - No Arrears (RNAR)

Restructured - Arrears (RARR)

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

Defaulted only under another definition of default being met (DADB)

Arrears (ARRE)

Repurchased by Seller - Breach of Representations and Warranties (REBR)

Repurchased by Seller - Defaulted (REDF)

Repurchased by Seller - Restructured (RERE)

Repurchased by Seller - Special Servicing (RESS)

Repurchased by Seller - Other Reason (REOT)

Redeemed (RDMD)

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

CRPL80

Reason for Default or Foreclosure

If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

CRPL81

Default Amount

Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRPL82

Default Date

The date of default.

NO

YES

CRPL83

Allocated Losses

The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRPL84

Cumulative Recoveries

Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRPL85

Recovery Source

The source of the recoveries:

Liquidation of Collateral (LCOL)

Enforcement of Guarantees (EGAR)

Additional Lending (ALEN)

Cash Recoveries (CASR)

Mixed (MIXD)

Other (OTHR)

NO

YES

CRPL86

Recourse

Is there recourse (full or limited) to the obligor's assets beyond the proceeds of any collateral for this underlying exposure?

YES

YES

CRPL87

Deposit Amount

The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool.

Use the same currency denomination as that used for this underlying exposure.

If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure, and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRPL88

Interest Rate Swap Notional

If there is an interest rate swap on the underlying exposure, enter the notional amount.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRPL89

Interest Rate Swap Provider Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure interest rate swap provider.

NO

YES

CRPL90

Interest Rate Swap Provider

If there is an interest rate swap on the underlying exposure, provide the full legal name of the interest rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

CRPL91

Interest Rate Swap Maturity Date

If there is an interest rate swap on the underlying exposure, enter the maturity date of the swap.

NO

YES

CRPL92

Currency Swap Notional

If there is an exchange rate swap on the underlying exposure, enter the notional amount.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRPL93

Currency Swap Provider Legal Entity Identifier

If there is an exchange rate swap on the underlying exposure, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the swap provider.

NO

YES

CRPL94

Currency Swap Provider

If there is an exchange rate swap on the underlying exposure, provide the full legal name of the exchange rate swap provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

YES

CRPL95

Currency Swap Maturity Date

If there is an exchange rate swap on the underlying exposure, enter the maturity date of the swap.

NO

YES

CRPL96

Original Lender Name

Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

CRPL97

Original Lender Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

CRPL98

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

CRPL99

Originator Name

Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

CRPL100

Originator Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.

NO

NO

CRPL101

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

Collateral-level information section

CRPC1

Unique Identifier

Report the same unique identifier here as the one entered into field CRPL1.

NO

NO

CRPC2

Underlying Exposure Identifier

Unique underlying exposure identifier. This must match the identifier in field CRPL3. The reporting entity must not amend this unique identifier.

NO

NO

CRPC3

Original Collateral Identifier

The original unique identifier assigned to the collateral or guarantee. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

CRPC4

New Collateral Identifier

If the original identifier in field CRPC3 cannot be maintained in this field enter the new identifier here. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. If there has been no change in the identifier, enter the same identifier as field CRPC3. The reporting entity must not amend this unique identifier.

NO

NO

CRPC5

Geographic Region - Collateral

The geographic region (NUTS3 classification) where the collateral is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

YES

CRPC6

Security Type

The type of security:

Collateral (COLL)

Guarantee backed by further collateral (GCOL)

Guarantee not backed by further collateral (GNCO)

Other (OTHR)

NO

NO

CRPC7

Charge Type

Type of security over the collateral. Where there is a guarantee, this field refers to any security for any collateral that is supporting that guarantee. "No charge but an irrevocable power of attorney or similar" refers to when the originator or original lender, as applicable, is irrevocably and unconditionally authorised to unilaterally create a charge over the collateral at any time in the future, without the need for any further approval from the obligor or guarantor:

Fixed charge (FXCH)

Floating charge (FLCH)

No charge (NOCG)

No charge but an irrevocable power of attorney or similar (ATRN)

Other (OTHR)

NO

YES

CRPC8

Lien

Highest lien position held by the originator in relation to the collateral.

YES

YES

CRPC9

Collateral Type

The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.

Automobile (CARX)

Industrial Vehicle (INDV)

Commercial Truck (CMTR)

Rail Vehicle (RALV)

Nautical Commercial Vehicle (NACM)

Nautical Leisure Vehicle (NALV)

Aeroplane (AERO)

Machine Tool (MCHT)

Industrial Equipment (INDE)

Office Equipment (OFEQ)

IT Equipment (ITEQ)

Medical Equipment (MDEQ)

Energy Related Equipment (ENEQ)

Commercial Building (CBLD)

Residential Building (RBLD)

Industrial Building (IBLD)

Other Vehicle (OTHV)

Other Equipment (OTHE)

Other Real Estate (OTRE)

Other goods or inventory (OTGI)

Securities (SECU)

Guarantee (GUAR)

Other Financial Asset (OTFA)

Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)

Other (OTHR)

NO

NO

CRPC10

Current Valuation Amount

The most recent valuation of the collateral. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to the collateral that is supporting that guarantee.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CRPC11

Current Valuation Method

The method of calculating the most recent value of the collateral, as provided in field CRPC10.

Full Appraisal (FAPR)

Drive-by (DRVB)

Automated Value Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent or Estate Agent (MAEA)

Purchase Price (PPRI)

Haircut (HCUT)

Mark to Market (MTTM)

Obligor's valuation (OBLV)

Other (OTHR)

YES

YES

CRPC12

Current Valuation Date

The date of the most recent valuation of the collateral as provided in field CRPC10.

YES

YES

CRPC13

Original Valuation Amount

The original valuation of the collateral as of the initial underlying exposure origination date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CRPC14

Original Valuation Method

The method of calculating the value of the collateral at the time of underlying exposure origination, as provided in field CRPC13.

Full Appraisal (FAPR)

Drive-by (DRVB)

Automated Value Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent or Estate Agent (MAEA)

Purchase Price (PPRI)

Haircut (HCUT)

Mark to market (MTTM)

Obligor's valuation (OBLV)

Other (OTHR)

YES

YES

CRPC15

Original Valuation Date

The date of the original valuation of the physical or financial collateral provided in field CRPC13.

YES

YES

CRPC16

Date Of Sale

The date of sale of the collateral.

NO

YES

CRPC17

Sale Price

Price achieved on sale of collateral in case of foreclosure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CRPC18

Collateral Currency

This is the currency in which the valuation amount provided in CRPC10 is denominated.

NO

YES

CRPC19

Guarantor Country

The jurisdiction where the guarantor is established.

NO

YES

CRPC20

Guarantor SA Subsector

The SA classification of the guarantor. This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation.

NO

YES

ANNEX V

UNDERLYING EXPOSURES INFORMATION – AUTOMOBILE

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

AUTL1

Unique Identifier

The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.

NO

NO

AUTL2

Original Underlying Exposure Identifier

Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

AUTL3

New Underlying Exposure Identifier

If the original identifier in field AUTL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in AUTL2. The reporting entity must not amend this unique identifier.

NO

NO

AUTL4

Original Obligor Identifier

Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

AUTL5

New Obligor Identifier

If the original identifier in field AUTL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in AUTL4. The reporting entity must not amend this unique identifier.

NO

NO

AUTL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

AUTL7

Pool Addition Date

The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.

NO

YES

AUTL8

Date Of Repurchase

Date on which the underlying exposure was repurchased from the pool.

NO

YES

AUTL9

Redemption Date

Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.

NO

YES

AUTL10

Geographic Region - Obligor

The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in AUTL11 to provide the year of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

NO

AUTL11

Geographic Region Classification

Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. 2016 should be entered for new exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.

YES

NO

AUTL12

Employment Status

Employment status of the primary obligor:

Employed - Private Sector (EMRS)

Employed - Public Sector (EMBL)

Employed - Sector Unknown (EMUK)

Unemployed (UNEM)

Self-employed (SFEM)

No Employment, Obligor is Legal Entity (NOEM)

Student (STNT)

Pensioner (PNNR)

Other (OTHR)

YES

NO

AUTL13

Credit Impaired Obligor

Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator's or original lender's knowledge:

(a) has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:

(i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and

(ii) the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

(b) was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or

(c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

NO

YES

AUTL14

Obligor Legal Type

Legal form of customer:

Public Company (PUBL)

Limited Company (LLCO)

Partnership (PNTR)

Individual (INDV)

Government Entity (GOVT)

Other (OTHR)

YES

NO

AUTL15

Customer Type

Customer type at origination:

New customer and not an employee/affiliated with the originator's group (CNEO)

New customer and an employee/affiliated with the originator's group (CEMO)

New customer and employee/affiliation not recorded (CNRO)

Existing customer and not an employee/affiliated with the originator's group (ENEO)

Existing customer and an employee/affiliated with the originator's group (EEMO)

Existing customer and employee/affiliation not recorded (ENRO)

Other (OTHR)

YES

NO

AUTL16

Primary Income

Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor's annual revenue.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

AUTL17

Primary Income Type

Indicate what income in AUTL16 is displayed:

Gross annual income (GRAN)

Net annual income (net of tax and social security) (NITS)

Net annual income (net of tax only) (NITX)

Net annual income (net of social security only) (NTIN)

Estimated net annual income (net of tax and social security) (ENIS)

Estimated net annual income (net of tax only) (EITX)

Estimated net annual income (net of social security only) (EISS)

Disposable Income (DSPL)

Borrower is legal entity (CORP)

Other (OTHR)

YES

NO

AUTL18

Primary Income Currency

Currency in which the primary obligor's income is paid. Where the primary obligor is a legal person/entity, enter the currency of the revenue provided in field AUTL20.

YES

YES

AUTL19

Primary Income Verification

Primary Income Verification:

Self-certified no Checks (SCRT)

Self-certified with Affordability Confirmation (SCNF)

Verified (VRFD)

Non-Verified Income or Fast Track (NVRF)

Credit Bureau Information or Scoring (SCRG)

Other (OTHR)

YES

NO

AUTL20

Revenue

Annual sales volume net of all discounts and sales taxes of the obligor. Equivalent to the concept of "total annual sales" in Article 153(4) of Regulation (EU) No 575/2013.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

AUTL21

Financial Statement Currency

The reporting currency of the financial statements.

YES

YES

AUTL22

Special Scheme

If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.

YES

YES

AUTL23

Product Type

The classification of the lease, per lessor's definitions:

(Personal) Contract Purchase (PPUR)

(Personal) Contract Hire (PHIR)

Hire Purchase (HIRP)

Lease Purchase (LEAP)

Finance Lease (FNLS)

Operating Lease (OPLS)

Other (OTHR)

NO

YES

AUTL24

Origination Date

Date of original underlying exposure advance.

YES

NO

AUTL25

Maturity Date

The date of maturity of the underlying exposure or expiry of the lease.

NO

YES

AUTL26

Original Term

Original contractual term (number of months) at the origination date.

YES

YES

AUTL27

Origination Channel

Origination channel of the underlying exposure:

Automobile dealer (ADLR)

Broker (BROK)

Direct (DIRE)

Indirect (IDRT)

Other (OTHR)

YES

YES

AUTL28

Currency Denomination

The underlying exposure currency denomination.

NO

NO

AUTL29

Original Principal Balance

Obligor's underlying exposure principal balance or discounted lease balance (inclusive of capitalised fees) at origination.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

AUTL30

Current Principal Balance

Obligor's underlying exposure (or discounted lease) balance outstanding as of the data cut-off date. This includes 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 securitisation these are to be added. Exclude any interest arrears or penalty amounts.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

AUTL31

Purchase Price

Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.

NO

YES

AUTL32

Amortisation Type

Type of amortisation of the underlying exposure including principal and interest.

French - i.e. Amortisation in which the total amount - principal plus interest - repaid in each instalment is the same. (FRXX)

German - i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)

Fixed amortisation schedule - i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)

Bullet - i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)

Other (OTHR)

YES

NO

AUTL33

Principal Grace Period End Date

If applicable as at the data cut-off date, indicate the principal grace period end date.

NO

YES

AUTL34

Scheduled Principal Payment Frequency

Frequency of principal payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

AUTL35

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

AUTL36

Payment Method

Usual method of payment (can be based upon last payment received):

Direct Debit (CDTX)

Standing Order (SORD)

Cheque (CHKX)

Cash (CASH)

Bank Transfer (neither direct debit nor standing order) (BTRA)

Other (OTHR)

YES

NO

AUTL37

Payment Due

This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

AUTL38

Balloon Amount

Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

AUTL39

Down Payment Amount

Amount of deposit/down payment on origination of underlying exposure (this includes the value of traded-in vehicles etc.)

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

AUTL40

Current Interest Rate

Total gross current interest or discount rate applicable to the underlying exposure. Rates calculated on a period-by-period basis must be annualised.

NO

YES

AUTL41

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

NO

YES

AUTL42

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

NO

YES

AUTL43

Current Interest Rate Margin

Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.

NO

YES

AUTL44

Interest Rate Reset Interval

Number of months between each interest rate reset date on the underlying exposure.

NO

YES

AUTL45

Interest Rate Cap

Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

AUTL46

Interest Rate Floor

Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

AUTL47

Number Of Payments Before Securitisation

Enter the number of payments made prior to the exposure being transferred to the securitisation.

YES

NO

AUTL48

Percentage Of Prepayments Allowed Per Year

Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.

YES

YES

AUTL49

Prepayment Fee

Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a "break cost" to make up interest payments up to the underlying exposure Payment Date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

AUTL50

Prepayment Fee End Date

The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.

YES

YES

AUTL51

Prepayment Date

The latest date on which an unscheduled principal payment was received.

YES

YES

AUTL52

Cumulative Prepayments

Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

AUTL53

Manufacturer

Brand name of the vehicle manufacturer

E.g. enter "Skoda", not "Volkswagen".

YES

NO

AUTL54

Model

Name of the car model.

YES

NO

AUTL55

Year Of Registration

Year the car was registered.

YES

YES

AUTL56

New Or Used

Condition of vehicle at point of underlying exposure origination:

New (NEWX)

Used (USED)

Demo (DEMO)

Other (OTHR)

YES

NO

AUTL57

Energy Performance Certificate Value

The energy performance certificate value of the collateral at the time of origination:

A (EPCA)

B (EPCB)

C (EPCC)

D (EPCD)

E (EPCE)

F (EPCF)

G (EPCG)

Other (OTHR)

YES

YES

AUTL58

Energy Performance Certificate Provider Name

Enter the full legal name of the energy performance certificate provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

AUTL59

Original Loan-To-Value

The ratio of the underlying exposure balance at origination relative to the automobile value at origination.

YES

NO

AUTL60

Original Valuation Amount

List price of the vehicle at date of underlying exposure origination. For a non-new car, enter the trade value or the sale price of the car.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

AUTL61

Original Residual Value Of Vehicle

The estimated residual value of the asset at the date of lease origination.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

AUTL62

Option To Buy Price

The amount the obligor has to pay at the end of the lease or underlying exposure in order to take ownership of the vehicle, other than the payment referred to in AUTL63.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

AUTL63

Securitised Residual Value

Residual value amount which has been securitised only.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

AUTL64

Updated Residual Value Of Vehicle

If the residual value has been securitised, enter the most recent estimated residual value of vehicle at end of contract. If no update has been performed, enter the original estimated residual value.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

AUTL65

Date Of Updated Residual Valuation Of Vehicle

If the residual value has been securitised, enter the date on which 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.

NO

YES

AUTL66

Date Of Restructuring

Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

In the event of multiple dates, all dates must be provided in accordance with the XML schema.

YES

YES

AUTL67

Date Last In Arrears

Date the obligor was last in arrears.

YES

YES

AUTL68

Arrears Balance

Current balance of arrears, which is defined as:

Total payments due to date

PLUS any amounts capitalised

PLUS any fees applied to the account

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

AUTL69

Number Of Days In Arrears

Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.

NO

NO

AUTL70

Account Status

Current status of the underlying exposure that has been securitised:

Performing (PERF)

Restructured - No Arrears (RNAR)

Restructured - Arrears (RARR)

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

Defaulted only under another definition of default being met (DADB)

Arrears (ARRE)

Repurchased by Seller - Breach of Representations and Warranties (REBR)

Repurchased by Seller - Defaulted (REDF)

Repurchased by Seller - Restructured (RERE)

Repurchased by Seller - Special Servicing (RESS)

Repurchased by Seller - Other Reason (REOT)

Redeemed (RDMD)

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

AUTL71

Reason for Default or Foreclosure

If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

AUTL72

Default Amount

Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

AUTL73

Default Date

The date of default.

NO

YES

AUTL74

Allocated Losses

The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

AUTL75

Residual Value Losses

Residual value loss arising on turn-in of vehicle. If the residual value has not been securitised, enter ND5.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

AUTL76

Cumulative Recoveries

Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

AUTL77

Sale Price

Price achieved on sale of vehicle in case of foreclosure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

AUTL78

Deposit Amount

The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool.

Use the same currency denomination as that used for this underlying exposure.

If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure, and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

AUTL79

Original Lender Name

Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

AUTL80

Original Lender Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

AUTL81

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

AUTL82

Originator Name

Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

AUTL83

Originator Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.

NO

NO

AUTL84

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

ANNEX VI

UNDERLYING EXPOSURES INFORMATION – CONSUMER

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

CMRL1

Unique Identifier

The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.

NO

NO

CMRL2

Original Underlying Exposure Identifier

Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

CMRL3

New Underlying Exposure Identifier

If the original identifier in field CMRL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CMRL2. The reporting entity must not amend this unique identifier.

NO

NO

CMRL4

Original Obligor Identifier

Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

CMRL5

New Obligor Identifier

If the original identifier in field CMRL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CMRL4. The reporting entity must not amend this unique identifier.

NO

NO

CMRL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

CMRL7

Pool Addition Date

The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.

NO

YES

CMRL8

Date Of Repurchase

Date on which the underlying exposure was repurchased from the pool.

NO

YES

CMRL9

Redemption Date

Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.

NO

YES

CMRL10

Geographic Region - Obligor

The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in CMRL11 to provide the year of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

NO

CMRL11

Geographic Region Classification

Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. 2016 should be entered for new exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.

YES

NO

CMRL12

Employment Status

Employment status of the primary obligor:

Employed - Private Sector (EMRS)

Employed - Public Sector (EMBL)

Employed - Sector Unknown (EMUK)

Unemployed (UNEM)

Self-employed (SFEM)

No Employment, Obligor is Legal Entity (NOEM)

Student (STNT)

Pensioner (PNNR)

Other (OTHR)

YES

NO

CMRL13

Credit Impaired Obligor

Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator's or original lender's knowledge:

(a) has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:

(i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and

(ii) the information provided by the originator, sponsor and SSPE in accordance with points (a) and e(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

(b) was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or

(c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

NO

YES

CMRL14

Customer Type

Customer type at origination:

New customer and not an employee/affiliated with the originator's group (CNEO)

New customer and an employee/affiliated with the originator's group (CEMO)

New customer and employee/affiliation not recorded (CNRO)

Existing customer and not an employee/affiliated with the originator's group (ENEO)

Existing customer and an employee/affiliated with the originator's group (EEMO)

Existing customer and employee/affiliation not recorded (ENRO)

Other (OTHR)

YES

NO

CMRL15

Primary Income

Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor's annual revenue.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CMRL16

Primary Income Type

Indicate what income in CMRL15 is displayed:

Gross annual income (GRAN)

Net annual income (net of tax and social security) (NITS)

Net annual income (net of tax only) (NITX)

Net annual income (net of social security only) (NTIN)

Estimated net annual income (net of tax and social security) (ENIS)

Estimated net annual income (net of tax only) (EITX)

Estimated net annual income (net of social security only) (EISS)

Disposable Income (DSPL)

Borrower is legal entity (CORP)

Other (OTHR)

YES

NO

CMRL17

Primary Income Currency

Currency in which the primary o'ligor's income or revenue is paid.

YES

NO

CMRL18

Primary Income Verification

Primary Income Verification:

Self-certified no Checks (SCRT)

Self-certified with Affordability Confirmation (SCNF)

Verified (VRFD)

Non-Verified Income or Fast Track (NVRF)

Credit Bureau Information or Scoring (SCRG)

Other (OTHR)

YES

NO

CMRL19

Secured By Salary/Pension Assignment

Does the personal underlying exposure fall under the category of pension-backed underlying exposures/salary-backed underlying exposures (i.e. cessione del quinto)?

YES

NO

CMRL20

Special Scheme

If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.

YES

YES

CMRL21

Origination Date

Date of original underlying exposure advance.

YES

NO

CMRL22

Maturity Date

The date of maturity of the underlying exposure or expiry of the lease.

NO

YES

CMRL23

Original Term

Original contractual term (number of months) at the origination date.

YES

YES

CMRL24

Origination Channel

Channel of Origination:

Internet (WEBI)

Branch (BRCH)

Telesale (TLSL)

Stand (STND)

Post (POST)

White Label (WLBL)

Magazine (MGZN)

Automobile Dealer (ADLR)

Other (OTHR)

YES

YES

CMRL25

Purpose

Loan Purpose:

Tuition (TUIT)

Living Expenses (LEXP)

Medical (MDCL)

Home Improvement (HIMP)

Appliance or Furniture (APFR)

Travel (TRVL)

Debt Consolidation (DCON)

New Car (NCAR)

Used Car (UCAR)

Other Vehicle (OTHV)

Equipment (EQUP)

Property (PROP)

Other (OTHR)

YES

NO

CMRL26

Currency Denomination

The underlying exposure currency denomination.

NO

NO

CMRL27

Original Principal Balance

Original underlying exposure principal balance (inclusive of capitalised fees) at origination. This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure's sale to the SSPE or the closing date of the securitisation.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CMRL28

Current Principal Balance

Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these must be added. Excluding any interest arrears or penalty amounts.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CMRL29

Total Credit Limit

For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn't been withdrawn in full - the maximum underlying exposure amount that could potentially be outstanding.

This field is only to be populated for underlying exposures that have flexible or further drawing characteristics.

This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CMRL30

Revolving End Date

For underlying exposures with flexible re-draw/revolving characteristics - the date when the flexible features are expected to expire i.e. when the revolving period will end.

NO

YES

CMRL31

Purchase Price

Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.

NO

YES

CMRL32

Amortisation Type

Type of amortisation of the underlying exposure including principal and interest.

French - i.e. Amortisation in which the total amount - principal plus interest - repaid in each instalment is the same. (FRXX)

German - i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)

Fixed amortisation schedule - i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)

Bullet - i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)

Other (OTHR)

YES

NO

CMRL33

Principal Grace Period End Date

If applicable as at the data cut-off date, indicate the principal grace period end date.

NO

YES

CMRL34

Scheduled Principal Payment Frequency

Frequency of principal payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

CMRL35

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

CMRL36

Payment Due

This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CMRL37

Current Interest Rate

Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised.

NO

YES

CMRL38

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

NO

YES

CMRL39

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

NO

YES

CMRL40

Current Interest Rate Margin

Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.

NO

YES

CMRL41

Interest Rate Reset Interval

Number of months between each interest rate reset date on the underlying exposure.

NO

YES

CMRL42

Interest Rate Cap

Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

CMRL43

Interest Rate Floor

Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

CMRL44

Number Of Payments Before Securitisation

Enter the number of payments made prior to the exposure being transferred to the securitisation.

YES

NO

CMRL45

Percentage Of Prepayments Allowed Per Year

Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.

YES

YES

CMRL46

Prepayment Lock-Out End Date

The date after which the lender allows prepayment of the underlying exposure.

YES

YES

CMRL47

Prepayment Fee

Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a "break cost" to make up interest payments up to the underlying exposure Payment Date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CMRL48

Prepayment Fee End Date

The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.

YES

YES

CMRL49

Prepayment Date

The latest date on which an unscheduled principal payment was received.

YES

YES

CMRL50

Cumulative Prepayments

Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

CMRL51

Date Of Restructuring

Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

In the event of multiple dates, all dates must be provided in accordance with the XML schema.

YES

YES

CMRL52

Date Last In Arrears

Date the obligor was last in arrears.

YES

YES

CMRL53

Arrears Balance

Current balance of arrears, which is defined as:

Total payments due to date

PLUS any amounts capitalised

PLUS any fees applied to the account

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

CMRL54

Number Of Days In Arrears

Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.

NO

NO

CMRL55

Account Status

Current status of the underlying exposure that has been securitised:

Performing (PERF)

Restructured - No Arrears (RNAR)

Restructured - Arrears (RARR)

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

Defaulted only under another definition of default being met (DADB)

Arrears (ARRE)

Repurchased by Seller - Breach of Representations and Warranties (REBR)

Repurchased by Seller - Defaulted (REDF)

Repurchased by Seller - Restructured (RERE)

Repurchased by Seller - Special Servicing (RESS)

Repurchased by Seller - Other Reason (REOT)

Redeemed (RDMD)

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

CMRL56

Reason for Default or Foreclosure

If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

CMRL57

Default Amount

Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CMRL58

Default Date

The date of default.

NO

YES

CMRL59

Allocated Losses

The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CMRL60

Cumulative Recoveries

Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CMRL61

Deposit Amount

The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool.

Use the same currency denomination as that used for this underlying exposure.

If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure, and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CMRL62

Original Lender Name

Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

CMRL63

Original Lender Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

CMRL64

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

CMRL65

Originator Name

Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

CMRL66

Originator Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.

NO

NO

CMRL67

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

CMRL68

Energy Performance Certificate Value

The energy performance certificate value of the collateral at the time of origination:

A (EPCA)

B (EPCB)

C (EPCC)

D (EPCD)

E (EPCE)

F (EPCF)

G (EPCG)

Other (OTHR)

YES

YES

CMRL69

Energy Performance Certificate Provider Name

Enter the full legal name of the energy performance certificate provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

ANNEX VII

UNDERLYING EXPOSURES INFORMATION – CREDIT CARD

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

CCDL1

Unique Identifier

The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.

NO

NO

CCDL2

Original Underlying Exposure Identifier

Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

CCDL3

New Underlying Exposure Identifier

If the original identifier in field CCDL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CCDL2. The reporting entity must not amend this unique identifier.

NO

NO

CCDL4

Original Obligor Identifier

Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

CCDL5

New Obligor Identifier

If the original identifier in field CCDL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CCDL4. The reporting entity must not amend this unique identifier.

NO

NO

CCDL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

CCDL7

Pool Addition Date

The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.

NO

YES

CCDL8

Date Of Repurchase

Date on which the underlying exposure was repurchased from the pool.

NO

YES

CCDL9

Geographic Region - Obligor

The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in CCDL10 to provide the year of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

NO

CCDL10

Geographic Region Classification

Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. 2016 should be entered for new exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.

YES

NO

CCDL11

Employment Status

Employment status of the primary obligor:

Employed - Private Sector (EMRS)

Employed - Public Sector (EMBL)

Employed - Sector Unknown (EMUK)

Unemployed (UNEM)

Self-employed (SFEM)

No Employment, Obligor is Legal Entity (NOEM)

Student (STNT)

Pensioner (PNNR)

Other (OTHR)

YES

NO

CCDL12

Credit Impaired Obligor

Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator's or original lender's knowledge:

(a) has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:

(i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and

(ii) the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

(b) was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or

(c)has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

NO

YES

CCDL13

Customer Type

Customer type at origination:

New customer and not an employee/affiliated with the originator's group (CNEO)

New customer and an employee/affiliated with the originator's group (CEMO)

New customer and employee/affiliation not recorded (CNRO)

Existing customer and not an employee/affiliated with the originator's group (ENEO)

Existing customer and an employee/affiliated with the originator's group (EEMO)

Existing customer and employee/affiliation not recorded (ENRO)

Other (OTHR)

YES

NO

CCDL14

Primary Income

Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor's annual revenue.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

CCDL15

Primary Income Type

Indicate what income in CCDL14 is displayed:

Gross annual income (GRAN)

Net annual income (net of tax and social security) (NITS)

Net annual income (net of tax only) (NITX)

Net annual income (net of social security only) (NTIN)

Estimated net annual income (net of tax and social security) (ENIS)

Estimated net annual income (net of tax only) (EITX)

Estimated net annual income (net of social security only) (EISS)

Disposable Income (DSPL)

Borrower is legal entity (CORP)

Other (OTHR)

YES

NO

CCDL16

Primary Income Currency

Currency in which the primary obligor's income or revenue is paid.

YES

NO

CCDL17

Primary Income Verification

Primary Income Verification:

Self-certified no Checks (SCRT)

Self-certified with Affordability Confirmation (SCNF)

Verified (VRFD)

Non-Verified Income or Fast Track (NVRF)

Credit Bureau Information or Scoring (SCRG)

Other (OTHR)

YES

NO

CCDL18

Special Scheme

If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.

YES

YES

CCDL19

Origination Date

The date on which the account was opened.

YES

NO

CCDL20

Origination Channel

Channel of Origination:

Internet (WEBI)

Branch (BRCH)

Telesale (TLSL)

Stand (STND)

Post (POST)

White Label (WLBL)

Magazine (MGZN)

Other (OTHR)

YES

YES

CCDL21

Currency Denomination

The underlying exposure currency denomination.

NO

NO

CCDL22

Current Principal Balance

Enter the total current amount owed by the obligor (including all fees and interest) on the account.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CCDL23

Total Credit Limit

For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn't been withdrawn in full - the maximum underlying exposure amount that could potentially be outstanding.

This field is only to be populated for underlying exposures that have flexible or further drawing characteristics.

This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CCDL24

Purchase Price

Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.

NO

YES

CCDL25

Principal Grace Period End Date

If applicable as at the data cut-off date, indicate the principal grace period end date.

NO

YES

CCDL26

Scheduled Principal Payment Frequency

Frequency of principal payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

CCDL27

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

CCDL28

Payment Due

The next minimum scheduled payment due from the obligor.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CCDL29

Current Interest Rate

Total weighted average annualised yield including all fees applicable at last billing date (i.e. this is billed, not cash yield).

NO

YES

CCDL30

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

NO

YES

CCDL31

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

NO

YES

CCDL32

Number Of Payments Before Securitisation

Enter the number of payments made prior to the exposure being transferred to the securitisation.

YES

NO

CCDL33

Date Of Restructuring

Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

In the event of multiple dates, all dates must be provided in accordance with the XML schema.

YES

YES

CCDL34

Date Last In Arrears

Date the account was last in arrears.

YES

YES

CCDL35

Number Of Days In Arrears

Number of days the account is in arrears as of the data cut-off date. If the account is not in arrears enter 0.

NO

NO

CCDL36

Arrears Balance

Current balance of arrears, which is defined as:

Total payments due to date

PLUS any amounts capitalised

PLUS any fees applied to the account

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

CCDL37

Account Status

Current status of the underlying exposure that has been securitised:

Performing (PERF)

Restructured - No Arrears (RNAR)

Restructured - Arrears (RARR)

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

Defaulted only under another definition of default being met (DADB)

Arrears (ARRE)

Repurchased by Seller - Breach of Representations and Warranties (REBR)

Repurchased by Seller - Defaulted (REDF)

Repurchased by Seller - Restructured (RERE)

Repurchased by Seller - Special Servicing (RESS)

Repurchased by Seller - Other Reason (REOT)

Redeemed (RDMD)

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

CCDL38

Reason for Default or Foreclosure

If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

CCDL39

Default Amount

Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CCDL40

Default Date

The date of default.

NO

YES

CCDL41

Cumulative Recoveries

Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

CCDL42

Original Lender Name

Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

CCDL43

Original Lender Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

CCDL44

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

CCDL45

Originator Name

Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

CCDL46

Originator Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.

NO

NO

CCDL47

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

ANNEX VIII

UNDERLYING EXPOSURES INFORMATION – LEASING

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

LESL1

Unique Identifier

The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.

NO

NO

LESL2

Original Underlying Exposure Identifier

Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

LESL3

New Underlying Exposure Identifier

If the original identifier in field LESL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in LESL2. The reporting entity must not amend this unique identifier.

NO

NO

LESL4

Original Obligor Identifier

Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

LESL5

New Obligor Identifier

If the original identifier in field LESL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in LESL4. The reporting entity must not amend this unique identifier.

NO

NO

LESL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

LESL7

Pool Addition Date

The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.

NO

YES

LESL8

Date Of Repurchase

Date on which the underlying exposure was repurchased from the pool.

NO

YES

LESL9

Redemption Date

Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.

NO

YES

LESL10

Geographic Region - Obligor

The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in LESL11 to provide the year of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

NO

LESL11

Geographic Region Classification

Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. 2016 should be entered for new exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.

YES

NO

LESL12

Credit Impaired Obligor

Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator's or original lender's knowledge:

(a) has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:

(i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and

(ii) the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

(b) was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or

(c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

NO

YES

LESL13

Obligor Basel III Segment

Obligor Basel III Segment:

Corporate (CORP)

Small and Medium Enterprise Treated as Corporate (SMEX)

Retail (RETL)

Other (OTHR)

YES

YES

LESL14

Customer Type

Customer type at origination:

New customer and not an employee/affiliated with the originator's group (CNEO)

New customer and an employee/affiliated with the originator's group (CEMO)

New customer and employee/affiliation not recorded (CNRO)

Existing customer and not an employee/affiliated with the originator's group (ENEO)

Existing customer and an employee/affiliated with the originator's group (EEMO)

Existing customer and employee/affiliation not recorded (ENRO)

Other (OTHR)

YES

NO

LESL15

SIC Industry Code

Lessee industry SIC Code, as set out in the condensed SIC Code List used by UK Companies House.

YES

YES

LESL16

Enterprise Size

Classification of enterprises by size, in accordance with the Annex to Commission Recommendation 2003/361/EC as it applied in the UK immediately before IP completion day:

Micro Enterprise (MICE) - employs fewer than 10 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 2 million

Small Enterprise (SMAE) - employs fewer than 50 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 10 million

Medium Enterprise (MEDE) - employs fewer than 250 persons and which has an annual turnover not exceeding EUR 50 million, and/or an annual balance sheet total not exceeding EUR 43 million

Large Enterprise (LARE) - an enterprise that is neither a micro, small, or medium enterprise.

Natural Person (NATP)

Other (OTHR)

YES

YES

LESL17

Revenue

Annual sales volume net of all discounts and sales taxes of the obligor. Equivalent to the concept of "total annual sales" in Article 153(4) of Regulation (EU) No 575/2013.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

LESL18

Financial Statement Currency

The reporting currency of the financial statements.

YES

YES

LESL19

Product Type

The classification of the underlying exposure, per lessor's definitions:

(Personal) Contract Purchase (PPUR)

(Personal) Contract Hire (PHIR)

Hire Purchase (HIRP)

Lease Purchase (LEAP)

Finance Lease (FNLS)

Operating Lease (OPLS)

Other (OTHR)

NO

YES

LESL20

Syndicated

Is the underlying exposure syndicated?

YES

NO

LESL21

Special Scheme

If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.

YES

YES

LESL22

Origination Date

Date of original lease advance.

YES

NO

LESL23

Maturity Date

The date of maturity of the underlying exposure or expiry of the lease.

NO

YES

LESL24

Original Term

Original contractual term (number of months) at the origination date.

YES

YES

LESL25

Origination Channel

Origination channel of the underlying exposure:

Office or Branch Network (BRAN)

Broker (BROK)

Internet (WEBI)

Other (OTHR)

YES

YES

LESL26

Currency Denomination

The underlying exposure currency denomination.

NO

NO

LESL27

Original Principal Balance

Original Principal (or discounted) lease balance (inclusive of capitalised fees) at origination. This is referring to the balance of the lease at the origination date, not the date of the underlying exposure's sale to the SSPE or the closing date of the securitisation.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

LESL28

Current Principal Balance

Obligor's lease or discounted lease balance outstanding as of the data cut-off date. This includes any amounts that are secured against the asset. For example, if fees have been added to the balance and are part of the principal in the securitisation these are to be added. Exclude any interest arrears or penalty amounts.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

LESL29

Purchase Price

Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.

NO

YES

LESL30

Securitised Residual Value

Residual value amount which has been securitised only.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

LESL31

Amortisation Type

Type of amortisation of the underlying exposure including principal and interest.

French - i.e. Amortisation in which the total amount - principal plus interest - repaid in each instalment is the same. (FRXX)

German - i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)

Fixed amortisation schedule - i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)

Bullet - i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)

Other (OTHR)

YES

NO

LESL32

Principal Grace Period End Date

If applicable as at the data cut-off date, indicate the principal grace period end date.

NO

YES

LESL33

Scheduled Principal Payment Frequency

Frequency of principal payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

LESL34

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

LESL35

Payment Due

This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

LESL36

Current Interest Rate

Total gross current interest rate or discount rate applicable to the underlying exposure. Rates calculated on a period-by-period basis must be annualised.

NO

YES

LESL37

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

NO

YES

LESL38

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

NO

YES

LESL39

Current Interest Rate Margin

Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.

NO

YES

LESL40

Interest Rate Reset Interval

Number of months between each interest rate reset date on the underlying exposure.

NO

YES

LESL41

Interest Rate Cap

Maximum rate that the obligor must pay on a floating rate lease as required under the terms of the underlying exposure agreement.

NO

YES

LESL42

Interest Rate Floor

Minimum rate that the obligor must pay on a floating rate lease as required under the terms of the lease agreement.

NO

YES

LESL43

Number Of Payments Before Securitisation

Enter the number of payments made prior to the exposure being transferred to the securitisation.

YES

NO

LESL44

Percentage Of Prepayments Allowed Per Year

Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.

YES

YES

LESL45

Prepayment Lock-Out End Date

The date after which the lender allows prepayment of the underlying exposure.

YES

YES

LESL46

Prepayment Fee

Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a "break cost" to make up interest payments up to the lease Payment Date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

LESL47

Prepayment Fee End Date

The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.

YES

YES

LESL48

Prepayment Date

The latest date on which an unscheduled principal payment was received.

YES

YES

LESL49

Cumulative Prepayments

Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

LESL50

Option To Buy Price

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 LESL30.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

LESL51

Down Payment Amount

Amount of deposit/down payment on origination of the underlying exposure (this includes the value of traded-in equipment etc.).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

LESL52

Current Residual Value Of Asset

Most recent forecast residual value of the asset at the end of the lease term. If no update has been performed, enter the original estimated residual value.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

LESL53

Date Of Restructuring

Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

In the event of multiple dates, all dates must be provided in accordance with the XML schema.

YES

YES

LESL54

Date Last In Arrears

Date the obligor was last in arrears.

YES

YES

LESL55

Arrears Balance

Current balance of arrears, which is defined as:

Total payments due to date

PLUS any amounts capitalised

PLUS any fees applied to the account

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

LESL56

Number Of Days In Arrears

Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.

NO

NO

LESL57

Account Status

Current status of the underlying exposure that has been securitised:

Performing (PERF)

Restructured - No Arrears (RNAR)

Restructured - Arrears (RARR)

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

Defaulted only under another definition of default being met (DADB)

Arrears (ARRE)

Repurchased by Seller - Breach of Representations and Warranties (REBR)

Repurchased by Seller - Defaulted (REDF)

Repurchased by Seller - Restructured (RERE)

Repurchased by Seller - Special Servicing (RESS)

Repurchased by Seller - Other Reason (REOT)

Redeemed (RDMD)

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

LESL58

Reason for Default or Foreclosure

If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

LESL59

Default Amount

Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

LESL60

Default Date

The date of default.

NO

YES

LESL61

Allocated Losses

The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

LESL62

Cumulative Recoveries

Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

LESL63

Recovery Source

The source of the recoveries:

Liquidation of Collateral (LCOL)

Enforcement of Guarantees (EGAR)

Additional Lending (ALEN)

Cash Recoveries (CASR)

Mixed (MIXD)

Other (OTHR)

NO

YES

LESL64

Deposit Amount

The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool.

Use the same currency denomination as that used for this underlying exposure.

If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure, and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

LESL65

Geographic Region - Collateral

The geographic region (NUTS3 classification) where the asset is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

YES

LESL66

Manufacturer

Name of the asset manufacturer.

YES

NO

LESL67

Model

Name of the asset/model.

YES

NO

LESL68

Year Of Manufacture/Construction

Year of manufacture.

YES

YES

LESL69

New Or Used

Condition of asset at point of underlying exposure origination:

New (NEWX)

Used (USED)

Demo (DEMO)

Other (OTHR)

YES

NO

LESL70

Original Residual Value Of Asset

The estimated residual value of the asset at the date of underlying exposure origination.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

LESL71

Collateral Type

The primary (in terms of value) type of asset securing the underlying exposure:

Automobile (CARX)

Industrial Vehicle (INDV)

Commercial Truck (CMTR)

Rail Vehicle (RALV)

Nautical Commercial Vehicle (NACM)

Nautical Leisure Vehicle (NALV)

Aeroplane (AERO)

Machine Tool (MCHT)

Industrial Equipment (INDE)

Office Equipment (OFEQ)

Medical Equipment (MDEQ)

Energy Related Equipment (ENEQ)

Commercial Building (CBLD)

Residential Building (RBLD)

Industrial Building (IBLD)

Other Vehicle (OTHV)

Other Equipment (OTHE)

Other Real Estate (OTRE)

Other goods or inventory (OTGI)

Security (SECU)

Guarantee (GUAR)

Other Financial Asset (OTFA)

IT Equipment (ITEQ)

Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)

Other (OTHR)

NO

NO

LESL72

Original Valuation Amount

Valuation of asset at underlying exposure origination.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

LESL73

Original Valuation Method

The method of calculating the value of the asset at the time of underlying exposure origination:

Full Appraisal (FAPR)

Drive-by (DRVB)

Automated Value Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent or Estate Agent (MAEA)

Purchase Price (PPRI)

Haircut (HCUT)

Other (OTHR)

YES

NO

LESL74

Original Valuation Date

Date of asset valuation at origination.

YES

NO

LESL75

Current Valuation Amount

Latest asset valuation. If no revaluation has occurred since origination, enter original valuation.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

LESL76

Current Valuation Method

The method of calculating the most recent value of the asset. If no revaluation has occurred since origination, enter original valuation type:

Full Appraisal (FAPR)

Drive-by (DRVB)

Automated Value Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent or Estate Agent (MAEA)

Purchase Price (PPRI)

Haircut (HCUT)

Other (OTHR)

YES

NO

LESL77

Current Valuation Date

Date of latest asset valuation. If no revaluation has occurred since origination, enter original valuation date.

YES

YES

LESL78

Number Of Leased Objects

The number of individual assets covered by this underlying exposure.

YES

NO

LESL79

Original Lender Name

Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

LESL80

Original Lender Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

LESL81

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

LESL82

Originator Name

Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

LESL83

Originator Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.

NO

NO

LESL84

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

ANNEX IX

UNDERLYING EXPOSURES INFORMATION – ESOTERIC

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

ESTL1

Unique Identifier

The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.

NO

NO

ESTL2

Original Underlying Exposure Identifier

Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

ESTL3

New Underlying Exposure Identifier

If the original identifier in field ESTL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in ESTL2. The reporting entity must not amend this unique identifier.

NO

NO

ESTL4

Original Obligor Identifier

Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

ESTL5

New Obligor Identifier

If the original identifier in field ESTL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in ESTL4. The reporting entity must not amend this unique identifier.

NO

NO

ESTL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

ESTL7

Pool Addition Date

The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.

NO

YES

ESTL8

Date Of Repurchase

Date on which the underlying exposure was repurchased from the pool.

NO

YES

ESTL9

Redemption Date

Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.

NO

YES

ESTL10

Description

Describe in a few words the underlying exposure (e.g. "Electricity Tariff Receivables", "Future Flow"). All underlying exposures of this type in the data submission must use identical language.

NO

NO

ESTL11

Geographic Region - Obligor

The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in ESTL12 to provide the year of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

YES

ESTL12

Geographic Region Classification

Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. 2016 should be entered for new exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.

YES

YES

ESTL13

Employment Status

Employment status of the primary obligor:

Employed - Private Sector (EMRS)

Employed - Public Sector (EMBL)

Employed - Sector Unknown (EMUK)

Unemployed (UNEM)

Self-employed (SFEM)

No Employment, Obligor is Legal Entity (NOEM)

Student (STNT)

Pensioner (PNNR)

Other (OTHR)

YES

YES

ESTL14

Credit Impaired Obligor

Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator's or original lender's knowledge:

(a) has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:

(i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and

(ii) the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

(b) was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or

(c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

YES

YES

ESTL15

Obligor Legal Type

Legal form of customer:

Public Company (PUBL)

Limited Company (LLCO)

Partnership (PNTR)

Individual (INDV)

Government Entity (GOVT)

Other (OTHR)

YES

YES

ESTL16

SIC Industry Code

Obligor industry SIC Code, as set out in the condensed SIC Code List used by UK Companies House.

YES

YES

ESTL17

Primary Income

Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter in that obligor's annual revenue.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTL18

Primary Income Type

Indicate what income in ESTL17 is displayed:

Gross annual income (GRAN)

Net annual income (net of tax and social security) (NITS)

Net annual income (net of tax only) (NITX)

Net annual income (net of social security only) (NTIN)

Estimated net annual income (net of tax and social security) (ENIS)

Estimated net annual income (net of tax only) (EITX)

Estimated net annual income (net of social security only) (EISS)

Disposable Income (DSPL)

Borrower is legal entity (CORP)

Other (OTHR)

YES

YES

ESTL19

Primary Income Currency

Currency in which the primary obligor's income or revenue is paid.

YES

YES

ESTL20

Primary Income Verification

Primary Income Verification:

Self-certified no Checks (SCRT)

Self-certified with Affordability Confirmation (SCNF)

Verified (VRFD)

Non-Verified Income or Fast Track (NVRF)

Credit Bureau Information or Scoring (SCRG)

Other (OTHR)

YES

YES

ESTL21

Revenue

Annual sales volume net of all discounts and sales taxes of the obligor. Equivalent to the concept of ‘total annual sales’ in Article 153(4) of Regulation (EU) No 575/2013.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTL22

Financial Statement Currency

The reporting currency of the financial statements.

YES

YES

ESTL23

International Securities Identification Number

The ISIN code assigned to this underlying exposure, where applicable.

YES

YES

ESTL24

Origination Date

Date of original underlying exposure advance.

YES

YES

ESTL25

Maturity Date

The date of maturity of the underlying exposure or expiry of the lease.

YES

YES

ESTL26

Currency Denomination

The underlying exposure currency denomination.

NO

YES

ESTL27

Original Principal Balance

Original underlying exposure principal balance (inclusive of capitalised fees) at origination. This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure's sale to the SSPE or the closing date of the securitisation.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTL28

Current Principal Balance

Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTL29

Total Credit Limit

For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn't been withdrawn in full - the maximum underlying exposure amount that could potentially be outstanding.

This field is only to be populated for underlying exposures that have flexible or further drawing characteristics.

This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTL30

Purchase Price

Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.

NO

YES

ESTL31

Amortisation Type

Type of amortisation of the underlying exposure including principal and interest.

French - i.e. Amortisation in which the total amount - principal plus interest - repaid in each instalment is the same. (FRXX)

German - i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)

Fixed amortisation schedule - i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)

Bullet - i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)

Other (OTHR)

YES

NO

ESTL32

Principal Grace Period End Date

If applicable as at the data cut-off date, indicate the principal grace period end date.

YES

YES

ESTL33

Scheduled Principal Payment Frequency

Frequency of principal payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

YES

YES

ESTL34

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

YES

YES

ESTL35

Payment Due

This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTL36

Debt To Income Ratio

Debt defined as the amount of underlying exposure outstanding as of data cut-off date, This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts.

Income defined as in field code ESTL17, plus any other relevant income (e.g. secondary income).

YES

YES

ESTL37

Balloon Amount

Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTL38

Interest Rate Reset Interval

Number of months between each interest rate reset date on the underlying exposure.

YES

YES

ESTL39

Current Interest Rate

Current interest rate.

YES

YES

ESTL40

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

YES

YES

ESTL41

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

YES

YES

ESTL42

Current Interest Rate Margin

Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.

YES

YES

ESTL43

Interest Rate Cap

Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

YES

YES

ESTL44

Interest Rate Floor

Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

YES

YES

ESTL45

Number Of Payments Before Securitisation

Enter the number of payments made prior to the exposure being transferred to the securitisation.

YES

YES

ESTL46

Percentage Of Prepayments Allowed Per Year

Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.

YES

YES

ESTL47

Prepayment Lock-Out End Date

The date after which the lender allows prepayment of the underlying exposure.

YES

YES

ESTL48

Prepayment Fee

Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a "break cost" to make up interest payments up to the underlying exposure Payment Date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTL49

Prepayment Fee End Date

The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.

YES

YES

ESTL50

Prepayment Date

The latest date on which an unscheduled principal payment was received.

YES

YES

ESTL51

Cumulative Prepayments

Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTL52

Date Last In Arrears

Date the obligor was last in arrears.

YES

YES

ESTL53

Arrears Balance

Current balance of arrears, which is defined as:

Total payments due to date

PLUS any amounts capitalised

PLUS any fees applied to the account

LESS total payments received to date.

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTL54

Number Of Days In Arrears

Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.

YES

YES

ESTL55

Account Status

Current status of the underlying exposure that has been securitised:

Performing (PERF)

Restructured - No Arrears (RNAR)

Restructured - Arrears (RARR)

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

Defaulted only under another definition of default being met (DADB)

Arrears (ARRE)

Repurchased by Seller - Breach of Representations and Warranties (REBR)

Repurchased by Seller - Defaulted (REDF)

Repurchased by Seller - Restructured (RERE)

Repurchased by Seller - Special Servicing (RESS)

Repurchased by Seller - Other Reason (REOT)

Redeemed (RDMD)

Other (OTHR)

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

ESTL56

Reason for Default or Foreclosure

If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

YES

YES

ESTL57

Default Amount

Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTL58

Default Date

The date of default.

YES

YES

ESTL59

Allocated Losses

The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTL60

Cumulative Recoveries

Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTL61

Originator Name

Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

ESTL62

Originator Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.

NO

NO

ESTL63

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

ESTL64

Original Lender Name

Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

ESTL65

Original Lender Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

ESTL66

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

Collateral-level information section

ESTC1

Unique Identifier

Report the same unique identifier here as the one entered into field ESTL1.

NO

NO

ESTC2

Underlying Exposure Identifier

Unique underlying exposure identifier. This must match the identifier in field ESTL3. The reporting entity must not amend this unique identifier.

NO

NO

ESTC3

Original Collateral Identifier

The original unique identifier assigned to the collateral or guarantee. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

ESTC4

New Collateral Identifier

If the original identifier in field ESTC3 cannot be maintained in this field enter the new identifier here. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. If there has been no change in the identifier, enter the same identifier as in ESTC3. The reporting entity must not amend this unique identifier.

NO

NO

ESTC5

Geographic Region - Collateral

The geographic region (NUTS3 classification) where the collateral is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

YES

ESTC6

Security Type

The type of security:

Collateral (COLL)

Guarantee backed by further collateral (GCOL)

Guarantee not backed by further collateral (GNCO)

Other (OTHR)

NO

NO

ESTC7

Charge Type

Type of security over the collateral. Where there is a guarantee, this field refers to any security for any collateral that is supporting that guarantee. "No charge but an irrevocable power of attorney or similar" refers to when the originator or original lender, as applicable, is irrevocably and unconditionally authorised to unilaterally create a charge over the collateral at any time in the future, without the need for any further approval from the obligor or guarantor:

Fixed charge (FXCH)

Floating charge (FLCH)

No charge (NOCG)

No charge but an irrevocable power of attorney or similar (ATRN)

Other (OTHR)

YES

YES

ESTC8

Lien

Highest lien position held by the originator in relation to the collateral.

YES

YES

ESTC9

Collateral Type

The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.

Automobile (CARX)

Industrial Vehicle (INDV)

Commercial Truck (CMTR)

Rail Vehicle (RALV)

Nautical Commercial Vehicle (NACM)

Nautical Leisure Vehicle (NALV)

Aeroplane (AERO)

Machine Tool (MCHT)

Industrial Equipment (INDE)

Office Equipment (OFEQ)

IT Equipment (ITEQ)

Medical Equipment (MDEQ)

Energy Related Equipment (ENEQ)

Commercial Building (CBLD)

Residential Building (RBLD)

Industrial Building (IBLD)

Other Vehicle (OTHV)

Other Equipment (OTHE)

Other Real Estate (OTRE)

Other goods or inventory (OTGI)

Securities (SECU)

Guarantee (GUAR)

Other Financial Asset (OTFA)

Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)

Other (OTHR)

NO

NO

ESTC10

Current Valuation Amount

The most recent valuation of the collateral. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to the collateral that is supporting that guarantee.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTC11

Current Valuation Method

The method of calculating the most recent value of the collateral, as provided in field ESTC10.

Full Appraisal (FAPR)

Drive-by (DRVB)

Automated Value Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent or Estate Agent (MAEA)

Purchase Price (PPRI)

Haircut (HCUT)

Mark to Market (MTTM)

Obligor's valuation (OBLV)

Other (OTHR)

YES

YES

ESTC12

Current Valuation Date

The date of the most recent valuation of the collateral as provided in field ESTC10.

YES

YES

ESTC13

Current Loan-To-Value

Current loan to Value ratio (LTV). For non-first lien loans this is to be the combined or total LTV. Where the current loan balance is negative, enter 0.

YES

YES

ESTC14

Original Valuation Amount

The original valuation of the collateral as of the initial underlying exposure origination date.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

ESTC15

Original Valuation Method

The method of calculating the value of the collateral provided in field ESTC14 at the time of underlying exposure origination:

Full Appraisal (FAPR)

Drive-by (DRVB)

Automated Value Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent or Estate Agent (MAEA)

Purchase Price (PPRI)

Haircut (HCUT)

Mark to market (MTTM)

Obligor's valuation (OBLV)

Other (OTHR)

YES

YES

ESTC16

Original Valuation Date

The date of the original valuation of the physical or financial collateral provided in field ESTC14.

YES

YES

ESTC17

Original Loan-To-Value

Originator's original underwritten loan To Value ratio (LTV). For non-first lien loans, this is the combined or total LTV.

YES

YES

ESTC18

Date Of Sale

The date of sale of the collateral.

NO

YES

ESTC19

Sale Price

Price achieved on sale of collateral in case of foreclosure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

ESTC20

Collateral Currency

This is the currency in which the valuation amount provided in ESTC10 is denominated.

NO

YES

ANNEX X

UNDERLYING EXPOSURES INFORMATION – ADD-ON FOR NON-PERFORMING EXPOSURES

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

NPEL1

Unique Identifier

The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224. This entry must match the unique identifier field in the accompanying underlying exposures template being completed for this specific underlying exposure.

NO

NO

NPEL2

Original Underlying Exposure Identifier

Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. This entry must match the original underlying exposure identifier field in the accompanying underlying exposures template (Annexes II-IX to this Regulation) being completed for this specific underlying exposure.

NO

NO

NPEL3

New Underlying Exposure Identifier

If the original identifier in field NPEL2 cannot be maintained in this field, enter the new identifier here (and this new identifier must match the new underlying exposure identifier field in the accompanying underlying exposures template (Annexes II-IX to this Regulation) being completed for this specific underlying exposure). If there has been no change in the identifier, enter the same identifier as in NPEL2. The reporting entity must not amend this unique identifier.

NO

NO

NPEL4

Original Obligor Identifier

Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier. This entry must match the original obligor identifier field in the accompanying underlying exposures template (Annexes II-IX to this Regulation) being completed for this specific underlying exposure.

NO

NO

NPEL5

New Obligor Identifier

If the original identifier in field NPEL4 cannot be maintained in this field, enter the new identifier here (and this new identifier must match the new obligor identifier field in the accompanying underlying exposures template (Annexes II-IX to this Regulation) being completed for this specific underlying exposure). If there has been no change in the identifier, enter the same identifier as in NPEL4. The reporting entity must not amend this unique identifier.

NO

NO

NPEL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

NPEL7

In Receivership

Indicator as to whether the obligor is in Receivership

YES

YES

NPEL8

Date of Last Contact

Date of last direct contact with the obligor

YES

YES

NPEL9

Deceased

Indicator as to whether the obligor has passed away

YES

YES

NPEL10

Legal status

The type of legal status of the obligor.

Listed Corporate is a Corporate entity whose shares are quoted and traded on a Stock Exchange (LCRP)

Unlisted Corporate is a Corporate entity whose shares are not quoted and traded on a stock exchange, however an unlisted corporate may have an unlimited number of shareholders to raise capital for any commercial venture (UCRP)

Listed Fund is a fund whose shares are quoted and traded on a Stock exchange (LFND)

Unlisted Fund is a fund whose shares are not quoted and traded on a Stock exchange (UFND)

Partnership is where the Sponsor constitutes a group of individuals who form a legal partnership, where profits and liabilities are shared (PSHP)

Private Individual (INDV)

YES

YES

NPEL11

Legal Procedure Type

Type of the insolvency process the obligor is currently in:

Corporate Restructuring Procedure, which also includes funds (CPRR)

Corporate Insolvency Procedure, which also includes funds (CPRI)

Private Individual Obligor Debt Compromise Procedure (PRCM)

Private Individual Obligor Insolvency Procedure (PRIP)

Partnership Restructuring Procedure (PRTR)

Partnership Insolvency Procedure (PRIS)

Other (OTHR)

YES

YES

NPEL12

Legal Procedure Name

Name of the legal procedure which provides an indication of how advanced the relevant procedure has become, depending on the country where the obligor is located.

YES

YES

NPEL13

Legal Procedures Completed

Description of the legal procedures completed for the obligor.

YES

YES

NPEL14

Date of Entering Into Current Legal Procedure

Date on which the obligor entered into their current legal procedure.

YES

YES

NPEL15

Date of Insolvency Practitioner Appointment

Date on which the insolvency practitioner was appointed.

YES

YES

NPEL16

Number of Current Judgements

Number of outstanding Court Enforcement Orders against the obligor.

YES

YES

NPEL17

Number of Discharged Judgements

Number of discharged Court Enforcement Orders against the obligor

YES

YES

NPEL18

Date of External Demand Issuance

Date on which a demand notice was sent by solicitors who act on behalf of the Institution

YES

YES

NPEL19

Date when Reservation of Rights Letter Was Issued

Date on which the Reservation of Rights Letter was issued by the Institution

YES

YES

NPEL20

Court Jurisdiction

Location of the court where the case is being heard

YES

YES

NPEL21

Date of Obtaining Order for Possession

Date on which the Order for Possession is granted by the court

YES

YES

NPEL22

Comments on Other Litigation Related Process

Further comments/details if there are other litigation processes in place

YES

YES

NPEL23

Governing Law

Jurisdiction governing the underlying exposure agreement. This does not necessarily correspond to the country where the underlying exposure was originated.

YES

YES

NPEL24

Bespoke Repayment Description

Description of the bespoke repayment profile when "Other" is selected in field "Amortisation Type"

YES

YES

NPEL25

Start Date of Interest Only Period

Date on which the current interest repayment only period starts.

YES

YES

NPEL26

End Date of Interest Only Period

Date on which the interest repayment only period ends.

YES

YES

NPEL27

Start Date of Current Fixed Interest Period

Date on which the current fixed interest period started.

YES

YES

NPEL28

End Date of Current Fixed Interest Period

Date on which the current fixed interest period ends.

YES

YES

NPEL29

Current Reversion Interest Rate

Current level of reversion interest rate according to the underlying exposure Agreement.

YES

YES

NPEL30

Last Payment Date

Date on which the last payment was made

YES

YES

NPEL31

Syndicated Portion

Percentage of the portion held by the Institution when "Yes" is selected in the field named "Syndicated" in the applicable Annex for the non-performing exposure.

YES

YES

NPEL32

MARP Entry

Date on which underlying exposure entered current MARP status

YES

YES

NPEL33

MARP Status

The status of the current Mortgage Arrears Resolution Process:

Not in MARP (NMRP)

Exited MARP (EMRP)

Provision 23, 31 days in arrears (MP23)

Provision 24, Financial difficulty (MP24)

Provision 28, Not cooperating warning (MP28)

Provision 29, Not cooperating (MP29)

Provision 42, Restructure offer (MP42)

Provision 45, Restructure declined by seller (MP45)

Provision 47, Restructure declined by borrower (MP47)

Self-Cure (MPSC)

Alternative Repayment Arrangement (MPAR)

Other (OTHR)

YES

YES

NPEL34

External Collections Level

Indicator as to whether the external collections have been prepared on an obligor level or on an underlying exposure Level

YES

YES

NPEL35

Repayment Plan

Indicator as to whether a repayment plan has been agreed with the external collection agency

YES

YES

NPEL36

Forbearance Level

Indicator as to whether forbearance has been prepared on an obligor level or an underlying exposure level

YES

YES

NPEL37

Date of First Forbearance

Date on which the first forbearance happened

YES

YES

NPEL38

Number of Historical Forbearance

Number of forbearance(s) that happened in the past

YES

YES

NPEL39

Principal Forgiveness

Amount of the principal that was forgiven as part of current forbearance, including principal forgiveness agreed by external collection agencies

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

NPEL40

Date of Principal Forgiveness

Date on which the principal forgiveness happened

YES

YES

NPEL41

End Date of Forbearance

Date on which the current forbearance arrangement ends

YES

YES

NPEL42

Repayment Amount Under Forbearance

Periodic repayment amount that the Institution and obligor agreed under the current forbearance terms

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

Collateral-level information section

NPEC1

Unique Identifier

Report the same unique identifier here as the one entered into field NPEL1.

NO

NO

NPEC2

Underlying Exposure Identifier

Unique underlying exposure identifier. This must match the identifier in field NPEL3. The reporting entity must not amend this unique identifier.

NO

NO

NPEC3

Original Collateral Identifier

The original unique identifier assigned to the collateral or guarantee. Where the underlying exposure type requires Annexes II, III, IV, or IX to be completed, this field must match the original collateral identifier field in the respective template being completed for this specific collateral item (i.e. this field must match the identifier entered into fields RREC3, CREC3, CRPC3, and ESTC3, as applicable).

The reporting entity must not amend this unique identifier.

NO

NO

NPEC4

New Collateral Identifier

If the original identifier in field NPEC3 cannot be maintained in this field enter the new identifier here. Where the underlying exposure type requires Annexes II, III, IV, or IX to be completed, this new identifier must match the new collateral identifier field in the respective template being completed for this specific collateral item (i.e. this field must match the identifier entered into fields RREC4, CREC4, CRPC4, and ESTC4, as applicable).

If there has been no change in the identifier, enter the same identifier as in NPEC3. The reporting entity must not amend this unique identifier.

NO

NO

NPEC5

VAT Payable

Amount of VAT payable on the disposal of the Unit

YES

YES

NPEC6

Percentage Complete

The percentage of development completed since construction started.

YES

YES

NPEC7

Enforcement Status

Status of the enforcement process that the Collateral is currently in as at cut-off date, e.g. if it is in receivership

YES

YES

NPEC8

Enforcement Status Third Parties

Have any other secured creditors have taken steps to enforce security over the asset?

YES

YES

NPEC9

Mortgage Amount Assigned

Total amount of the mortgage assigned to the property collateral.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

NPEC10

Higher Ranking Underlying Exposure

Amount of higher ranking/lien underlying exposures secured against the collateral that is not held by the Institution and does not form a part of the Portfolio.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

NPEC11

Enforcement Description

Comments or description of the stage of enforcement

YES

YES

NPEC12

Court Appraisal Amount

Court appraisal amount of the Property/Collateral

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

NPEC13

Date of Court Appraisal

Date on which the court appraisal happened

YES

YES

NPEC14

On Market Price

Price of the Property/Collateral for which it is on the market

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

NPEC15

Offer Price