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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.

You are viewing the version of the document as on 2021-01-01.

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