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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.

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