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 |