ANNEX I
Reporting template for structured finance instruments backed by residential mortgages
ASSETS:
|
Field Name |
Static/Dynamic |
Data Type |
Field Definition and Criteria |
|
Pool Cut-off Date |
Dynamic |
Date |
Pool or portfolio cut-off date. All dates take YYYY-MM-DD format. |
|
Pool Identifier |
Static |
Text/Numeric |
Pool or portfolio identifier/name of transaction. |
|
Loan Identifier |
Static |
Text/Numeric |
Unique identifier (ID) for each loan. The loan ID should not change through the life of the transaction. |
|
Originator |
Static |
Text |
Lender that advanced the original loan. |
|
Servicer Identifier |
Static |
Text/Numeric |
Unique identifier per servicer to flag which entity is servicing the loan. |
|
Borrower Identifier |
Static |
Text/Numeric |
Unique identifier (ID) per borrower (not showing the real name) — to enable borrowers with multiple loans in the pool to be identified (e.g. further advances/second liens are shown as separate entries). The borrower ID should not change over the life of the transaction. |
|
Property Identifier |
Static |
Text/Numeric |
Unique identifier per property to enable properties with multiple loans in the pool to be identified (e.g. further advances/second liens are shown as separate entries). |
|
Borrower Information |
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|
Borrower’s Employment Status |
Static |
List |
Employment status of the primary applicant. |
|
Primary Income |
Static |
Numeric |
Primary borrower underwritten gross annual income (not rent). |
|
Income Verification for Primary Income |
Static |
List |
Income verification for primary income. |
|
Loan Characteristics |
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|
Loan Origination Date |
Static |
Date/Numeric |
Date of original loan advance. |
|
Date of Loan Maturity |
Dynamic |
Date/Numeric |
The date of loan maturity. |
|
Purpose |
Static |
List |
Loan purpose. |
|
Loan Term |
Static |
Numeric |
Original contractual term (number of months). |
|
Loan Currency Denomination |
Static |
List |
The loan currency denomination. |
|
Original Balance |
Static |
Numeric |
Original loan balance (inclusive of fees). |
|
Current Balance |
Dynamic |
Numeric |
Amount of loan outstanding as of pool cut-off date, This should include any amounts that are secured by the mortgage and will be classed as principal in the transaction. |
|
Repayment Method |
Static |
List |
Type of principal repayment. |
|
Payment Frequency |
Static |
List |
Frequency of payments due, i.e. number of months between payments. |
|
Payment Due |
Dynamic |
Numeric |
Periodic contractual payment due (the payment due if there are no other payment arrangements in force). |
|
Payment Type |
Static |
List |
Principal payment type. |
|
Interest Rate |
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|
Interest Rate Type |
Static |
List |
Interest rate type. |
|
Current Interest Rate Index |
Dynamic |
List |
Current interest rate index (the reference rate off which the mortgage interest rate is set). |
|
Current Interest Rate |
Dynamic |
Numeric |
Current interest rate (%). |
|
Current Interest Rate Margin |
Dynamic |
Numeric |
Current interest rate margin (for fixed rate loans this is the same as the current interest rate, for floating rate loans this is the margin over (or under if input as a negative) the index rate). |
|
Interest Rate Reset Interval |
Dynamic |
Numeric |
The interval in months at which the interest rate is adjusted (for floating loans). |
|
Revision Margin 1 |
Dynamic |
Numeric |
The margin (%) for the loan at the first revision date. |
|
Interest Revision Date 1 |
Dynamic |
Date/Numeric |
Date interest rate next changes (e.g. discount margin changes, fixed period ends, loan re-fixed etc. This is not the next LIBOR reset date). |
|
Revision Margin 2 |
Dynamic |
Numeric |
The margin (%) for the loan at the second revision date. |
|
Interest Revision Date 2 |
Dynamic |
Date/Numeric |
Date of second interest rate change. |
|
Revision Margin 3 |
Dynamic |
Numeric |
The margin (%) for the loan at the third revision date. |
|
Interest Revision Date 3 |
Dynamic |
Date/Numeric |
Date of third interest rate change. |
|
Revised Interest Rate Index |
Dynamic |
List |
Next interest rate index. |
|
Property and Additional Collateral |
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|
Property Postcode |
Static |
Text/Numeric |
First two or three characters must be provided at a minimum. |
|
Property Type |
Static |
List |
Property type. |
|
Original Loan to Value |
Static |
Numeric |
Originator’s original underwritten Loan To Value ratio (LTV). For second lien loans this should be the combined or total LTV. |
|
Valuation Amount |
Static |
Numeric |
Property value as of date of latest loan advance prior to a securitisation. Valuation amounts should be in the same currency as the loan. |
|
Original Valuation Type |
Static |
List |
Valuation type at origination. |
|
Valuation Date |
Static |
Date/Numeric |
Date of latest property valuation at time of latest loan advance prior to a securitisation. |
|
Current Loan to Value |
Dynamic |
Numeric |
Originator’s current Loan to Value ratio (LTV). For second lien loans this should be the combined or total LTV. |
|
Current Valuation Amount |
Dynamic |
Numeric |
Most recent valuation amount (if, for example, at repossession there were multiple valuations, this should reflect the lowest). Valuation amounts should be in the same currency as the loan. |
|
Current Valuation Type |
Dynamic |
List |
Current valuation type. |
|
Current Valuation Date |
Dynamic |
Date/Numeric |
The date of most recent valuation. |
|
Performance Information |
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|
Account Status |
Dynamic |
List |
Current status of account. |
|
Arrears Balance |
Dynamic |
Numeric |
Current balance of arrears. Arrears defined as: total payments due to date LESS total payments received to date LESS any amounts capitalised. This should not include any fees applied to the account. |
|
Number Months in Arrears |
Dynamic |
Numeric |
Number of months this loan is in arrears (at pool cut-off date) according to the definition of the issuer. |
|
Arrears 1 Month Ago |
Dynamic |
Numeric |
Arrears balance (defined as per ‘arrears balance’) for the previous month. |
|
Arrears 2 Months Ago |
Dynamic |
Numeric |
Arrears balance (defined as per ‘arrears balance’) two months ago. |
|
Litigation |
Dynamic |
Y/N |
Flag to indicate litigation proceedings underway. |
|
Redemption Date |
Dynamic |
Date/Numeric |
Date on which account redeemed. |
|
Default or Foreclosure |
Dynamic |
Numeric |
Total default amount before the application of sale proceeds and recoveries. |
|
Date of Default or Foreclosure |
Dynamic |
Numeric |
The date of default or foreclosure. |
|
Sale Price lower limit |
Dynamic |
Numeric |
Price achieved on sale of property in case of foreclosure, rounded down to nearest 10k. |
|
Loss on Sale |
Dynamic |
Numeric |
Total loss net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). |
|
Cumulative Recoveries |
Dynamic |
Numeric |
Cumulative recoveries — only relevant for cases with losses. |
BOND INFO:
|
Field Name |
Static/Dynamic |
Data Type |
Field Definition and Criteria |
|
Fields at Security or Bond Level Data |
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|
Report Date |
Dynamic |
Date |
The date on which the transaction report was issued. All dates take YYYY-MM-DD format. |
|
Issuer |
Static |
Text |
Name of issuer and issue series, if applicable. |
|
Drawings under Liquidity Facility |
Dynamic |
Y/N |
Confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date. |
|
Fields at Collateral Level Data |
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|
Trigger Measurements/Ratios |
Dynamic |
Y/N |
The status of various delinquency, dilution, default, loss and similar collateral measurements and ratios in relation to their early amortisation or other trigger event levels, as at the current determination date. Has any trigger event occurred? |
|
Average Constant Pre-payment Rate |
Dynamic |
Numeric |
The report shall include the Average (Avg) Constant Pre-payment Rate (CPR) speed of the underlying residential mortgage loans. In some jurisdictions, the mortgage pool may also include commercial loans. Avg CPR speed is the amount expressed as an annualised percentage of principal prepaid in excess of scheduled repayments. The Avg CPR speed is calculated by first dividing the Current Residential Mortgage Loan Principal Balance (i.e. the actual balance) by the Scheduled Residential Mortgage Loan Principal Balance assuming no pre-payments have been made (i.e. only scheduled repayments have been made). This quotient is then raised to a power whereby the exponent is the quantity twelve divided by the number of months since issue. Subtract this result from one then multiply it by one hundred (100) to determine the Avg CPR speed. This calculation is expressed as follows:
|
|
Transaction Report Contact Information |
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|
Point Contact |
Static |
Text |
Name of the department or the point person(s) of the information sources. |
|
Contact Information |
Static |
Text |
Telephone number and e-mail address. |
BOND INFO BY TRANCHE:
|
Field Name |
Static/Dynamic |
Data Type |
Field Definition and Criteria |
|
Fields at Tranche Level |
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|
Bond Class Name |
Static |
Text/Numeric |
The designation (typically a letter and/or number) given to a tranche of RMBS which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1 etc. |
|
International Securities Identification Number |
Static |
Text/Numeric |
The international security identification code or codes, or if no ISIN, then any other unique securities code such as a CUSIP, assigned to this tranche by an exchange or other entity. If more than one code, enter comma-delimited. |
|
Interest Payment Date |
Dynamic |
Date |
The periodic date on which a payment of interest to holders of a specific tranche of residential mortgage backed structured finance instrument is scheduled to occur. |
|
Principal Payment Date |
Dynamic |
Date |
The periodic date on which a payment of principal to holders of a specific tranche of residential mortgage backed structured finance instrument is scheduled to occur. |
|
Currency |
Static |
Text |
The unit(s) of exchange in which security-level balance(s) and payments are reported. |
|
Reference Rate |
Static |
List |
The base reference interest index as defined in the offering document (e.g. three months Euribor) applicable to a specific tranche of residential mortgage backed structured finance instrument. |
|
Bond Issue Date |
Static |
Date |
Date the bonds were issued. |