ANNEX III
Loan Level Data — Reporting template for structured finance instruments backed by loans to small and medium-sized enterprises
ASSETS:
|
Field Name |
Static/Dynamic |
Data Type |
Field Definition and Criteria |
|
Pool Cut-off Date |
Dynamic |
Date |
Current pool or portfolio cut-off date. |
|
Pool Identifier |
Static |
Text/Numeric |
The unique transaction or pool identification string/transaction name. |
|
Loan Identifier |
Static |
Text/Numeric |
Unique identifier for each loan. |
|
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. |
|
Servicer Name |
Dynamic |
Text |
Servicer name. |
|
Borrower Identifier |
Static |
Text/Numeric |
Unique identifier per borrower — to enable borrowers with multiple loans in the pool to be identified (e.g. further advances/other loans shown as separate entries) |
|
Obligor Information |
|||
|
Country |
Static |
List |
Country of permanent establishment. |
|
Postcode |
Static |
Text |
First two or three characters must be provided at a minimum. Do not supply the full postcode. |
|
Obligor Legal Form/Business Type |
Static |
List |
|
|
Borrower Basel III Segment |
Static |
List |
|
|
Originator Affiliate? |
Static |
Y/N |
Is the borrower an affiliate of the originator? |
|
Asset Type |
Static |
List |
|
|
Seniority |
Dynamic |
List |
|
|
Bank Internal Loss Given Default (LGD) Estimate |
Dynamic |
Numeric |
Loss Given Default in normal economic conditions. |
|
NACE Industry Code |
Static |
Text/Numeric |
Borrower industry NACE Code. |
|
Lease characteristics |
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|
Loan Origination Date |
Static |
Date |
Date of original loan advance. |
|
Final Maturity Date |
Static |
Date |
Final maturity date of the loan. |
|
Loan Denomination Currency |
Static |
List |
Loan denomination. |
|
Loan Hedged |
Dynamic |
Y/N |
Has the specific loan been hedged for currency risk? |
|
Original Loan Balance |
Static |
Numeric |
Original total loan balance. |
|
Current Balance |
Dynamic |
Numeric |
Amount of loan outstanding as of pool cut-off date, This should include any amounts that are classed as principal in the transaction. For example if fees have been added to the loan balance and are part of the principal in the transaction these should be added. Excluding any interest arrears or penalty amounts. |
|
Securitised Loan Amount |
Static |
Numeric |
Balance of the securitised loan as of the cut-off date |
|
Principal Payment Frequency |
Static |
List |
Frequency of principal payments due, i.e. number of months between payments. |
|
Interest Payment Frequency |
Static |
List |
Frequency of interest payments due, i.e. number of months between payments. |
|
Amortisation Type |
Dynamic |
List |
Amortisation type. |
|
Type of Loan |
Static |
List |
|
|
Balloon Amount |
Dynamic |
Numeric |
The balloon payment amount |
|
Payment type |
Dynamic |
List |
|
|
Interest Rate |
|||
|
Current Interest Rate |
Dynamic |
Numeric |
Current interest rate (%) |
|
Interest Cap Rate |
Dynamic |
Numeric |
Interest rate cap (%). |
|
Interest Floor Rate |
Static |
Numeric |
Interest rate floor (%). |
|
Interest Rate Type |
Dynamic |
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 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 Reset Period |
Static |
List |
|
|
Performance Information |
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|
Interest Arrears Amount |
Dynamic |
Numeric |
Current balance of interest arrears. |
|
Number of Days in Interest Arrears |
Dynamic |
Numeric |
Number of days this loan is in arrears (at pool cut-off date) according to the definition of the issuer |
|
Principal Arrears Amount |
Dynamic |
Numeric |
Current balance of principal arrears. Arrears defined as: Total principal payments due to date LESS Total principal payments received to date LESS any amounts capitalised. |
|
Number of Days in Principal Arrears |
Dynamic |
Numeric |
Number of days this loan is in arrears (at pool cut-off date) according to the definition of the issuer. |
|
Default or Foreclosure on the loan per the transaction definition |
Dynamic |
Y/N |
Whether there has been a default or foreclosure on the loan per the transaction definition. |
|
Default or Foreclosure on the loan per Basel III definition |
Dynamic |
Y/N |
Whether there has been a default or foreclosure on the loan per Basel III definition. |
|
Reason for Default (Basel II definition) |
Dynamic |
List |
Using Basel II Definition Reason for default. |
|
Default Date |
Dynamic |
Date |
Date the loan defaulted per the transaction default definition. |
|
Default Amount |
Dynamic |
Numeric |
Total default amount (per the transaction default definition) before the application of sale proceeds and recoveries. |
|
Cumulative Recoveries |
Dynamic |
Numeric |
Total recoveries including all sale proceeds. Only relevant for loans that have defaulted/foreclosed. |
|
Allocated Losses |
Dynamic |
Numeric |
The allocated losses to date. |
|
Date Loss Allocated |
Dynamic |
Date |
The date when the loss was allocated. |
AMORTISATION PROFILE:
|
Field Name |
Static/Dynamic |
Data Type |
Field Definition and Criteria |
|
Outstanding Balance Period 1 |
Dynamic |
Numeric |
Amortisation Profile with 0 % prepayments |
|
Outstanding Balance Period 1 Date |
Dynamic |
Date |
Date associated with Period 1 Balance |
|
Outstanding Balance Period [2-120] |
Dynamic |
Numeric |
Amortisation Profile with 0 % prepayments |
|
Outstanding Balance Period [2-120] Date |
Dynamic |
Date |
Date associated with Period [2-120] Balance |
COLLATERAL:
|
Field Name |
Static/Dynamic |
Data Type |
Field Definition and Criteria |
|
Collateral |
|||
|
Collateral ID |
Static |
Text |
Unique collateral code for the originating entity. |
|
Loan Identifier |
Static |
Text/Numeric |
Unique loan identifier associated with the collateral. These should match the identifiers from field ‘Loan Identifier’. |
|
Security Type |
Static |
List |
Is there a fixed or floating charge over the assets? |
|
Collateral Type |
Static |
List |
Collateral type. |
|
Original Valuation Amount |
Static |
Numeric |
Property value as of date of latest loan advance prior to a securitisation. |
|
Original Valuation Date |
Static |
Date |
Date of latest property valuation at time of latest loan advance prior to a securitisation. |
|
Current Valuation Date |
Dynamic |
Date |
This should be the date of the most recent valuation. |
|
Original Valuation Type |
Static |
List |
Valuation type at origination. |
|
Ranking |
Dynamic |
Text |
|
|
Property Postcode |
Static |
Text |
First two or three characters must be provided at a minimum. |
|
Origination Channel/Arranging Bank or Division |
Static |
List |
|
|
Collateral Currency |
Static |
List |
This should be the currency relating to the valuation amount in ‘Collateral Value’. |
|
Number of Collateral Items Securing The Loan |
Dynamic |
Numeric |
The total number of collateral pieces securing the loan. The number should reflect the number of collateral reports submitted for the loan in the current file. |
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. |
|
Issuer |
Static |
Text |
Name of issuer and issue series, if applicable. |
|
Drawings under Liquidity Facility |
Dynamic |
Y/N |
If the transaction has a liquidity facility 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 |
Have any trigger event occurred? 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. |
|
Average Constant Pre-payment Rate |
Dynamic |
Numeric |
The report shall include the Average (Avg) Constant Pre-payment Rate (CPR) speed of the underlying 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 Loan Principal Balance (i.e. the actual balance) by the Scheduled 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. |
|
Fields for 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 |
|||
|
Bond Class Name |
Static |
Text/Numeric |
The designation (typically a letter and/or number) given to a tranche of Bonds 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 security identification code assigned to each class of SME pursuant to standards established by the International Standards Organisation (ISIN) or other unique securities code established by an exchange or other entity. |
|
Interest Payment Date |
Dynamic |
Date |
The periodic date on which the last payment of interest to holders of a specific tranche of bonds is scheduled to occur. |
|
Principal Payment Date |
Dynamic |
Date |
The last periodic date on which a payment of principal to holders of a specific tranche of bonds is scheduled to occur. |
|
Bond Currency |
Static |
Text |
Bond denomination. |
|
Reference Rate |
Static |
List |
The base reference interest index as defined in the offering document (e.g. three-month Euribor) applicable to a specific tranche of bonds. |
|
Legal Maturity |
Static |
Date |
The date before which a specific tranche of bonds must be repaid in order not to be in default. |
|
Bond Issue Date |
Static |
Date |
Date the bonds were issued. |