Updated 22/12/2024
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ANNEX III

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

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

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

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

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

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.