ANNEX VII
Loan Level Data — Reporting template for structured finance instruments backed by leases to individuals or businesses
|
Field Name |
Static/Dynamic |
Data Type |
Field Definition and Criteria |
|
Deal-Specific Information |
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|
Pool Cut-off Date |
Dynamic |
YYYY-MM-DD |
Pool or Portfolio cut-off date. This is the date at which the underlying asset data within the report is referenced. |
|
Pool Identifier |
Static |
Text/Numeric |
Pool or Portfolio identifier/name of transaction. |
|
Servicer Name |
Dynamic |
Text/Numeric |
Servicer name. |
|
Backup Servicer Name |
Dynamic |
Text |
Name of the Backup Servicer. |
|
Lease-Level Information |
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|
Lease Identifier |
Static |
Text/Numeric |
Unique identifier (ID) for each Lease which should be encrypted to ensure anonymity. The Lease ID should not change through the life of the transaction. |
|
Originator |
Static |
Text |
Lender that advanced the original Lease. Where original originator is not known, for example in case of mergers, name of Seller to be provided. |
|
Lessee Identifier |
Static |
Text/Numeric |
Unique identifier (ID) per Lessee which should be encrypted (not showing the real name) to ensure anonymity — to enable Lessees with multiple Leases in the pool to be identified. |
|
Group Company Identifier |
Dynamic |
Text/Numeric |
Unique group company identifier. |
|
Lease Currency Denomination |
Static |
List |
Lease currency denomination. |
|
Country |
Static |
List |
Country of permanent establishment of the lessee. |
|
Geographic Region |
Static |
List |
The region where the obligor is located as at underwriting. |
|
Lessee Legal Form/Business Type |
Static |
List |
Legal form of lessee. |
|
Borrower Basel III Segment |
Static |
List |
Corporate (1). |
|
Originator Affiliate? |
Static |
Y/N |
Is the borrower an affiliate of the originator? |
|
Syndicated? |
Static |
Y/N |
Is the lease syndicated? |
|
Bank Internal Rating |
Dynamic |
99(3).99 |
Bank internal 1 Year Probability of Default. |
|
Last Internal Obligor Rating Review |
Dynamic |
YYYY-MM |
Date of last internal review of obligor as referenced in ‘Bank Internal Rating’. |
|
Bank Internal Loss Given Default (LGD) Estimate |
Dynamic |
9(3).99 |
Loss Given Default in normal economic conditions. Do not include the % symbol. |
|
NACE Industry Code |
Static |
Text/Numeric |
Borrower industry NACE Code. |
|
Subsidised |
Dynamic |
Y/N |
Is the lease subsidised (to the best of your knowledge)? |
|
Date Removed from the Pool |
Dynamic |
YYYY-MM |
Date that the lease was removed from the pool, e.g. on repurchase, expiry of lease term, prepayment or end of recovery process. |
|
Lease Characteristics |
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|
Lease Origination Date |
Static |
YYYY-MM |
Date of lease origination. |
|
Date of Lease Maturity |
Dynamic |
YYYY-MM |
The expected expiry date of the lease maturity. |
|
Pool Addition Date |
Static |
YYYY-MM |
Date that the lease was transferred to the SPV. For all leases in the pool as at the date of the pool cut-off. |
|
Lease Term |
Static |
99(4).99 |
Original contractual term (number of months). |
|
Original Principal Balance |
Static |
9(11).99 |
Original Principal (or discounted) lease balance (inclusive of capitalised fees) at origination. |
|
Current Principal Outstanding Balance |
Dynamic |
9(11).99 |
Principal (or discounted) lease balance outstanding as of the pool cut-off date, including any amounts that have been added to the lease balance and are part of the principal in the transaction. |
|
Securitised Residual Value |
Static |
9(11).99 |
Residual value amount which has been securitised only. |
|
Repayment Method |
Static |
List |
Type of principal repayment. |
|
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. |
|
Payment Due |
Dynamic |
9(11).99 |
The next periodic contractual payment due (the payment due if there are no other payment arrangements in force). |
|
Option to Buy Price |
Static |
9(11).99 |
The amount the lessee has to pay at the end of the lease in order to take ownership of the asset, other than the payment referred to in field ‘Securitised Residual Value’. |
|
Down Payment Amount |
Static |
9(11).99 |
Amount of deposit/down payment on origination of lease (this should include the value of traded-in equipment etc.). |
|
Amortisation Type |
Dynamic |
List |
Amortisation type. |
|
Payment Method |
Dynamic |
List |
Usual method of payment (can be based upon last payment received). |
|
Product Type |
Static |
List |
The classification of the lease, per lessor’s definitions. |
|
Updated Residual Value of Asset |
Dynamic |
9(11).99 |
Most recent forecast residual value of the asset at the end of the lease term. Response may be rounded. |
|
Date of Updated Residual Valuation of Asset |
Dynamic |
YYYY-MM |
The date that the most recent updated estimation of the residual value of the asset was calculated. |
|
Interest Rate |
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|
Interest Rate Reset Interval |
Static |
9(2).99 |
Number of months between each interest rate reset date. |
|
Current Interest Rate or Discount Rate |
Dynamic |
9(4).9(5) |
Total current interest rate (%) or discount rate applicable to the lease. |
|
Current Interest Rate Basis |
Dynamic |
List |
Current interest rate basis. |
|
Current Interest Rate Margin |
Dynamic |
9(4).9(5) |
Current interest rate margin of the lease. |
|
Discount Rate |
Static |
9(4).9(5) |
Discount rate applied to the receivable when it was sold to the SPV. |
|
Interest Cap Rate |
Dynamic |
9(4).9(8) |
If there is a cap to the interest rate that can be charged on this account, enter this cap here. |
|
Interest Floor Rate |
Dynamic |
9(4).9(8) |
If there is a floor to the interest rate that can be charged on this account, enter this floor here. |
|
Performance Information |
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|
Arrears Balance |
Dynamic |
9(11).99 |
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 of Months in Arrears |
Dynamic |
9(5).99 |
Number of months this Lease is in arrears (at pool cut-off date) according to the definition of the issuer. |
|
Default or Foreclosure on the Lease |
Dynamic |
Y/N |
Whether there has been a default or foreclosure on the lease per the transaction definition, or alternatively, per the lessor’s usual definition. |
|
Default or Foreclosure on the Lease per Basel III definition |
Dynamic |
Y/N |
Whether there has been a default or foreclosure on the Lease per Basel III definition. |
|
Reason for Default (Basel III definition) |
Dynamic |
List |
Using Basel III definition, reason for default. |
|
Default Date |
Dynamic |
YYYY-MM |
Date the Lease defaulted per the transaction default definition, or alternatively, per the lessor’s usual definition. |
|
Default Amount |
Dynamic |
9(11).99 |
Total default amount (per the transaction definition, or alternatively, per the lessor’s usual definition) before the application of sale proceeds and recoveries. |
|
Cumulative Recoveries |
Dynamic |
9(11).99 |
Cumulative recoveries on this account, net of costs. |
|
Allocated Losses |
Dynamic |
9(11).99 |
The allocated losses to date. |
|
Redemption Date |
Dynamic |
YYYY-MM |
Date on which account redeemed or the date that the recovery process was completed for defaulted leases. |
|
Date Loss Allocated |
Dynamic |
YYYY-MM |
The date when the loss was allocated. |
|
Account Status |
Dynamic |
List |
Current status of account. |
|
Arrears 1 Month Ago |
Dynamic |
9(11).99 |
Arrears balance (defined as per ‘arrears balance’) for the previous month. |
|
Arrears 2 Months Ago |
Dynamic |
9(11).99 |
Arrears balance (defined as per ‘arrears balance’) two months ago. |
|
Litigation |
Dynamic |
Y/N |
Flag to indicate litigation proceedings underway (if account has recovered and is no longer being actively litigated this should be re-set to N). |
|
Sale Price |
Dynamic |
9(11).99 |
Price achieved on sale of asset in case of foreclosure, in same currency denomination as lease. |
|
Loss on Sale |
Dynamic |
9(11).99 |
Total loss net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). |
|
Residual Value Losses |
Dynamic |
9(11).99 |
Residual value loss arising on turn-in of asset. |
|
Collateral |
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|
Country of Asset |
Static |
List |
The country where the asset is located. |
|
Asset Manufacturer |
Static |
Text |
Name of the manufacturer. |
|
Asset Name/Model |
Static |
Text |
Name of the asset/model. |
|
New or Used Asset |
Static |
List |
Condition of asset at point of lease origination. |
|
Original Residual Value of Asset |
Static |
9(11).99 |
The estimated residual value of the asset at the date of lease origination. |
|
Asset Type |
Static |
List |
Asset type. |
|
Original Valuation amount |
Static |
9(11).99 |
Valuation of asset at lease origination. |
|
Original Valuation type |
Static |
List |
Valuation type at lease origination. |
|
Original Valuation date |
Static |
YYYY-MM |
Date of asset valuation at origination. |
|
Updated Valuation amount |
Dynamic |
9(11).99 |
Latest asset valuation. |
|
Updated Valuation type |
Dynamic |
List |
Valuation type at most recent valuation date. |
|
Updated Valuation date |
Dynamic |
YYYY-MM |
Date of latest asset valuation. If no revaluation has occurred since origination, enter original valuation date. |
BOND INFO:
|
Field Name |
Static/Dynamic |
Data Type |
Field Definition and Criteria |
|
Security or Bond Level Information |
|||
|
Report Date |
Dynamic |
YYYY-MM-DD |
The date on which the transaction report was issued, i.e. the submission date of the completed loan-level data template to the data repository. |
|
Issuer |
Static |
Text |
Name of issuer and issue series, if applicable. |
|
All Reserve Accounts at Target Balance |
Dynamic |
Y/N |
Are all reserve accounts (cash reserve, commingling reserve, set-off reserve etc.) at their required levels? |
|
Drawings under Liquidity Facility |
Dynamic |
Y/N |
Has the liquidity facility been used to cover shortfalls in the period ending on the last interest payment date? |
|
Trigger Measurements/Ratios |
Dynamic |
Y/N |
Has any trigger event occurred? |
|
Annualised Constant Prepayment Rate |
Dynamic |
9(3).99 |
The annualised Constant Prepayment Rate (CPR) of the underlying receivables based upon the most recent periodic CPR. Periodic CPR is equal to the total unscheduled principal received in the most recent period divided by the start of period principal balance. |
|
Total Receivables Sold to SPV |
Dynamic |
9(11).99 |
Sum of principal amount of receivables sold to SPV (i.e. at closing and during the replenishment period if applicable) to date. |
|
Cumulative Gross Defaults - Pool |
Dynamic |
9(11).99 |
Sum of all gross defaults since closing, in currency amount. |
|
Cumulative Recoveries - Pool |
Dynamic |
9(11).99 |
Sum of all recoveries since closing, in currency amount. |
|
Revolving Period End Date |
Dynamic |
YYYY-MM |
The date that the revolving period is expected to end, or actually ended. |
|
Transaction Report Contact Information |
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|
Point Contact |
Static |
Text/Numeric |
Name of the department and the point person(s) of the information sources. |
|
Contact Information |
Static |
Text/Numeric |
Telephone number and e-mail address. |
BOND INFO BY TRANCHE:
|
Field Name |
Static/Dynamic |
Data Type |
Field Definition and Criteria |
|
Tranche Level Information |
|||
|
Bond Class Name |
Static |
Text/Numeric |
The designation (typically a letter and/or number) given to this tranche of bonds which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1a 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. |
|
Interest Payment Date |
Dynamic |
YYYY-MM-DD |
The first occurring date, after the pool cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche. |
|
Principal Payment Date |
Dynamic |
YYYY-MM-DD |
The first occurring date, after the pool cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche. |
|
Bond Currency |
Static |
List |
The denomination of this tranche. |
|
Reference Rate |
Static |
List |
The base reference interest index as defined in the offering document applicable to this specific tranche of Bond. |
|
Legal Maturity |
Static |
YYYY-MM-DD |
The date before which this specific tranche must be repaid in order not to be in default. |
|
Bond Issue Date |
Static |
YYYY-MM-DD |
Date the bonds were issued. |
|
Interest Payment Frequency |
Static |
List |
The frequency with which interest is due to be paid on this tranche. |