AccountData1
Provides information on the accounts of the securitisation.
AccountIdentifier
Unique identifier of the account.
AccountDetails
Provides information on the accounts of the transaction.
ActiveCurrencyCode
A code allocated to a currency by a Maintenance Agency under an international identification scheme as described in the latest edition of the international standard ISO 4217 "Codes for the representation of currencies and funds".
ActiveOrHistoricCurrencyAndAmount
A number of monetary units specified in an active or a historic currency where the unit of currency is explicit and compliant with ISO 4217.
Currency
Medium of exchange of currency.
ActiveOrHistoricCurrencyCode
A code allocated to a currency by a Maintenance Agency under an international identification scheme, as described in the latest edition of the international standard ISO 4217 "Codes for the representation of currencies and funds".
AgreementType1Code
Specifies the International Swaps and Derivatives Association (ISDA) basis for protection documentation.
ISDAAgreement2002
Basis for protection documentation is ISDA Agreement 2002.
ISDAAgreement2014
Basis for protection documentation is ISDA Agreement 2014.
ISDAAgreementOther
Basis for protection documentation is any other ISDA Agreement.
Other
Any other master agreement.
Rhamenvertrag
Basis for protection documentation is rhamenvertrag.
AmountAndDirection53
Amount of money expressed with an optional currency code and debit/credit indicator.
Amount
Amount of money that results in an increase (positively signed) or decrease (negatively signed), with specification of the currency.
Sign
Indicates that the amount value is positive or negative.
Usage: When absent, the amount is positive.
ArrearsData2
Underlying exposure arrears information.
From1To29Days
The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 1 and 29 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.
From30To59Days
The percentage of exposures in arrears on principal and/or interest payments due for a period between 30 and 59 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.
From60To89Days
The percentage of exposures in arrears on principal and/or interest payments due for a period between 60 and 89 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.
From90To119Days
The percentage of exposures in arrears on principal and/or interest payments due for a period between 90 and 119 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.
From120To149Days
The percentage of exposures in arrears on principal and/or interest payments due for a period between 120 and 149 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.
From150To179Days
The percentage of exposures in arrears on principal and/or interest payments due for a period between 150 and 179 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.
Above180Days
The percentage of exposures in arrears on principal and/or interest payments due for a period for 180 days or more as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.
AssetUnderManagement1
Collateralised Loan Obligation (CLO) manager assets under management information.
LeveragedLoanValue
Total leveraged loan assets under management
CollateralisedLoanObligation
Total CLO assets under management
UKAssetUnderManagement
Total UK assets under management.
UKCollateralisedLoanObligationUnderManagement
Total UK CLOs under management.
BusinessDayConvention1Choice
Choice of business day convention used.
Code
Business day convention used for the calculation of interest due.
NoDataOption
Reason for not providing data for business day convention.
BusinessDayConvention3Code
Indicates how a date is adjusted when it falls on a non-business day.
Following
The date will be the first following day that is a business day.
ModifiedFollowing
The date will be the first following day that is a business day unless that day falls in the next calendar month, in which case that date will be the first preceding day that is a business day.
Nearest
The date will be the first preceding day that is a business day unless that day falls on a day other than a sunday or a monday, and will be the first following day that is a business day, if the relevant date otherwise falls on a sunday or a monday.
Other
Any other business day convention.
Preceding
The date will be the first preceding day that is a business day.
Cancellation5
Identification of the report to be cancelled.
SecuritisationCancellation
Cancels all previous reports of the specific Securitisation, based on the securitisation unique identifier.
ReportCancellation
Cancels a specific report for the Securitisation, received on a specific cut-off date.
CashFlowDetails1
Cashflow information section.
ItemIdentification
Cashflow item identification.
CashFlowItem
List the cashflow item. This field is to be completed in the order of the applicable priority of receipts or payments as at the data cut-off date. That is, each source of cash inflows must be listed in turn, after which sources of cash outflows must be listed.
AmountPaidDuringPeriod
What are the funds paid out as per the priority of payments for this item? Enter negative values for funds paid out, positive values for funds received. Note that the "Amount Paid During Period" value entered in a given line (e.g. in line B) plus the "Available Funds Post" value entered in the preceding line (e.g. line A) together equal the "Available Funds Post" value entered in this line (e.g. line B).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
AvailableFundPost
What are the funds available to the priority of payments after to the application of the cashflow item? Note that the "Amount Paid During Period" value entered in a given line (e.g. in line B) plus the "Available Funds Post" value entered in the preceding line (e.g. line A) together equal the "Available Funds Post" value entered in this line (e.g. line B).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
CashflowItemIdentification1
Cash flow item identifiers.
OriginalIdentifier
The original unique cashflow item identifier. The reporting entity must not amend this unique identifier.
NewIdentifier
If the original identifier 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 'Original Cashflow Item Identifier'. The reporting entity must not amend this unique identifier.
CollateralIdentification3
Unique identifiers assigned to the collateral instrument.
OriginalIdentifier
The original unique identifier assigned to the collateral instrument. The reporting entity must not amend this unique identifier.
NewIdentifier
If the original identifier in field 'Original Identifier' 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 'Original Identifier'. The reporting entity must not amend this unique identifier.
CollateralInstrumentDetails1
Collateral instrument information.
ISINIdentifier
Enter the ISIN code of the collateral instrument, where applicable.
Type
Type of collateral instrument.
CurrentOutstandingBalance
Total outstanding principal balance of the collateral item, as at the data cut-off date.
MaturityDate
Maturity date of the collateral item.
Haircut
Enter the percentage haircut (applied to the current outstanding principal balance) to this collateral item, as stipulated in the securitisation documentation.
CurrentInterestRateIndex
Base reference interest index currently applicable (the reference rate off which the interest rate is set).
CurrentInterestRateIndexTenor
Tenor of the current interest rate index.
CurrentInterestRateOnCashDeposit
Where the collateral instrument type is cash deposits, enter the current interest rate on those deposits. In the event of multiple deposit accounts per currency, enter the weighted average current interest rate, using the current balance of cash deposits in the respective accounts as weights.
CollateralInstrumentType1Code
Specifies the type of collateral instrument.
AssetBackedSecurity
Collateral instrument type is asset backed security.
Cash
Collateral instrument type is cash.
CommercialPaper
Collateral instrument type is commercial paper.
CoveredBond
Collateral instrument type is covered bond.
GovernmentBond
Collateral instrument type is government bond.
JuniorUnsecuredCorporateDebt
Collateral instrument type is junior unsecured corporate debt.
Other
Any other type of collateral instrument.
SeniorUnsecuredCorporateDebt
Collateral instrument type is senior unsecured corporate debt.
UnsecuredBankDebt
Collateral instrument type is unsecured bank debt.
CollateralIssuerDetails1
Collateral issuer information.
SystemAccountSubSectorCode
The SA classification of the collateral. This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation.
LEI
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the collateral issuer.
AffiliationWithOriginator
Do the collateral issuer and main securitisation originator share the same ultimate parent?
CollateralRepurchaseAgreement1
Collateral repo information.
CounterpartyName
If the collateral item forms part of a repurchase agreement ('repo'), provide the full legal name of the counterparty to the securitisation. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
CounterpartyLEI
If the collateral item forms part of a repurchase agreement ('repo'), provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty where the cash is deposited.
MaturityDate
If the collateral item forms part of a repurchase agreement ('repo'), provide the maturity date of the securitisation.
CollateralisedLoanObligation1Code
Specifies the collateralised loan obligation (CLO) type.
ArbitrageCollateralisedLoanObligation
CLO type is arbitrage.
BalanceSheetCollateralisedLoanObligation
CLO type is balance sheet.
Other
Any other CLO type.
CollateralisedLoanObligationInvestmentRestriction1
Collateralised Loan Obligation (CLO) investment restrictions information.
ConcentrationLimit
Enter the concentration limit, in percentage of the portfolio par value, that applies to any counterparty/obligor, as set out in the transaction documentation. In the event of multiple limits, enter the maximum limit (e.g. if there are two limits, depending on the rating, of 10% and 20%, then enter 20%).
RestrictionLegalMaturity
Allowed percentage (vs. portfolio par balance) of exposures with legal final maturity that exceed the shortest legal final maturity of the tranches (assuming clean-up option is exercised).
RestrictionSubordinatedExposure
Allowed percentage (vs. portfolio par balance) of non first-lien exposures that can be purchased.
RestrictionNonPerformingExposure
Allowed percentage (vs. portfolio par balance) of non-performing exposures that can be purchased.
RestrictionPayInKindExposure
Allowed percentage (vs. portfolio par balance) of pay-in-kind exposures that can be held at any time.
RestrictionZeroCouponExposure
Allowed percentage (vs. portfolio par balance) of zero-coupon exposures that can be held at any time.
RestrictionEquityExposure
Allowed percentage (vs. portfolio par balance) of equity or debt-convertible-to-equity that can be purchased.
RestrictionParticipationExposure
Allowed percentage (vs. portfolio par balance) of loan participations that can be purchased.
RestrictionDiscretionarySale
Allowed percentage (vs. portfolio par balance) of discretionary sales per year.
RestrictionCreditEnhancement
Can the CLO manager withdraw or monetise any surplus credit enhancement?
RestrictionQuote
Can the CLO manager obtain quotes with dealers other than the arranger?
RestrictionTrade
Can the CLO manager obtain trade with dealers other than the arranger?
RestrictionIssuance
Are there restrictions on the additional issuance of notes?
RestrictionRedemption
Are there restrictions on the origin of funds used to selectively buyback/redeem notes? (e.g. cannot use principal proceeds to effect a redemption; any redemptions must occur in the order of the notes' payment priority; must maintain or improve OC test ratios after purchase)
RestrictionRefinancing
Are there restrictions when notes can be refinanced?
RestrictionNoteRemuneration
Are noteholders able to surrender their notes to the trustee for cancellation without receiving payment in return?
RestrictionCreditProtection
Is the CLO manager able to buy or sell credit protection on underlying assets?
CollateralisedLoanObligationManager1
Collateralised Loan Obligation (CLO) manager information section.
GeneralAttributes
General information of the Collateralised Loan Obligation manager.
Performance
CLO manager performance information.
CollateralisedLoanObligationManagerActivity1
Collateralised Loan Obligation (CLO) manager activity.
DiscretionarySale
Actual discretionary sales, year to date.
Reinvestment
Amount reinvested, year to date.
CollateralisedLoanObligationManagerPerformance1
Collateralised Loan Obligation (CLO) manager performance information.
DefaultRate1Year
Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 1 year.
DefaultRate5Years
Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 5 years.
DefaultRate10Years
Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 10 years.
CollateralisedLoanObligationSecuritisation1
Collateralised Loan Obligation (CLO) securitization information section.
Structure
CLO Structure information.
InvestmentRestriction
CLO investment restriction information.
ManagerActivity
CLO manager activity.
CollateralisedLoanObligationStructure1
Collateralised Loan Obligation (CLO) structure information.
NonCallPeriodEndDate
Enter the date at which any non-call period ends (e.g. when any tranche holders are prohibited from calling for the SSPE to liquidate the portfolio and redeem all tranches, to reset or refinance the tranches, etc.).
CollateralisedLoanObligationType
Collateralised Loan Obligation (CLO) type that best describes this transaction.
CurrentPeriodStatus
Current period status of the CLO.
CurrentPeriod
Date in which the current period was entered into.
CollateralLiquidationPeriod
Enter the number of calendar days after which collateral must be liquidated. In case of a range or multiple possible periods, enter the minimum number of calendar days.
CollateralLiquidationWaiver
Can some or all noteholders choose to waive the collateral liquidation period?
CollateralisedLoanObligationType1Choice
Choice of Collateralised Loan Obligation (CLO) type.
Code
Code for type of CLO.
NoDataOption
Reason for not providing data for CLO type.
CounterpartyDetails1
Counterparty information section.
Identification
Counterparty description information.
RatingDetails
Counterparty rating information.
CounterpartyRating1
Counterparty rating information.
Threshold
The counterparty rating threshold as at the data cut-off date (if there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation).
In the event of multiple ratings, all ratings shall be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
Rating
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating as at the data cut-off date.
In the event of multiple rating thresholds, all rating thresholds are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
SourceLEI
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the Legal Entity Identifier of the provider of the counterparty rating (as specified in the Global Legal Entity Foundation (GLEIF) database) as at the data cut-off date.
In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
SourceName
If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the full name of the provider of the counterparty rating as at the data cut-off date. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5.
CounterpartyType1Code
Specifies the type of the counterparty.
AccountBank
Counterparty is an Account Bank.
AccountBankFacilitator
Counterparty is an Account Bank facilitator.
AccountBankGuarantor
Counterparty is an Account Bank guarantor.
AdministrationAgent
Counterparty is an Administration agent.
AdministrationSubAgent
Counterparty is an Administration sub-agent.
Arranger
Counterparty is an arranger.
Auditor
Counterparty is an auditor.
BackupAccountBank
Counterparty is a Backup Account Bank.
BackupCurrencySwapProvider
Counterparty is a Backup Currency Swap Provider.
BackupInterestRateSwapProvider
Counterparty is a Backup Interest Rate Swap Provider.
BackupLiquidityFacilityProvider
Counterparty is a Backup Liquidity Facility Provider.
BackupServicer
Counterparty is a Backup Servicer.
BackupServicerFacilitator
Counterparty is a Backup Servicer facilitator.
CalculationAgent
Counterparty is a calculation agent.
CashAdvanceProvider
Counterparty is a cash adnance provider.
CashManager
Counterparty is a cash manager.
CollateralAccountBank
Counterparty is a Collateral Account Bank.
CollateralAgent
Counterparty is a collateral agent.
CollateralisedLoanObligationManager
Counterparty is a Collateralised Loan Obligation manager.
CollateralProvider
Counterparty is a collateral provider.
CollectionAccountBank
Counterparty is a Collection Account Bank.
Counsel
Counterparty is a Counsel.
CurrencySwapProvider
Counterparty is a Currency Swap provider.
Dealer
Counterparty is a dealer.
EquityOwnerOfConduitSSPE
Counterparty is an Equity Owner Of Conduit-SSPE.
GuaranteedInvestmentContractProvider
Counterparty is a guaranteed investment contract provider.
InsurancePolicyCreditProvider
Counterparty is an insurance policy credit provider.
InterestRateSwapProvider
Counterparty is an interest rate swap provider.
Issuer
Counterparty is an issuer.
LetterOfCreditProvider
Counterparty is a letter of credit provider.
LiquidityFacilityProvider
Counterparty is a liquidity facility provider.
LiquidityOrLiquidationAgent
Counterparty is a liquidity or liquidation agent.
MultiSellerConduit
Counterparty is a multi-select conduit.
Manager
Counterparty is a manager.
Originator
Counterparty is an originator.
Other
Any other counterparty type.
PayingAgent
Counterparty is a paying agent.
PortfolioAdvisor
Counterparty is a portfolio advisor.
RepresentativeOfNoteholders
Counterparty is a representative of noteholders.
RepurchaseAgreementCounterparty
Counterparty is a repurchase agreement counterparty.
SavingsMortgageParticipant
Counterparty is a savings mortgage participant.
SecuritisationSpecialPurposeEntity
Counterparty is a Securitisation Special Purpose Entity (SSPE).
SecurityAgent
Counterparty is a Security agent.
Seller
Counterparty is a seller.
Servicer
Counterparty is a servicer.
SpecialServicer
Counterparty is a special servicer.
SponsorOfTheSecuritisationSpecialPurposeEntity
Counterparty is a Sponsor of the Securitisation Special Purpose Entity (SSPE).
StartUpLoanOrLeaseProvider
Counterparty is a start-up loan or lease provider.
SubordinatedLoanProvider
Counterparty is a subordinated loan provider.
Subscriber
Counterparty is a subscriber.
SubstitutionAgent
Counterparty is a substitution agent.
SwinglineFacilityProvider
Counterparty is a swingline facility provider.
TransferAgent
Counterparty is a transfer agent.
Trustee
Counterparty is a trustee.
VerificationAgent
Counterparty is a verification agent.
Underwriter
Counterparty is an underwriter.
CountryCode
Code to identify a country, a dependency, or another area of particular geopolitical interest, on the basis of country names obtained from the United Nations (ISO 3166, Alpha-2 code).
CurrencyCode1Choice
Choice between a currency code or no data option.
Code
Code of the currency in which a transaction is made.
NoDataOption
Reason for not providing currency code.
CurrencySwap1
Currency swap information.
PayerCurrency
Enter the currency that the payer leg of the swap is paying.
ReceiverCurrency
Enter the currency that the receiver leg of the swap is paying.
ExchangeRate
The exchange rate that has been set for a currency swap.
MaturityDate
Date of maturity of the interest rate or currency swap.
Notional
Interest rate or currency swap notional amount as at the data cut-off date.
CurrentPeriodStatus1Code
Specifies the current period status of the collateralized loan obligation (CLO).
Other
Any other current period status of the collateralized loan obligation (CLO)
PostReinvestment
Collateralized loan obligation (CLO) is currently in post-reinvestment.
RampUp
Collateralized loan obligation (CLO) is currently in ramp-up.
Reinvestment
Collateralized loan obligation (CLO) is currently in Reinvestment.
Warehouse
Collateralized loan obligation (CLO) is currently in Warehouse.
DayConvention1Choice
Choice of days convention method used for calculations.
Code
Convention method used for the calculation of interest.
NoDataOption
Reason for not providing data on the day count convention.
DecimalNumberFraction5
Number of objects represented as a decimal number, eg, 0.75 or 45.6.
DefaultAndTerminationEvent1Code
Specifies the place where the protection arrangement events of default and termination events are listed.
OtherBespoke
Any other place where the protection arrangement events of default and termination events are listed.
ScheduleToTheISDA2002
Protection arrangement events of default and termination events are listed in Schedule to the ISDA 2002.
ScheduleToTheISDA2014
Protection arrangement events of default and termination events are listed in Schedule to the ISDA 2014.
DefaultAndTerminationEventListing1Choice
Choice between listing location of protection arrangement events of default and termination events or no data option.
Code
Protection arrangement events of default and termination events listed
NoDataOption
Reason for not providing data for default and termination events.
ESAIdentifier
The ESA 2010 classification of the guarantor according to EU Regulation No 549/2013 ('ESA 2010'). This entry must be provided at the sub-sector level. Use one of the values available in Table 2 of Annex 1.
EntityNameAndContactDetails1
Information of the reporting entity and it's contact details.
Name
The full legal name of the entity designated as per Article 7(2) of Regulation (EU) 2017/2402; that name must match the name entered in for that entity in field SESP3 in the counterparty information section. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
ContactPerson
First and Last name of the contact person(s) responsible for preparing this securitisation comprehensive report and to whom questions on this comprehensive report must be addressed.
ContactTelephone
Direct telephone number(s) of the contact person(s) responsible for preparing this securitisation comprehensive report and to whom questions on this comprehensive report must be addressed.
ContactEmail
Direct email address(es) of the contact person(s) responsible for preparing this securitisation comprehensive report and to whom questions on this comprehensive report must be addressed.
EuropeanSystemOfAccountsSubsector1Choice
Choice of European System of Account (ESA) 2010 classification or no data option.
Code
The ESA 2010 classification of the guarantor or collateral according to EU Regulation No 549/2013 ('ESA 2010'). This entry must be provided at the sub-sector level. Use one of the values available in Table 2 of Annex 1.
NoDataOption
Reason for not providing an ESA subsector code.
EventFrequency11Code
Specifies the regularity of an event.
Monthly
Event takes place every month or once a month.
Quarterly
Event takes place every three months or four times a year.
SemiAnnual
Event takes place every six months or two times a year.
Annual
Event takes place every year or once a year.
Other
Unspecified frequency of event.
ExtensionClause1Choice
Choice of extension clause.
Code
Select the most appropriate option to describe which party has the right to extend the maturity of the instrument, as per the terms and conditions of the securitisation/programme.
NoDataOption
Reason for not providing data for extension clause.
ExtensionClause1Code
Specifies the party which has the right to extend the maturity of the instrument, as per the terms and conditions of the securitisation/programme.
NoOption
No party has the right to extend the maturity of the instrument.
Noteholder
Noteholder has the right to extend the maturity of the instrument.
SSPEOnly
Securitisation Special Purpose Entity only has the right to extend the maturity of the instrument.
SSPEOrNoteholder
Either the Securitisation Special Purpose Entity or the noteholder have the right to extend the maturity of the instrument.
FinancialBreachConsequence2Code
Specifies the consequence, as per the securitisation documentation, for this test/event/trigger not being satisfied (being breached).
ChangeInPriorityOfPayments
Consequence for the breach is change in the priority of payments.
ReplacementOfACounterparty
Consequence for the breach is the replacement of a counterparty.
BothChangeInPriorityOfPaymentsAndReplacementOfCounterparty
Consequence for the breach is both change in the priority of payments and replacement of a counterparty.
Other
Any other consequence for the breach.
ISINIdentifier1Choice
Choice between International Securities Identification Number (ISIN) or no data option.
ISIN
International Securities Identification Number (ISIN) code.
NoDataOption
Reason for not providing ISIN code.
ISINIdentifier3Choice
Choice between International Securities Identification Number (ISIN) or Tranche identifier.
ISIN
International Securities Identification Number (ISIN) code.
NoDataOption
Reason for not providing ISIN code.
ISINOrTrancheIdentifier
List of International Securities Identification Numbers (ISIN) and Tranche identifiers (where no ISIN is available).
ISINIdentifier4Choice
List of International Securities Identification Numbers (ISIN) and Tranche identifiers (where no ISIN is available).
ISIN
International Securities Identification Number (ISIN) code.
NewIdentifier
The new identifier assigned to this tranche as reported under SEST3 where no ISIN is available for that tranche.
ISINOct2015Identifier
International Securities Identification Number (ISIN). A numbering system designed by the United Nation's International Organisation for Standardisation (ISO). The ISIN is composed of a 2-character prefix representing the country of issue, followed by the national security number (if one exists), and a check digit. Each country has a national numbering agency that assigns ISIN numbers for securities in that country.
ISODate
A particular point in the progression of time in a calendar year expressed in the YYYY-MM-DD format. This representation is defined in "XML Schema Part 2: Datatypes Second Edition - W3C Recommendation 28 October 2004" which is aligned with ISO 8601.
ISODate1Choice
Choice between a date or no data option.
Date
Date of the event.
NoDataOption
Reason for not providing date.
ISODate2Choice
Choice between a date or no data option.
Date
Date of the event.
NoDataOption
Reason for not providing date.
InterestComputationMethod3Code
Specifies the 'days' convention used to calculate interest:.
Actual360
Method whereby interest is calculated based on the actual number of accrued days in the interest period and a 360-day year.
IC30360ICMAor30360basicrule
Method whereby interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that the 31st is assumed to be the 30th and 28 Feb (or 29 Feb for a leap year) is assumed to be the 28th (or 29th). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999.
Actual365Fixed
Method whereby interest is calculated based on the actual number of accrued days in the interest period and a 365-day year.
ActualActualICMA
Method whereby interest is calculated based on the actual number of accrued days and the assumed number of days in a year, that is, the actual number of days in the coupon period multiplied by the number of interest payments in the year. If the coupon period is irregular (first or last coupon), it is extended or split into quasi-interest periods that have the length of a regular coupon period and the computation is operated separately on each quasi-interest period and the intermediate results are summed up.
ActualActualISDA
Method whereby interest is calculated based on the actual number of accrued days of the interest period that fall (falling on a normal year, year) divided by 365, added to the actual number of days of the interest period that fall (falling on a leap year, year) divided by 366.
ActualActualAFB
Method whereby interest is calculated based on the actual number of accrued days and a 366-day year (if 29 Feb falls in the coupon period) or a 365-day year (if 29 Feb does not fall in the coupon period). If a coupon period is longer than one year, it is split by repetitively separating full year subperiods counting backwards from the end of the coupon period (a year backwards from 28 Feb being 29 Feb, if it exists). The first of the subperiods starts on the start date of the accrued interest period and thus is possibly shorter than a year. Then the interest computation is operated separately on each subperiod and the intermediate results are summed up.
Actual365LorActuActubasisRule
Method whereby interest is calculated based on the actual number of accrued days and a 365-day year (if the coupon payment date is NOT in a leap year) or a 366-day year (if the coupon payment date is in a leap year).
Other
Any other interest computation method.
InterestRateIndex1Code
Specifies the base reference interest index currently applicable (the reference rate off which the interest rate is set).
EuropeanCentralBankBaseRate
European Central Bank Base Rate (ECBR).
EuroSwiss
Swiss Franc LIBOR rate.
FutureSWAP
Portion of a synthetic curve that is composed of Eurodollar or Treasury or similar Futures and Swap rates. The term usually begins at 3 months to 2 years for the futures strip component with the Swaps filling in the points to 10 years and beyond.
GCFRepo
GCF Repo Index, the Depository Trust & Clearing Corporation (DTCC) general collateral finance repurchase agreements index.
ISDAFIX
Worldwide common reference rate value for fixed interest rate swap rates, as defined by the International Swaps and Derivatives Association (ISDA).
JIBAR
Johannesburg Interbank Agreed Rate.
LenderOwnRate
Lender Own Rate (LDOR).
LIBID
Rate at which major international banks are willing to take deposits from one another, is normally 1/8 percent below LIBOR.
London InterBank Bid Rate, the rate bid by banks on Eurocurrency deposits; the international rate that banks lend to other banks.
LIBOR
London Interbank Offered Rate, the interest rate that major international banks in London charge each other for borrowing.
MOSPRIM
Moscow Prime Offered Rate.
MuniAAA
Benchmark curve used for municipals based on the best credit rating for municipal market debt.
OTHER
Any other rate.
NIBOR
Norwegian Interbank Offered Rate.
Pfandbriefe
Pfandbriefe security is a collateralised bullet bond backed by either mortgage loans or loans to the public sector. Pfandbriefe differ from traditional asset-backed securities in significant ways. The most important difference is that Pfandbriefe carry no pre-payment risk since they remain on the balance sheet of the issuing institution. Therefore, their spreads over sovereign bonds are attributable to liquidity and credit quality alone. New indices have been created and existing indices have been modified in response to the growing importance of the Pfandbriefe market. The Deutsche Borse has three synthetic indices called REX, JEX, and PEX. The Pfandbriefe curve is used as a reference for credit as well as mortgage market.
PRIBOR
Czech Fixing of Interest Rates on Interbank Deposits.
STIBOR
Stockholm Interbank Offered Rate.
SWAP
In curve construction, Swap is the long portion of the curve constituting about 3 years to 30 years term.
The exchange of one security, currency or interest rate for another to change the maturity (bonds), or quality of issues (stocks or bonds), or because investment objectives have changed.
TELBOR
Tel Aviv Interbank Offered Rate.
Treasury
Treasury benchmark that comes in three types: the yield curve, the par curve, and the spot curve. All curves also have a constituent time series.
WIBOR
Warsaw Interbank Offered Rate.
TIBOR
Tokyo Interbank Offered Rate.
BankOfEnglandBaseRate
Bank of England base rate (BOER).
BBSW
Australian Financial Markets Association (AFMA) Bank-Bill Reference Rate (BBSW).
BUBOR
Budapest Interbank Offered Rate.
CDOR
Canadian Dollar Offered Rate.
CIBOR
Copenhagen Interbank Offered Rate.
EONIA
Euro OverNight Index Average rate.
EONIASwaps
Euro OverNight Index Average swap rate.
Euribor
Euro Interbank Offer Rate is the rate at which Euro inter-bank term deposits within the Euro zone are offered by one prime bank to another prime bank.
EURODOLLAR
Rate for the eurodollars, time deposits denominated in U.S. dollars at banks outside the United States, and thus are not under the jurisdiction of the Federal Reserve.
InterestRateIndex2Choice
Choice of interest rate index.
Code
Specifies the base reference interest index currently applicable (the reference rate off which the interest rate is set.
NoDataOption
Reason for not providing data for the current interest rate index.
InterestRateIndex2Code
Specifies interest rate swap benchmark on the payer leg of the swap is fixed to.
BUBOR
Budapest Interbank Offered Rate.
BBSW
Australian Financial Markets Association (AFMA) Bank-Bill Reference Rate (BBSW).
CDOR
Canadian Dollar Offered Rate.
CIBOR
Copenhagen Interbank Offered Rate.
EONIA
Euro OverNight Index Average rate.
EONIASwaps
Euro OverNight Index Average swap rate.
Euribor
Euro Interbank Offer Rate is the rate at which Euro inter-bank term deposits within the Euro zone are offered by one prime bank to another prime bank.
EURODOLLAR
Rate for the eurodollars, time deposits denominated in U.S. dollars at banks outside the United States, and thus are not under the jurisdiction of the Federal Reserve.
EuroSwiss
Swiss Franc LIBOR rate.
FutureSWAP
Portion of a synthetic curve that is composed of Eurodollar or Treasury or similar Futures and Swap rates. The term usually begins at 3 months to 2 years for the futures strip component with the Swaps filling in the points to 10 years and beyond.
GCFRepo
GCF Repo Index, the Depository Trust & Clearing Corporation (DTCC) general collateral finance repurchase agreements index.
ISDAFIX
Worldwide common reference rate value for fixed interest rate swap rates, as defined by the International Swaps and Derivatives Association (ISDA).
JIBAR
Johannesburg Interbank Agreed Rate.
LIBID
Rate at which major international banks are willing to take deposits from one another, is normally 1/8 percent below LIBOR.
London InterBank Bid Rate, the rate bid by banks on Eurocurrency deposits; the international rate that banks lend to other banks.
LIBOR
London Interbank Offered Rate, the interest rate that major international banks in London charge each other for borrowing.
MOSPRIM
Moscow Prime Offered Rate.
MuniAAA
Benchmark curve used for municipals based on the best credit rating for municipal market debt.
NIBOR
Norwegian Interbank Offered Rate.
OTHER
Any other rate.
Pfandbriefe
Pfandbriefe security is a collateralised bullet bond backed by either mortgage loans or loans to the public sector. Pfandbriefe differ from traditional asset-backed securities in significant ways. The most important difference is that Pfandbriefe carry no pre-payment risk since they remain on the balance sheet of the issuing institution. Therefore, their spreads over sovereign bonds are attributable to liquidity and credit quality alone. New indices have been created and existing indices have been modified in response to the growing importance of the Pfandbriefe market. The Deutsche Borse has three synthetic indices called REX, JEX, and PEX. The Pfandbriefe curve is used as a reference for credit as well as mortgage market.
PRIBOR
Czech Fixing of Interest Rates on Interbank Deposits.
STIBOR
Stockholm Interbank Offered Rate.
SWAP
In curve construction, Swap is the long portion of the curve constituting about 3 years to 30 years term.
The exchange of one security, currency or interest rate for another to change the maturity (bonds), or quality of issues (stocks or bonds), or because investment objectives have changed.
TELBOR
Tel Aviv Interbank Offered Rate.
TIBOR
Tokyo Interbank Offered Rate.
Treasury
Treasury benchmark that comes in three types: the yield curve, the par curve, and the spot curve. All curves also have a constituent time series.
WIBOR
Warsaw Interbank Offered Rate.
InterestRateIndexTenor1Code
Specifies the tenor of the interest rate index.
Day1
Tenor is 1 day.
IntraDay
Tenor is IntraDay.
Month1
Tenor is 1 month.
Month12
Tenor is 12 months.
Month2
Tenor is 2 months.
Month3
Tenor is 3 months.
Month6
Tenor is 6 months.
OnDemand
Tenor is on demand.
Overnight
Tenor is overnght.
Week1
Tenor is 1 week.
Week2
Tenor is 2 weeks.
Other
Tenor is other unspecified time unit.
Month4
Tenor is 4 months.
InterestRateIndexTenor2Choice
Choice of tenor for the interest rate index.
Code
Specifies the tenor for the interest rate index.
NoDataOption
Reason for not providing data for the interest rate index.
InterestRateSwap1
Interest rate swap information.
Benchmark
Type of interest rate swap benchmark on the payer leg of the swap is fixed to.
MaturityDate
Maturity date of the interest rate or currency swap.
Notional
Interest rate or currency swap notional amount as at the data cut-off date.
InterestRateSwapBenchmark1Choice
Choice of interest rate swap benchmark.
Code
Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to.
NoDataOption
Reason for not providing data for interest rate swap benchmark.
IssuerCollateralDetails1
Issuer collateral information section.
ProtectionInstrumentIdentifier
Report the same unique identifier here as the one entered into field Identifier, within Protection Instrument Data (SESV2).
Identification
Fields that uniquely identify the collateral instrument.
InstrumentData
Collateral instrument information.
IssuerData
Collateral issuer information.
RepurchaseAgreement
Collateral repurchase agreement (repo) information.
LEIIdentifier
Legal Entity Identifier is a code allocated to a party as described in ISO 17442 "Financial Services - Legal Entity Identifier (LEI)".
LEIIdentifier1Choice
Choice between LEI identifier or no data option.
LEI
Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database).
Where no Legal Entity Identifier is available, enter ND5.
NoDataOption
Reason for not providing LEI.
ManagerDetails1
Collateralized Loan Obligation (CLO) Manager information.
LEI
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the CLO manager.
Name
Give the full legal name of the CLO manager. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
EstablishmentDate
Date of CLO manager incorporation/establishment.
RegistrationDate
Date of registration within the EU as an investment adviser.
NumberOfEmployees
Total number of employees.
CollateralisedLoanObligationNumberOfEmployees
Total number of employees dedicated to loan trading and management of CLO portfolios.
WorkoutNumberOfEmployees
Total employees dedicated to working out distressed credits.
UKCollateralisedLoanObligationNumber
Number UK CLOs under management.
Capital
Total capital.
CapitalRiskRetention
Capital for funding risk retention.
SettlementTime
Average time needed, in calendar days, for trade settlement.
PricingFrequency
Frequency (in number of days) of pricing/re-pricing portfolios. If there are different frequencies applied, enter the weighted average frequency, using as weights the assets under management of each category, rounded to the nearest day.
AssetUnderManagementValue
Assets under management.
AssetUnderManagementDetails
CLO manager assets under management information.
MasterTrustData1
Master trust information.
Type
If the securitisation has a master trust structure, select the most appropriate description of the structure.
SecuritisationSpecialPurposeEntityData
If the securitisation has a master trust structure, enter the Securitisation Special Puprose Entity (SSPE) information.
TotalNoteBalance
If the securitisation has a master trust structure, enter the face value of all asset-backed notes, collateralised by the underlying exposures in the trust.
SellerShare
If the securitisation has a master trust structure, enter the originator's interest in the trust, expressed as a percentage. In the event of multiple originators, enter the aggregate interest across all originators.
FundingShare
If the securitisation has a master trust structure, enter the SSPE's interest of this series in the trust at the data cut-off date, expressed as a percentage.
AllocatedRevenue
If the securitisation has a master trust structure, enter the revenue amounts allocated to this securitisation from the trust.
MasterTrustType1Choice
Choice of master trust structure of the securitisation.
Code
If the securitisation has a master trust structure, select the most appropriate description of the structure.
NoDataOption
Reason for not providing data for master trust type.
MasterTrustType1Code
Specifies the master trust structure of the securitisation.
CapitalistStructure
Master trust type is capitalist structure, that is each SSPE is independent from other SSPEs with respect to note issuance and cashflow distribution.
Other
Any other type of master trust type.
SocialistStructure
Master trust type is socialist structure, or de-linked master trust. Losses are shared across all SSPEs and single classes of notes are issued independently from more senior or junior classes.
MaterialAmendment1Choice
Choice between material amendments made, or no data option.
Description
Any material amendments made to transaction documents, including the name and item code (pursuant to Table 4 in Annex 1) of the document as well as a detailed description of the amendments.
NoDataOption
Reason for not providing data for material amendments.
SecuritisationItem1Choice
Choice between material amendments made, or no data option.
Code
The item code related to any material amendments made to transaction documents.
NoDataOption
Reason for not providing data for item code related to material amendments.
Max10000Text
Specifies a character string with a maximum length of 10000 characters.
Max10000Text2Choice
Choice between a value of max 10000 characters or no data option.
Value
A text with up to 100 characters.
NoDataOption
Reason for not providing data.
Max1000Text
Specifies a character string with a maximum length of 1000 characters.
Max1000Text2Choice
Choice between a value of max 1000 characters or no data option.
Value
A text with up to 1000 characters.
NoDataOption
Reason for not providing data.
Max100Text
Specifies a character string with a maximum length of 100 characters.
Max100Text3Choice
Choice between a value of max 100 characters or no data option.
Value
A text with up to 100 characters.
NoDataOption
Reason for not providing data.
Max256Text
Specifies a character string with a maximum length of 256 characters.
Max4PositiveNumber
Number (max 9999) of objects represented as a positive integer.
Max9PositiveNumber
Number (max 999999999)of objects represented as a positive integer.
Monetary2Choice
Choice between a currency and amount or no data option.
Value
Value and currency of amount.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
NoDataOption
Reason for not providing data for amount and currency.
Monetary3Choice
Choice between a currency and amount or no data option.
Value
Value and currency of amount.
NoDataOption
Reason for not providing data for amount and currency.
NewCorrectionSignificantEventInvestorReport1
Creates a new non ABCP significant event and an investor report or updates an existing one.
SecuritisationIdentifier
The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) …/… [include number of the disclosure RTS].
CutOffDate
The data cut-off date for this data submission. When submitted alongside an underlying exposures and investor report data submission, this must match the data cut-off date in the applicable underlying exposure and investor report templates submitted.
Securitisation
Non ABCP Securitisation report.
NoDataAllowedJustification1Code
Specifies the reason for not providing data for a specific field.
NoData1
Data not collected as not required by the lending or underwriting criteria.
NoData2
Data collected on underlying exposure application but not loaded into the originator’s reporting system.
NoData3
Data collected on underlying exposure application but loaded onto a separate system from the originator’s reporting system.
NoData5
Not applicable.
NoDataAllowedJustification2Code
Specifies the reason for not providing data for a specific field.
NoData1
Data not collected as not required by the lending or underwriting criteria.
NoData2
Data collected on underlying exposure application but not loaded into the originator’s reporting system.
NoData3
Data collected on underlying exposure application but loaded onto a separate system from the originator’s reporting system.
NoDataAllowedJustification3Code
Specifies the reason for not providing data for a specific field.
NoData5
Not applicable.
NoDataAllowedJustification4Code
Specifies the reason for not providing data for a specific field.
NoData4
Data collected but will only be available from reported date.
NoDataFour1
Option for field values when data is not available at the momment of reporting but will be in the future.
Date
Data collected but will only be available from reported date.
NoData
Data collected but will only be available from reported date.
NoDataJustification1Choice
Options for field values when data is not available.
NoData
Options for field values when data is not available.
NoData4
Option for field values when data is not available at the moment but will be in future.
NoDataJustification3Choice
Options for field values when data is not available.
NoData
Options for field values when data is not available.
NoDataJustification4Choice
Options for field values when data is not available.
NoData
Options for field values when data is not available.
NoData4
Option for field values when data is not available at the moment but will be in future.
NumberOfAccounts1Choice
Choice between Securitisation Special Purpose Entity (SSPE) number of accounts or no data option.
Number
If the securitisation has a master trust structure, enter the number of accounts in which the trust or SSPE has a beneficial interest at the data cut-off date.
NoDataOption
Reason for not providing data for number of accounts.
NumberOfDays1Choice
Choice between number of days or no data option.
NumberOfDays
Number of days.
NoDataOption
Reason for not providing number of days.
Numeric1Choice
Choice between a numeric (decimal) value or no data option.
Value
Enter the current value of the measure being compared against the threshold level. In the event of non-numerical tests/events/triggers, enter ND5. Where percentages are being entered, these shall be entered in the form of percentage points, e.g. 99.50 for 99.50%, e.g. 0.006 for 0.006%).
NoDataOption
Reason for not providing data for actual value.
NumericOrPercentage1Choice
Choice between numerical or percentage value, or no data.
Value
Numerical value or percentage.
NoDataOption
Reason for not providing a value.
ObligorDefaultProbability1
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the ranges below.
Range1
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0.00%<= x < 0.10%. This estimate can either come from the originator or the relevant national central bank.
Where there is no regulatory requirement to calculate Probability of Default, enter ND5.
Range2
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0.10%<= x < 0.25%. This estimate can either come from the originator or the relevant national central bank.
Where there is no regulatory requirement to calculate Probability of Default, enter ND5.
Range3
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0.25%<= x < 1.00%. This estimate can either come from the originator or the relevant national central bank.
Where there is no regulatory requirement to calculate Probability of Default, enter ND5.
Range4
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 1.00%<= x < 7.50%. This estimate can either come from the originator or the relevant national central bank.
Where there is no regulatory requirement to calculate Probability of Default, enter ND5.
Range5
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 7.50%<= x < 20.00%. This estimate can either come from the originator or the relevant national central bank.
Where there is no regulatory requirement to calculate Probability of Default, enter ND5.
Range6
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 20.00%<= x <= 100.00%. This estimate can either come from the originator or the relevant national central bank.
Where there is no regulatory requirement to calculate Probability of Default, enter ND5.
PaymentAndCollectionData1
Payment and collection information.
PeriodPrincipalRecoveries
Gross principal recoveries received during the period.
PeriodInterestRecoveries
Gross interest recoveries received during the period.
PeriodPrincipalCollection
Collections treated as principal in the period.
PeriodInterestCollection
Collections treated as revenue in the period.
DrawingUnderLiquidityFacility
If the securitisation has a liquidity facility Indicates whether there has been a drawing under the liquidity facility in the period ending on the last interest payment date.
SecuritisationExcessSpread
Amount of funds left over after application of all currently-applicable stages of the waterfall, commonly referred to as ‘excess spread’.
ExcessSpreadTrappingMechanism
Excess spread is currently trapped in the securitisation (e.g. accumulated in a separate reserve account).
PaymentFrequency2Choice
Choice of payments frequency.
Code
Code for frequency of payment.
NoDataOption
Reason for not providing data for the frequency of payments.
PaymentReleaseCondition1Choice
Choice of payment release conditions.
Code
Conditions relating to the release of payments made by the protection seller.
NoDataOption
Reason for not providing data for payment release conditions.
PaymentReleaseCondition1Code
Specifies the conditions relating to the release of payments made by the protection seller.
AfterFullWorkoutOfLossForActualLoss
Release of payments takes place after full workout of loss, for the actual loss.
AfterPredeterminedPeriodAllowedForCollectionActivity
Release of payments takes place after a predetermined period allowed for collection activity.
AfterPredeterminedPeriodAllowedForAcutalLossMinusExpectedRecovery
Release of payments takes place after a predetermined period allowed for collection activities, for a sum equal to the actual loss minus the expected recovery.
ImmediatelyAfterCreditEventForFullAmount
Release of payments takes place immediately after a credit event for the full amount of defaulted asset.
ImmediatelyAfterCreditEventForAmountNetOfExpectedRecovery
Release of payments takes place immediately after a credit event for the full amount of defaulted assets net of expected recovery.
Other
Release of payments takes place upon any other conditions.
PercentageRate
Rate expressed as a percentage, that is, in hundredths, for example, 0.7 is 7/10 of a percent, and 7.0 is 7%.
PercentageRate2Choice
Choice between percentage value or no data option.
Rate
Give the percentage (e.g. 0.05 represents 5% and 0.9525 represents 95.25%).
NoDataOption
Reason for not providing percentage.
PerformanceData1
Underlying exposure performance information.
Dilution
Total reductions in principal underlying exposures of this type during the period.
PeriodGrossChargeOff
Face value of gross principal charge-offs (i.e. before recoveries) for the period. Charge-off is as per securitisation definition, or alternatively per lender's usual practice.
RepurchasedExposure
The amount of underlying exposures that have been repurchased by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date.
RestructuredExposure
Amount of underlying exposures that have been restructured by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date. 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 under forbearance.
DefaultedExposure
Total outstanding principal balance of exposures of this type in default as at the cut-off date, using the definition of default specified in the securitisation documentation
DefaultedExposureCapitalRequirementRegulation
Total outstanding principal amount as at the data cut-off date of exposures in default as at the cut-off date, using the definition of default specified in Article 178 of Regulation (EU) No 575/2013.
Period7Choice
Time span defined by a start date, and an end date.
FromDate
Date and time at which the range starts.
ToDate
Date and time at which the range ends.
PhoneNumber
The collection of information which identifies a specific phone or FAX number as defined by telecom services.
It consists of a "+" followed by the country code (from 1 to 3 characters) then a "-" and finally, any combination of numbers, "(", ")", "+" and "-" (up to 30 characters).
PlusOrMinusIndicator
Indicates a positive or negative value.
ProtectionCoverage1
Protection coverage description.
CurrentProtectionNotional
Total amount of coverage under the protection agreement, as at the data cut-off date.
MaximumProtectionNotional
Maximum amount of coverage under the protection agreement.
ProtectionAttachmentPoint
In terms of the pool principal, enter the percentage attachment point at which protection coverage begins.
ProtectionDetachmentPoint
In terms of the pool principal, enter the percentage detachment point at which protection coverage ends.
CoveredTrancheIdentification
If protection is provided to cover specific tranches (e.g. a guarantee), enter the ISIN of each tranche covered by the specific protection agreement. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema.
Type
Report the option that best describes the coverage of the protection amount.
ProtectionCoverage1Code
Specifies the coverage of the option amount.
Other
Covers any other loss type.
CoversLossOfPrincipalLossOfAccruedInterestInterestPenalties
Covers loss of principal, loss of accrued interest and interest penalties.
CoversLossOfPrincipalLossOfAccruedInterestCostOfForeclosure
Covers loss of principal, loss of accrued interest and cost of foreclosure.
CoversLossOfPrincipalLossOfAccruedInterestInterestPenaltiesCostOfForeclosure
Covers loss of principal, loss of accrued interest, interest penalties and cost of foreclosure.
CoversLossOfPrincipalLossOfAccruedInterest
Covers loss of of principal and loss of accrued interest.
CoversLossOfPrincipalOnly
Covers loss of principal only.
ProtectionCoverageType1Choice
Choice of protection amount coverage type.
Code
Coverage of the protection amount.
NoDataOption
Reason for not providing data for protection coverage.
ProtectionFeature1
Protection features description.
ProtectionType
Type of protection instrument used.
ProtectionInstrumentISIN
Enter in the ISIN code of the protection instrument, where applicable.
GoverningLaw
Jurisdiction governing the protection agreement.
AgreementType
Basis for protection documentation.
DefaultAndTerminationEvent
Where the protection arrangement events of default and termination events are listed.
SyntheticSecuritisationType
Is this a 'balance sheet synthetic securitisation'?
ProtectionTerminationDate
Enter the contractual date at which the protection is scheduled to expire / be terminated.
CollateralSubstitutable
Where collateral is held, can the assets in the collateral portfolio be substituted? This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments).
CollateralCoverageRequirement
Where collateral is held, enter the percentage (in terms of protection notional) coverage requirement, as stipulated in the securitisation documentation. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments).
CollateralInitialMargin
If a repo is used, enter the initial margin required for eligible investments (collateral), as stipulated in the securitisation documentation. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.
ExcessSpreadSupport
Is excess spread used as a credit enhancement to the most junior class of notes?
ExcessSpreadDefinition
According to the securitisation documentation, the excess spread definition is best described as Fixed Excess Spread (e.g. amount of available excess spread is predetermined, usually in the form of a fixed percentage).
BankruptcyIsCreditEvent
Is bankruptcy of the reference credit/obligor included in the protection agreement's definition of credit events?
FailureToPayIsCreditEvent
Is obligor failure to pay after 90 days included in the protection agreement's definition of credit events?
RestructuringIsCreditEvent
Is restructuring of the reference credit/obligor included in the protection agreement's definition of credit events?
ProtectionInstrumentData1
Protection instrument data.
Identifier
The unique identifier of the protection instrument. The reporting entity must not amend this unique identifier.
Feature
Protection features description.
Provider
Protection provider description.
Coverage
Protection coverage description.
PaymentCondition
Protetion payment conditions description.
Status
Protection status description.
ProtectionPaymentConditions1
Protection payment conditions description.
MaterialityThreshold
Are there materiality thresholds before protection payouts can be made? For example, is there a minimum amount of credit deterioration in the cashflow-generating assets necessary before a claim on the protection seller can be made?
PaymentReleaseCondition
Conditions relating to the release of payments made by the protection seller.
AdjustmentPaymentPossibility
Do the terms and conditions of the credit protection agreement provide for the payment of adjustment payments to the protection buyer (e.g. if, after the maturity of the credit protection agreement, there are discrepancies in previously estimated and exchanged amounts)?
LengthOfWorkoutPeriod
If, as regards the timing of payments, a predetermined period is allowed for collection activities to take place and any adjustments to be made to the initial loss settlement, enter the number of days that this period is stipulated to last.
ObligationToRepay
Is the protection buyer under any obligation to repay any protection payments previously received (besides at termination of the derivative, or as a result of a credit event trigger, or for breach of warranty in relation to the reference obligations)?
CollateralDeliveryDeadline
If a repo is used, enter the deadline (in days), as per the securitisation documentation, by which collateral must be delivered, in the event it must be released. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments).
Settlement
Compensation to be delivered.
MaximumMaturityDatePermitted
If physical settlement, provide the maximum maturity date stipulated in the securitisation documentation for any securities that can be delivered.
CurrentIndexForPaymentToProtectionBuyer
Current interest rate index (the reference rate off of which payments to the protection buyer are set). This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap.
CurrentIndexForPaymentToProtectionBuyerTenor
Tenor of the interest rate index used for payments to the protection buyer.
PaymentResetFrequencyToProtectionBuyer
Frequency with which payments to the protection buyer are reset according to the credit protection agreement.
CurrentInterestRateMarginForPaymentToProtectionBuyer
Current interest rate margin applied on floating-rate payments to the protection buyer over (or, if under, input as a negative) the index rate used as a reference off of which payments to the protection buyer are set. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap.
CurrentInterestRateForPaymentToProtectionBuyer
Current interest rate applied on payments to the protection buyer. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap.
CurrentIndexForPaymentToProtectionSeller
Current interest rate index (the reference rate off of which payments to the protection seller are set).
CurrentIndexForPaymentToProtectionSellerTenor
Tenor of the interest rate index used for payments to the protection seller.
PaymentResetFrequencyToProtectionSeller
Frequency with which payments to the protection seller are reset according to the credit protection agreement.
CurrentInterestRateMarginForPaymentToProtectionSeller
Current interest rate margin applied on floating-rate payments to the protection seller over (or, if under, input as a negative) the index rate used as a reference off of which payments to the protection seller are set. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap.
CurrentInterestRateForPaymentToProtectionSeller
Current interest rate applied on payments to the protection seller.
ProtectionProvider1
Protection provider description.
Name
Enter the full legal name of the protection provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
LEI
Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the protection provider.
PublicEntityWithZeroRiskWeight
Is the protection provider a public entity classified under Articles 113(4), 117(2), or 118 of Regulation (EU) 575/2013?
ProtectionStatus1
Protection status description.
CurrentProtectionStatus
Current status of the protection, as at the data cut-off date.
CreditEvent
Has a credit event notice been given?
CumulativePaymentToProtectionBuyer
Total amount of payments made to the protection buyer by the protection seller, as at the data cut-off date.
CumulativeAdjustmentPaymentToProtectionBuyer
Total amount of adjustment payments made to the protection buyer by the protection seller, as at the data cut-off date (for example, to compensate for the difference between initial payments for expected losses and subsequent actual losses realised on impaired cashflow-generating assets).
CumulativePaymentToProtectionSeller
Total amount of payments made to the protection seller by the protection buyer, as at the data cut-off date.
CumulativeAdjustmentPaymentToProtectionSeller
Total amount of adjustment payments made to the protection seller by the protection buyer, as at the data cut-off date (for example, to compensate for the difference between initial payments for expected losses and subsequent actual losses realised on impaired cashflow-generating assets).
SyntheticExcessSpreadLedgerAmount
Total amount of the synthetic excess spread ledger, as at the data cut-off date.
ProtectionStatus1Code
Specifies the status of the protection at the data cut-off date.
Active
The CA event is active.
Cancelled
The CA event is cancelled.
Deactivated
The CA event is deactivated. The clients cannot send instruction anymore.
Expired
The CA event is expired, no more processing, claims, transformations take place.
Inactive
Option is not active and can no longer be responded to. Any responses already processed against this option will remain valid, eg, expired option.
Other
Any other protection status.
Withdrawn
The CA event is withrawn, ie, cancelled by the market.
ProtectionType1Choice
Choice of protection instrument.
Code
Protection instrument used.
NoDataOption
Reason for not providing data for protection instrument.
ProtectionType1Code
Specifies the type of protection intstrument used.
CreditDefaultSwap
Protection instrument used is credit default swap.
CreditInsurance
Protection instrument used is credit insurance.
CreditLinkedNote
Protection instrument used is credit-linked note.
FinancialGuarantee
Protection instrument used is financial guarantee, also known as unfunded credit risk mitigation.
Other
Any other protection instrument used.
TotalReturnSwap
Protection instrument used is total return swap.
RegulatoryData1
Regulatory information.
NoLongerSTS
Indicates whether the securitisation ceased to meet STS requirements.
If the securitisation has never had STS status, then enter ND5.
RemedialAction
Has the competent authority taken any remedial actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5.
AdministrativeAction
Has the competent authority taken any administrative actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5.
MaterialAmendmentToTransactionDocument
Describe any material amendments made to transaction documents, including the name and item code (pursuant to Table 4 in Annex I) of the document as well as a detailed description of the amendments.
ItemCode
Provides the item code(s) (pursuant to Table 3 in Annex I) corresponding to the amendments.
PerfectionOfSale
Indicates whether, pursuant to Article 20(5) of Regulation (EU) 2017/2402, the transfer of underlying exposures to the SSPE (i.e. perfection of sale) is being performed after the securitisation closing date.
CurrentWaterfallType
Choose the closest waterfall arrangement currently applicable to the securitisation.
MasterTrustData
Information about master trust.
ReportCancellation2
Cancels a specific report of the Securitisation, based on the securitisation identifier and the submission date of the report.
SecuritisationIdentifier
The unique identifier assigned by the reporting entity to this non-ABCP securitisation
CutOffDate
The data cut-off date for this data submission.
ReportType
Specifies whether the securitisation report to be cancelled is the Investor report or the Inside information and significant event report.
RiskAndPerformanceDetails1
Underlying exposures risk and performance information.
TriggerMeasurementRatio
Has any underlying exposure-related trigger event occurred? These include any delinquency, dilution, default, loss, stop-substitution, stop-revolving, or similar exposure-related events which impact the securitisation, as at the data cut-off date. This also includes if there is a debit balance on any PDL or an asset deficiency.
AnnualisedConstantPrepaymentRate
Annualised Constant Prepayment Rate (CPR) of the underlying exposures based upon the most recent periodic CPR. Periodic CPR is equal to the [(total unscheduled principal received at the end of the most recent collection period) / (the total principal balance at the start of the collection period)]. The Periodic CPR is then annualised as follows:
100*(1-((1-Periodic CPR)^number of collection periods in a year))
‘Periodic CPR’ refers to the CPR during the last collection period i.e. for a securitisation with quarterly paying bonds this will usually be the prior three month period.
PerformanceData
Performance information.
AnnualisedConstantDefaultRate
Annualised Constant Default Rate (CDR) for the underlying exposures based on the periodic CDR. Periodic CDR is equal to the [(total current balance of underlying exposures classified as defaulted during the period) / (total current balance of non-defaulted underlying exposures at the beginning of the period)]. This value is then annualised as follows:
100*(1-((1-Periodic CDR)^number of collection periods in a year))
""Periodic CDR"" refers to the CDR during the last collection period, i.e. for a securitisation with quarterly paying bonds this will usually be the prior three month period.
RiskWeightApproach
Indicate which risk weight approach was used by the originator to produce the risk weight attached to the underlying exposures, in accordance with Regulation (EU) 575/2013.
ObligorDefaultProbability
The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the ranges below.
InternalLossGivenDefaultEstimate
The originator’s latest Loss Given Default estimate for the underlying exposure in a downturn scenario, weighted using the total outstanding principal balance of the underlying exposures as at the data cut-off date.
Where there is no regulatory requirement to calculate Loss Given Default, enter ND5.
Arrears
Arrears information.
RiskRetention1
Risk retention information.
Method
Method for complying with risk retention requirements in the EU (e.g. Article 6 of Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) 575/2013).
Holder
Entity which is retaining the material net economic interest, as specified in Article 6 of Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) 575/2013).
RiskRetentionHolder2Code
Specifies the entity that is retaining the material net economic interest, as specified in Article 6 of the Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) 575/2013).
NoComplianceWithRiskRetentionRequirement
No Compliance with Risk Retention Requirement.
OriginalLender
Risk retention holder is original lender.
Originator
Risk retention holder is originator.
Other
Any other type of risk retention holder.
Seller
Risk retention holder is seller.
Sponsor
Risk retention holder is sponsor.
RiskRetentionMethod1Code
Specifies the method for complying with risk retention requirements in the EU (for example. Article 6 of the Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) 575/2013).
FirstLossExposureInEachAsset
Risk retention method is first loss exposure in each asset, that is Article 6(3)(e).
FirstLossTranche
Risk retention method is First loss tranche, that is Article 6(3)(d).
NoComplianceWithRiskRetentionRequirements
No compliance with risk retention requirements.
Other
Any other risk retention method used.
RandomlySelectedExposuresKeptOnBalanceSheet
Risk retention method is randomly-selected exposures kept on balance sheet, that is Article 6(3)(c).
SellerShare
Risk retention method is seller's share, that is Article 6(3)(b).
VerticalSlice
Risk retention method is vertical slice, that is Article 6(3)(a).
RiskWeightApproach1Choice
Choice of risk weight approach.
Code
Indicates which risk weight approach was used by the originator to produce the risk weight attached to the underlying exposures, according to the Regulation (EU) 575/2013.
NoDataOption
Reason for not providing data forrisk weight approach.
RiskWeightApproach1Code
Specifies the risk weight approach which was used by the originator to produce the risk weight attached to the underlying exposures, according to the Regulation (EU) 575/2013.
AdvancedInternalRatingsBased
Risk weight approach is advanced internal ratings- based.
FoundationInternalRatingsBased
Risk weight approach is foundation internal ratings- based.
StandardisedApproach
Risk weight approach is standardised approach.
Securitisation3
Non-ABCP securitisation.
InsideInformationOrSignificantEvent
Inside Information or Significant Event.
InvestorReport
Investor report.
SecuritisationAccountDetails1
Account information.
AccountType
Type of the account.
TargetBalance
The amount of funds that would be on deposit in the account in question when it is fully funded pursuant to the securitisation documentation.
ActualBalance
The balance of funds on deposit in the account at the Accrual End Date.
AmortisingAccount
Indicates whether the account is amortising over the lifetime of the securitisation.
SecuritisationAccountIdentifier1
Unique identifier of the account.
OriginalIdentifier
The original unique account identifier. The reporting entity must not amend this unique identifier.
NewIdentifier
If the original identifier 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 'Original Account Identifier'. The reporting entity must not amend this unique identifier.
SecuritisationAccountType1Code
Specifies the type of the account.
CashReserveAccount
Account type is cash reserve account.
ComminglingReserveAccount
Account type is commingling reserve account.
LiquidityFacility
Account type is liquidity facility.
MarginAccount
Account type is margin account.
OtherAccount
Any other account type used.
SetOffReserveAccount
Account type is set-off reserve account.
SecuritisationAdditionalInformation1
Additional information text provided line by line.
LineNumber
Enter the line number of the other information
InformationValue
The other information, line by line.
SecuritisationCounterparty1
Counterparty description information.
LEI
Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty.
Name
Give the full legal name of the counterparty. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.
Type
Type of counterparty.
CountryOfDomicile
Country where the underlying exposure originator is established.
SecuritisationDetails1
Securitisation information section of the inside information/significant event report.
RegulatoryData
Regulatory information.
InterestRateSwap
Interest rate swap information.
CurrencySwap
Currency swap information.
TrancheBond
Tranche bond level information section.
Account
Account level information section.
Counterparty
Counterparty level information section.
CollateralisedLoanObligationSecuritisation
CLO securitisation information section.
CollateralisedLoanObligationManager
CLO manager information section.
ProtectionInstrument
Synthetic coverage information section.
Collateral
Issuer collateral information section.
AdditionalInformation
Any other information section.
SecuritisationDetails2
Securtitisation information section of the investor report.
SecuritisationName
Name of the securitisation.
ReportingEntity
Information about reporting entity and it's contact details.
RiskRetention
Information about risk retention.
UnderlyingExposureDetails
Underlying exposures description.
PaymentAndCollection
Payment and collection information.
RiskAndPerformance
Risk and performance information.
TestEventTrigger
Test/Event/Trigger information section.
CashFlow
Cashflow information section.
SecuritisationIdentifier
Unique identifier for Non-ABCP securitisations, assigned by the reporting entity according to Article 11(1) of the Commission Delegated Regulation (EU) …/… [include full reference to the disclosure RTS].
SecuritisationItem1Code
UnderlyingExposuresOrUnderlyingReceivablesOrCreditClaims
Underlying exposures or underlying receivables or credit claims
TrustDeedOrOtherAgreement
Trust deed; security deed; agency agreement; account bank
agreement; guaranteed investment contract; incorporated terms or
master trust framework or master definitions agreement or such legal
documentation with equivalent legal value
AssetSaleAgreement
Asset sale agreement; assignment; novation or transfer agreement; any relevant declaration of trust
DerivativeOrGuaranteesAgreement
Derivatives and guarantees agreements; any relevant documents on
collateralisation arrangements where the exposures being securitised
remain exposures of the originator
FinalOfferingDocumentOrProspectusClosingTransactionDocuments
Final offering document; prospectus; closing transaction documents, excluding legal opinions
InsideInformation
Inside information relating to the securitisation that the originator,
sponsor or SSPE is obliged to make public in accordance with the Regulation.
InterCreditorAgreements
Inter-creditor agreements; derivatives documentation; subordinated loan agreements; start-up loan agreements and liquidity facility agreements
InvestorReport
Investor report
OtherUnderlyingDocumentation
Any other underlying documentation that is essential for the understanding of the transaction
ServicingAgreement
Servicing; back-up servicing; administration and cash management
agreements
SignificantEvent
A significant event, such as:
(i) a material breach of the obligations provided for in the documents made available in accordance with Article
7(1)(b) of Regulation (EU) 2017/2402, including any remedy, waiver or consent subsequently provided in relation to such a breach;
(ii) a change in the structural features that can materially impact the performance of the securitisation;
(iii) a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation;
(iv) in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where competent authorities have taken remedial or
administrative actions;
(v) any material amendment to transaction documents.
STSNotification
Simple, transparent and standardised notification pursuant to Article 27 of Regulation (EU) 2017/2402
SecuritisationItem2Code
Specifies whether the securitisation report is an Investor report or an Inside information and significant event report.
InvestorReport
Investor report
SignificantEvent
A significant event, such as:
(i) a material breach of the obligations provided for in the documents made available in accordance with Article
7(1)(b) of Regulation (EU) 2017/2402, including any remedy, waiver or consent subsequently provided in relation to such a breach;
(ii) a change in the structural features that can materially impact the performance of the securitisation;
(iii) a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation;
(iv) in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where competent authorities have taken remedial or
administrative actions;
(v) any material amendment to transaction documents.
SecuritisationNonAssetBackedCommercialPaperSignificantEventInvestorReportV01
The SecuritisationNonAssetBackedCommercialPaperSignificantEventInvestorReport message is sent by the reporting agent to the securitisation repositories, to report significant events and information to investor in relation with the securitisation.
NewCorrection
For significant event, stores a new report. For investor report, either it stores a new report or if the identification and the data cut off date already exist, it replaces the old report with the new one.
Cancellation
Deletes a securitisation or a specific report.
SecuritisationSpecialPurposeEntityData1
Securitisation Special Purpose Entity (SSPE) information.
FaceValue
If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal and charges) in which the trust or SSPE has a beneficial interest at the data cut-off date.
PrincipalValue
If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal only) in which the trust had a beneficial interest at the data cut-off date.
NumberOfAccounts
If the securitisation has a master trust structure, enter the number of accounts in which the trust or SSPE has a beneficial interest at the data cut-off date.
Settlement1Code
Specifies the compensation to be delivered.
Cash
Compensation is in cash.
PhysicalSettlement
Compensation is a physical settlement.
SettlementConvention1Choice
Choice of settlement date convention.
Code
Usual settlement convention for the tranche.
NoDataOption
Reason for not providing data for settlement convention.
SettlementDate7Code
Specifies the usual settlement convention for the tranche.
TPlusOne
Settlement takes place on the trade date plus one business day.
TPlusTwo
Settlement takes place on the trade date plus two business days.
TPlusThree
Settlement takes place on the trade date plus three business days.
AsSoonAsPossible
Transfer is to be effected as soon as possible.
AtEndOfContract
Transfer is to be effected at the end of the contract.
EndOfMonth
Settlement takes place at the end of the month.
Future
Settlement takes place on the trade date plus six or more business days.
NextDay
Settlement takes place on the day after trade date.
Regular
Settlement takes place under the standard rules applicable to the market and instrument.
TPlusFive
Settlement takes place on the trade date plus five business days.
TPlusFour
Settlement takes place on the trade date plus four business days.
WhenAndIfIssued
Settlement takes place when the financial instrument is issued by the issuer.
WhenDistributed
Settlement takes place when the financial instrument is distributed.
WhenIssued
Settlement is to be done when the security is issued.
WhenIssuedOrDistributed
Settlement takes place when the financial instrument is issued or distributed.
Other
Any other settlement date.
SettlementType4Choice
Choice of settlement to be delivered.
Code
Code for compensation to be delivered.
NoDataOption
Reason for not providing data for settlement.
TestEventTrigger1
Test/Event/Trigger information section.
Identification
Unique identification of the tests/events/triggers.
TestEventTriggerData
Test/Event/Trigger information.
TestEventTriggerData1
Test/event/trigger information.
Description
Describe the test/event/trigger, including any formulae. This is a free text field, however the description of the test/event/trigger shall include any formulae and key definitions to allow an investor/potential investor to form a reasonable view of the test/event/trigger and any conditions and consequences attached to it.
ThresholdLevel
Enter the level at which the test is deemed to have been met, the trigger is deemed to have been breached, or at which any other action is deemed to occur, as applicable given the type of test/event/trigger being reported. In the event of non-numerical tests/events/triggers, enter ND5.
CurrentValue
Enter the current value of the measure being compared against the threshold level. In the event of non-numerical tests/events/triggers, enter ND5. Where percentages are being entered, these are to be entered in the form of percentage points, e.g. 99.50 for 99.50%, e.g. 0.006 for 0.006%).
Status
Is this status of the test/event/trigger set to 'Breach' (i.e. the test has not been met or the trigger conditions have been met) at the data cut-off date?
CurePeriod
Enter the maximum number of days granted for this test/trigger to be brought back into compliance with the required level. If no time is granted (i.e. there is no Cure Period), enter 0.
CalculationFrequency
Enter the number of calendar days' interval for calculating the test. Use round numbers, for example 7 for weekly, 30 for monthly, 90 for quarterly, and 365 yearly.
BreachConsequence
Consequence, as per the securitisation documentation, for this test/event/trigger not being satisfied (i.e. being breached).
TestEventTriggerIdentification1
Test/event/trigger unique identifiers.
OriginalIdentifier
Original unique test/event/trigger identifier. The reporting entity must not amend this unique identifier.
NewIdentifier
If the original identifier in field 'Original Identifier' 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 'Original Identifier'. The reporting entity must not amend this unique identifier.
TrancheBondData1
Provides informtion on the tranches or bonds of the ABCP transaction.
BondIdentifier
Tranche unique identifiers.
TrancheDescription
Tranche description information.
PaymentData
Tranche payment information.
RiskData
Tranche risk information.
ProtectionData
Tranche protection information.
TrancheBondType1Code
Specifies the repayment profile of the instrument.
ControlledAmortisation
Tranche/bond type is Controlled amortisation, that is repayment of principal begins at a specified period.
HardBullet
Tranche/bond type is hard bullet, that is fixed maturity date.
Other
Any other type of tranche/bond type.
ScheduledAmortisation
Tranche/bond type is Scheduled amortisation, that is repayment of principal on scheduled amortisation dates.
SoftBullet
Tranche/bond type is soft bullet, that scheduled maturity date can be extended to the legal maturity date.
TrancheDetails1
Tranche description information.
ISINIdentifier
ISIN code assigned to this tranche, where applicable.
TrancheName
The designation (typically a letter and/or number) given to this tranche of bonds (or class of securities) which exhibit the same rights, priorities and characteristics as defined in the prospectus i.e. Series 1, Class A1 etc.
TrancheBondType
Select the most appropriate option to describe the repayment profile of the instrument.
OriginalPrincipalBalance
Original Principal Balance of this tranche at issuance
CurrentPrincipalBalance
The par, or notional, balance of this tranche after the current Principal Payment Date.
Include the currency in which the amount is denominated, using CURRENCYCODE_3 format.
IssueDate
Date that this instrument was issued.
TrancheIdentification1
Tranche unique identifiers.
OriginalIdentifier
The original unique identifier assigned to this instrument. The reporting entity must not amend this unique identifier.
NewIdentifier
If the original identifier cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the value in field 'Original Tranche Identifier'. The reporting entity must not amend this unique identifier.
TranchePayment1
Tranche payment information.
InterestPaymentFrequency
Frequency with which interest is due to be paid on this instrument.
InterestPaymentDate
First occurring date, after the data cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche.
PrincipalPaymentDate
First occurring date, after the data cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche.
CurrentCoupon
The coupon on the instrument in basis points.
CurrentInterestRateMarginSpread
Coupon spread applied to the reference interest index as defined in the offering document applicable to the specific instrument in basis points.
CouponFloor
Coupon floor of the instrument.
CouponCap
Coupon cap of the instrument.
StepUpStepDownCouponValue
If any, what is the value of the Step-up/Step-down coupon as per the terms and conditions of the securitisation/programme?
StepUpStepDownCouponDate
If any, what is the date on which the coupon definition is supposed to change as per the terms and conditions of the securitisation/programme?
BusinessDayConvention
Business day convention used for the calculation of interest due.
CurrentInterestRateIndex
Base reference interest index currently applicable (the reference rate off which the interest rate is set).
CurrentInterestRateIndexTenor
Tenor of the current interest rate index.
DisbursementDate
First date starting on which the amount of interest payable on the instrument is calculated.
LegalMaturity
Date before which this instrument must be repaid in order not to be in default.
ExtensionClause
The most appropriate option to describe which party has the right to extend the maturity of the instrument, as per the terms and conditions of the securitisation/programme.
NextCallDate
Next date on which the instrument can be called as per the terms and conditions of the securitisation/programme. This excludes clean-up arrangements.
CleanUpCallThreshold
Clean-up call threshold as per the terms and conditions of the securitisation/programme.
NextPutDate
Next put date as per the terms and conditions of the securitisation/programme.
DayCountConvention
'Days' convention used to calculate interest.
SettlementConvention
Usual settlement convention for the tranche.
TrancheProtection1
Tranche protection information.
GuarantorLEI
If the tranche has been guaranteed, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the guarantor. If not guaranteed, enter ND5.
GuarantorName
Give the full legal name of the guarantor. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. If not guaranteed, enter ND5.
GuarantorSystemAccountSubSector
The SA classification of the guarantor. This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation. If not guaranteed, enter ND5.
ProtectionType
Type of protection instrument used.
TrancheRisk1
Tranche risk information.
CurrentAttachmentPointRate
The current tranche attachment point, calculated as per Article 256 of Regulation (EU) No 575/2013, and multiplied by 100.
OriginalAttachmentPoint
The tranche attachment point at the time of issuance of the tranche notes, calculated as per Article 256 of Regulation (EU) No 575/2013, and multiplied by 100.
CurrentCreditEnhancementRate
Current tranche credit enhancement, calculated as per the originator/sponsor/SSPE's definition.
OriginalCreditEnhancement
Tranche credit enhancement at the time of issuance of the tranche notes, calculated as per the originator/sponsor/SSPE's definition.
CreditEnhancementFormula
Describe/Enter the formula used to calculate the tranche credit enhancement.
PariPassuTranche
Enter the ISINs of all tranches (including this one) that, as at the data cut-off date, rank pari-passu with the current tranche according to the securitisation priority of payments as at the data cut-off date. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema.
SeniorTranche
Enter the ISINs of all tranches that, as at the data cut-off date, rank senior to the current tranche according to the securitisation priority of payments as at the data cut-off date. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema.
OutstandingPrincipalDeficiencyLedgerBalance
Unpaid Principal Deficiency Ledger balance of the tranche in question.
UnderlyingExposureDetails10
Details of the underlying exposure.
UnderlyingExposureType
Type of underlying exposures of the securitisation. If multiple types from the list below are present, enter 'Mixed' (with the exception of securitisations whose underlying exposures consist exclusively of a combination of consumer loans and automobile loans or leases--for these securitisations the value corresponding to 'Consumer loans' must be entered).
TrueSaleRiskTransferMethod
In accordance with Article 242(13) and (14) of Regulation (EU) No 575/2013, the securitisation risk transfer method is 'true sale'.
RevolvingOrRampUpPeriodEndDate
Date at which the securitisation’s revolving or ramp-up period is scheduled to cease. Enter the securitisation maturity date if there is a revolving period with no scheduled end date.
CurrentOverCollateralisation
Current overcollateralisation of the securitisation, calculated as the ratio of (the sum of the outstanding principal balance of all underlying exposures, excluding underlying exposures classified as defaulted, as at the data cut-off date) to (the sum of the outstanding principal balance of all tranches/bonds as at the data cut-off date).
UnderlyingExposureType2Code
Specifies the type of underlying exposures of the securitisation. If multiple types from the list are present, enter in 'Mixed' (with the exception of securitisations whose underlying exposures consist exclusively of a combination of consumer loans and automobile loans or leases.For these securitisations the value corresponding to 'Consumer loans' must be entered)
AutomobileLoansOrLeases
Underlying exposure type is automobile loans or leases.
ConsumerLoans
Underlying exposure type is consumer loans.
CommercialMortgages
Underlying exposure type is commercial mortgages.
CreditCardReceivables
Underlying exposure type is credit-card receivables.
Lease
Underlying exposure type is lease.
ResidentialMortgages
Underlying exposure type is residential mortgages.
Mixed
Underlying exposure type is mixed.
SmallAndMediumEnterpriseLoans
Underlying exposure type is small and medium enterprise loans.
NonSmallAndMediumEnterpriseCorporateLoans
Underlying exposure type is non small and medium enterprise corporate loans.
Other
Any other type of underlying exposure.
Value1Choice
Choice between numerical or percentage value.
Numerical
Enter in a numeric value.
Percentage
Enter in a percentage.
WaterfallType2Code
Specifies the closest waterfall arrangement currently applicable to the securitisation.
TurboWaterfall
Waterfall type is turbo waterfall.
SequentialWaterfall
Waterfall type is sequential waterfall.
CurrentlyProRataPossibilityToSwitchToSequential
Waterfall type is Currently Pro-rata, with Possibility to Switch to Sequential in the Future.
CurrentlySequentialPossibilityToSwitchToProRata
Waterfall type is Currently Sequential, with Possibility to Switch to Pro-rata in the Future.
ProRataWaterfall
Waterfall type is pro-rata saterfall.
Other
Other type of waterfall.
YesNoIndicator
Indicates a "Yes" or "No" type of answer for an element.
YesNoIndicator2Choice
Choice between a Yes/No value or no data option.
Indicator
Yes/No indicator.
NoDataOption
Reason for not providing data.
InterestRateSwapBenchmark2Choice
Choice of interest rate swap benchmark.
Code
Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to.
NoDataOption
Reason for not providing data for interest rate swap benchmark.
InterestRateIndex3Choice
Choice of interest rate index.
Code
Specifies the base reference interest index currently applicable (the reference rate off which the interest rate is set.
NoDataOption
Reason for not providing data for the current interest rate index.
InterestRateIndex3Code
Specifies the base reference interest index currently applicable (the reference rate off which the interest rate is set).
EuropeanCentralBankBaseRate
European Central Bank Base Rate (ECBR).
EuroSwiss
Swiss Franc LIBOR rate.
FutureSWAP
Portion of a synthetic curve that is composed of Eurodollar or Treasury or similar Futures and Swap rates. The term usually begins at 3 months to 2 years for the futures strip component with the Swaps filling in the points to 10 years and beyond.
GCFRepo
GCF Repo Index, the Depository Trust & Clearing Corporation (DTCC) general collateral finance repurchase agreements index.
ISDAFIX
Worldwide common reference rate value for fixed interest rate swap rates, as defined by the International Swaps and Derivatives Association (ISDA).
JIBAR
Johannesburg Interbank Agreed Rate.
LenderOwnRate
Lender Own Rate (LDOR).
LIBID
Rate at which major international banks are willing to take deposits from one another, is normally 1/8 percent below LIBOR.
London InterBank Bid Rate, the rate bid by banks on Eurocurrency deposits; the international rate that banks lend to other banks.
LIBOR
London Interbank Offered Rate, the interest rate that major international banks in London charge each other for borrowing.
MOSPRIM
Moscow Prime Offered Rate.
MuniAAA
Benchmark curve used for municipals based on the best credit rating for municipal market debt.
OTHER
Any other rate.
NIBOR
Norwegian Interbank Offered Rate.
Pfandbriefe
Pfandbriefe security is a collateralised bullet bond backed by either mortgage loans or loans to the public sector. Pfandbriefe differ from traditional asset-backed securities in significant ways. The most important difference is that Pfandbriefe carry no pre-payment risk since they remain on the balance sheet of the issuing institution. Therefore, their spreads over sovereign bonds are attributable to liquidity and credit quality alone. New indices have been created and existing indices have been modified in response to the growing importance of the Pfandbriefe market. The Deutsche Borse has three synthetic indices called REX, JEX, and PEX. The Pfandbriefe curve is used as a reference for credit as well as mortgage market.
PRIBOR
Czech Fixing of Interest Rates on Interbank Deposits.
STIBOR
Stockholm Interbank Offered Rate.
SWAP
In curve construction, Swap is the long portion of the curve constituting about 3 years to 30 years term.
The exchange of one security, currency or interest rate for another to change the maturity (bonds), or quality of issues (stocks or bonds), or because investment objectives have changed.
TELBOR
Tel Aviv Interbank Offered Rate.
Treasury
Treasury benchmark that comes in three types: the yield curve, the par curve, and the spot curve. All curves also have a constituent time series.
WIBOR
Warsaw Interbank Offered Rate.
TIBOR
Tokyo Interbank Offered Rate.
BankOfEnglandBaseRate
Bank of England base rate (BOER).
BBSW
Australian Financial Markets Association (AFMA) Bank-Bill Reference Rate (BBSW).
BUBOR
Budapest Interbank Offered Rate.
CDOR
Canadian Dollar Offered Rate.
CIBOR
Copenhagen Interbank Offered Rate.
EONIA
Euro OverNight Index Average rate.
EONIASwaps
Euro OverNight Index Average swap rate.
Euribor
Euro Interbank Offer Rate is the rate at which Euro inter-bank term deposits within the Euro zone are offered by one prime bank to another prime bank.
EURODOLLAR
Rate for the eurodollars, time deposits denominated in U.S. dollars at banks outside the United States, and thus are not under the jurisdiction of the Federal Reserve.
SOFR
Secured Overnight Financing Rate.
SONIA
Sterling Overnight Index Average.
SARON
Swiss Average Rate Overnight.
TONA
Tokyo Overnight Average Rate.
€STR
Euro Short-Term Rate.
SystemOfAccountsSubsector1Choice
Choice of System of Account (SA) classification or no data option.
Code
The SA classification of the guarantor or collateral. This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex 1 to this Regulation.
NoDataOption
Reason for not providing an SA subsector code.
SAIdentifier
The System of Accounts sector, using the codes set out in Table 1 of Annex I to Commission Delegated Regulation (EU) …/… [COMMISSION DELEGATED REGULATION (EU) …/… of XXX supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE]