Annex I Reporting template for structured finance instruments backed by residential mortgages

United Kingdom

ASSETS:

Field Name	Static/Dynamic	Data Type	Field Definition and Criteria
Pool Cut-off Date	Dynamic	Date	Pool or portfolio cut-off date. All dates take YYYY-MM-DD format.
Pool Identifier	Static	Text/Numeric	Pool or portfolio identifier/name of transaction.
Loan Identifier	Static	Text/Numeric	Unique identifier (ID) for each loan. The loan ID should not change through the life of the transaction.
Originator	Static	Text	Lender that advanced the original loan.
Servicer Identifier	Static	Text/Numeric	Unique identifier per servicer to flag which entity is servicing the loan.
Borrower Identifier	Static	Text/Numeric	Unique identifier (ID) per borrower (not showing the real name) — to enable borrowers with multiple loans in the pool to be identified (e.g. further advances/second liens are shown as separate entries). The borrower ID should not change over the life of the transaction.
Property Identifier	Static	Text/Numeric	Unique identifier per property to enable properties with multiple loans in the pool to be identified (e.g. further advances/second liens are shown as separate entries).
Borrower Information
Borrower’s Employment Status	Static	List	Employment status of the primary applicant.
Primary Income	Static	Numeric	Primary borrower underwritten gross annual income (not rent).
Income Verification for Primary Income	Static	List	Income verification for primary income.
Loan Characteristics
Loan Origination Date	Static	Date/Numeric	Date of original loan advance.
Date of Loan Maturity	Dynamic	Date/Numeric	The date of loan maturity.
Purpose	Static	List	Loan purpose.
Loan Term	Static	Numeric	Original contractual term (number of months).
Loan Currency Denomination	Static	List	The loan currency denomination.
Original Balance	Static	Numeric	Original loan balance (inclusive of fees).
Current Balance	Dynamic	Numeric	Amount of loan outstanding as of pool cut-off date, This should include any amounts that are secured by the mortgage and will be classed as principal in the transaction.
Repayment Method	Static	List	Type of principal repayment.
Payment Frequency	Static	List	Frequency of payments due, i.e. number of months between payments.
Payment Due	Dynamic	Numeric	Periodic contractual payment due (the payment due if there are no other payment arrangements in force).
Payment Type	Static	List	Principal payment type.
Interest Rate
Interest Rate Type	Static	List	Interest rate type.
Current Interest Rate Index	Dynamic	List	Current interest rate index (the reference rate off which the mortgage interest rate is set).
Current Interest Rate	Dynamic	Numeric	Current interest rate (%).
Current Interest Rate Margin	Dynamic	Numeric	Current interest rate margin (for fixed rate loans this is the same as the current interest rate, for floating rate loans this is the margin over (or under if input as a negative) the index rate).
Interest Rate Reset Interval	Dynamic	Numeric	The interval in months at which the interest rate is adjusted (for floating loans).
Revision Margin 1	Dynamic	Numeric	The margin (%) for the loan at the first revision date.
Interest Revision Date 1	Dynamic	Date/Numeric	Date interest rate next changes (e.g. discount margin changes, fixed period ends, loan re-fixed etc. This is not the next LIBOR reset date).
Revision Margin 2	Dynamic	Numeric	The margin (%) for the loan at the second revision date.
Interest Revision Date 2	Dynamic	Date/Numeric	Date of second interest rate change.
Revision Margin 3	Dynamic	Numeric	The margin (%) for the loan at the third revision date.
Interest Revision Date 3	Dynamic	Date/Numeric	Date of third interest rate change.
Revised Interest Rate Index	Dynamic	List	Next interest rate index.
Property and Additional Collateral
Property Postcode	Static	Text/Numeric	First two or three characters must be provided at a minimum.
Property Type	Static	List	Property type.
Original Loan to Value	Static	Numeric	Originator’s original underwritten Loan To Value ratio (LTV). For second lien loans this should be the combined or total LTV.
Valuation Amount	Static	Numeric	Property value as of date of latest loan advance prior to a securitisation. Valuation amounts should be in the same currency as the loan.
Original Valuation Type	Static	List	Valuation type at origination.
Valuation Date	Static	Date/Numeric	Date of latest property valuation at time of latest loan advance prior to a securitisation.
Current Loan to Value	Dynamic	Numeric	Originator’s current Loan to Value ratio (LTV). For second lien loans this should be the combined or total LTV.
Current Valuation Amount	Dynamic	Numeric	Most recent valuation amount (if, for example, at repossession there were multiple valuations, this should reflect the lowest). Valuation amounts should be in the same currency as the loan.
Current Valuation Type	Dynamic	List	Current valuation type.
Current Valuation Date	Dynamic	Date/Numeric	The date of most recent valuation.
Performance Information
Account Status	Dynamic	List	Current status of account.
Arrears Balance	Dynamic	Numeric	Current balance of arrears. Arrears defined as: total payments due to date LESS total payments received to date LESS any amounts capitalised. This should not include any fees applied to the account.
Number Months in Arrears	Dynamic	Numeric	Number of months this loan is in arrears (at pool cut-off date) according to the definition of the issuer.
Arrears 1 Month Ago	Dynamic	Numeric	Arrears balance (defined as per ‘arrears balance’) for the previous month.
Arrears 2 Months Ago	Dynamic	Numeric	Arrears balance (defined as per ‘arrears balance’) two months ago.
Litigation	Dynamic	Y/N	Flag to indicate litigation proceedings underway.
Redemption Date	Dynamic	Date/Numeric	Date on which account redeemed.
Default or Foreclosure	Dynamic	Numeric	Total default amount before the application of sale proceeds and recoveries.
Date of Default or Foreclosure	Dynamic	Numeric	The date of default or foreclosure.
Sale Price lower limit	Dynamic	Numeric	Price achieved on sale of property in case of foreclosure, rounded down to nearest 10k.
Loss on Sale	Dynamic	Numeric	Total loss net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries).
Cumulative Recoveries	Dynamic	Numeric	Cumulative recoveries — only relevant for cases with losses.

BOND INFO:

Field Name	Static/Dynamic	Data Type	Field Definition and Criteria
Fields at Security or Bond Level Data
Report Date	Dynamic	Date	The date on which the transaction report was issued. All dates take YYYY-MM-DD format.
Issuer	Static	Text	Name of issuer and issue series, if applicable.
Drawings under Liquidity Facility	Dynamic	Y/N	Confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date.
Fields at Collateral Level Data
Trigger Measurements/Ratios	Dynamic	Y/N	The status of various delinquency, dilution, default, loss and similar collateral measurements and ratios in relation to their early amortisation or other trigger event levels, as at the current determination date. Has any trigger event occurred?
Average Constant Pre-payment Rate	Dynamic	Numeric	The report shall include the Average (Avg) Constant Pre-payment Rate (CPR) speed of the underlying residential mortgage loans. In some jurisdictions, the mortgage pool may also include commercial loans. Avg CPR speed is the amount expressed as an annualised percentage of principal prepaid in excess of scheduled repayments. The Avg CPR speed is calculated by first dividing the Current Residential Mortgage Loan Principal Balance (i.e. the actual balance) by the Scheduled Residential Mortgage Loan Principal Balance assuming no pre-payments have been made (i.e. only scheduled repayments have been made). This quotient is then raised to a power whereby the exponent is the quantity twelve divided by the number of months since issue. Subtract this result from one then multiply it by one hundred (100) to determine the Avg CPR speed. This calculation is expressed as follows: $Average CPR = 100 (1 - ({(\frac{Current Residential Mortgage Loan Principal Balance}{Scheduled Residential Mortgage Loan Principal Balance})}^{\frac{12}{Months since issue}}))$
Transaction Report Contact Information
Point Contact	Static	Text	Name of the department or the point person(s) of the information sources.
Contact Information	Static	Text	Telephone number and e-mail address.

BOND INFO BY TRANCHE:

Field Name	Static/Dynamic	Data Type	Field Definition and Criteria
Fields at Tranche Level
Bond Class Name	Static	Text/Numeric	The designation (typically a letter and/or number) given to a tranche of RMBS which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1 etc.
International Securities Identification Number	Static	Text/Numeric	The international security identification code or codes, or if no ISIN, then any other unique securities code such as a CUSIP, assigned to this tranche by an exchange or other entity. If more than one code, enter comma-delimited.
Interest Payment Date	Dynamic	Date	The periodic date on which a payment of interest to holders of a specific tranche of residential mortgage backed structured finance instrument is scheduled to occur.
Principal Payment Date	Dynamic	Date	The periodic date on which a payment of principal to holders of a specific tranche of residential mortgage backed structured finance instrument is scheduled to occur.
Currency	Static	Text	The unit(s) of exchange in which security-level balance(s) and payments are reported.
Reference Rate	Static	List	The base reference interest index as defined in the offering document (e.g. three months Euribor) applicable to a specific tranche of residential mortgage backed structured finance instrument.
Bond Issue Date	Static	Date	Date the bonds were issued.