{
  "url": "https://openlegislation.uk/eu-regulation-2015-3/annex-I",
  "json_url": "https://openlegislation.uk/eu-regulation-2015-3/annex-I.json",
  "legislation": "eur/2015/3",
  "legislation_title": "Commission Delegated Regulation (EU) 2015/3 of 30 September 2014 supplementing Regulation (EC) No 1060/2009 of the European Parliament and of the Council with regard to regulatory technical standards on disclosure requirements for structured finance instruments (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2015-3",
  "path": "annex/I",
  "kind": "annex",
  "number": "I",
  "heading": "Reporting template for structured finance instruments backed by residential mortgages",
  "text": "ASSETS:\nField Name\nStatic/Dynamic\nData Type\nField Definition and Criteria\nPool Cut-off Date\nDynamic\nDate\nPool or portfolio cut-off date. All dates take YYYY-MM-DD format.\nPool Identifier\nStatic\nText/Numeric\nPool or portfolio identifier/name of transaction.\nLoan Identifier\nStatic\nText/Numeric\nUnique identifier (ID) for each loan. The loan ID should not change through the life of the transaction.\nOriginator\nStatic\nText\nLender that advanced the original loan.\nServicer Identifier\nStatic\nText/Numeric\nUnique identifier per servicer to flag which entity is servicing the loan.\nBorrower Identifier\nStatic\nText/Numeric\nUnique 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.\nProperty Identifier\nStatic\nText/Numeric\nUnique 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).\nBorrower Information\nBorrower’s Employment Status\nStatic\nList\nEmployment status of the primary applicant.\nPrimary Income\nStatic\nNumeric\nPrimary borrower underwritten gross annual income (not rent).\nIncome Verification for Primary Income\nStatic\nList\nIncome verification for primary income.\nLoan Characteristics\nLoan Origination Date\nStatic\nDate/Numeric\nDate of original loan advance.\nDate of Loan Maturity\nDynamic\nDate/Numeric\nThe date of loan maturity.\nPurpose\nStatic\nList\nLoan purpose.\nLoan Term\nStatic\nNumeric\nOriginal contractual term (number of months).\nLoan Currency Denomination\nStatic\nList\nThe loan currency denomination.\nOriginal Balance\nStatic\nNumeric\nOriginal loan balance (inclusive of fees).\nCurrent Balance\nDynamic\nNumeric\nAmount 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.\nRepayment Method\nStatic\nList\nType of principal repayment.\nPayment Frequency\nStatic\nList\nFrequency of payments due, i.e. number of months between payments.\nPayment Due\nDynamic\nNumeric\nPeriodic contractual payment due (the payment due if there are no other payment arrangements in force).\nPayment Type\nStatic\nList\nPrincipal payment type.\nInterest Rate\nInterest Rate Type\nStatic\nList\nInterest rate type.\nCurrent Interest Rate Index\nDynamic\nList\nCurrent interest rate index (the reference rate off which the mortgage interest rate is set).\nCurrent Interest Rate\nDynamic\nNumeric\nCurrent interest rate (%).\nCurrent Interest Rate Margin\nDynamic\nNumeric\nCurrent 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).\nInterest Rate Reset Interval\nDynamic\nNumeric\nThe interval in months at which the interest rate is adjusted (for floating loans).\nRevision Margin 1\nDynamic\nNumeric\nThe margin (%) for the loan at the first revision date.\nInterest Revision Date 1\nDynamic\nDate/Numeric\nDate interest rate next changes (e.g. discount margin changes, fixed period ends, loan re-fixed etc. This is not the next LIBOR reset date).\nRevision Margin 2\nDynamic\nNumeric\nThe margin (%) for the loan at the second revision date.\nInterest Revision Date 2\nDynamic\nDate/Numeric\nDate of second interest rate change.\nRevision Margin 3\nDynamic\nNumeric\nThe margin (%) for the loan at the third revision date.\nInterest Revision Date 3\nDynamic\nDate/Numeric\nDate of third interest rate change.\nRevised Interest Rate Index\nDynamic\nList\nNext interest rate index.\nProperty and Additional Collateral\nProperty Postcode\nStatic\nText/Numeric\nFirst two or three characters must be provided at a minimum.\nProperty Type\nStatic\nList\nProperty type.\nOriginal Loan to Value\nStatic\nNumeric\nOriginator’s original underwritten Loan To Value ratio (LTV). For second lien loans this should be the combined or total LTV.\nValuation Amount\nStatic\nNumeric\nProperty value as of date of latest loan advance prior to a securitisation. Valuation amounts should be in the same currency as the loan.\nOriginal Valuation Type\nStatic\nList\nValuation type at origination.\nValuation Date\nStatic\nDate/Numeric\nDate of latest property valuation at time of latest loan advance prior to a securitisation.\nCurrent Loan to Value\nDynamic\nNumeric\nOriginator’s current Loan to Value ratio (LTV). For second lien loans this should be the combined or total LTV.\nCurrent Valuation Amount\nDynamic\nNumeric\nMost 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.\nCurrent Valuation Type\nDynamic\nList\nCurrent valuation type.\nCurrent Valuation Date\nDynamic\nDate/Numeric\nThe date of most recent valuation.\nPerformance Information\nAccount Status\nDynamic\nList\nCurrent status of account.\nArrears Balance\nDynamic\nNumeric\nCurrent 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.\nNumber Months in Arrears\nDynamic\nNumeric\nNumber of months this loan is in arrears (at pool cut-off date) according to the definition of the issuer.\nArrears 1 Month Ago\nDynamic\nNumeric\nArrears balance (defined as per ‘arrears balance’) for the previous month.\nArrears 2 Months Ago\nDynamic\nNumeric\nArrears balance (defined as per ‘arrears balance’) two months ago.\nLitigation\nDynamic\nY/N\nFlag to indicate litigation proceedings underway.\nRedemption Date\nDynamic\nDate/Numeric\nDate on which account redeemed.\nDefault or Foreclosure\nDynamic\nNumeric\nTotal default amount before the application of sale proceeds and recoveries.\nDate of Default or Foreclosure\nDynamic\nNumeric\nThe date of default or foreclosure.\nSale Price lower limit\nDynamic\nNumeric\nPrice achieved on sale of property in case of foreclosure, rounded down to nearest 10k.\nLoss on Sale\nDynamic\nNumeric\nTotal loss net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries).\nCumulative Recoveries\nDynamic\nNumeric\nCumulative recoveries — only relevant for cases with losses.\nBOND INFO:\nField Name\nStatic/Dynamic\nData Type\nField Definition and Criteria\nFields at Security or Bond Level Data\nReport Date\nDynamic\nDate\nThe date on which the transaction report was issued. All dates take YYYY-MM-DD format.\nIssuer\nStatic\nText\nName of issuer and issue series, if applicable.\nDrawings under Liquidity Facility\nDynamic\nY/N\nConfirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date.\nFields at Collateral Level Data\nTrigger Measurements/Ratios\nDynamic\nY/N\nThe 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?\nAverage Constant Pre-payment Rate\nDynamic\nNumeric\nThe 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:\nAverage CPR = 100 1 − Current Residential Mortgage Loan Principal Balance Scheduled Residential Mortgage Loan Principal Balance 12 Months since issue\nTransaction Report Contact Information\nPoint Contact\nStatic\nText\nName of the department or the point person(s) of the information sources.\nContact Information\nStatic\nText\nTelephone number and e-mail address.\nBOND INFO BY TRANCHE:\nField Name\nStatic/Dynamic\nData Type\nField Definition and Criteria\nFields at Tranche Level\nBond Class Name\nStatic\nText/Numeric\nThe 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.\nInternational Securities Identification Number\nStatic\nText/Numeric\nThe 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.\nInterest Payment Date\nDynamic\nDate\nThe 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.\nPrincipal Payment Date\nDynamic\nDate\nThe 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.\nCurrency\nStatic\nText\nThe unit(s) of exchange in which security-level balance(s) and payments are reported.\nReference Rate\nStatic\nList\nThe 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.\nBond Issue Date\nStatic\nDate\nDate the bonds were issued.",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2015/3/annex/I",
    "retrieved_at": "2026-11-01T14:46:58.999912+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}