# 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), Annex I: Reporting template for structured finance instruments backed by residential mortgages Extent: E+W+S+N.I. 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 − Current Residential Mortgage Loan Principal Balance Scheduled Residential Mortgage Loan Principal Balance 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. --- Source: https://www.legislation.gov.uk/eur/2015/3/annex/I (the official version) Page: https://openlegislation.uk/eu-regulation-2015-3/annex-I Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.