{
  "url": "https://openlegislation.uk/eu-regulation-2015-3/annex-III",
  "json_url": "https://openlegislation.uk/eu-regulation-2015-3/annex-III.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/III",
  "kind": "annex",
  "number": "III",
  "heading": "Loan Level Data — Reporting template for structured finance instruments backed by loans to small and medium-sized enterprises",
  "text": "ASSETS:\nField Name\nStatic/Dynamic\nData Type\nField Definition and Criteria\nPool Cut-off Date\nDynamic\nDate\nCurrent pool or portfolio cut-off date.\nPool Identifier\nStatic\nText/Numeric\nThe unique transaction or pool identification string/transaction name.\nLoan Identifier\nStatic\nText/Numeric\nUnique identifier for each loan.\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.\nServicer Name\nDynamic\nText\nServicer name.\nBorrower Identifier\nStatic\nText/Numeric\nUnique identifier per borrower — to enable borrowers with multiple loans in the pool to be identified (e.g. further advances/other loans shown as separate entries)\nObligor Information\nCountry\nStatic\nList\nCountry of permanent establishment.\nPostcode\nStatic\nText\nFirst two or three characters must be provided at a minimum. Do not supply the full postcode.\nObligor Legal Form/Business Type\nStatic\nList\nBorrower Basel III Segment\nStatic\nList\nOriginator Affiliate?\nStatic\nY/N\nIs the borrower an affiliate of the originator?\nAsset Type\nStatic\nList\nSeniority\nDynamic\nList\nBank Internal Loss Given Default (LGD) Estimate\nDynamic\nNumeric\nLoss Given Default in normal economic conditions.\nNACE Industry Code\nStatic\nText/Numeric\nBorrower industry NACE Code.\nLease characteristics\nLoan Origination Date\nStatic\nDate\nDate of original loan advance.\nFinal Maturity Date\nStatic\nDate\nFinal maturity date of the loan.\nLoan Denomination Currency\nStatic\nList\nLoan denomination.\nLoan Hedged\nDynamic\nY/N\nHas the specific loan been hedged for currency risk?\nOriginal Loan Balance\nStatic\nNumeric\nOriginal total loan balance.\nCurrent Balance\nDynamic\nNumeric\nAmount of loan outstanding as of pool cut-off date, This should include any amounts that are classed as principal in the transaction. For example if fees have been added to the loan balance and are part of the principal in the transaction these should be added. Excluding any interest arrears or penalty amounts.\nSecuritised Loan Amount\nStatic\nNumeric\nBalance of the securitised loan as of the cut-off date\nPrincipal Payment Frequency\nStatic\nList\nFrequency of principal payments due, i.e. number of months between payments.\nInterest Payment Frequency\nStatic\nList\nFrequency of interest payments due, i.e. number of months between payments.\nAmortisation Type\nDynamic\nList\nAmortisation type.\nType of Loan\nStatic\nList\nBalloon Amount\nDynamic\nNumeric\nThe balloon payment amount\nPayment type\nDynamic\nList\nInterest Rate\nCurrent Interest Rate\nDynamic\nNumeric\nCurrent interest rate (%)\nInterest Cap Rate\nDynamic\nNumeric\nInterest rate cap (%).\nInterest Floor Rate\nStatic\nNumeric\nInterest rate floor (%).\nInterest Rate Type\nDynamic\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 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 Reset Period\nStatic\nList\nPerformance Information\nInterest Arrears Amount\nDynamic\nNumeric\nCurrent balance of interest arrears.\nNumber of Days in Interest Arrears\nDynamic\nNumeric\nNumber of days this loan is in arrears (at pool cut-off date) according to the definition of the issuer\nPrincipal Arrears Amount\nDynamic\nNumeric\nCurrent balance of principal arrears. Arrears defined as: Total principal payments due to date LESS Total principal payments received to date LESS any amounts capitalised.\nNumber of Days in Principal Arrears\nDynamic\nNumeric\nNumber of days this loan is in arrears (at pool cut-off date) according to the definition of the issuer.\nDefault or Foreclosure on the loan per the transaction definition\nDynamic\nY/N\nWhether there has been a default or foreclosure on the loan per the transaction definition.\nDefault or Foreclosure on the loan per Basel III definition\nDynamic\nY/N\nWhether there has been a default or foreclosure on the loan per Basel III definition.\nReason for Default (Basel II definition)\nDynamic\nList\nUsing Basel II Definition Reason for default.\nDefault Date\nDynamic\nDate\nDate the loan defaulted per the transaction default definition.\nDefault Amount\nDynamic\nNumeric\nTotal default amount (per the transaction default definition) before the application of sale proceeds and recoveries.\nCumulative Recoveries\nDynamic\nNumeric\nTotal recoveries including all sale proceeds. Only relevant for loans that have defaulted/foreclosed.\nAllocated Losses\nDynamic\nNumeric\nThe allocated losses to date.\nDate Loss Allocated\nDynamic\nDate\nThe date when the loss was allocated.\nAMORTISATION PROFILE:\nField Name\nStatic/Dynamic\nData Type\nField Definition and Criteria\nOutstanding Balance Period 1\nDynamic\nNumeric\nAmortisation Profile with 0 % prepayments\nOutstanding Balance Period 1 Date\nDynamic\nDate\nDate associated with Period 1 Balance\nOutstanding Balance Period [2-120]\nDynamic\nNumeric\nAmortisation Profile with 0 % prepayments\nOutstanding Balance Period [2-120] Date\nDynamic\nDate\nDate associated with Period [2-120] Balance\nCOLLATERAL:\nField Name\nStatic/Dynamic\nData Type\nField Definition and Criteria\nCollateral\nCollateral ID\nStatic\nText\nUnique collateral code for the originating entity.\nLoan Identifier\nStatic\nText/Numeric\nUnique loan identifier associated with the collateral. These should match the identifiers from field ‘Loan Identifier’.\nSecurity Type\nStatic\nList\nIs there a fixed or floating charge over the assets?\nCollateral Type\nStatic\nList\nCollateral type.\nOriginal Valuation Amount\nStatic\nNumeric\nProperty value as of date of latest loan advance prior to a securitisation.\nOriginal Valuation Date\nStatic\nDate\nDate of latest property valuation at time of latest loan advance prior to a securitisation.\nCurrent Valuation Date\nDynamic\nDate\nThis should be the date of the most recent valuation.\nOriginal Valuation Type\nStatic\nList\nValuation type at origination.\nRanking\nDynamic\nText\nProperty Postcode\nStatic\nText\nFirst two or three characters must be provided at a minimum.\nOrigination Channel/Arranging Bank or Division\nStatic\nList\nCollateral Currency\nStatic\nList\nThis should be the currency relating to the valuation amount in ‘Collateral Value’.\nNumber of Collateral Items Securing The Loan\nDynamic\nNumeric\nThe total number of collateral pieces securing the loan. The number should reflect the number of collateral reports submitted for the loan in the current file.\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.\nIssuer\nStatic\nText\nName of issuer and issue series, if applicable.\nDrawings under Liquidity Facility\nDynamic\nY/N\nIf the transaction has a liquidity facility confirm 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\nHave any trigger event occurred? 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.\nAverage Constant Pre-payment Rate\nDynamic\nNumeric\nThe report shall include the Average (Avg) Constant Pre-payment Rate (CPR) speed of the underlying 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 Loan Principal Balance (i.e. the actual balance) by the Scheduled 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.\nFields for Transaction 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 Bonds 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 security identification code assigned to each class of SME pursuant to standards established by the International Standards Organisation (ISIN) or other unique securities code established by an exchange or other entity.\nInterest Payment Date\nDynamic\nDate\nThe periodic date on which the last payment of interest to holders of a specific tranche of bonds is scheduled to occur.\nPrincipal Payment Date\nDynamic\nDate\nThe last periodic date on which a payment of principal to holders of a specific tranche of bonds is scheduled to occur.\nBond Currency\nStatic\nText\nBond denomination.\nReference Rate\nStatic\nList\nThe base reference interest index as defined in the offering document (e.g. three-month Euribor) applicable to a specific tranche of bonds.\nLegal Maturity\nStatic\nDate\nThe date before which a specific tranche of bonds must be repaid in order not to be in default.\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/III",
    "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."
}