# 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 III: Loan Level Data — Reporting template for structured finance instruments backed by loans to small and medium-sized enterprises Extent: E+W+S+N.I. ASSETS: Field Name Static/Dynamic Data Type Field Definition and Criteria Pool Cut-off Date Dynamic Date Current pool or portfolio cut-off date. Pool Identifier Static Text/Numeric The unique transaction or pool identification string/transaction name. Loan Identifier Static Text/Numeric Unique identifier for each loan. 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. Servicer Name Dynamic Text Servicer name. Borrower Identifier Static Text/Numeric Unique 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) Obligor Information Country Static List Country of permanent establishment. Postcode Static Text First two or three characters must be provided at a minimum. Do not supply the full postcode. Obligor Legal Form/Business Type Static List Borrower Basel III Segment Static List Originator Affiliate? Static Y/N Is the borrower an affiliate of the originator? Asset Type Static List Seniority Dynamic List Bank Internal Loss Given Default (LGD) Estimate Dynamic Numeric Loss Given Default in normal economic conditions. NACE Industry Code Static Text/Numeric Borrower industry NACE Code. Lease characteristics Loan Origination Date Static Date Date of original loan advance. Final Maturity Date Static Date Final maturity date of the loan. Loan Denomination Currency Static List Loan denomination. Loan Hedged Dynamic Y/N Has the specific loan been hedged for currency risk? Original Loan Balance Static Numeric Original total loan balance. Current Balance Dynamic Numeric Amount 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. Securitised Loan Amount Static Numeric Balance of the securitised loan as of the cut-off date Principal Payment Frequency Static List Frequency of principal payments due, i.e. number of months between payments. Interest Payment Frequency Static List Frequency of interest payments due, i.e. number of months between payments. Amortisation Type Dynamic List Amortisation type. Type of Loan Static List Balloon Amount Dynamic Numeric The balloon payment amount Payment type Dynamic List Interest Rate Current Interest Rate Dynamic Numeric Current interest rate (%) Interest Cap Rate Dynamic Numeric Interest rate cap (%). Interest Floor Rate Static Numeric Interest rate floor (%). Interest Rate Type Dynamic 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 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 Reset Period Static List Performance Information Interest Arrears Amount Dynamic Numeric Current balance of interest arrears. Number of Days in Interest Arrears Dynamic Numeric Number of days this loan is in arrears (at pool cut-off date) according to the definition of the issuer Principal Arrears Amount Dynamic Numeric Current balance of principal arrears. Arrears defined as: Total principal payments due to date LESS Total principal payments received to date LESS any amounts capitalised. Number of Days in Principal Arrears Dynamic Numeric Number of days this loan is in arrears (at pool cut-off date) according to the definition of the issuer. Default or Foreclosure on the loan per the transaction definition Dynamic Y/N Whether there has been a default or foreclosure on the loan per the transaction definition. Default or Foreclosure on the loan per Basel III definition Dynamic Y/N Whether there has been a default or foreclosure on the loan per Basel III definition. Reason for Default (Basel II definition) Dynamic List Using Basel II Definition Reason for default. Default Date Dynamic Date Date the loan defaulted per the transaction default definition. Default Amount Dynamic Numeric Total default amount (per the transaction default definition) before the application of sale proceeds and recoveries. Cumulative Recoveries Dynamic Numeric Total recoveries including all sale proceeds. Only relevant for loans that have defaulted/foreclosed. Allocated Losses Dynamic Numeric The allocated losses to date. Date Loss Allocated Dynamic Date The date when the loss was allocated. AMORTISATION PROFILE: Field Name Static/Dynamic Data Type Field Definition and Criteria Outstanding Balance Period 1 Dynamic Numeric Amortisation Profile with 0 % prepayments Outstanding Balance Period 1 Date Dynamic Date Date associated with Period 1 Balance Outstanding Balance Period [2-120] Dynamic Numeric Amortisation Profile with 0 % prepayments Outstanding Balance Period [2-120] Date Dynamic Date Date associated with Period [2-120] Balance COLLATERAL: Field Name Static/Dynamic Data Type Field Definition and Criteria Collateral Collateral ID Static Text Unique collateral code for the originating entity. Loan Identifier Static Text/Numeric Unique loan identifier associated with the collateral. These should match the identifiers from field ‘Loan Identifier’. Security Type Static List Is there a fixed or floating charge over the assets? Collateral Type Static List Collateral type. Original Valuation Amount Static Numeric Property value as of date of latest loan advance prior to a securitisation. Original Valuation Date Static Date Date of latest property valuation at time of latest loan advance prior to a securitisation. Current Valuation Date Dynamic Date This should be the date of the most recent valuation. Original Valuation Type Static List Valuation type at origination. Ranking Dynamic Text Property Postcode Static Text First two or three characters must be provided at a minimum. Origination Channel/Arranging Bank or Division Static List Collateral Currency Static List This should be the currency relating to the valuation amount in ‘Collateral Value’. Number of Collateral Items Securing The Loan Dynamic Numeric The 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. 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. Issuer Static Text Name of issuer and issue series, if applicable. Drawings under Liquidity Facility Dynamic Y/N If 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. Fields at Collateral Level Data Trigger Measurements/Ratios Dynamic Y/N Have 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. Average Constant Pre-payment Rate Dynamic Numeric The 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. Fields for 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 Bonds 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 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. Interest Payment Date Dynamic Date The periodic date on which the last payment of interest to holders of a specific tranche of bonds is scheduled to occur. Principal Payment Date Dynamic Date The last periodic date on which a payment of principal to holders of a specific tranche of bonds is scheduled to occur. Bond Currency Static Text Bond denomination. Reference Rate Static List The base reference interest index as defined in the offering document (e.g. three-month Euribor) applicable to a specific tranche of bonds. Legal Maturity Static Date The date before which a specific tranche of bonds must be repaid in order not to be in default. Bond Issue Date Static Date Date the bonds were issued. --- Source: https://www.legislation.gov.uk/eur/2015/3/annex/III (the official version) Page: https://openlegislation.uk/eu-regulation-2015-3/annex-III Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.