# 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 V: Loan Level Data — Reporting template for structured finance instruments backed by loans to consumers Extent: E+W+S+N.I. ASSETS: Field Name Static/Dynamic Data Type Field Definition and Criteria Deal-Specific Information Pool Cut-off Date Dynamic YYYY-MM-DD Pool or Portfolio cut-off date. This is the date at which the underlying asset data within the report is referenced. Pool Identifier Static Text/Numeric Pool or Portfolio identifier/name of transaction. Servicer Name Dynamic Text/Numeric Unique identifier per servicer to flag which entity is servicing the loan. Backup Servicer Name Dynamic Text Name of the Backup Servicer. Loan Level Information Loan Identifier Static Text/Numeric Unique identifier for a particular loan in the pool. Originator Static Text Lender that advanced the original loan. Borrower Identifier Static Text/Numeric Unique identifier for a borrower. This must be encrypted (i.e. not the actual identification number) to ensure anonymity of the borrower. Loan Currency Denomination Static List Loan currency denomination. Total Credit Limit Dynamic 9(11).99 For loans with flexible re-draw/revolving characteristics — the maximum loan amount that could potentially be outstanding. Revolving End Date - Loan Dynamic YYYY-MM For loans with flexible re-draw/revolving characteristics — the date when the flexible features are expected to expire, i.e. when the revolving period will end. Borrower's Employment Status Static List Employment status of the primary applicant. Primary Income Static 9(11).99 Primary borrower underwritten gross annual income (not rent). Should be rounded to the nearest 1 000 units. Primary Income Currency Static List The income currency denomination. Income Verification for Primary Income Static List Income verification for primary income. Geographic Region Static List The region where the borrower is located. Origination Date Static YYYY-MM Date of original loan advance. Expected Loan Maturity Dynamic YYYY-MM The expected date of maturity of the loan. Original Loan Term Static Numeric Original contractual term (number of months). Pool Addition Date Static YYYY-MM The date that the loan was transferred to the SPV. Original Principal Balance Static 9(11).99 Original loan principal balance (inclusive of capitalised fees) at origination. Current Principal Outstanding Balance Dynamic 9(11).99 The loan principal balance outstanding as of the pool cut-off date. Exclude any interest arrears or penalty amounts. Scheduled Payment Due Dynamic 9(11).99 The next contractual scheduled payment due (the payment due if there are no other payment arrangements in force). Scheduled Payment Frequency Dynamic List Payment frequency. Repayment Method Dynamic List Type of principal repayment. Interest Rate Reset Interval Static 9(2).99 Number of months between each interest rate reset date. Current Interest Rate Dynamic 9(4).9(8) Total current interest rate (%) applicable to the loan. Do not include the % symbol. Current Interest Rate Basis Dynamic List Current interest rate basis. Current Interest Rate Margin Dynamic 9(4).9(5) Current interest rate (%) margin of the loan. For fixed-rate loans, this is the same as Current Interest Rate. Number of Borrowers Dynamic Numeric Number of borrowers to the loan. Percentage of Prepayments allowed Dynamic 9(3).99 Maximum percentage of the outstanding balance allowed annually as a prepayment without incurring a penalty. Do not include the % symbol. Early Repayment Charges Dynamic 9(3).99 Percentage of the outstanding balance which is payable as a charge if the prepayment limit is exceeded. Do not include the % symbol. Customer Type Static List Customer type at origination. Payment Method Dynamic List Usual method of payment (can be based upon last payment received). Date Removed from the Pool Dynamic YYYY-MM Date that the loan was removed from the pool, e.g. on repurchase, redemption, prepayment or end of recovery process. Employee Static Y/N Is the borrower an employee of the originator? Interest Cap Rate Dynamic 9(4).9(8) If there is a cap to the interest rate that can be charged on this account, enter this cap here. Interest Floor Rate Dynamic 9(4).9(8) If there is a floor to the interest rate that can be charged on this account, enter this floor here. Performance Information Arrears Balance Dynamic 9(11).99 Current balance of arrears, defined as the sum of minimum contractual payments due but unpaid by the borrower. Number of Months in Arrears Dynamic 9(5).99 Number of months the loan is in arrears as of the pool cut-off date. Default Date Dynamic YYYY-MM The date of default. Gross Default Amount Dynamic 9(11).99 Gross default amount on this account. Cumulative Recoveries Dynamic 9(11).99 Cumulative recoveries on this account, net of costs. Redemption Date Dynamic YYYY-MM Date on which account redeemed or the date that the recovery process was completed for defaulted loans. Account Status Dynamic List Current status of account. Arrears Balance Capitalised Dynamic 9(11).99 Sum of arrears capitalised to date. Date of Most Recent Arrears Capitalisation Dynamic YYYY-MM Most recent date that arrears were capitalised on this account. BOND INFO: Field Name Dynamic/Static Data Type Field Definition and Criteria Security or Bond Level Information Report Date Dynamic YYYY-MM-DD The date on which the transaction report was issued, i.e. the submission date of the completed loan-level data template to the data repository. Issuer Static Text Name of issuer and issue series, if applicable. All Reserve Accounts at Target Balance Dynamic Y/N Are all reserve accounts (cash reserve, commingling reserve, set-off reserve etc.) at their required levels? Drawings under Liquidity Facility Dynamic Y/N Has the liquidity facility been used to cover shortfalls in the period ending on the last interest payment date? Trigger Measurements/Ratios Dynamic Y/N Has any trigger event occurred? Annualised Constant Prepayment Rate Dynamic 9(3).99 The annualised Constant Prepayment Rate (CPR) of the underlying receivables based upon the most recent periodic CPR. Periodic CPR is equal to the total unscheduled principal received in the most recent period divided by the start of period principal balance. This is then annualised as follows: 1-((1-Periodic CPR)^number of periods in a year) Do not include the % symbol. Total Receivables Sold to SPV Dynamic 9(11).99 Sum of principal amount of receivables sold to SPV (i.e. at closing and during the replenishment period if applicable) to date. Cumulative Gross Defaults – Pool Dynamic 9(11).99 Sum of all gross defaults since closing, in currency amount. Cumulative Recoveries - Pool Dynamic 9(11).99 Sum of all recoveries in the pool since closing, net of costs, in currency amount. Revolving Period End Date Dynamic YYYY-MM The date that the transaction revolving period is expected to end, or actually ended. Transaction Report Contact Information Point Contact Static Text/Numeric Name of the department and the point person(s) of the information sources. Contact Information Static Text/Numeric Telephone number and e-mail address. BOND INFO BY TRANCHE: Field Name Static/Dynamic Data Type Field Definition and Criteria Tranche Level Information 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 A1a 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 YYYY-MM-DD The first occurring date, after the pool cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche. Principal Payment Date Dynamic YYYY-MM-DD The first occurring date, after the pool cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche. Bond Currency Static List The denomination of this tranche. Reference Rate Static List The base reference interest index as defined in the prospectus applicable to this specific tranche. Legal Maturity Static YYYY-MM-DD The date by which this specific tranche must be fully repaid in order not to be in default. Bond Issue Date Static YYYY-MM-DD Date the bonds were issued. Interest Payment Frequency Static List The frequency with which interest is due to be paid on this tranche. --- Source: https://www.legislation.gov.uk/eur/2015/3/annex/V (the official version) Page: https://openlegislation.uk/eu-regulation-2015-3/annex-V Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.