Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Underlying exposures information section

RREL1

Unique Identifier

The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Commission Delegated Regulation (EU) 2020/1224 (1).

NO

NO

RREL2

Original Underlying Exposure Identifier

Unique underlying exposure identifier. The identifier must be different from any external identification number to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

RREL3

New Underlying Exposure Identifier

If the original identifier in field RREL2 cannot be maintained in this field, enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in RREL2. The reporting entity must not amend this unique identifier.

NO

NO

RREL4

Original Obligor Identifier

Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

RREL5

New Obligor Identifier

If the original identifier in field RREL4 cannot be maintained in this field, enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in RREL4. The reporting entitymust not amend this unique identifier.

NO

NO

RREL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

RREL7

Pool Addition Date

The date on which the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available, enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.

NO

YES

RREL8

Date Of Repurchase

Date on which the underlying exposure was repurchased from the pool.

NO

YES

RREL9

Redemption Date

Date on which account redeemed or (for defaulted underlying exposures) the date on which the recovery process was completed.

NO

YES

RREL10

Resident

Is the primary obligor a resident of the country in which the collateral and underlying exposure reside?

YES

NO

RREL11

Geographic Region — Obligor

The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’.

YES

NO

RREL12

Geographic Region Classification

Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.

YES

NO

RREL13

Employment Status

Employment status of the primary obligor:

YES

NO

RREL14

Credit Impaired Obligor

Confirm that, pursuant to Article 20(11) of Regulation (EU) 2017/2402, at the time that this underlying exposure was selected for transfer to the SSPE, the exposure was neither in default within the meaning of Article 178(1) of Regulation (EU) No 575/2013 nor constituted an exposure to a credit-impaired debtor or guarantor, who, to the best of the originator’s or original lender’s knowledge:

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

NO

YES

RREL15

Customer Type

Customer type at origination:

YES

NO

RREL16

Primary Income

Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter that obligor’s annual revenue.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

RREL17

Primary Income Type

Indicate what income in RREL16 is displayed:

YES

NO

RREL18

Primary Income Currency

Currency in which the primary obligor’s income or revenue is paid.

YES

NO

RREL19

Primary Income Verification

Primary Income Verification:

YES

NO

RREL20

Secondary Income

Secondary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the secondary obligory is a legal person/entity, enter that obligor’s annual revenue. When there are more than two obligors in this underlying exposure, indicate total annual combined income across all obligors in this field.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL21

Secondary Income Verification

Income verification for secondary income:

YES

YES

RREL22

Special Scheme

If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.

YES

YES

RREL23

Origination Date

Date of original underlying exposure advance.

YES

NO

RREL24

Maturity Date

The date of maturity of the underlying exposure or expiry of the lease.

NO

YES

RREL25

Original Term

Original contractual term (number of months) at the origination date.

YES

YES

RREL26

Origination Channel

Origination channel of the underlying exposure:

YES

YES

RREL27

Purpose

The reason for the obligor taking out the loan:

YES

NO

RREL28

Currency Denomination

The underlying exposure currency denomination.

NO

NO

RREL29

Original Principal Balance

Original underlying exposure balance (inclusive of fees).

This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL30

Current Principal Balance

Amount of underlying exposure outstanding as of the data cut-off date. This includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. It excludes any interest arrears or penalty amounts.

Current balance includes the principal arrears. However, savings amount is to be deducted if a subparticipation exists. (i.e. underlying exposure balance = underlying exposure +/- subparticipation; +/- 0 if no subparticipation).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL31

Prior Principal Balances

Total balances ranking prior to this underlying exposure (including those held with other lenders). If there are no prior balances, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL32

Pari Passu Underlying Exposures

Total value of underlying exposures to this obligor ranking pari passu with this underlying exposure (regardless of whether or not they are included in this pool). If there are no balances ranking pari passu, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL33

Total Credit Limit

For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding.

This field is only to be populated for underlying exposures that have flexible or further drawing characteristics.

This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL34

Purchase Price

Enter the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter 100 if no discounting was applied.

NO

YES

RREL35

Amortisation Type

Type of amortisation of the underlying exposure including principal and interest.

French — i.e. Amortisation in which the total amount — principal plus interest — repaid in each instalment is the same. (FRXX)

German — i.e. Amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest. (DEXX)

Fixed amortisation schedule — i.e. Amortisation in which the principal amount repaid in each instalment is the same. (FIXE)

Bullet — i.e. Amortisation in which the full principal amount is repaid in the last instalment. (BLLT)

Other (OTHR)

YES

NO

RREL36

Principal Grace Period End Date

If applicable as at the data cut-off date, indicate the principal grace period end date.

NO

YES

RREL37

Scheduled Principal Payment Frequency

Frequency of principal payments due, i.e. period between payments:

NO

YES

RREL38

Scheduled Interest Payment Frequency

Frequency of interest payments due, i.e. period between payments:

NO

YES

RREL39

Payment Due

This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL40

Debt To Income Ratio

Debt defined as the amount of underlying exposure outstanding as of data cut-off date, this includes any amounts that are secured by the mortgage and will be classed as principal in the securitisation. For example if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts.

Income defined as combined income, sum of primary and secondary income fields (field numbers RREL16 and RREL20) and any other income.

YES

YES

RREL41

Balloon Amount

Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL42

Interest Rate Type

Interest rate type:

NO

YES

RREL43

Current Interest Rate

Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised.

NO

YES

RREL44

Current Interest Rate Index

The base reference interest index currently applicable (the reference rate off which the interest rate is set):

NO

YES

RREL45

Current Interest Rate Index Tenor

Tenor of the current interest rate index:

NO

YES

RREL46

Current Interest Rate Margin

Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.

NO

YES

RREL47

Interest Rate Reset Interval

Number of months between each interest rate reset date on the underlying exposure.

NO

YES

RREL48

Interest Rate Cap

Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

RREL49

Interest Rate Floor

Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.

NO

YES

RREL50

Revision Margin 1

The margin for the underlying exposure at the 1st revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).

The full revised margin must be entered in this field, not the change in the margin.

YES

YES

RREL51

Interest Revision Date 1

Date interest rate next changes (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).

YES

YES

RREL52

Revision Margin 2

The margin for the underlying exposure at the 2nd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).

The full revised margin must be entered in this field, not the change in the margin.

YES

YES

RREL53

Interest Revision Date 2

Date of 2nd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).

YES

YES

RREL54

Revision Margin 3

The margin for the underlying exposure at the 3rd revision date. This refers only to contractual changes in the margin (e.g. from +50bps to +100bps) or the underlying index (e.g. from 3M EUIBOR to 1M EURIBOR) used for the interest calculation. This field does not refer to the date on which the index is reset periodically (e.g. resetting 1M EURIBOR each month).

The full revised margin must be entered in this field, not the change in the margin.

YES

YES

RREL55

Interest Revision Date 3

Date of 3rd interest rate change (e.g. discount margin changes, fixed period ends, underlying exposure re-fixed etc. this is not the next LIBOR/EURIBOR/index reset date).

YES

YES

RREL56

Revised Interest Rate Index

Next interest rate index.

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender’s Own Rate (LDOR)

Other (OTHR)

YES

YES

RREL57

Revised Interest Rate Index Tenor

Tenor of the next interest rate index:

YES

YES

RREL58

Number Of Payments Before Securitisation

Enter the number of payments made prior to the exposure being transferred to the securitisation.

YES

NO

RREL59

Percentage Of Prepayments Allowed Per Year

Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10 %) before charges are incurred.

YES

YES

RREL60

Prepayment Lock-Out End Date

The date after which the lender allows prepayment of the underlying exposure.

YES

YES

RREL61

Prepayment Fee

Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a ‘break cost’ to make up interest payments up to the underlying exposure Payment Date. This includes amounts collected that have not been securitised.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL62

Prepayment Fee End Date

The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.

YES

YES

RREL63

Prepayment Date

The latest date on which an unscheduled principal payment was received.

YES

YES

RREL64

Cumulative Prepayments

Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREL65

Date Of Restructuring

Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

In the event of multiple dates, all dates must be provided in accordance with the XML schema.

YES

YES

RREL66

Date Last In Arrears

Date the underlying exposure was last in arrears.

YES

YES

RREL67

Arrears Balance

Current balance of arrears, which is defined as:

If no arrears then enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

NO

RREL68

Number Of Days In Arrears

Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.

NO

NO

RREL69

Account Status

Current status of the underlying exposure that has been securitised:

Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity, and/or other generally-accepted measures of restructuring due to forbearance.

NO

NO

RREL70

Reason for Default or Foreclosure

If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason:

YES

YES

RREL71

Default Amount

Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL72

Default Date

The date of default.

NO

YES

RREL73

Allocated Losses

The allocated losses to date, net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). Show any gain on sale as a negative number. Should reflect most recent situation as at the data cut-off date, i.e. as recoveries are collected and the work out process progresses.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL74

Cumulative Recoveries

Total recoveries (regardless of their source) on the (defaulted/charged-off/etc.) debt, net of costs. Include all sources of recoveries here, not just proceeds from the disposal of any collateral.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL75

Litigation

Flag to indicate litigation proceedings underway (if account has recovered and is no longer being actively litigated this is to be re-set to N).

NO

YES

RREL76

Recourse

Is there recourse (full or limited) to the obligor’s assets beyond the proceeds of any collateral for this underlying exposure?

YES

YES

RREL77

Deposit Amount

The sum of all obligor amounts held by the originator or seller that are potentially off-settable against the underlying exposure balance, excluding the benefit of any national deposit compensation scheme. To prevent double-counting, this is to be capped at the lower of (1) the deposit amount, and (2) the maximum potential off-settable amount at the obligor-level (i.e. not underlying exposure-level) within the pool.

Use the same currency denomination as that used for this underlying exposure.

If an obligor has more than one underlying exposure outstanding in the pool, then this field is to be completed for each underlying exposure and it is up to the discretion of the reporting entity to decide to allocate the deposit amount across each of the underlying exposure, subject to the above-mentioned cap and so long as the total entries for this field across the multiple underlying exposures adds up to the accurate amount. For example, if Obligor A has deposit balance of €100, and two underlying exposures outstanding in the pool of: underlying exposure 1 €60 and underlying exposure 2 €75. This field could be completed as either underlying exposure 1 - €60 and underlying exposure 2 - €40, or underlying exposure 1 - €25 and underlying exposure 2 €75 (i.e. the relative entries for this field in each underlying exposure is capped at €60 for underlying exposure 1 and at €75 for underlying exposure 2 and the sum of the values across underlying exposure 1 and underlying exposure 2 must equal €100).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREL78

Insurance Or Investment Provider

Name of the insurance or investment provider (i.e. for life insurance or investment underlying exposures).

YES

YES

RREL79

Original Lender Name

Give the full legal name of the original lender. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

RREL80

Original Lender Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

RREL81

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

RREL82

Originator Name

Give the full legal name of the underlying exposure originator. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

RREL83

Originator Legal Entity Identifier

Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.

NO

NO

RREL84

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO

Collateral-level information section

RREC1

Unique Identifier

Report the same unique identifier here as the one entered into field RREL1.

NO

NO

RREC2

Underlying Exposure Identifier

Unique identifier for each underlying exposure. This must match field RREL3.

NO

NO

RREC3

Original Collateral Identifier

The original unique identifier assigned to the collateral. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity must not amend this unique identifier.

NO

NO

RREC4

New Collateral Identifier

If the original identifier in field RREC2 cannot be maintained in this field enter the new identifier here. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. If there has been no change in the identifier, enter the same identifier as in RREC2. The reporting entity must not amend this unique identifier.

NO

NO

RREC5

Collateral Type

The primary (in terms of value) type of asset securing the debt. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to any collateral that may be supporting that guarantee.

NO

NO

RREC6

Geographic Region — Collateral

The geographic region (NUTS3 classification) where the physical collateral is located. Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’.

YES

YES

RREC7

Occupancy Type

Type of property occupancy:

If the collateral being reported is not property collateral, enter ND5.

YES

YES

RREC8

Lien

Highest lien position held by the originator in relation to the collateral.

If the collateral being reported is not property collateral, enter ND5.

YES

YES

RREC9

Property Type

Property type:

If the collateral being reported is not property collateral, enter ND5.

NO

YES

RREC10

Energy Performance Certificate Value

The energy performance certificate value of the collateral at the time of origination:

YES

YES

RREC11

Energy Performance Certificate Provider Name

Enter the full legal name of the energy performance certificate provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

YES

YES

RREC12

Current Loan-To-Value

Current loan to Value ratio (LTV). For non-first lien loans this is the combined or total LTV. Where the current loan balance is negative, enter 0.

If the collateral being reported is not property collateral, enter ND5.

YES

YES

RREC13

Current Valuation Amount

The most recent valuation of the collateral as assessed by an independent external or internal appraiser. If such assessment is not available, the current value of the collateral can be estimated using a real estate value index sufficiently granular with respect to geographical location and type of collateral; if such real estate value index is also not available, a real estate price index sufficiently granular with respect to geographical location and type of collateral can be used after application of a suitably chosen mark-down to account for the depreciation of the collateral.

If the collateral being reported is not property collateral, enter the most recent valuation of the collateral as assessed by an independent external or internal appraiser or, if not available, by the originator.

If the collateral being reported is a guarantee, enter the amount of underlying exposure guaranteed by this collateral item to the benefit of the originator.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

YES

RREC14

Current Valuation Method

The method of calculating the most recent value of the collateral, as provided in RREC13:

YES

NO

RREC15

Current Valuation Date

The date of the most recent valuation, as provided in RREC13.

YES

YES

RREC16

Original Loan-To-Value

Originator’s original underwritten loan To Value ratio (LTV). For non-first lien loans, this is the combined or total LTV.

If the collateral being reported is not property collateral, enter ND5.

YES

YES

RREC17

Original Valuation Amount

The original valuation of the collateral used when the underlying exposure was originated (i.e. before securitisation).

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

YES

NO

RREC18

Original Valuation Method

The method of calculating the value of the collateral at the time of underlying exposure origination, as provided in RREC17:

YES

NO

RREC19

Original Valuation Date

The date of original valuation of the collateral, as provided in RREC17.

YES

NO

RREC20

Date Of Sale

The date of sale of the foreclosed collateral.

YES

YES

RREC21

Sale Price

Price achieved on sale of collateral in case of foreclosure.

Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format.

NO

YES

RREC22

Collateral Currency

This is the currency in which the valuation amount provided in RREC13 is denominated.

NO

YES

RREC23

Guarantor Type

Guarantor Type:

YES

NO