Frequently Asked Questions

General questions

Where can we find legal guidelines describing the Eurosystem’s loan-level data requirements?

The loan-level data requirements are explained in detail in Appendix VIII of the General Documentation.

Is there a master glossary?

The taxonomy should provide all the information that is required to populate the template. If further queries remain after consulting the taxonomy and the Frequently Asked Questions page, then please contact either your NCB or the ECB at eligible-assets.hotline@ecb.europa.eu .

How should we submit loan-level data?

One of the available ECB templates must be completed and submitted (uploaded) to a data repository accepted by the Eurosystem. At present, there is only one such data repository, which is the European DataWarehouse. The available ECB templates can be found here .

Further instructions for data submissions can be found on the dedicated section of the European DataWarehouse website.

Scoring

What score is required in order for an ABS to be eligible as collateral in Eurosystem refinancing operations?

Detailed loan-level information regarding the pool of cash flow-generating assets must be provided in order for an ABS to become or remain eligible. Each ABS is given a score based on the availability of information in the loan-level reporting template.

There are six “no data” (ND) options, which must be used whenever data cannot be submitted in accordance with the template. There is also a seventh ND option, which is applicable only to the CMBS template. The various ND options and their meanings are set out in the following table:

“No data” options Explanation
ND,1 Data not collected as not required by the underwriting criteria
ND,2 Data collected at application but not loaded in the reporting system at completion
ND,3 Data collected at application but loaded in a separate system from the reporting one
ND,4 Data collected but will only be available from YYYY-MM
ND,5 Not relevant at the present time
ND,6 Not applicable for the jurisdiction
ND,7 Only for CMBS loans with a value less than EUR 500 000, i.e. the value of the whole commercial loan balance at origination

The ABS’s score will reflect (i) the number of mandatory fields reported as “ND,1” relative to the total number of mandatory fields and (ii) the number of mandatory fields reported as “ND,2”, “ND,3” or “ND,4” relative to the total number of mandatory fields. “ND,5”, “ND,6” and “ND,7” may be used only if the fields in the relevant loan-level reporting template allow it.

The score for the reported data – the best being “A1” and the worst being “D4” – will be calculated in accordance with the following matrix:

Scoring matrix

ND,1 as a percentage of total mandatory fields
0 ≤ 10% ≤ 30% > 30%
The sum of ND,2; ND,3
and ND,4 as a percentage
of total mandatory fields
0 A1 B1 C1 D1
≤ 20% A2 B2 C2 D2
≤ 40% A3 B3 C3 D3
> 40% A4 B4 C4 D4

An A1 score is required for Eurosystem collateral eligibility. However, special provisions apply to ABS transactions that include mandatory fields reported as “ND,1”, “ND,2”, “ND,3” or “ND,4” after the completion of the nine-month transition phase. The Eurosystem may accept these transactions as eligible collateral on a case-by-case basis and subject to the provision of adequate explanations for the failure to achieve the mandatory score. As outlined on the ECB website, the Eurosystem has specified its tolerance stance for each possible explanation.

When can we use no data ("ND") options?

Where the Field Definition & Criteria states that "No Data" options may be used, then any of the "No Data" options may be used i.e. ND,1 or ND,2 or ND,3 or ND,4 or ND,5 or ND,6. Do not enter "ND" or "No Data" as these are not valid entries and you will not be able to upload the report. Please do not use “No Data” options where the Field Definition & Criteria states that 'No Data' options must not be used in that field.

How exactly are the percentages in the scoring matrix calculated?

The two percentages used to determine the score are calculated as follows:

  • Number of mandatory fields reported as “ND,1” / (Total number of mandatory fields)
  • Number of mandatory fields reported as “ND,2”, “ND,3” or “ND,4” / (Total number of mandatory fields)

Imagine, for example, that you have an ABS backed by 10,000 loans and the template contains 50 mandatory fields for each loan. In total, then, there are 500,000 cells in the Excel spreadsheet that need to be filled out (i.e. 50 mandatory fields x 10,000 loans).

If “ND,1” is used a total of 5,000 times in the spreadsheet, 1% of all mandatory fields are reported as “ND,1” (i.e. 5,000/500,000). Note that these 5,000 can be for any mandatory field and any loan. As an extreme example, you could have 100 loans for which “ND,1” was used in all 50 mandatory fields. Alternatively, that could be the result of one missing data field for 5,000 individual loans.

“ND,2”, “ND,3” and “ND,4” are added together (rather than being counted individually). So, if “ND,2” is used 3,000 times, “ND,3” 5,000 times and “ND,4” 2,000 times, the total will be 10,000. The total number of cells is 500,000, so the percentage for these three “no data” options will be 2% (i.e. 10,000/500,000). Again, those 10,000 can be for any mandatory field and any loan.

How should we handle optional fields where we can provide data for some, but not all, loans?

If the information is only available for some loans but not for others, please provide it for those loans where you have the requested data. For the loans where you do not have the data, you can use no data “ND” options (preferably) or alternatively fields may be left blank. If the information requested is not relevant, ND,5 may be entered.

Where no data ("ND") options are allowed, can we always enter ND,5?

No, it is not appropriate to use ND,5 as a response where any other ND option could be used.

How should we enter percentages?

Percentages should be entered as whole numbers e.g. 70% would be entered as 70 (and not as "70%" or "0.70").

How should other numerical values be entered in the template?

Please follow the instructions and examples given within the taxonomy and do not include leading or trailing zeros, or the positive sign e.g. 750.25 should be entered as 750.25 and not as "00000750.250000 " or "+750.25" etc.

For fields that are classified as ‘static’, as of what date should the information be provided?

We would expect this information to be captured at loan origination and therefore at a minimum, it should be provided as of this date. However certain static fields may, but not necessarily, be updated periodically during the life of a loan, for example where the borrower contacts the bank for a further advance, a product switch or when they experience payment difficulties.

The most recent information is generally the most relevant and pertinent to the users of loan-level data. For this reason, in situations where the originator has been provided with updated information for these static fields in the normal course of their business, and it has been captured, then this updated information should be provided (replacing the previous information in the same ‘static’ field). This is applicable to any loan included within a submitted report.

What happens if there are some typographical/format errors in the loan-level data that are not captured by the compliance score?

The ECB recognises that, despite the best efforts of data providers, data submissions can contain typographical and format errors. On the request of the ECB, the relevant data repository conducts some consistency and accuracy checks on reports of new and/or uploaded loan-level data for each transaction (in accordance with the requirements in Guideline ECB/2012/25). These checks are paramount to ensure confidence in the high quality of the data submissions.

On a regular basis, data providers can thus expect to receive queries from the relevant data repository to verify particular entries in their latest data submissions. Examples of possible verifications include:

  • Numeric fields format – compliance with taxonomy: For example, cases where interest rate-related fields are not in line with the taxonomy data format requirements (e.g. an interest rate of 2.5% should be reported as 2.5 and not 0.025). There may also be cases where different decimal formats are used across lines of the same field—such as 0.70 in one line and 70 in another line, when in both lines a percentage value of 70 is required (e.g. current loan-to-value ratio).
  • Unconventional values: For example, cases where amounts (e.g. loan balances, valuation amounts, default amounts) appear surprisingly high, or cases where amounts are reported as negative values (e.g. primary income, loan balance, arrears balance).
  • Leading and/or trailing zeros: For example, cases where numbers appear in the format 0000000000123.45 instead of 123.45, or 123.4500000 instead of 123.45.

If the presence of typographical/data format issues identified by the data repository is indeed confirmed, data providers may be requested to address these issues in their next loan-level data submission.

Timing of reporting

How often must ABS data be submitted to the data repository in order to be eligible?

Loan-level data must be reported on at least a quarterly basis and no more than one month after the interest payment date on the ABS in question.

Data should be reported on at least a quarterly basis, even if the interest payment dates are biannual or annual. If interest payment dates are of a higher frequency (e.g. monthly), data should be sent on a monthly basis.

Regarding the need to report on a “quarterly basis”, each submitted data report must be received by the loan-level data repository not later than four months after the date of the previously submitted report.

Example 1: Assume there is an ABS with a quarterly coupon frequency with interest payment dates on 15th March, 15th June, 15th September and 15th December. The data must be reported to the loan-level data repository by 15th April, 15th July, 15th October and 15th January respectively for each payment date. This ABS would automatically fulfil the requirement to report at least on a quarterly basis.

Example 2: Assume there is an ABS with a semi-annual coupon frequency with interest payment dates on 15th January and 15th July. The first quarterly report must be sent by 15th February (i.e. within one month of the first interest payment date). The second quarterly report must be submitted within four months of the first report (i.e. assuming the first report was sent on 1st February the second report must be sent by 1st June). The third quarterly report must be sent by 15th August (i.e. one month after the second interest payment date). The fourth quarterly report must be sent within four months of the third report (i.e. assuming the third report was sent on 1st August the fourth report must be sent by 1st December).

The following table provides further examples on when the loan-level reports will be due, depending on the IPD date and frequency:

IPD Frequency IPD Occurrence 1st Report Due 2nd Report Due 3rd Report Due
Quarterly 5 Jan/Apr/Jul/Oct 31 March 2014 5 May 2014 5 August 2014
Quarterly 5 Feb/May/Aug/Nov 31 March 2014 5 June 2014 5 September 2014
Quarterly 5 Mar/Jun/Sep/Dec 31 March 2014 5 April 2014 5 July 2014
Monthly 5 Jan/Feb/Mar… 31 March 2014 5 April 2014 5 May 2014
Six-monthly 5 Nov/May 31 March 5 June 5 October
What are the submission deadlines for public-sector debt instruments backed by eligible credit claims (DECCs)?

The DECC reporting requirements, as part of the Eurosystem eligibility criteria for DECCs backed by public-sector credit claims, are effective as of 3 March 2016. There is no transition period, however the ‘comply or explain approach’ set out on the ECB’s ABS loan-level data page will apply immediately. Participants should use the associated explanation form.

On an on-going basis, reports must be submitted at least a monthly basis, no later than one month following the cut-off date (which is the last calendar day of the month).

Does an ABS or public sector DECC become ineligible if data are not submitted in accordance with the rules above?

If loan-level data are not reported or updated in accordance with the rules above, the ABS or public-sector DECC will cease to be eligible.

If we do not submit a loan-level report to the data repository, when will our transaction lose eligibility?

Once you have begun submitting reports, eligibility will be lost if you fail to meet the reporting deadlines or if a report fails to meet the required compliance score.

When should the pool cut-off dates be?

Pool cut-off dates should be aligned with investor reports cut-off dates.

Questions regarding specific fields that apply to all reporting templates

Originator field – how should this field be reported in case of a merger? This relates to AR5, AS4, AN6, AA6, AL6, and AP4 in the respective templates.

This should be completed with the most recent name of the institution (i.e. the name post-merger) that advanced the loan.

Loan/Borrower/Lease Identifier fields – how should we anonymise this information? This relates to fields AR3, AS3, AN5, AN8, AA5, AA8, AP3, and AP6 and corresponding fields elsewhere in the respective templates (e.g. AS3’s treatment holds for collateral-level fields such as CS2).

The only requirement is that the identification number used within the loan-level report must be different from the actual identification number, to ensure anonymity of the borrower. It does not need to be formally encrypted.

Residential mortgages

What loans need to be included in the reports submitted to the data repository for standalone RMBS transactions?

Within the first report submitted to the data repository for stand-alone RMBS transactions, it is mandatory only to report active loans* that form part of the pool as of the cut-off date of the first submitted report. While it is optional for Data Providers to report loans that have been redeemed, prepaid, cancelled, repurchased, defaulted or substituted prior to this date, we strongly encourage their inclusion where this is operationally feasible. For all subsequent reports submitted to the data repository, it is mandatory that all loans which were included in the first submitted report should continue to be reported, including those which have been redeemed, prepaid, cancelled, repurchased, defaulted or substituted since the cut-off date of the first submitted report.

*Active loan means a loan that has a non-zero principal balance (i.e. for which cash inflows or outflows may be expected to occur in the future).

As an example: The pool of a standalone RMBS contained 1000 loans at the closing date in January 2005. Between closing and Q1 2013, 600 of those loans have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or been substituted, and a further 30 loans have defaulted but for which further recoveries may be expected. The first report submitted to the data repository need only contain the 400 loans that are active loans forming part of the pool as of the date of the first submitted report. This figure of 400 active loans includes the 30 loans that have defaulted and that are still within the pool, as further recoveries (cash inflows) are expected.

All future reports for this standalone RMBS will contain all of the 400 loans (regardless of their account status) that were included in the first submitted report, along with any new loans that have been added to the pool after the cut-off date of the first submitted report.

How should dynamic and static fields be completed for redeemed, prepaid, cancelled, repurchased, defaulted or substituted loans in standalone RMBS transactions?

For redeemed, prepaid, cancelled, repurchased, defaulted (where no further future recoveries are expected) or substituted loans:

  • AR1 – AR3 should always be populated.
  • AR5 – AR7 should always be populated.
  • AR67 (Current Balance) would be reported as zero.
  • AR109 (Current Interest Rate) would be reported as zero.
  • AR166 (Account Status) would be populated with the code for "Redeemed", "Repurchased by Seller", "Default or Foreclosure" or "Other" as appropriate
  • AR175 (Redemption Date) would be populated with the date of redemption, if the loan has been redeemed or prepaid; otherwise use ND,5.
  • All other mandatory fields would be populated with ND,5

For defaulted loans for which future recoveries may be expected:

  • All mandatory fields should continue to be reported in the same manner as for any other active loan
Master trust RMBS transactions are exempted from the requirement to continue to report loans which have been redeemed, prepaid, cancelled, repurchased, defaulted (with no further recoveries expected) or substituted in their loan-level data file submissions. They are permitted to remove such loans from loan-level data files after they have been included in three separate loan-level data submissions in accordance with the above instructions. Does this mean we only have to show them once on a quarterly basis (as this includes 3 pool cut-off dates) and that we can leave them out in the next submitted quarterly report?

The intention is that loans that no longer form part of the master trust pool are reported three times, regardless of reporting frequency, before they are removed from the report. For example, assume a loan is redeemed or repaid on 5th January. If pool cuts are submitted monthly:

  • January 31 report – loan included
  • February 28 report – loan included
  • March 31 report – loan included
  • April 30 – loan is no longer included in the report

If pool cuts are submitted quarterly:

  • March 31 report – loan included
  • June 30 report – loan included
  • September 30 report – loan included
  • December 31 – loan is no longer included in the report
When dealing with mostly restructured/forborne exposures, how should we report certain fields?

How should loan IDs be treated? To enable data users to track the performance of individual loans, the loan id should not change throughout the life of the transaction. If the original loan id cannot be maintained in AR3, please enter the original loan id followed by the new loan id, comma delimited.

Should we look into the underwriting of the original loan or the underwriting of the restructured/forborne loan? Although many fields are static, the most recent information is generally the most relevant and pertinent to the users of loan-level data, so if updated information is available (e.g. for primary income), please provide this. However please do not provide updated information where the change in status is only due to the restructuring of the loan - please see below for examples.

AR55 (Loan Origination Date): is this the date of the original loan or the date of the restructuring or forbearance measures? Please provide the original date of the loan origination.

AR59 (Purpose): should we look into the purpose of the original loan advance or use i.e. Debt Consolidation (5)? Please provide the original purpose of the loan.

AR61 (Loan Term): should we provide the term of the original loan or the term after the forbearance measures (maturity extension is a common measure)? Please provide the original loan term.

AR66 (Original Balance): Should we provide the original loan amount, or the balance after the forbearance measures (which might include capitalized interest)? Please provide the original loan balance at origination.

In the case of RMBS transactions involving numerous originators, who is responsible for submitting the RMBS data to the data repository? Who will be responsible for submitting the “Bond Info” and “Bond Info by Tranche” sections?

In the case of multiple RMBS originators, the trustee or management company will be responsible for information relating to the underlying assets and loans securitised in the RMBS transactions. The loan data from the various originators need to be consolidated in a single XML file covering the entire transaction and submitted to the data repository. Bond information can generally be found in transaction documentation, and most of the time it is simply a matter of copying such information. The bond information should be included in the same XML file.

Should we provide data on all tranches or only the eligible ones?

All tranches need to be submitted to the data repository for validation. Each tranche should be reported separately within that single XML file, so fields BR25 to BR39 have to be completed for each individual tranche.

Should subordinated loans which were created in order to help with the initial cost of the reserve fund but do not contribute to credit enhancement (i.e. which are not part of the capital structure of the securitisation) also be reported?

Loans that are not part of the capital structure or have not been segregated as part of the RMBS transaction should not be reported.

AR3 (Loan Identifier) – does this need to be populated for non-active loans?

Yes, this field should be populated for every loan in the pool regardless of whether it is an active or non-active loan.

AR7 (Borrower Identifier) – can more than one borrower be reported in this field?

In case of multiple borrowers, it is necessary to report at least the main borrower. If all the borrowers are going to be reported then the primary borrower should be the first in the list with the other borrowers comma (,) delimited.

AR7 (Borrower Identifier) – does this need to be populated for non-active loans?

Yes, this field should be populated for every loan in the pool regardless of whether it is an active or non-active loan.

AR26, AR27, AR28, AR29 - How should fields relating to borrower income be populated for Buy-to-Let (“BTL”) loans?

Where the underwriting of a BTL loan is based upon the rental income of the property and the borrower’s income is not assessed, these fields should be populated with ND,5. In these circumstances, AR154 (Gross Annual Rental Income), AR155 (Number of Buy to Let Properties) and AR156 (Debt Service Coverage Ratio) should be populated and not treated as optional fields.

AR16 (Foreign National) - how should this field be completed?

The field name is only intended to be informative and the data provider should follow the instructions in the field definition and criteria. If the borrower is a national of the country in which both the property and mortgage loan reside (e.g. an Italian borrower with an Italian law mortgage over a property in Italy), then the appropriate response would be "Y".

AR26 (Primary Income) – can we be excused from completing this information for employees of our organisation?

It is important to report the primary income as such data will have a direct impact on the scoring matrix.

AR26 (Primary Income) – how should we report this field if the loan is fully guaranteed and no primary income was collected?

For these cases, Primary Income may be reported with zero. However, the fields "Borrower's Employment Status" (AR21) should be reported with "Employed or full loan is guaranteed" (1) and all the relevant information should be reported such as "Type of Guarantee Provider" (AR74), "Guarantee Provider" (AR75), "Income Guarantor" (AR76) and "Amount Guaranteed" (AR63).

AR26 (Primary Income) – can we enter negative values in case of a tax adjustment?

The Primary Income should be floored at zero.

AR27 (Income verification for primary income) – further clarification on the available responses provided in the RMBS template.

Self-certified no checks: this means no checks are performed to verify the validity of the income stated by the borrower.

Self-certified with affordability confirmation: this means no checks are performed to verify the validity of the income stated by the borrower, but nevertheless the affordability of the loan has been assessed based upon the borrower’s stated income.

Verified: this means that the income stated by the borrower has been verified by the lender.

Non-Verified Income / Fast Track: this means that the income of the borrower has not been verified as the borrower meets the lender’s criteria (e.g. based upon credit score, loan amount, LTV ratio etc.) for not performing the usual income checks (e.g. obtaining pay slips, checking against bank statements, contacting the employer etc.).

AR56 (Date of Loan Maturity) - how should this field be completed for defaulted loans?

ND,5 should be entered for defaulted loans

AR56 (Date of Loan Maturity) and AR175 (Redemption Date) – what is the difference between these fields?

AR56 refers to the expected maturity date of the loan at each pool cut-off date, i.e. in case of partial prepayment, the new scheduled expiration date should be entered. AR175 refers to the date when the loan was actually paid off by the borrower.

AR61 (Loan Term) – what do we enter if the loan has no contractual term (i.e. has no legal final maturity)?

If a loan does not have a contractual term (for example, is a revolving loan or for other reason does not possess a legal final maturity in the loan documentation), please enter ND,5.

AR61 (Loan Term) – After a renegotiation, should the original contractual term be reported or the new contractual term?

AR61 is requesting the "original contractual term" and therefore should not be amended. Any updated maturity date of the loan should be reflected in AR56, which is a dynamic field.

AR62 (Principal Grace Period) and AR92 (Length of Payment Holiday) – what is the difference between these fields?

AR62 refers only to the start of the loan (i.e. from the origination date) when the borrower may initially only be required to make interest payments for a period (e.g. for 2 years) before then becoming a repayment loan making payments of both interest and principal.

AR92 is intended to capture payment holidays that are either contractually allowed or which are granted as a forbearance measure during the life of the loan. In this context, please treat AR92 as a dynamic (rather than static) field.

AR66 (Original Balance) – does this field refer to the time of origination of the loan or the time of securitisation?

AR66 should be reported as at the time of origination of the loan and not at the time of securitisation.

AR67 (Current Balance) – what should be reported for non-active loans?

It is expected that this field would be completed with zero for all non-active loans.

AR68 (Fractioned/Subrogated Loans) – if at some point one loan is subrogated and after that there will be two loans (one closed and the new one subrogated), should we include both or just the one subrogated loan?

The intention is that any loan that is in the pool at the point of securitisation should continue to be reported within the data tape. Therefore if the loan has been subrogated after securitisation, then both loan parts would continue to be reported. Please also see the response to the question "What loans need to be included in the reports submitted to the data repository for standalone RMBS transactions?"

The 'original loan' would contain the original borrower identity (with “6 – Other” entered for AR166 Account Status) while the 'new' loan would have the new borrower identity and would be marked with "Y" in AR68 Fractioned / Subrogated Loan.

AR69 (Repayment Method) – how should this field be completed for loans that are initially interest-only but then subsequently begin paying interest and principal instalments?

Please populate the optional field AR62 "Principal Grace Period" with the number of months where interest only is paid, and populate AR69 "Repayment Method" with "2" (Repayment).

AR70 (Payment Frequency) – is this field intended to refer to all principal and interest payments?

This field is referring to all principal and interest payments, but in case of a bullet loan the interest payment frequency should be entered.

AR71 (Payment Due) – which payment should be included in this field?

AR71 should be completed with the next periodic contractual payment that is due from the borrower (regardless of when this next payment falls due i.e. even if this next payment is due after the date at which the next report must be submitted).

AR71 (Payment Due) – how should this be completed for defaulted loans?

Please enter ND,5 for defaulted loans.

AR71 (Payment Due) – how should this be completed if the borrower is benefitting from a payment holiday?

Please enter the amount that will be payable on the borrower's next occurring payment date i.e. zero. Any relevant optional fields (e.g. AR122 Restructuring Arrangement) should still be completed for these loans, to prevent the data provider from being regularly queried regarding the accuracy of this information.

AR72 (Payment Type) - what number should we use for French amortisation loans?

Please use the Annuity (1) option in the list.

AR90 (Flexible Loan Amount) – how should this field be reported?

AR90 should be completed with the total value of the payments that the borrower has made to the lender to date, that may be redrawn by that borrower. These payments include both scheduled principal repayments of the loan and unscheduled prepayments. For example, if the loan amortised normally and only prepayments could be redrawn, you would not include the normal scheduled payments that the borrower had made under the loan to date: instead you would only include any prepayments that they had made, as these would be the only amounts that would be considered flexible.

AR92 (Length of Payment Holiday) – should the length of Payment Holiday be measured since the cut-off date, going forward only? For example, for a loan that previously went through a payment holiday period but is no longer enjoying that payment holiday should we fill in 0?

Yes, both statements are correct.

AR95 (Mortgage Mandate) – should this cover the total Mortgage Mandate (i.e. all the prenotations/liens of the properties securing the loan) or the mortgage mandate of the main property (i.e. the property_id of AR8)?

Please provide the total amount of mortgages.

AR97 (Pre-payment Amount) – should the amount of the last pre-payment period be filled in? In case of more than one pre-payment in the last collection period should only the last prepayment amount be filled in?

Please report the sum of pre-payment amounts within the last collection period.

AR107 (Interest Rate Type) – Could you explain the difference between "Floating rate loan (for life)" (1) and "Floating rate loan linked to Libor, Euribor, BoE reverting to the Bank's standard variable rate (SVR), ECB reverting to Bank's SVR" (2)?

As per the taxonomy, (1) is a loan that is floating for life, e.g. with EURIBOR as an index. (2) is a loan that is initially floating based upon one index and which at a later point will become floating based upon a different index. AR107 is a static field, and should therefore be completed based upon the loan type at origination. If a fixed rate loan has subsequently switched to floating rate, then this characteristic will be captured by the responses to other dynamic mandatory fields, such as AR108, AR109 and AR110.

AR107 (Interest Rate Type) – how should this field be completed for floating rate loans linked to an Euribor or ECB rate Index, but not reverting to Bank’s SVR?

In this case, AR107 should be populated with (1) “Floating rate loan (for life)”.

AR108 (Current Interest Rate Index) – how should mortgages linked to the IRPH index be reported?

It should be reported as Other (13) as IRPH is not currently included in the available list.

AR108 (Current Interest Rate Index) – how should mortgages with an interest rate that is fixed for life be reported?

These should be reported as No Index (12).

AR109 (Current Interest Rate) – what should be reported for non-active loans?

This should be completed with zero for all non-active loans.

AR111 (Interest Rate Reset Interval) – what should we enter if the loan is linked to ECB's, BOE's or SVR rates?

Please enter ND,5.

AR111 (Interest Rate Reset Interval) – should we report the ongoing reset interval or the remaining time until the next reset?

Please report the ongoing reset interval, not remaining time until the next reset.

AR111 (Interest Rate Reset Interval) – how should this be populated for a loan that pays a fixed rate of interest for life?

Please enter the whole loan term.

AR111 (Interest Rate Reset Interval) – how should this be completed for defaulted loans?

Please enter ND,5 for defaulted loans.

AR111 (Interest Rate Reset Interval) – how should this be populated for a loan that pays a fixed rate of interest in an optional period? Should the data provider fill in the loan term starting from the date of the switched rate?

Please complete AR111 with the time to the next optional switch date.

AR111 (Interest Rate Reset Interval) – how should this be populated for a loan whose next interest rate reset date would fall after the loan maturity date?

Please enter within this field the number of months until the loan maturity date.

AR113, AR114, AR115, AR116, AR117, AR118, AR119 – should the interest revision information contained in these fields refer to the first revisions that occurred on the loan or the next occurring changes?

These should be the next occurring reversions i.e. these fields should only contain information about changes that will occur in the future, after the pool cut-off date of the report.

AR113, AR114, AR115, AR116, AR117, AR118, AR119 – how should mortgages that have an interest rate that is fixed for life be reported in these fields?

Please enter ND,5 in these fields.

AR113, AR114, AR115, AR116, AR117, AR118, AR119 - what type of revisions should be reported in these fields?

These fields refer only to contractual changes in the margin (e.g. from +50bps to +100bps) or to contractual changes in the underlying index (e.g. from 3M EURIBOR to 1M EURIBOR) used for the interest calculation: they do not refer to the date at which the index is reset periodically (e.g. they do not refer to the date at which the 1M EURIBOR is reset each month).

AR129 (Property Postcode) – how should this field be completed?

Only the first half of the postcode should be completed (comprising at least 2 or 3 characters). The full postcode should not be provided.

Where the issuer has received legal advice counselling against the provision of any postcode information or such postcode information does not exist in such country (Ireland only), the optional field AR128 (Geographical Region List) should be completed with the appropriate Geographic Region code, as indicated in the specific section of the RMBS taxonomy under “Geographic Region List”. Furthermore, the mandatory field AR129 must also be filled with the same geographical regional code data as used in AR128.

AR135 (Original Loan to Value) – how should this be reported for loans with a different lien?

The response to this question is based on the following example:

  • Valuation amount: 100,000
  • Loan A (lien 1): 80,000
  • Loan B (lien 2): 20,000
  1. If both loan parts were securitised, the correct value for each loan part would be 100%
  2. If only the second lien was securitised, the correct value for this loan part would also be 100%
  3. If only the first-ranking loan was securitised, the correct value would be 80%.

In addition, please also complete fields from AR80 to AR84.

AR136 (Valuation Amount) – does this field refer to the time of origination of the loan or the time of securitisation?

AR136 should be reported as at the time of origination of the loan and not at the time of securitisation.

AR141 (Current Loan to Value) and AR143 (Current Valuation Amount) – how should these fields be reported for loans secured on the same property?

We expect to receive the same CLTV among loans that share the same property ID and apply pro-rata shares to derive this.

As an example:

  • AR143 Current Valuation Amount = 200,000
  • Loan 1 current balance = 100,000
  • Loan 2 current balance = 50,000
  • Loan 1 pro-rata share = 100,000 / (100,000+50,000) = 66.67%
  • Loan 2 pro-rata share = 50,000 / (100,000+50,000) = 33.33%

Thus:

  • AR141 for Loan 1 = 100,000 / (66.67% x 200,000) = 75%
  • AR141 for Loan 2 = 50,000 / (33.33% x 200,000) = 75%
AR141 (Current Loan to Value) – how should this be populated when the borrower has overpaid and their current balance is negative (i.e. in credit)?

The current loan to value should be floored at zero. It should never be reported as a negative value, even if the current balance of the loan is negative.

AR143 (Current Valuation Amount), AR144 (Current Valuation Type) and AR145 (Current Valuation Date) – how should these fields be updated if the property has not been revalued since origination?

These fields are requesting information of the "most recent" valuation. Where an additional valuation has not been performed since origination, then these fields would be populated with the valuation information at origination. However, if during the life of a loan (e.g. where the borrower contacts the bank for a further advance, a product switch or when they experience payment difficulties) a re-valuation of the property may be carried out. The most recent information will be the most relevant and pertinent to the users of loan-level data. For this reason in situations where the originator has been provided with updated information for these static fields in the normal course of their business, and it has been captured, then this updated information should be provided (replacing the previous information in the same 'static' field). Indeed, this is applicable to any loan included within a submitted report.

AR166 (Account Status) – how are “arrears”, “performing”, and “default” defined?

This needs to be consistent with the definition in the relevant transaction documentation. Otherwise, there will be inconsistencies between transaction documentation and the reporting of those transactions.

AR166 (Account Status) – when we have a defaulted loan with the recovery process completed (no further cash flow is due or expected) we usually fulfil this field with "4" (Redeemed). Is this correct?

No. In these circumstances, the account status should remain as option "3" (Default or Foreclosure). Data users will be able to identify that this is a non-active loan because AR67 (Current Balance) will be zero.

AR166 (Account Status) – when should we use the option "Other (6)"?

It is expected that this option will be used extremely infrequently. It is highly probable that any data provider entering this option will be contacted to explain the circumstances of its usage.

AR167 (Date Last Current) - can you kindly confirm that this date corresponds to the date in which a mortgage loan that is currently in arrears was last performing?

This is correct. It should only be reported for loans that are currently in arrears. Performing loans should be reported with “ND,5”.

AR167 (Date Last Current) and AR168 (Date Last in Arrears) – what is the relationship between these two fields?

AR167 (Date Last Current) and AR168 (Date Last in Arrears) should be considered together and only one of these fields needs to be populated. For example:

  • For a performing loan, AR167 would be populated with ND,5 while AR168 would show when the loan was last in arrears.
  • For a loan in arrears AR168 would be populated with ND,5 while AR167 would show when the loan was last current.
AR169 (Arrears Balance) – does this relate to principal arrears, interest arrears or all arrears?

This relates to all arrears. If the loan has no outstanding missed payments, please report zero. If the loan has any missed payments, please report the full missed payment (i.e. any Principal Unpaid and any Interests Unpaid).

AR170 (Number Months in Arrears) – how do we populate this field if the loan does not make monthly payments?

Generally-speaking, if the loan has no outstanding missed payments, please report zero. If the loan has any missed payments, please report the full missed payment (i.e. any Principal Unpaid and any Interests Unpaid).

The field definition of AR170 is “Number of months this loan is in arrears…according to the definition of the issuer…” (and is there to provide guidance only). However, we would expect that for non-monthly paying loans, the result from the calculation described in AR170 (“The number of months in arrears will be calculated based upon the total arrears amount divided by the payment due (AR 71)”) is multiplied by the number of months between each payment, to give the equivalent number of months in arrears e.g.

  • For a quarterly paying loan, the result is multiplied by 3
  • For a semi-annually paying loan, the result is multiplied by 6
  • For an annually paying loan, the result is multiplied by 12
AR177 (Default or Foreclosure) – is this field dynamic or static?

Although this field is labelled as dynamic, once it has been populated (at the point of default), the value should remain unchanged thereafter.

AR177 (Default or Foreclosure) – how does this field link with AR166 (Account Status)?

Any loan that is classified as defaulted (3) per AR166 must have a numerical value in field AR177.

AR180 (Loss on Sale) – does this refer to just the principal loss?

The calculation needs to fully reflect the definition included in the documentation of the specific ABS transaction. Unpaid principal, fees and accrued interest should normally be taken into consideration for the calculations.

AR181 (Cumulative Recoveries) – what recoveries should be included in this field?

All actual cash recoveries should be included in this field, regardless of their source. Anticipated future recoveries should not be included.

AR182 (Professional Negligence Recoveries) - what does this field mean?

This is intended to capture any amounts received as a result of claims against surveyors, solicitors etc. where they have committed professional negligence in relation to the loan. Note that this field is optional and a value of “ND,5” will be appropriate in the majority of cases.

BR5 (Drawings under Liquidity Facility) - how should this field be completed?

If there has been a drawing under the liquidity facility since the previously-submitted report, please answer yes; if not, answer no. If there is no liquidity facility in the transaction, then the response should be ND,5.

BR27 (Interest Payment Date) – how should this field be completed?

The date to be entered into field BR27 is the first occurring date, after the pool cut-off date being reported, upon which interest payments are distributed to bondholders.

BR28 (Principal Payment Date) - how should this field be completed for the equity tranche?

This should be the latest occurring final legal maturity date of the bonds, which can be refined when and if the evolving bond amortisation indicates a probable date.

BR35 (Current Coupon) – should this field be populated as a percentage or in numerical form?

It should be reported in numerical form i.e. 0.5% would be reported as 0.5000 (to four decimal places).

BR35 (Current Coupon) – is this field equal to the sum of BR33 (Relevant Margin) and BR34 (Coupon Reference Rate)?

Yes, this is correct.

SME ABS

What loans need to be included in the reports submitted to the data repository for SME transactions?

(i) Within the first report submitted to the data repository, it is mandatory only to report "Active Loans" that form part of the pool as of the cut-off date of the first submitted report. "Active Loan" means a loan that has a non-zero principal balance at the pool cut-off date (i.e. for which cash inflows or outflows may be expected to occur in the future).

(ii) For all subsequent reports submitted to the data repository, it is mandatory to report all Active Loans, plus all loans that have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or substituted (together referred to as "Non-Active Loans") since the cut-off date of the previously submitted report. Once Non-Active Loans have been reported once, they need not be included in subsequent reports.

Therefore, starting from and including the second submitted report to the data repository, reports should contain all Active Loans plus those loans that have become Non-Active Loans since the cut-off date of the previously submitted report.

* Active loan means a loan that has a non-zero principal balance (i.e. for which cash inflows or outflows may be expected to occur in the future).

May we continue to report Non-Active Loans in all future reports (i.e. not just in the period following when they became inactive)?

Yes, you may continue reporting all Non-Active Loans in all your future reports if you wish.

How should dynamic and static fields be completed for redeemed, prepaid, cancelled, repurchased, defaulted or substituted loans in SME transactions?

At present only loans that are active loans as of each pool cut-off date should be included within the report.

* Active loan means a loan that has a non-zero principal balance (i.e. for which cash inflows or outflows may be expected to occur in the future).

AS5 (Servicer Identifier) – how should this field be completed? How does this differ from AS6 (Servicer Name)?

You may populate AS5 with the same information as AS6 i.e. the name of the entity that services the SME loan.

AS19 (Obligor Incorporation Date) and AS20 (Obligor is a Customer since?) – what is the difference between these two fields?

AS19 refers to the date of incorporation of the obligor, i.e. the date at which the legal form of the borrower was created. AS20 is asking for the date from which the obligor has been a customer of the originator.

AS26 (Seniority) – how should we define the SME loan in relation to this field?

This refers to the seniority of the SME loan, in the event of the bankruptcy of the obligor. If the SME loan ranks lower than any other claim (excluding amounts owed to preferential creditors) it should be classified as junior.

AS26 (Seniority) – is there a link between this field and the collateral section of the template?

Yes, any loan that is classified as secured in AS26 should have at least one collateral ID in the collateral section of the template.

AS26 (Seniority) – what types of collateral count as security?

• An SME loan should be classified as ‘secured’ if it is collateralised with physical or financial assets (such as vehicles, real estate, equipment, securities, etc.), regardless of whether these assets are provided directly by the borrower or pledged by the guarantor

• An SME loan should be classified as ‘unsecured’ in all other cases, for example: if the loan has no collateral, or if the loan is collateralised with non-physical or non-financial assets (including guarantees which do not benefit from any pledges or charges of physical or financial assets)

AS27 (Total Credit Limit Granted to the Loan) – for which loans should this field be completed?

This field is only relevant for loans that have flexible features that allow the obligor to change their total loan size without the need for further underwriting such as in the case of overdrafts.

AS30 (Bank Internal Rating) – is this field expecting a "rating" or a numerical value?

This field should be populated with the internal one year probability of default of the obligor, expressed as a numerical value.

AS37 (Bank Internal Loss Given Default (LGD) Estimate) – how do we populate this field if our organisation does not calculate LGD itself (i.e. capital required for the exposure has not been calculated using the Advanced-IRB approach)?

At present ND options are not allowed in this field so please enter the dummy value "999.99"

AS42 (NACE Industry Code) – what should be reported in the field AS42 in case the obligor activity cannot be classified among any NACE industry codes?

If an SME obligor is involved in a range of activities, the code that most represents the predominant activity must be selected. If the exact activity is not listed, please select the code that most closely resembles their activity.

AS54 (Original Loan Balance) - should this field show the customers' total amount of liabilities in the bank, including funds, securities etc.?

AS44 should capture any potentially off-settable amounts.

AS56 (Securitised Loan Amount) – how should this field be populated?

This refers to the balance of the SME loan as of the date that the loan was added to the pool.

AS60 (Maximum Balance) – for which loans should this field be completed?

This field is only relevant for loans that have flexible features that allow the obligor to change their total loan size without the need for further underwriting e.g. overdrafts.

AS61 (Weighted Average Life) – as at what date do you expect this calculated to be performed?

The Weighted Average Life that is reported is expected to be the WAL as at the securitisation date.

AS62 (Amortisation Type) – what is the difference between Linear, French and Fixed Amortisation Schedule types?

Linear amortisation refers to when the principal payment remains constant throughout the life of the loan. The regular overall (i.e. principal + interest) instalment therefore decreases over time as the interest element decreases.

French amortisation refers to annuity loans, where a constant instalment is paid throughout the life of the loan with the principal component increasing over time and the interest element decreasing over time.

Fixed amortisation refers to where the timing of principal repayments is determined by a schedule that is decided in advance and which does not conform to any of the other options in AS62.

AS63 (Regular Principal Instalment) and AS64 (Regular Interest Instalment) – should these fields show the amount paid in the period or the amount to be paid in the next payment date?

AS63 and AS64 should be populated with the amount payable at the next payment date.

AS66 (Balloon Amount) – what should be entered in this field? Is it populated for all loans?

If there is a lump sum payable at maturity that is materially greater than the regular instalments, then this value should be entered. If this is not applicable then please enter zero.

AS70 (Principal Grace Period End Date) and AS71 (Interest Grace Period End Date) – to which grace periods are these fields referring?

These fields are static and therefore refer only to grace periods granted at the commencement of the loan. They do not refer to any forbearance granted at a later date.

AS86, AS87, AS88, AS89, AS90, AS91, AS92 - should the interest revision information contained in fields AS86 to AS92 refer to the first revisions that occurred on the loan or the next occurring changes?

These should be the next occurring revisions i.e. these fields should only contain information about changes that will occur in the future, after the pool cut-off date of the submitted report.

AS86, AS87, AS88, AS89, AS90, AS91, AS92 - what type of revisions should be reported in these fields?

These fields refer only to contractual changes in the margin (e.g. from +50bps to +100bps) or to contractual changes in the underlying index (e.g. from 3M EURIBOR to 1M EURIBOR) used for the interest calculation: they do not refer to the date at which the index is reset periodically (e.g. they do not refer to the date at which the 1M EURIBOR is reset each month).

AS121 (Default or Foreclosure on the loan per the transaction definition) - does "transaction definition" refer to the loan contract itself or the securitisation transaction?

This refers to the ABS transaction documentation.

AS121 (Default or Foreclosure on the loan per the transaction definition) - what should we do if there is no definition of default in the securitisation documentation?

In this case you should use the definition of default as per the lender's usual practice.

AS121 (Default or Foreclosure on the loan per the transaction definition), AS124 (Default Date) and AS125 (Default Amount) – are these fields interlinked?

Yes. Any loan that is classed as defaulted per AS121 should also have a default date and default amount; therefore AS124 and AS125 also should be populated.

AS124 (Default Date) - does "transaction definition" refer to the loan contract itself or the securitisation transaction?

This refers to the ABS transaction documentation.

AS124 (Default Date) and AS125 (Default Amount) – are these fields dynamic or static?

Although these fields are dynamic, once they have been populated (at the point of default), the values should remain unchanged thereafter.

AS128 (Cumulative Recoveries) – what recoveries should be included in this field?

All recoveries should be included in this field, regardless of their source.

AS128 (Cumulative Recoveries) – how should this field be populated for non-defaulted loans? What about for defaulted loans where there have been no recoveries to date?

This is not relevant for non-defaulted loans and so you should enter ND,5. Where a defaulted loan has not had any recoveries to date, please enter zero.

AS132 (Allocated Losses) – does this refer to an originator/servicer concept (i.e. losses booked)? What happens if the recovery process is not yet complete?

Once a loan has defaulted, this field captures the best estimate of the loss that will be incurred once the recovery process has been completed. As a consequence, the value in this field is dynamic and may change over time as recoveries are collected and the work out process progresses.

AS133 (Redemption Date) – how should this field be completed?

If the loan has not been redeemed, then this field should be populated with ND,5.

AS134 (Date Loss Allocated) - where recoveries are spread out over time, what date should be used?

You should report the most recent date in the reporting period for AS134 (Date Loss Allocated).

AS150-AS388 (the amortisation profile section of the SME template) - how should we populate these fields?

The amortisation profile section should be populated showing the remaining principal balance outstanding at each period after the repayment of the scheduled principal. It should be populated only with future amortisations occurring after the pool cut-off date. It should not include all amortisation since the loan was originated.

CS1-CS28 (the collateral section of the SME template) - if there is an SME loan with one property and one surety as guarantees, do we complete the collateral sheet twice?

The entire collateral section (CS1-CS28) would be completed for each collateral part that backs the SME loan. In this example, the collateral section would be completed twice.

CS6 (Collateral Type) - when should the options "Unsecured Guarantee" and "Third Party Guarantee" be used?

‘Unsecured Guarantee’ should be used when the guarantor has not provided any physical or financial assets as collateral to secure the guarantee

‘Third Party Guarantee’ should be used when the guarantor provides physical or financial assets as collateral to secure the guarantee

CS16 (Property Postcode) - how should we populate this field when there is no collateral?

If there is no real estate collateral the appropriate response is "ND,5".

CS18 (Unconditional Personal Guarantee Amount) and CS19 (Unconditional Corporate/Third Party Guarantee Amount) – how should we populate these fields?

CS18 and CS19 should be completed with the lower of (i) AS27 (The Total Credit Limit Granted to the Loan), and (ii) The maximum value of the guarantee.

CS23 (Origination Channel) - should this field be populated with the loan origination channel?

Yes, CS23 is requesting information about the loan origination channel.

CS28 (Number of Collateral Items Securing the Loan) - what needs to be included in this field? Should any kind of guarantee be reported? What would be the correct response in the following examples:
a) A loan with the following collateral: residential building, investment fund, bank deposit, guarantor (without guarantee) and a pledge on a deposit account. b) A loan with the following collateral: residential building and a guarantor (with an investment fund as guarantee).

CS28 should include the total number of collateral pieces which are securing the loan, regardless of their source (i.e. directly pledged by the borrower and indirectly from any guarantor).

  • Four - residential building, investment fund, bank deposit, and a pledge on a deposit
  • Two – residential building and investment fund.
BS5 (Drawings under Liquidity Facility) – how should this field be completed?

If your ABS has a liquidity facility then this field should be completed with either "Y" (to indicate that the liquidity facility has been drawn in the period up to the last interest payment date) or "N" (if it has not). If your ABS has no liquidity facility then please enter ND,5.

BS27 (Interest Payment Date) and BS28 (Principal Payment Date) – how should these fields be completed?

The dates to be entered into fields BS27 and BS28 are the first occurring dates, after the pool cut-off date being reported, upon which interest and principal payments are distributed to bondholders.

Consumer finance template questions

What loans need to be included in the reports submitted to the data repository for Consumer Finance ABS transactions?
  1. Within the first report submitted to the data repository, it is mandatory only to report "Active Loans" that form part of the pool as of the cut-off date of the first submitted report. "Active Loan" means a loan that has a non-zero principal balance at the pool cut-off date (i.e. for which cash inflows or outflows may be expected to occur in the future).
  2. For all subsequent reports submitted to the data repository, it is mandatory to report all Active Loans, plus all loans that have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or substituted (together referred to as "Non-Active Loans") since the cut-off date of the previously submitted report. Once Non-Active Loans have been reported once, they need not be included in subsequent reports.

Therefore, starting from and including the second submitted report to the data repository, reports should contain all Active Loans plus those loans that have become Non-Active Loans since the cut-off date of the previously submitted report.

May we continue to report Non-Active Loans in all future reports (i.e. not just in the period following when they became inactive)?

Yes, you may continue reporting all Non-Active Loans in all your future reports if you wish.

How do we populate the report for Non-Active Loans?

For non-active loans, static fields will remain unchanged. Dynamic fields should be populated on the same basis as for active loans i.e. using information that is relevant for that loan at that cut-off date e.g. AN11 Total Credit Limit would be 0; AN12 Revolving End Date – Loan would be ND,5; AA26 Current Principal Outstanding Balance would be 0 etc.

Should Active Loans that have been added to the pool after the pool cut-off date of our most recently submitted report be included within our report? For example, the pool cut-off date of this report is 31 March, the interest payment date is 15 April and we are submitting our report on 10 May. Do we need to include the loans that we have added to our pool between 1 April and 10 May?

No, only Active Loans that form part of the collateral pool on the pool cut-off date of each report should be included. Loans that have been added after this date (i.e. since 31st March) will be included in your next report, providing that they are Active Loans as of the next pool cut-off date.

Can the Consumer Finance template be used for mortgage loans?

No, loans secured by residential properties cannot be included within the Consumer Finance template. If a mortgage (either a first or second lien) was used as security for a portfolio of personal loans, the RMBS template would be the most appropriate reporting format to use.

AN8 (Borrower Identifier) – how should we complete this field for loans with more than one borrower?

Please provide a unique anonymised identifier for the main borrower, using the rules suggested in the template and taxonomy.

AN11 (Total Credit Limit) - does this only apply to flexible / revolving credits?

Yes, this is correct.

AN16 (Borrower’s Employment Status) – how do we complete this field for corporates?

Only consumer finance loans (personal loans or specific purpose loans: e.g. financing car, equipment, etc., but excluding residential mortgages) to private individuals may be included in Eurosystem-eligible Consumer finance ABS.

The option values (1, 2, 3, … , 8, 9) for this field are standardised in all applicable ECB loan-level templates, in order to avoid reporting inconsistencies and errors from data providers.

Nevertheless, as regards field AN16, the value (6) “No Employment, borrower is legal entity.” is not an acceptable entry.

AN17 (Primary Income) - can we provide monthly or net income data?

No, only gross annual income data should be provided in this field.

AN20 (Geographical Region) - we collect postcodes, not NUTS3 regions, when we underwrite a loan. What do we do if a postcode maps to two NUTS3 regions?

This occurs very infrequently. Please select one of the two possible NUTS3 codes and then apply this consistently in all future report submissions.

AN22 (Expected Loan Maturity) and AN23 (Original Loan Term) - what is the difference between these two fields?

AN23 is the original term of the loan as per the original loan agreement and will remain unchanged through the life of the loan. AN22 is the expected maturity date of the loan and reflects all prepayments, loan amendments, loan modifications etc.

AN26 (Current Outstanding Principal Balance) - Does this refer to the sum of principal outstanding to be paid plus principal due but unpaid?

Yes, this requires the total principal balance that is actually outstanding at the pool cut-off date, including principal due but unpaid.

AN27 (Scheduled Payment Due) - is this asking for the last payment made by the borrower or the next payment that will be due from the borrower?

This is asking for the next scheduled payment due from the borrower.

AN31 (Interest Rate Reset Interval) - should we report the ongoing reset interval or the remaining time until the next reset?

Please report the remaining time until the next reset.

AN37 (Early Repayment Charges) - can you give a more detailed description for this field?

This is any amount ("charge", "fee", "penalty" etc.) that is payable by the borrower if they make prepayments on their loan.

AN38 (Consumer Types) - what is a “new” customer?

We would consider a 'new' customer to be one that has not had a financial relationship of any sort (e.g. a loan, a bank account etc.) with the Originator's group in the past.

AN41 (Date Removed From the Pool) - does this refer only to repurchased loans?

This is referring to any loan that no longer acts as collateral to the transaction, so covers scheduled and unscheduled redemptions, cancellation, write-offs and buy-backs. Please also see the answer to the question How do we populate the report for Non-Active Loans? in this section.

AN42 (Deposit Amount) - does this refer to all deposits or just deposits held as collateral for the loan?

This refers to all amounts owed to the borrower regardless of the account type e.g. current account, savings account, deposit account etc., and not just to amounts held as collateral.

AN43 (Employee) - Would employees of other group companies (ultimately owned by the ultimate parent company of the originator) be classified as employees? How would employees of subsidiaries of the originator be classified?

In both of these situations these borrowers should be classified as being employees.

AN49 (Arrears Balance) - does this relate to principal arrears, interest arrears or all arrears?

This relates to all arrears.

AN49 (Arrears Balance) - should we include the outstanding balance of the whole loan i.e. including the principal still not past due?

Please only report the overdue amount, not the entire outstanding balance.

AN49 (Arrears Balance) - how does AN49 (Arrears Balance) differ from AN59 (Arrears Balance Capitalised)?

AN59 is capturing the amount of any arrears that has been capitalised. AN49 is asking for the current amount of arrears on the loan, excluding anything that has been capitalised. For further details see also the answer to the question “AN59 (Arrears Balance Capitalised) – what does this mean?”

AN51 (Default Date) - what is the definition of default?

'Default' should be interpreted as per the definition in the ABS transaction documents.

AN52 (Gross Default Amount) - will this be populated at the point of default and then remain constant for all following periods?

Yes, this is correct.

AN56 (Redemption Date) - which loans does this field apply to?

This applies to all loans that have redeemed, prepaid, cancelled or defaulted (with no further recoveries expected).

AN58 (Account Status) – please clarify several of the options?

6 – Repurchased by Seller – breach of reps and warranties: the loan has been repurchased by the seller as it was found to be in breach of the reps and warranties made by the seller at closing / transfer and therefore ineligible for inclusion in the pool.

7 – Repurchased by Seller – restructured: the loan has been repurchased by the seller as the loan terms are in the process of being restructured

8 – Repurchased by Seller – special servicing: the loan has been repurchased by the seller to allow the seller to offer a greater range of forbearance options to the delinquent borrower.

AN58 (Account Status) - does "restructured" only refer to restructuring that occurs after a loan has been securitised?

Restructured refers to those loans that have been restructured at any point since the loan was originated.

AN59 (Arrears Balance Capitalised) - what does this mean?

This refers to any arrears amounts that have been added to the outstanding principal balance of the loan (usually as a forbearance measure) so the borrower is no longer classified as being in arrears.

AN59 (Arrears Balance Capitalised) - do we have to populate this field if the capitalised amount does not accrue interest?

Yes - although we would expect that interest would be charged on these amounts, this has no impact on whether AN59 should be populated.

AN59 (Arrears Balance Capitalised) - how does AN49 (Arrears Balance) differ from AN59 (Arrears Balance Capitalised)?

AN59 is capturing the amount of any arrears that has been capitalised. AN49 is asking for the current amount of arrears on the loan, excluding anything that has been capitalised.

BN15 (Total Receivables Sold to SPV) - what information is required here? Is this required at a pool level?

This is at the pool level and aims to capture the total amount of receivables that have been sold to the SPV. For example in a static €100 deal, this would be €100. For a revolving deal, it would be the sum of the initial amount sold to the SPV at closing, plus the sum of all further receivables bought by the SPV (using principal collections) until the revolving period ends.

Auto ABS template questions

What loans need to be included in the reports submitted to the data repository for Auto ABS transactions?
  1. Within the first report submitted to the data repository, it is mandatory only to report "Active Loans" that form part of the pool as of the cut-off date of the first submitted report. "Active Loan" means a loan that has a non-zero principal balance at the pool cut-off date (i.e. for which cash inflows or outflows may be expected to occur in the future).
  2. For all subsequent reports submitted to the data repository, it is mandatory to report all Active Loans, plus all loans that have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or substituted (together referred to as "Non-Active Loans") since the cut-off date of the previously submitted report. Once Non-Active Loans have been reported once, they need not be included in subsequent reports.

Therefore, starting from and including the second submitted report to the data repository, reports should contain all Active Loans plus those loans that have become Non-Active Loans since the cut-off date of the previously submitted report.

May we continue to report Non-Active Loans in all future reports (i.e. not just in the period following when they became inactive)?

Yes, you may continue reporting all Non-Active Loans in all your future reports if you wish.

How do we populate the report for Non-Active Loans?

For non-active loans, static fields will remain unchanged. Dynamic fields should be populated on the same basis as for active loans i.e. using information that is relevant for that loan or lease at that cut-off date e.g. AA19 Amortisation Type would be ND,5; AA27 Current Principal Outstanding Balance would be 0; AA28 Scheduled Payment Due would be ND,5 etc.

Should Active Loans that have been added to the pool after the pool cut-off date of our most recently submitted report be included within our report? For example, the pool cut-off date of this report is 31 March, the interest payment date is 15 April and we are submitting our report on 10 May. Do we need to include the loans that we have added to our pool between 1 April and 10 May?

No, only Active Loans that form part of the collateral pool on the pool cut-off date of each report should be included. Loans that have been added after this date (i.e. since 31st March) will be included in your next report, providing that they are Active Loans as of the next pool cut-off date.

When should we use the Auto ABS template and when do we use the Leasing ABS template?
  • A collateral pool that is comprised entirely of auto assets would use the Auto ABS template, regardless of whether the underlying auto agreements were loans or leases.
  • An ABS deal where the underlying agreements were entirely leases would use the Leasing ABS template, unless the collateral pool was comprised entirely of autos in which case the auto ABS template would be used. For example:
Collateral ABS 1 ABS 2 ABS 3 ABS 4 ABS 5
Auto Loans 100% 0% 50% 0% 0%
Auto Leases 0% 100% 50% 0% 50%
Other Leases 0% 0% 0% 100% 50%
Total 100% 100% 100% 100% 100%
ABS Template to use Auto Auto Auto Leasing Leasing
AA8 (Borrower Identifier) - how should we complete this field for loans with more than one borrower?

Please provide a unique anonymised identifier for the main borrower, based upon highest income. It does not need to be formally encrypted.

AA9 (Group Company Identifier) - if the borrower is not part of a group, is it possible to use the same value as in AA8?

Yes, although ND,5 may be more appropriate.

AA15 (Borrower Credit Quality) - what is your definition of borrower credit quality?

This field is requesting either the originator's or an external data provider's definition of credit quality. The ECB does not provide any definitions of borrower credit quality.

AA16 (Borrower’s Employment Status) - how do we complete this field for corporates?

Please report (6) "No Employment, borrower is legal entity" for corporates.

AA16 (Borrower’s Employment Status) - please explain the meaning of "employed with partial support (company subsidy)"?

The borrower is employed and receives a subsidy in respect of the auto loan or lease from their employer.

AA17 (Primary Income) – how should this be completed if the customer has a co-holder (e.g. family member) showing a sufficient salary or if the customer presents his income tax return with a sufficient income?

Field AA17 should be filled with the income of the borrower/customer only. If the ‘co-holder’ is a ‘guarantor’, then please choose the appropriate options in fields AR74 (“Type of Guarantee Provider”) and fill in the co-holder income in AR76 (“Income Guarantor”).

AA17 (Primary Income) – how should this be completed if the customer is a corporate?

Field AA17 should be filled with ND,5, because the primary income is not relevant for corporates.

AA17 (Primary Income) - can we provide monthly or net income data?

No, only gross annual income data should be provided in this field.

AA17 (Primary Income) - we do not request income data, can we enter ND,5 for this field?

For individual / non-corporate borrowers we would expect that income would form part of the underwriting criteria. We therefore do not consider ND,5 to be an appropriate response for AA17 in these circumstances, and ND,1 should be entered instead.

AA21 (Geographical Region) - we collect postcodes, not NUTS3 regions, when we underwrite a loan. What do we do if a postcode maps to two NUTS3 regions?

This occurs very infrequently. Please select one of the two possible NUTS3 codes and then apply this consistently in all future report submissions.

AA23 (Expected Loan or Lease Maturity) and AA24 (Original Loan or Lease Term) - what is the difference between these two fields?

AN24 is the original term of the loan or lease as per the original loan or lease agreement and will remain unchanged through the life of the loan. AN23 is the expected maturity date of the loan or lease and reflects all prepayments, loan amendments, loan modifications etc.

AA23 (Expected Loan or Lease Maturity) – how should this field be reported in case we have a defaulted receivable?

It is fine to report ND,5 in this circumstance. Alternatively, one may report the latest-available expected maturity prior to the loan or lease entering into default.

AN24 is the original term of the loan or lease as per the original loan or lease agreement and will remain unchanged through the life of the loan. AN23 is the expected maturity date of the loan or lease and reflects all prepayments, loan amendments, loan modifications etc.

AA27 (Current Outstanding Principal Balance) - does this refer to the sum of principal outstanding to be paid plus principal due but unpaid?

Yes, this requires the total principal balance that is actually outstanding at the pool cut-off date, including principal due but unpaid.

AA27 (Current Outstanding Principal Balance) – are negative values allowed in case of overpayments?

Yes, in the case of overpayments, please provide the negative balance. No other fields concerning the outstanding balance or principals should be adjusted however.

AA28 (Scheduled Payment Due) - is this asking for the last payment made by the borrower or the next payment that will be due from the borrower?

This is asking for the next scheduled payment due from the borrower.

AA28 (Scheduled Payment Due) - how should this field be completed for defaulted and delinquent loans?

When a loan has defaulted, please enter ND,5. For delinquent loans, please report the next contractual instalment.

AA32 (Date of Financial Statements at Underwriting) - is this the date of the financial statements or the date when the financial statements are audited?

The date of the most recently audited financial statements e.g. year ended 31 December 2012.

AA35 (Original Loan to Value) - what does "rounded to the nearest 5%" mean?

“Rounded to the nearest 5%” means, for example, that 72.6% LTV may be reported as 75% LTV, 72.5% LTV may be reported as 75% LTV, and 72.4% LTV may be reported as 70% LTV.

AA37 (Option to Buy Price) - is this the balloon or residual value payment?

No - this field is any amount, other than the balloon / residual value payment, that the borrower must pay to purchase the vehicle at the end of their contract.

AA39 (Interest Rate Reset Interval) – should we report the ongoing reset interval or the remaining time until the next reset?

Please report the remaining time until the next reset.

AA43 (Discount Rate) – is this field referring to the yield of the transaction?

This is the discount rate applied to the receivable when it was sold to the SPV. If the receivable was not sold at a discount, please enter zero in this field.

AA50 (Original Residual Value of Vehicle) - if the residual value has been neither securitized nor pledged, do we have to provide this value?

If the residual value has been neither securitised nor pledged to the SPV, then this value does not need to be disclosed and ND,5 may be entered.

AA50 (Original Residual Value of Vehicle) - where can we find details on how we can round this value?

Details and examples are provided in the "Instructions" sheet of the taxonomy and template.

AA50 (Original Residual Value of Vehicle) – is this field applicable for balloon loans in auto loan (as opposed to leasing) cases?

No it is not applicable and ND,5 should be entered.

AA51 (Securitised Residual Value) - if the residual value has not been securitised, do we have to provide this value?

If the residual value has not been securitised, then this value does not need to be disclosed and ND,5 may be entered.

AA51 (Securitised Residual Value) - where can we find details on how we can round this value?

Details and examples are provided in the "Instructions" sheet of the taxonomy and template.

AA51 (Securitised Residual Value) – is this field applicable for balloon loans in auto loan (as opposed to leasing) cases?

No it is not applicable and ND,5 should be entered.

AA52 (Updated Residual Value of Vehicle) - if the residual value has been neither securitized nor pledged, do we have to provide this value?

If the residual value has been neither securitised nor pledged to the SPV, then this value does not need to be disclosed and ND,5 may be entered.

AA52 (Updated Residual Value of Vehicle) - where can we find details on how we can round this value?

Details and examples are provided in the "Instructions" sheet of the taxonomy and template.

AA52 (Updated Residual Value of Vehicle) – is this field applicable for balloon loans in auto loan (as opposed to leasing) cases?

No it is not applicable and ND,5 should be entered.

AA53 (Date of Updated Residual Value of Vehicle) – is this field applicable for balloon loans in auto loan (as opposed to leasing) cases?

No it is not applicable and ND,5 should be entered.

AA58 (Date Removed From the Pool) - does this refer only to repurchased loans or leases?

This is referring to any loan or lease that no longer acts as collateral to the transaction, so covers scheduled and unscheduled redemptions, cancellation, write-offs and buy-backs. Please also see the answer to the question How do we populate the report for Non-Active Loans? in this section.

AA59 (Deposit Amount) - does this refer to all deposits or just deposits held as collateral for the loan or lease?

This refers to all amounts owed to the borrower regardless of the account type e.g. current account, savings account, deposit account etc., and not just to amounts held as collateral.

AA65 (Arrears Balance) - does this relate to principal arrears, interest arrears or all arrears?

This relates to all arrears.

AA65 (Arrears Balance) - should we include the outstanding balance of the whole loan or lease, i.e. including the principal still not past due?

Please only report the overdue amount, not the entire outstanding balance.

AA67 (Default Date) - what is the definition of default?

'Default' should be interpreted as per the definition in the ABS transaction documents.

AA68 (Gross Default Amount) - will this be populated at the point of default and then remain constant for all following periods?

Yes, this is correct.

AA69 (Sale Price) - should this be the gross proceeds or net of costs?

This should be net of costs and refers only to recoveries from the sale of the vehicle. See also AA71 (Cumulative Recoveries) - how does this differ from AA69 Sale Price? for further details.

AA71 (Cumulative Recoveries) - how does this differ from AA69 (Sale Price)?

AA71 should be populated with the total net amount of recoveries for an individual loan or lease, regardless of the source of those recoveries. This is different from AA69, which refers only to recoveries from the sale of the vehicle. See also AA69 (Sale Price) - should this be the gross proceeds or net of costs? for further details.

AA72 (Redemption Date) - which loans does this field apply to?

This applies to all loans or leases that have redeemed, prepaid, cancelled or defaulted (with no further recoveries expected).

AA73 (Residual Value Losses) - if the residual value has been neither securitized nor pledged, do we have to provide this value?

If the residual value has been neither securitised nor pledged to the SPV, then this value does not need to be disclosed and ND,5 may be entered.

AA74 (Account Status) - does "restructured" only refer to restructuring that occurs after a loan or lease has been securitised?

Restructured refers to those loans or leases that have been restructured at any point since they were originated.

BAA15 (Total Receivables Sold to SPV) - what information is required here? Is this required at a pool level?

This is at the pool level and aims to capture the total amount of receivables that have been sold to the SPV. For example in a static €100 deal, this would be €100. For a revolving deal, it would be the sum of the initial amount sold to the SPV at closing, plus the sum of all further receivables bought by the SPV (using principal collections) until the revolving period ends.

Leasing ABS template questions

What loans need to be included in the reports submitted to the data repository for Leasing ABS transactions?
  1. Within the first report submitted to the data repository, it is mandatory only to report "Active Loans" that form part of the pool as of the cut-off date of the first submitted report. "Active Loan" means a loan that has a non-zero principal balance at the pool cut-off date (i.e. for which cash inflows or outflows may be expected to occur in the future).
  2. For all subsequent reports submitted to the data repository, it is mandatory to report all Active Loans, plus all loans that have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or substituted (together referred to as "Non-Active Loans") since the cut-off date of the previously submitted report. Once Non-Active Loans have been reported once, they need not be included in subsequent reports.

Therefore, starting from and including the second submitted report to the data repository, reports should contain all Active Loans plus those loans that have become Non-Active Loans since the cut-off date of the previously submitted report.

May we continue to report Non-Active Loans in all future reports (i.e. not just in the period following when they became inactive)?

Yes, you may continue reporting all Non-Active Loans in all your future reports if you wish.

How do we populate the report for Non-Active Loans?

For non-active loans, static fields will remain unchanged. Dynamic fields should be populated on the same basis as for active loans i.e. using information that is relevant for that lease at that cut-off date e.g. AL56 Current Principal Outstanding Balance would be 0; AL58 Repayment Method would be ND,5; AL61 Payment Due would be ND,5 etc.

Should Active Loans that have been added to the pool after the pool cut-off date of our most recently submitted report be included within our report? For example, the pool cut-off date of this report is 31 March, the interest payment date is 15 April and we are submitting our report on 10 May. Do we need to include the loans that we have added to our pool between 1 April and 10 May?

No, only Active Loans that form part of the collateral pool on the pool cut-off date of each report should be included. Loans that have been added after this date (i.e. since 31st March) will be included in your next report, providing that they are Active Loans as of the next pool cut-off date.

When should we use the Leasing ABS template and when do we use the Auto ABS template?
  • A collateral pool that is comprised entirely of auto assets would use the Auto ABS template, regardless of whether the underlying auto agreements were loans or leases.
  • An ABS deal where the underlying agreements were entirely leases would use the Leasing ABS template, unless the collateral pool was comprised entirely of auto leases in which case the auto ABS template would be used. For example:
Collateral ABS 1 ABS 2 ABS 3 ABS 4 ABS 5
Auto Loans 100% 0% 50% 0% 0%
Auto Leases 0% 100% 50% 0% 50%
Other Leases 0% 0% 0% 100% 50%
Total 100% 100% 100% 100% 100%
ABS Template to use Auto Auto Auto Leasing Leasing
In general, should the template be completed in relation to the entire lease balance or just the securitised element?

In general, the template should be completed in relation to the securitised balance.

AL5 (Lease Identifier) - how should we anonymise this information?

The only requirement is that the identification number used within the loan level report must be different from the actual identification number, to ensure anonymity of the lessee. There is no need for formal encryption.

AL8 (Lessee Identifier) - how should we anonymise this information?

The only requirement is that the identification number used within the loan level report must be different from the actual identification number, to ensure anonymity of the lessee. There is no need for formal encryption.

AL17 (Geographical Region) - we collect postcodes, not NUTS3 regions, when we underwrite a lease. What do we do if a postcode maps to two NUTS3 regions?

This occurs very infrequently. Please select one of the two possible NUTS3 codes and then apply this consistently in all future report submissions.

AL19 (Obligor Incorporation Date) – how do we complete this field for an individual?

As this is not relevant for individuals, please enter ND,5.

AL30 (Bank Internal Rating) – how should this field be completed by originators that are using the standardised approach?

As this is not relevant when using the standardised approach, please enter ND,5.

AL31 (Last Internal Obligor Rating Review) – how should this field be completed by originators that are using the standardised or foundation-IRB approaches?

As this is not relevant when using the standardised or foundation-IRB approaches, please enter ND,5.

AL37 (Bank Internal Loss Given Default (LGD) Estimate) – how should this field be completed by originators that are using the standardised or foundation-IRB approaches?

As this is not relevant when using the standardised or foundation-IRB approaches, please enter ND,5.

AL42 (NACE Industry Code) – what values are expected in this field?

Please reference the "NACE Industry Code List" tab in the SME taxonomy for the list of values that may be used in this field.

AL44 (Deposit Amount) - does this refer to all deposits or just deposits held as collateral for the lease?

This refers to all amounts owed to the lessee regardless of the account type e.g. current accounts, savings accounts, deposit accounts etc., and not just to amounts held as collateral.

AL48 (Date Removed from the Pool) - does this refer only to repurchased leases?

This is referring to any lease that no longer acts as collateral to the transaction, so covers scheduled and unscheduled redemptions, cancellation, write-offs and buy-backs. Please also see the answer to the question How do we populate the report for Non-Active Loans? in this section.

AL56 (Current Outstanding Principal Balance) - does this refer to the sum of principal outstanding to be paid plus principal due but unpaid?

Yes, this requires the total principal balance that is actually outstanding at the pool cut-off date, including principal due but unpaid.

AL56 (Current Outstanding Principal Balance) - does this refer to the total lease amount outstanding or the securitised amount only?

This refers to the securitised amount only.

AL57 (Securitised Residual Value) - if the residual value has not been securitised, do we have to provide this value?

If the residual value has not been securitised, then this value does not need to be disclosed and ND,5 may be entered.

AL57 (Securitised Residual Value) - where can we find details on how we can round this value?

Details and examples are provided in the "Instructions" sheet of the taxonomy and template.

AL61 (Payment Due) - is this asking for the last payment made by the lessee or the next payment that will be due from the lessee?

This is asking for the next scheduled payment due from the lessee.

AL61 (Payment Due) - how should this field be completed for defaulted and delinquent leases?

When a lease has defaulted, please enter ND,5. For delinquent leases, please report the next contractual instalment.

AL61 (Payment Due) - does this refer to the entire lease payment due or the only that portion of the next scheduled payment that is due to the SPV?

This refers to the amount that will be due to the SPV only.

AL62 (Option to Buy Price) - is this the residual value payment?

No - this field is any amount, other than the residual value payment, that the lessor must pay to purchase the asset at the end of their contract.

AL68 (Updated Residual Value of Asset) - if the residual value has been neither securitized nor pledged, do we have to provide this value?

If the residual value has been neither securitised nor pledged to the SPV, then this value does not need to be disclosed and ND,5 may be entered.

AL68 (Updated Residual Value of Asset) - where can we find details on how we can round this value?

Details and examples are provided in the "Instructions" sheet of the taxonomy and template.

AL68 (Updated Residual Value of Asset) – what is being requested here?

This field is asking for the most recent estimate of the future value of the leased asset at the expiry of the lease term.

Al74 (Interest Rate Reset Interval) – should we report the ongoing reset interval or the remaining time until the next reset?

Please report the remaining time until the next reset.

AL74 (Interest Rate Reset Interval) - how should we populate this field for fixed rate leases?

As this is not relevant to fixed-rate leases, please enter ND,5.

AL95 (Date of Financial Statements at Underwriting) - is this the date of the financial statements or the date when the financial statements are audited?

The date of the most recently audited financial statements e.g. year ended 31 December 2012.

AL98 (Arrears Balance) - does this relate to principal arrears, interest arrears or all arrears?

This relates to all arrears.

AL98 (Arrears Balance) - should we include the outstanding balance of the whole lease i.e. including the principal still not past due?

Please only report the overdue amount, not the entire outstanding balance.

AL98 (Arrears Balance) - does this refer to the total lease arrears amount or just the arrears that are due to the SPV?

This refers to the arrears amounts due to the SPV only.

AL104 (Default or Foreclosure on the Lease) - what is the definition of default?

'Default' should be interpreted as per the definition in the ABS transaction documents.

AL108 (Default Amount) - will this be populated at the point of default and then remain constant for all following periods?

Yes, this is correct.

AL108 (Default Amount) - does this refer to the total lease amount due or the securitised amount only?

This refers to the securitised amount only i.e. the default as suffered by the SPV only.

AL111 (Cumulative Recoveries) - does this refer to the total recoveries received or the share of recoveries that are due to the SPV only?

This refers to amounts due to the SPV only.

AL115 (Allocated Losses) – what does this mean and when should this field be completed?

Please populate this for all leases as soon as they are classified as defaulted, with the best estimate of the losses that will be incurred when the entire recovery / work-out process has been completed. As this field is dynamic, the estimate of the loss could change from one report to the next.

AL115 (Allocated Losses) – should this be the total estimated losses on the defaulted lease or just those losses that are expected to be incurred by the SPV?

The estimated losses that will be incurred by the SPV.

AL116 (Redemption Date) - which leases does this field apply to?

This applies to all loans or leases that have redeemed, prepaid, cancelled or defaulted (with no further recoveries expected).

AL117 (Date Loss Allocated) – is this the date that the estimate of the loss in AL115 was calculated?

Yes, this is correct.

AL122 (Account Status) - does "restructured" only refer to restructuring that occurs after a lease has been securitised?

Restructured refers to those leases that have been restructured at any point since they were originated.

AL128 (Loss on Sale) – is this the total loss incurred on the sale of the leased asset or just the actual loss suffered by the SPV?

This is the loss suffered by the SPV.

AL129 (Residual Value Losses) - if the residual value has been neither securitized nor pledged, do we have to provide this value?

If the residual value has been neither securitised nor pledged to the SPV, then this value does not need to be disclosed and ND,5 may be entered.

AL134 (Asset Manufacturer) – how do we complete this when the leased asset is real estate?

As this is not relevant for real estate, please enter ND,5.

AL134 (Asset Manufacturer) – in some cases the asset supplier is more important to our analysis of the lease than the asset manufacturer; in this instance is it acceptable to enter the name of the asset supplier in this field?

In these circumstances yes, it is acceptable to enter the name of the asset supplier.

AL135 (Asset Name/Model) – how do we complete this when the leased asset is real estate?

As this is not relevant for real estate, please enter ND,5.

AL137 (New or Used Asset) – how do we complete this when the leased asset is real estate?

If the property is newly built, then please use 1 (New); otherwise use 4 (Other).

AL138 (Original Residual Value of Asset) - if the residual value has been neither securitized nor pledged, do we have to provide this value?

If the residual value has been neither securitised nor pledged to the SPV, then this value does not need to be disclosed and ND,5 may be entered.

AL138 (Original Residual Value of Asset) - where can we find details on how we can round this value?

Details and examples are provided in the "Instructions" sheet of the taxonomy and template.

BL15 (Total Receivables Sold to SPV) - what information is required here? Is this required at a pool level?

This is at the pool level and aims to capture the total amount of receivables that have been sold to the SPV. For example in a static €100 deal, this would be €100. For a revolving deal, it would be the sum of the initial amount sold to the SPV at closing, plus the sum of all further receivables bought by the SPV (using principal collections) until the revolving period ends.

BL17 (Cumulative Recoveries – Pool) – is this the total recoveries that have been received on all leases in the pool that have defaulted, or just the SPV's share of recoveries?

This is just the SPV's share of recoveries.

Public-sector DECC template Questions

When must the public-sector DECC template be completed?

In accordance with Article 107a of Guideline ECB/2015/27, the public-sector DECC template must be completed for all debt instruments backed by eligible credit claims (DECCs) that 1. are backed by loans granted to public-sector obligors that comply with Eurosystem eligibility requirements for individual credit claims and 2. seek to become eligible as collateral for Eurosystem credit operations.

Does this imply that public sector ABSs are an eligible collateral asset class for regular Eurosystem credit operations?

The published template only applies to public-sector DECCs and does not signal any change in eligibility for other products, such as any ABSs whose cash-flow generating assets are composed of public-sector claims.

What loans need to be included in the reports submitted to the data repository for DECC transactions?

(i) Within the first report submitted to the data repository, it is mandatory only to report "Active Loans" that form part of the pool as of the cut-off date of the first submitted report. "Active Loan" means a loan that has a non-zero principal balance at the pool cut-off date (i.e. for which cash inflows or outflows may be expected to occur in the future).

(ii) For all subsequent reports submitted to the data repository, it is mandatory to report all Active Loans, plus all loans that have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or substituted (together referred to as "Non-Active Loans") since the cut-off date of the previously submitted report. Once Non-Active Loans have been reported once, they need not be included in subsequent reports.

Therefore, starting from and including the second submitted report to the data repository, reports should contain all Active Loans plus those loans that have become Non-Active Loans since the cut-off date of the previously submitted report.

May we continue to report Non-Active Loans in all future reports (i.e. not just in the period following when they became inactive)?

Yes, you may continue reporting all Non-Active Loans in all your future reports if you wish.

How do we populate the report for Non-Active Loans?

For non-active loans, static fields will remain unchanged. Dynamic fields should be populated on the same basis as for active loans i.e. using information that is relevant for that lease at that cut-off date e.g. AP39 Current Balance would be 0; AP45 Amortisation Type would be ND,5; etc.

AP16 (Asset Type) – this field stipulates a list of possible credit claim types that includes “Overdraft”, “Letter of Credit”, and “Working Capital Facility”, even though these are currently not eligible credit claim types for the Eurosystem. Other fields also contain certain features in this manner (such as referring to non-euro area currencies). Does this imply a change in eligibility for certain credit claim types?

The present template and its options for certain fields do not signal a change in Eurosystem collateral eligibility requirements, which are set out in the relevant legal acts, such as Guideline ECB/2015/50. The present template aims to reflect possible arrangements for public-sector credit claims regardless of whether these are eligible for the Eurosystem or not. In this way, the template aims to be useful both for the Eurosystem and for the wider market, for example if market participants wish to make use of these reporting requirements for their own purposes.

Eligibility of ABSs with heterogeneous pools

Will ABSs with heterogeneous pools of underlying assets remain eligible as collateral in Eurosystem credit operations?

In order to be eligible, an ABS must be backed by cash flow-generating assets which the Eurosystem considers to be homogeneous (i.e. a pool of assets consisting solely of either (i) residential mortgages, (ii) commercial mortgages, (iii) loans to SMEs, (iv) auto loans, (v) consumer finance loans (vi) leasing receivables) or (vii) credit card receivables. ABSs are not eligible for Eurosystem monetary policy operations if they have a heterogeneous pool of underlying assets, as those assets cannot then be reported using a single template.

ABSs that do not comply with the loan-level data reporting requirements because they have heterogeneous pools of underlying assets and/or do not conform to any of the loan-level templates ceased to be eligible starting on 1 April 2014.