ANNEX IV

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

(a) has been declared insolvent or had a court grant his creditors a final non-appealable right of enforcement or material damages as a result of a missed payment within three years prior to the date of origination or has undergone a debt restructuring process with regard to his non-performing exposures within three years prior to the date of transfer or assignment of the underlying exposures to the SSPE, except if:

(i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and

(ii) the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

(b) was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or

(c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

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

Customer type at origination:

New customer and not an employee/affiliated with the originator's group (CNEO)

New customer and an employee/affiliated with the originator's group (CEMO)

New customer and employee/affiliation not recorded (CNRO)

Existing customer and not an employee/affiliated with the originator's group (ENEO)

Existing customer and an employee/affiliated with the originator's group (EEMO)

Existing customer and employee/affiliation not recorded (ENRO)

Other (OTHR)

Obligor Basel III Segment:

Corporate (CORP)

Small and Medium Enterprise Treated as Corporate (SMEX)

Retail (RETL)

Other (OTHR)

Classification of enterprises by size, in accordance with the Annex to Commission Recommendation 2003/361/EC as it applied in the UK immediately before IP completion day:

Micro Enterprise (MICE) - employs fewer than 10 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 2 million

Small Enterprise (SMAE) - employs fewer than 50 persons and whose annual turnover and/or annual balance sheet total does not exceed EUR 10 million

Medium Enterprise (MEDE) - employs fewer than 250 persons and which has an annual turnover not exceeding EUR 50 million, and/or an annual balance sheet total not exceeding EUR 43 million

Large Enterprise (LARE) - an enterprise that is neither a micro, small, or medium enterprise.

Natural Person (NATP)

Other (OTHR)

Annual sales volume net of all discounts and sales taxes of the obligor. Equivalent to the concept of "total annual sales" in Article 153(4) of Regulation (EU) No 575/2013.

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

Total gross debt of the obligor, including the financing provided in the present underlying exposure.

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

Recurring earnings from continuing operations plus interest, taxes, depreciation, and amortisation.

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

Enterprise value i.e. market capitalisation plus debt, minority interest and preferred shares, minus total cash and cash equivalents.

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

Net income plus non-cash charges plus interest x (1 - tax rate) plus long-term investments less investments in working capital. Non-cash charges include depreciation, amortisation, depletion, stock-based compensation and asset impairments.

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

Debt Type:

Loan or Lease (LOLE)

Guarantee (DGAR)

Promissory Notes (PRMS)

Participation Rights (PRTR)

Overdraft (ODFT)

Letter of Credit (LCRE)

Working Capital Facility (WCFC)

Equity (EQUI)

Other (OTHR)

What receivables associated with this underlying exposure have been securitised:

Principal and Interest (PRIN)

Principal Only (PRPL)

Interest Only (INTR)

Other (OTHR)

Debt Instrument Seniority:

Senior Debt (SNDB)

Mezzanine Debt (MZZD)

Junior Debt (JUND)

Subordinated Debt (SBOD)

Other (OTHR)

Is the underlying exposure a leveraged transaction.

A leveraged transaction is any transaction that meets at least one of the conditions below:

1. all types of loan or credit exposure, irrespective of the classification in the regulatory banking book or regulatory trading book, where the borrower’s post-financing level of leverage exceeds a Total Debt to EBITDA ratio of 4.0 times;

2. all types of loan or credit exposures where the borrower is owned by one or more financial sponsors.

In relation to point (1) above:

(a) For the purpose of this guidance, exposure refers to all gross direct commitments to a leveraged borrower, including drawn and undrawn facilities, term loans, bridge loans or revolving credit facilities, committed exposures not yet syndicated or distributed, and exposures being warehoused for a later sale.

(b) The term “Total Debt” refers to total committed debt (including drawn and undrawn debt) and any additional debt that loan agreements may permit. Committed undrawn liquidity facilities, according to the Basel Committee on Banking Supervision’s Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools (BCBS 238), are excluded. Cash should not be netted against debt. For the purpose of leverage multiple, when calculated at transaction origination, the pro forma financial statements of the resulting company after the transaction has taken place should be considered.

(c) EBITDA refers to earnings before interest, tax, depreciation and amortisation. Any enhancements to EBITDA should be duly justified and reviewed by a function independent of the front office function.

(d) The designation of a financing as a “leveraged transaction” is made at loan origination, modification or refinancing.

(e) The leverage multiple should be calculated at the consolidated borrower level, unless group support cannot be assumed in case the borrowing entity is experiencing financial difficulties. Any deviation from the calculation at consolidated level should be justified and documented on a case-by-case basis.

In relation to point (2) above:

(a) As per point (37) of Article 4(1) of Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (the Capital Requirements Regulation, the CRR), a financial sponsor (for which definition see below) is deemed to be the owner if it controls or owns more than 50% of the borrower’s equity.

(b) The term “financial sponsor” refers to an investment firm that undertakes private equity investments in and/or leveraged buyouts of companies with the intention of exiting those investments on a medium term basis.

The following transactions are not expected to be covered by the leveraged transaction definition:

1. loans with natural persons, credit institutions, investment firms, public sector entities and financial sector entities (the terms “credit institution”, “investment firm”, “public sector entity” and “financial sector entity” are defined in points (1), (2), (8) and (27) respectively of Article 4(1) of the CRR);

2. loans to small and medium-sized enterprises (SMEs) as defined by Commission Recommendation 2003/361/EC except where the borrower is owned by one or more financial sponsors (see notes above as to where the borrower is owned and the term “financial sponsor”);

3. loans classified as specialised lending; “specialised lending” is defined in Article 147(8) of the CRR; and also in the EBA’s Regulatory Technical Standards on Assigning Risk Weights to Specialised Lending Exposures under Article 153(9) of the CRR; and in the BCBS’s Working Paper on the Internal Ratings-Based Approach to Specialised Lending Exposures of 2001; “specialised lending” comprises project finance, real estate, object financing and commodities financing;

4. trade finance; as per Article 4(80) of the CRR, trade finance means financing, including guarantees, connected to the exchange of goods and services through financial products of fixed short-term maturity, generally of less than one year, without automatic rollover;

5. Asset-Based Loans (ABLs) that are the only source of funding in the borrower's capital structure;

6. loans secured only by financial assets.

Origination channel of the underlying exposure:

Office or Branch Network (BRAN)

Broker (BROK)

Internet (WEBI)

Other (OTHR)

underlying exposure Purpose:

Overdraft or Working Capital (OVRD)

New Plant and Equipment Investment (EQPI)

New Information Technology Investment (INFT)

Refurbishment of Existing Plant, Equipment, or Technology (RFBR)

Merger and Acquisition (MGAQ)

Other Expansionary Purpose (OEXP)

Other (OTHR)

Original underlying exposure balance (inclusive of fees).

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

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

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

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

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

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

For Collateralised Loan Obligation securitisations, enter the market value of the security.

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

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

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

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

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

If there exists an option to sell back the underlying exposure, enter the strike (exercise) price. If the strike price is moveable (e.g. the option is a lookback option), enter the best estimate of the strike price as at the data cut-off date.

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

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

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

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

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

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

Other (OTHR)

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

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

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

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

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

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

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

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

Interest rate type:

Floating rate underlying exposure (for life) (FLIF)

Floating rate underlying exposure linked to one index that will revert to another index in the future (FINX)

Fixed rate underlying exposure (for life) (FXRL)

Fixed with future periodic resets (FXPR)

Fixed rate underlying exposure with compulsory future switch to floating (FLCF)

Floating rate underlying exposure with floor (FLFL)

Floating rate underlying exposure with cap (CAPP)

Floating rate underlying exposure with both floor and cap (FLCA)

Discount (DISC)

Switch Optionality (SWIC)

Obligor Swapped (OBLS)

Modular (MODE)

Other (OTHR)

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

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

Tenor of the current interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

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

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

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

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

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

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

Next interest rate index.

MuniAAA (MAAA)

FutureSWAP (FUSW)

LIBID (LIBI)

LIBOR (LIBO)

SWAP (SWAP)

Treasury (TREA)

Euribor (EURI)

Pfandbriefe (PFAN)

EONIA (EONA)

EONIASwaps (EONS)

EURODOLLAR (EUUS)

EuroSwiss (EUCH)

TIBOR (TIBO)

ISDAFIX (ISDA)

GCFRepo (GCFR)

STIBOR (STBO)

BBSW (BBSW)

JIBAR (JIBA)

BUBOR (BUBO)

CDOR (CDOR)

CIBOR (CIBO)

MOSPRIM (MOSP)

NIBOR (NIBO)

PRIBOR (PRBO)

TELBOR (TLBO)

WIBOR (WIBO)

Bank of England Base Rate (BOER)

European Central Bank Base Rate (ECBR)

Lender's Own Rate (LDOR)

Other (OTHR)

Tenor of the next interest rate index:

Overnight (OVNG)

IntraDay (INDA)

1 day (DAIL)

1 week (WEEK)

2 week (TOWK)

1 month (MNTH)

2 month (TOMN)

3 month (QUTR)

4 month (FOMN)

6 month (SEMI)

12 month (YEAR)

On Demand (ONDE)

Other (OTHR)

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

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

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

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

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

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

Current balance of arrears, which is defined as:

Total payments due to date

PLUS any amounts capitalised

PLUS any fees applied to the account

LESS total payments received to date.

If no arrears then enter 0.

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

Current status of the underlying exposure that has been securitised:

Performing (PERF)

Restructured - No Arrears (RNAR)

Restructured - Arrears (RARR)

Defaulted according to Article 178 of Regulation (EU) No 575/2013 (DFLT)

Not defaulted according to Article 178 of Regulation (EU) No 575/2013 but classified as defaulted due to another definition of default being met (NDFT)

Defaulted both according to Article 178 of Regulation (EU) No 575/2013 and according to another definition of default being met (DTCR)

Defaulted only under another definition of default being met (DADB)

Arrears (ARRE)

Repurchased by Seller - Breach of Representations and Warranties (REBR)

Repurchased by Seller - Defaulted (REDF)

Repurchased by Seller - Restructured (RERE)

Repurchased by Seller - Special Servicing (RESS)

Repurchased by Seller - Other Reason (REOT)

Redeemed (RDMD)

Other (OTHR)

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

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

In default because the debtor is unlikely to pay, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPXX)

In default because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (PDXX)

In default both because it is considered that the debtor is unlikely to pay and because any debt is more than 90/180 days past due, in accordance with Article 178 of Regulation (EU) No 575/2013. (UPPD)

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

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

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

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

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

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

The source of the recoveries:

Liquidation of Collateral (LCOL)

Enforcement of Guarantees (EGAR)

Additional Lending (ALEN)

Cash Recoveries (CASR)

Mixed (MIXD)

Other (OTHR)

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

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

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

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

If there is an interest rate swap on the underlying exposure, enter the notional amount.

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

If there is an exchange rate swap on the underlying exposure, enter the notional amount.

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

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

Where no Legal Entity Identifier is available, enter ND5.

The type of security:

Collateral (COLL)

Guarantee backed by further collateral (GCOL)

Guarantee not backed by further collateral (GNCO)

Other (OTHR)

Type of security over the collateral. Where there is a guarantee, this field refers to any security for any collateral that is supporting that guarantee. "No charge but an irrevocable power of attorney or similar" refers to when the originator or original lender, as applicable, is irrevocably and unconditionally authorised to unilaterally create a charge over the collateral at any time in the future, without the need for any further approval from the obligor or guarantor:

Fixed charge (FXCH)

Floating charge (FLCH)

No charge (NOCG)

No charge but an irrevocable power of attorney or similar (ATRN)

Other (OTHR)

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

Automobile (CARX)

Industrial Vehicle (INDV)

Commercial Truck (CMTR)

Rail Vehicle (RALV)

Nautical Commercial Vehicle (NACM)

Nautical Leisure Vehicle (NALV)

Aeroplane (AERO)

Machine Tool (MCHT)

Industrial Equipment (INDE)

Office Equipment (OFEQ)

IT Equipment (ITEQ)

Medical Equipment (MDEQ)

Energy Related Equipment (ENEQ)

Commercial Building (CBLD)

Residential Building (RBLD)

Industrial Building (IBLD)

Other Vehicle (OTHV)

Other Equipment (OTHE)

Other Real Estate (OTRE)

Other goods or inventory (OTGI)

Securities (SECU)

Guarantee (GUAR)

Other Financial Asset (OTFA)

Mixed Categories Due to Security Over All Assets of the Obligor (MIXD)

Other (OTHR)

The most recent valuation of the collateral. Where there is a guarantee backed by physical or financial collateral, look through the guarantee to the collateral that is supporting that guarantee.

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

The method of calculating the most recent value of the collateral, as provided in field CRPC10.

Full Appraisal (FAPR)

Drive-by (DRVB)

Automated Value Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent or Estate Agent (MAEA)

Purchase Price (PPRI)

Haircut (HCUT)

Mark to Market (MTTM)

Obligor's valuation (OBLV)

Other (OTHR)

The original valuation of the collateral as of the initial underlying exposure origination date.

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

The method of calculating the value of the collateral at the time of underlying exposure origination, as provided in field CRPC13.

Full Appraisal (FAPR)

Drive-by (DRVB)

Automated Value Model (AUVM)

Indexed (IDXD)

Desktop (DKTP)

Managing Agent or Estate Agent (MAEA)

Purchase Price (PPRI)

Haircut (HCUT)

Mark to market (MTTM)

Obligor's valuation (OBLV)

Other (OTHR)

Price achieved on sale of collateral in case of foreclosure.

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