ANNEX VII

Underlying exposures information section

CCDL1

Unique Identifier

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

NO

NO

CCDL2

Original Underlying Exposure Identifier

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

NO

NO

CCDL3

New Underlying Exposure Identifier

If the original identifier in field CCDL2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CCDL2. The reporting entity must not amend this unique identifier.

NO

NO

CCDL4

Original Obligor Identifier

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

NO

NO

CCDL5

New Obligor Identifier

If the original identifier in field CCDL4 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in CCDL4. The reporting entity must not amend this unique identifier.

NO

NO

CCDL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

CCDL7

Pool Addition Date

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

NO

YES

CCDL8

Date Of Repurchase

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

NO

YES

CCDL9

Geographic Region - Obligor

The geographic region (NUTS3 classification) where the obligor is located. Where no NUTS3 classification was produced by Eurostat prior to IP completion day (e.g. a jurisdiction not in the EU or UK), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’. In relation to exposures acquired prior to IP completion day, please note the obligation in CCDL10 to provide the year of the NUTS3 classification used. NUTS3 2016, as it applied in the UK immediately before IP completion day, should be used for new exposures acquired after IP completion day.

YES

NO

CCDL10

Geographic Region Classification

Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. 2016 should be entered for new exposures acquired after IP completion day. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed.

YES

NO

CCDL11

Employment Status

Employment status of the primary obligor:

Employed - Private Sector (EMRS)

Employed - Public Sector (EMBL)

Employed - Sector Unknown (EMUK)

Unemployed (UNEM)

Self-employed (SFEM)

No Employment, Obligor is Legal Entity (NOEM)

Student (STNT)

Pensioner (PNNR)

Other (OTHR)

YES

NO

CCDL12

Credit Impaired Obligor

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

(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.

NO

YES

CCDL13

Customer Type

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)

YES

NO

CCDL14

Primary Income

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

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

YES

NO

CCDL15

Primary Income Type

Indicate what income in CCDL14 is displayed:

Gross annual income (GRAN)

Net annual income (net of tax and social security) (NITS)

Net annual income (net of tax only) (NITX)

Net annual income (net of social security only) (NTIN)

Estimated net annual income (net of tax and social security) (ENIS)

Estimated net annual income (net of tax only) (EITX)

Estimated net annual income (net of social security only) (EISS)

Disposable Income (DSPL)

Borrower is legal entity (CORP)

Other (OTHR)

YES

NO

CCDL16

Primary Income Currency

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

YES

NO

CCDL17

Primary Income Verification

Primary Income Verification:

Self-certified no Checks (SCRT)

Self-certified with Affordability Confirmation (SCNF)

Verified (VRFD)

Non-Verified Income or Fast Track (NVRF)

Credit Bureau Information or Scoring (SCRG)

Other (OTHR)

YES

NO

CCDL18

Special Scheme

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

YES

YES

CCDL19

Origination Date

The date on which the account was opened.

YES

NO

CCDL20

Origination Channel

Channel of Origination:

Internet (WEBI)

Branch (BRCH)

Telesale (TLSL)

Stand (STND)

Post (POST)

White Label (WLBL)

Magazine (MGZN)

Other (OTHR)

YES

YES

CCDL21

Currency Denomination

The underlying exposure currency denomination.

NO

NO

CCDL22

Current Principal Balance

Enter the total current amount owed by the obligor (including all fees and interest) on the account.

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

NO

YES

CCDL23

Total Credit Limit

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

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

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

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

NO

YES

CCDL24

Purchase Price

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

NO

YES

CCDL25

Principal Grace Period End Date

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

NO

YES

CCDL26

Scheduled Principal Payment Frequency

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

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

CCDL27

Scheduled Interest Payment Frequency

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

Monthly (MNTH)

Quarterly (QUTR)

Semi Annual (SEMI)

Annual (YEAR)

Other (OTHR)

NO

YES

CCDL28

Payment Due

The next minimum scheduled payment due from the obligor.

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

NO

YES

CCDL29

Current Interest Rate

Total weighted average annualised yield including all fees applicable at last billing date (i.e. this is billed, not cash yield).

NO

YES

CCDL30

Current Interest Rate Index

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)

NO

YES

CCDL31

Current Interest Rate Index Tenor

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)

NO

YES

CCDL32

Number Of Payments Before Securitisation

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

YES

NO

CCDL33

Date Of Restructuring

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

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

YES

YES

CCDL34

Date Last In Arrears

Date the account was last in arrears.

YES

YES

CCDL35

Number Of Days In Arrears

Number of days the account is in arrears as of the data cut-off date. If the account is not in arrears enter 0.

NO

NO

CCDL36

Arrears Balance

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.

NO

NO

CCDL37

Account Status

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.

NO

NO

CCDL38

Reason for Default or Foreclosure

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

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)

YES

YES

CCDL39

Default Amount

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

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

NO

YES

CCDL40

Default Date

The date of default.

NO

YES

CCDL41

Cumulative Recoveries

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

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

NO

YES

CCDL42

Original Lender Name

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

YES

YES

CCDL43

Original Lender Legal Entity Identifier

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

Where no Legal Entity Identifier is available, enter ND5.

YES

YES

CCDL44

Original Lender Establishment Country

Country where the original lender is established.

YES

YES

CCDL45

Originator Name

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

NO

NO

CCDL46

Originator Legal Entity Identifier

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

NO

NO

CCDL47

Originator Establishment Country

Country where the underlying exposure originator is established.

NO

NO