ANNEX XI

Underlying exposures information section

IVAL1

Unique Identifier - ABCP Programme

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

NO

NO

IVAL2

Unique Identifier - ABCP Transaction

The unique identifier assigned by the reporting entity to this ABCP transaction in accordance with Article 11(2) of Delegated Regulation (EU) 2020/1224.

NO

NO

IVAL3

Original Underlying Exposure Identifier

Unique underlying exposure type identifier. The reporting entity must not amend this unique identifier.

NO

NO

IVAL4

New Underlying Exposure Identifier

If the original identifier in field IVAL3 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 IVAL3. The reporting entity must not amend this unique identifier.

NO

NO

IVAL5

Underlying Exposure Type

Select the type of underlying exposure that exists in this transaction:

Trade Receivables (TREC)

Automobile Loans or Leases (ALOL)

Consumer loans (CONL)

Equipment Leases (EQPL)

Floorplan financed (FLRF)

Insurance Premia (INSU)

Credit-Card Receivables (CCRR)

Residential Mortgages (RMRT)

Commercial Mortgages (CMRT)

Small and Medium Enterprise Loans (SMEL)

Non Small and Medium Enterprise Corporate Loans (NSML)

Future Flow (FUTR)

Leverage Fund (LVRG)

Collateralised Bond Obligation (CBOB)

Collateralised Loan Obligation (CLOB)

Other (OTHR)

NO

NO

IVAL6

Data Cut-Off Date

The data cut-off date for this data submission.

NO

NO

IVAL7

Geographic Region - Largest Exposure Concentration 1

The geographic region (NUTS3 classification) where the largest amount of underlying exposures (by current value of exposures as at the data cut-off date) of this type are located, in terms of the location of the collateral (for secured underlying exposures) or obligor (for unsecured underlying exposures). 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 IVAL10 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

YES

IVAL8

Geographic Region - Largest Exposure Concentration 2

The geographic region (NUTS3 classification) where the second-largest amount of underlying exposures (by current value of exposures as at the data cut-off date) of this type are located, in terms of the location of the collateral (for secured underlying exposures) or obligor (for unsecured underlying exposures). 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 IVAL10 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

YES

IVAL9

Geographic Region - Largest Exposure Concentration 3

The geographic region (NUTS3 classification) as it applied in the UK immediately before IP completion day where the third-largest amount of underlying exposures (by current value of exposures as at the data cut-off date) of this type are located, in terms of the location of the collateral (for secured underlying exposures) or obligor (for unsecured underlying exposures). 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 IVAL10 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

YES

IVAL10

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

YES

IVAL11

Current Principal Balance

The total outstanding principal balance as of the data cut-off date for this exposure type. 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.

YES

YES

IVAL12

Number Of Underlying Exposures

Number of underlying exposures of this exposure type being securitised.

YES

NO

IVAL13

EUR Exposures

The total outstanding principal balance of exposures of this type that are denominated in EUR as at the data cut-off date.

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

YES

YES

IVAL14

GBP Exposures

The total outstanding principal balance of exposures of this type that are denominated in GBP as at the data cut-off date.

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

YES

YES

IVAL15

USD Exposures

The total outstanding principal balance of exposures of this type that are denominated in USD as at the data cut-off date.

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

YES

YES

IVAL16

Other Exposures

The total outstanding principal balance of exposures of this type that are denominated in currencies different to EUR, GBP, and USD as at the data cut-off date.

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

YES

YES

IVAL17

Maximum Residual Maturity

The longest residual maturity in months, as at the data cut-off date, of any exposure of this exposure type.

YES

YES

IVAL18

Average Residual Maturity

The average residual maturity in months, as at the data cut-off date and weighted by the current balance as at the data cut-off date, of all exposures of this exposure type.

YES

YES

IVAL19

Current Loan-To-Value

Weighted average, using the current balances of all exposures of this type as at the data cut-off date, current loan to value (LTV) ratio. For non-first lien loans, this is the combined or total LTV.

YES

YES

IVAL20

Debt To Income Ratio

Weighted average, using the current balances of all exposures of this type as at the data cut-off date, obligor debt to income ratio. Debt defined as the total outstanding principal balance of underlying exposure outstanding as of data cut-off date. This includes any amounts classified as principal in the securitisation. For example, if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these are to be added. Excluding any interest arrears or penalty amounts.

Income defined as combined income, sum of primary and (where applicable) secondary income.

YES

YES

IVAL21

Amortisation Type

The total outstanding principal balance of exposures of this type where the amortisation is either bullet, balloon, or some other arrangement besides French, German, or a fixed amortisation schedule. For the purposes of this field:

• French Amortisation is defined as amortisation in which the total amount - principal plus interest - repaid in each instalment is the same;
• German Amortisation is defined as amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest;
• Fixed Amortisation Schedule is defined as amortisation in which the principal amount repaid in each instalment is the same;
• Bullet Amortisation is defined as amortisation in which the full principal amount is repaid in the last instalment;
• Balloon Amortisation is defined as amortisation consisting of partial principal repayments followed by a larger final principal amount; and
• Other Amortisation is defined as any other amortisation type not captured by any of the categories listed above.

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

YES

YES

IVAL22

Scheduled Principal Payment Frequency Above One Month

The total outstanding principal balance of exposures of this type where the frequency of principal payments due, i.e. period between payments, is greater than one month (e.g. quarterly, semi-annual, annual, bullet, zero-coupon, other).

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

YES

YES

IVAL23

Scheduled Interest Payment Frequency Above One Month

The total outstanding principal balance of exposures of this type where the frequency of interest payments due, i.e. period between payments, is greater than one month (e.g. quarterly, semi-annual, annual, bullet, zero-coupon, other).

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

YES

YES

IVAL24

Floating Rate Receivables

The total outstanding principal balance of exposures of this type, as at the data cut-off date, where the interest rate is generally understood as "floating". "Floating" refers to a rate indexed to any of the following: LIBOR (any currency and tenor), EURIBOR (any currency and tenor), any central bank base rate (BoE, ECB, etc.), the originator's standard variable rate, or any similar arrangement.

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

YES

YES

IVAL25

Financed Amount

Amount of underlying exposures purchased from the originator in this transaction that have been financed by commercial paper, between the previous data cut-off date and the data cut-off date of the present data submission.

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

YES

YES

IVAL26

Dilutions

Total reductions in principal underlying exposures of this type during the period.

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

YES

YES

IVAL27

Repurchased Exposures

The total outstanding principal balance of exposures of this type that have been repurchased (i.e. removed from the pool of underlying exposures by being bought back) by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date.

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

YES

YES

IVAL28

Defaulted Or Credit-Impaired Exposures At Securitisation

Pursuant to Article 24(9) of Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type that, at the time of securitisation, were either defaulted exposures or exposures to a credit-impaired debtor or guarantor in the meaning set out in that same Article.

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

YES

YES

IVAL29

Defaulted Exposures

The total outstanding principal balance of exposures of this type in default as at the cut-off date, using the definition of default specified in the securitisation documentation

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

YES

YES

IVAL30

Defaulted Exposures CRR

The total outstanding principal balance of exposures of this type in default as at the cut-off date, using the definition of default specified in Article 178 of Regulation (EU) No 575/2013.

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

YES

YES

IVAL31

Gross Charge Offs In The Period

Face value of gross principal charge-offs (i.e. before recoveries) for the period. Charge-off is as per securitisation definition, or alternatively per lender's usual practice.

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

YES

YES

IVAL32

Arrears 1-29 Days

The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 1 and 29 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.

YES

YES

IVAL33

Arrears 30-59 Days

The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 30 and 59 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.

YES

YES

IVAL34

Arrears 60-89 Days

The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 60 and 89 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.

YES

YES

IVAL35

Arrears 90-119 Days

The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 90 and 119 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.

YES

YES

IVAL36

Arrears 120-149 Days

The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 120 and 149 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.

YES

YES

IVAL37

Arrears 150-179 Days

The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 150 and 179 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.

YES

YES

IVAL38

Arrears 180+ Days

The percentage of exposures of this type in arrears on principal and/or interest payments due for a period for 180 days or more as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.

YES

YES

IVAL39

Restructured Exposures

Enter the proportion of exposures of this type that have at any time been restructured by the originator/sponsor, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.

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.

Calculate the proportion as the total current balance of these exposures divided by total current balance of exposures of this type, as at the data cut-off date.

YES

YES

IVAL40

Restructured Exposures (0-1 years before transfer)

Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time starting from, and less than 1 year before, the date of transfer or assignment to the SSPE, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.

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.

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

YES

YES

IVAL41

Restructured Exposures (1-3 years before transfer)

Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time starting from 1 and less than 3 years before the date of transfer or assignment to the SSPE, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.

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.

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

YES

YES

IVAL42

Restructured Exposures (> 3 years before transfer)

Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time starting from 3 years before the date of transfer or assignment to the SSPE, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.

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.

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

YES

YES

IVAL43

Restructured Exposures (Interest Rate)

Enter the total outstanding principal balance of exposures of this type whose interest rate has been restructured by the originator/sponsor, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.

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

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

YES

YES

IVAL44

Restructured Exposures (Repayment Schedule)

Enter the total outstanding principal balance of exposures of this type whose repayment schedule has been restructured by the originator/sponsor, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.

Restructuring of repayment schedule refers to any changes made to the repayment schedule-related contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, repayment timing, and/or other generally-accepted repayment schedule-related measures of restructuring due to forbearance.

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

YES

YES

IVAL45

Restructured Exposures (Maturity)

Enter the total outstanding principal balance of exposures of this type whose maturity profile has been restructured by the originator/sponsor, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.

Restructuring of maturity profile refers to any changes made to the maturity-related contractual terms of the underlying exposure agreement due to forbearance, including maturity extensions and/or other generally-accepted measures of maturity-related restructuring due to forbearance.

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

YES

YES

IVAL46

Restructured Exposures (0-1 years before transfer and No New Arrears)

Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor 1 year or earlier than the date of transfer or assignment to the SSPE AND have not at any time been in arrears (either regarding principal or interest payments) since the date of restructuring, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.

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.

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

YES

YES

IVAL47

Restructured Exposures (No New Arrears)

Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time AND have not at any time been in arrears (either regarding principal or interest payments) since the date of restructuring, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.

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.

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

YES

YES

IVAL48

Restructured Exposures (New Arrears)

Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time AND have at any time been in arrears (either regarding principal or interest payments) since the date of restructuring, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.

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.

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

YES

YES

IVAL49

Restructured Exposures (Other)

Enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor, excluding restructurings already captured under fields IVAL43, IVAL44, and IVAL45, as referred to in Article 24(9)(a) of Regulation (EU) 2017/2402.

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

YES

YES