AccountData1 Provides information on the accounts of the securitisation. AccountIdentifier Unique identifier of the account. AccountDetails Provides information on the accounts of the transaction. ActiveCurrencyCode A code allocated to a currency by a Maintenance Agency under an international identification scheme as described in the latest edition of the international standard ISO 4217 "Codes for the representation of currencies and funds". ActiveOrHistoricCurrencyAndAmount A number of monetary units specified in an active or a historic currency where the unit of currency is explicit and compliant with ISO 4217. Currency Medium of exchange of currency. ActiveOrHistoricCurrencyCode A code allocated to a currency by a Maintenance Agency under an international identification scheme, as described in the latest edition of the international standard ISO 4217 "Codes for the representation of currencies and funds". AgreementType1Code Specifies the International Swaps and Derivatives Association (ISDA) basis for protection documentation. ISDAAgreement2002 Basis for protection documentation is ISDA Agreement 2002. ISDAAgreement2014 Basis for protection documentation is ISDA Agreement 2014. ISDAAgreementOther Basis for protection documentation is any other ISDA Agreement. Other Any other master agreement. Rhamenvertrag Basis for protection documentation is rhamenvertrag. AmountAndDirection53 Amount of money expressed with an optional currency code and debit/credit indicator. Amount Amount of money that results in an increase (positively signed) or decrease (negatively signed), with specification of the currency. Sign Indicates that the amount value is positive or negative. Usage: When absent, the amount is positive. ArrearsData2 Underlying exposure arrears information. From1To29Days 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. From30To59Days The percentage of exposures 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 in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date. From60To89Days The percentage of exposures 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 in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date. From90To119Days The percentage of exposures 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 in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date. From120To149Days The percentage of exposures 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 in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date. From150To179Days The percentage of exposures 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 in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date. Above180Days The percentage of exposures 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 in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date. AssetUnderManagement1 Collateralised Loan Obligation (CLO) manager assets under management information. LeveragedLoanValue Total leveraged loan assets under management CollateralisedLoanObligation Total CLO assets under management UKAssetUnderManagement Total UK assets under management. UKCollateralisedLoanObligationUnderManagement Total UK CLOs under management. BusinessDayConvention1Choice Choice of business day convention used. Code Business day convention used for the calculation of interest due. NoDataOption Reason for not providing data for business day convention. BusinessDayConvention3Code Indicates how a date is adjusted when it falls on a non-business day. Following The date will be the first following day that is a business day. ModifiedFollowing The date will be the first following day that is a business day unless that day falls in the next calendar month, in which case that date will be the first preceding day that is a business day. Nearest The date will be the first preceding day that is a business day unless that day falls on a day other than a sunday or a monday, and will be the first following day that is a business day, if the relevant date otherwise falls on a sunday or a monday. Other Any other business day convention. Preceding The date will be the first preceding day that is a business day. Cancellation5 Identification of the report to be cancelled. SecuritisationCancellation Cancels all previous reports of the specific Securitisation, based on the securitisation unique identifier. ReportCancellation Cancels a specific report for the Securitisation, received on a specific cut-off date. CashFlowDetails1 Cashflow information section. ItemIdentification Cashflow item identification. CashFlowItem List the cashflow item. This field is to be completed in the order of the applicable priority of receipts or payments as at the data cut-off date. That is, each source of cash inflows must be listed in turn, after which sources of cash outflows must be listed. AmountPaidDuringPeriod What are the funds paid out as per the priority of payments for this item? Enter negative values for funds paid out, positive values for funds received. Note that the "Amount Paid During Period" value entered in a given line (e.g. in line B) plus the "Available Funds Post" value entered in the preceding line (e.g. line A) together equal the "Available Funds Post" value entered in this line (e.g. line B). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. AvailableFundPost What are the funds available to the priority of payments after to the application of the cashflow item? Note that the "Amount Paid During Period" value entered in a given line (e.g. in line B) plus the "Available Funds Post" value entered in the preceding line (e.g. line A) together equal the "Available Funds Post" value entered in this line (e.g. line B). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. CashflowItemIdentification1 Cash flow item identifiers. OriginalIdentifier The original unique cashflow item identifier. The reporting entity must not amend this unique identifier. NewIdentifier If the original identifier 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 'Original Cashflow Item Identifier'. The reporting entity must not amend this unique identifier. CollateralIdentification3 Unique identifiers assigned to the collateral instrument. OriginalIdentifier The original unique identifier assigned to the collateral instrument. The reporting entity must not amend this unique identifier. NewIdentifier If the original identifier in field 'Original Identifier' 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 'Original Identifier'. The reporting entity must not amend this unique identifier. CollateralInstrumentDetails1 Collateral instrument information. ISINIdentifier Enter the ISIN code of the collateral instrument, where applicable. Type Type of collateral instrument. CurrentOutstandingBalance Total outstanding principal balance of the collateral item, as at the data cut-off date. MaturityDate Maturity date of the collateral item. Haircut Enter the percentage haircut (applied to the current outstanding principal balance) to this collateral item, as stipulated in the securitisation documentation. CurrentInterestRateIndex Base reference interest index currently applicable (the reference rate off which the interest rate is set). CurrentInterestRateIndexTenor Tenor of the current interest rate index. CurrentInterestRateOnCashDeposit Where the collateral instrument type is cash deposits, enter the current interest rate on those deposits. In the event of multiple deposit accounts per currency, enter the weighted average current interest rate, using the current balance of cash deposits in the respective accounts as weights. CollateralInstrumentType1Code Specifies the type of collateral instrument. AssetBackedSecurity Collateral instrument type is asset backed security. Cash Collateral instrument type is cash. CommercialPaper Collateral instrument type is commercial paper. CoveredBond Collateral instrument type is covered bond. GovernmentBond Collateral instrument type is government bond. JuniorUnsecuredCorporateDebt Collateral instrument type is junior unsecured corporate debt. Other Any other type of collateral instrument. SeniorUnsecuredCorporateDebt Collateral instrument type is senior unsecured corporate debt. UnsecuredBankDebt Collateral instrument type is unsecured bank debt. CollateralIssuerDetails1 Collateral issuer information. SystemAccountSubSectorCode The SA classification of the collateral. This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation. LEI Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the collateral issuer. AffiliationWithOriginator Do the collateral issuer and main securitisation originator share the same ultimate parent? CollateralRepurchaseAgreement1 Collateral repo information. CounterpartyName If the collateral item forms part of a repurchase agreement ('repo'), provide the full legal name of the counterparty to the securitisation. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. CounterpartyLEI If the collateral item forms part of a repurchase agreement ('repo'), provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty where the cash is deposited. MaturityDate If the collateral item forms part of a repurchase agreement ('repo'), provide the maturity date of the securitisation. CollateralisedLoanObligation1Code Specifies the collateralised loan obligation (CLO) type. ArbitrageCollateralisedLoanObligation CLO type is arbitrage. BalanceSheetCollateralisedLoanObligation CLO type is balance sheet. Other Any other CLO type. CollateralisedLoanObligationInvestmentRestriction1 Collateralised Loan Obligation (CLO) investment restrictions information. ConcentrationLimit Enter the concentration limit, in percentage of the portfolio par value, that applies to any counterparty/obligor, as set out in the transaction documentation. In the event of multiple limits, enter the maximum limit (e.g. if there are two limits, depending on the rating, of 10% and 20%, then enter 20%). RestrictionLegalMaturity Allowed percentage (vs. portfolio par balance) of exposures with legal final maturity that exceed the shortest legal final maturity of the tranches (assuming clean-up option is exercised). RestrictionSubordinatedExposure Allowed percentage (vs. portfolio par balance) of non first-lien exposures that can be purchased. RestrictionNonPerformingExposure Allowed percentage (vs. portfolio par balance) of non-performing exposures that can be purchased. RestrictionPayInKindExposure Allowed percentage (vs. portfolio par balance) of pay-in-kind exposures that can be held at any time. RestrictionZeroCouponExposure Allowed percentage (vs. portfolio par balance) of zero-coupon exposures that can be held at any time. RestrictionEquityExposure Allowed percentage (vs. portfolio par balance) of equity or debt-convertible-to-equity that can be purchased. RestrictionParticipationExposure Allowed percentage (vs. portfolio par balance) of loan participations that can be purchased. RestrictionDiscretionarySale Allowed percentage (vs. portfolio par balance) of discretionary sales per year. RestrictionCreditEnhancement Can the CLO manager withdraw or monetise any surplus credit enhancement? RestrictionQuote Can the CLO manager obtain quotes with dealers other than the arranger? RestrictionTrade Can the CLO manager obtain trade with dealers other than the arranger? RestrictionIssuance Are there restrictions on the additional issuance of notes? RestrictionRedemption Are there restrictions on the origin of funds used to selectively buyback/redeem notes? (e.g. cannot use principal proceeds to effect a redemption; any redemptions must occur in the order of the notes' payment priority; must maintain or improve OC test ratios after purchase) RestrictionRefinancing Are there restrictions when notes can be refinanced? RestrictionNoteRemuneration Are noteholders able to surrender their notes to the trustee for cancellation without receiving payment in return? RestrictionCreditProtection Is the CLO manager able to buy or sell credit protection on underlying assets? CollateralisedLoanObligationManager1 Collateralised Loan Obligation (CLO) manager information section. GeneralAttributes General information of the Collateralised Loan Obligation manager. Performance CLO manager performance information. CollateralisedLoanObligationManagerActivity1 Collateralised Loan Obligation (CLO) manager activity. DiscretionarySale Actual discretionary sales, year to date. Reinvestment Amount reinvested, year to date. CollateralisedLoanObligationManagerPerformance1 Collateralised Loan Obligation (CLO) manager performance information. DefaultRate1Year Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 1 year. DefaultRate5Years Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 5 years. DefaultRate10Years Average annualised default rate on the CLO securitisation-related assets managed by the CLO manager, trailing 10 years. CollateralisedLoanObligationSecuritisation1 Collateralised Loan Obligation (CLO) securitization information section. Structure CLO Structure information. InvestmentRestriction CLO investment restriction information. ManagerActivity CLO manager activity. CollateralisedLoanObligationStructure1 Collateralised Loan Obligation (CLO) structure information. NonCallPeriodEndDate Enter the date at which any non-call period ends (e.g. when any tranche holders are prohibited from calling for the SSPE to liquidate the portfolio and redeem all tranches, to reset or refinance the tranches, etc.). CollateralisedLoanObligationType Collateralised Loan Obligation (CLO) type that best describes this transaction. CurrentPeriodStatus Current period status of the CLO. CurrentPeriod Date in which the current period was entered into. CollateralLiquidationPeriod Enter the number of calendar days after which collateral must be liquidated. In case of a range or multiple possible periods, enter the minimum number of calendar days. CollateralLiquidationWaiver Can some or all noteholders choose to waive the collateral liquidation period? CollateralisedLoanObligationType1Choice Choice of Collateralised Loan Obligation (CLO) type. Code Code for type of CLO. NoDataOption Reason for not providing data for CLO type. CounterpartyDetails1 Counterparty information section. Identification Counterparty description information. RatingDetails Counterparty rating information. CounterpartyRating1 Counterparty rating information. Threshold The counterparty rating threshold as at the data cut-off date (if there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation). In the event of multiple ratings, all ratings shall be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. Rating If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the counterparty rating as at the data cut-off date. In the event of multiple rating thresholds, all rating thresholds are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. SourceLEI If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the Legal Entity Identifier of the provider of the counterparty rating (as specified in the Global Legal Entity Foundation (GLEIF) database) as at the data cut-off date. In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. SourceName If there is a ratings-based threshold specified for the service performed by this counterparty in the securitisation, enter the full name of the provider of the counterparty rating as at the data cut-off date. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. In the event of multiple ratings, all rating provider Legal Entity Identifiers are to be provided as per the XML schema. If there is no such ratings-based threshold, enter ND5. CounterpartyType1Code Specifies the type of the counterparty. AccountBank Counterparty is an Account Bank. AccountBankFacilitator Counterparty is an Account Bank facilitator. AccountBankGuarantor Counterparty is an Account Bank guarantor. AdministrationAgent Counterparty is an Administration agent. AdministrationSubAgent Counterparty is an Administration sub-agent. Arranger Counterparty is an arranger. Auditor Counterparty is an auditor. BackupAccountBank Counterparty is a Backup Account Bank. BackupCurrencySwapProvider Counterparty is a Backup Currency Swap Provider. BackupInterestRateSwapProvider Counterparty is a Backup Interest Rate Swap Provider. BackupLiquidityFacilityProvider Counterparty is a Backup Liquidity Facility Provider. BackupServicer Counterparty is a Backup Servicer. BackupServicerFacilitator Counterparty is a Backup Servicer facilitator. CalculationAgent Counterparty is a calculation agent. CashAdvanceProvider Counterparty is a cash adnance provider. CashManager Counterparty is a cash manager. CollateralAccountBank Counterparty is a Collateral Account Bank. CollateralAgent Counterparty is a collateral agent. CollateralisedLoanObligationManager Counterparty is a Collateralised Loan Obligation manager. CollateralProvider Counterparty is a collateral provider. CollectionAccountBank Counterparty is a Collection Account Bank. Counsel Counterparty is a Counsel. CurrencySwapProvider Counterparty is a Currency Swap provider. Dealer Counterparty is a dealer. EquityOwnerOfConduitSSPE Counterparty is an Equity Owner Of Conduit-SSPE. GuaranteedInvestmentContractProvider Counterparty is a guaranteed investment contract provider. InsurancePolicyCreditProvider Counterparty is an insurance policy credit provider. InterestRateSwapProvider Counterparty is an interest rate swap provider. Issuer Counterparty is an issuer. LetterOfCreditProvider Counterparty is a letter of credit provider. LiquidityFacilityProvider Counterparty is a liquidity facility provider. LiquidityOrLiquidationAgent Counterparty is a liquidity or liquidation agent. MultiSellerConduit Counterparty is a multi-select conduit. Manager Counterparty is a manager. Originator Counterparty is an originator. Other Any other counterparty type. PayingAgent Counterparty is a paying agent. PortfolioAdvisor Counterparty is a portfolio advisor. RepresentativeOfNoteholders Counterparty is a representative of noteholders. RepurchaseAgreementCounterparty Counterparty is a repurchase agreement counterparty. SavingsMortgageParticipant Counterparty is a savings mortgage participant. SecuritisationSpecialPurposeEntity Counterparty is a Securitisation Special Purpose Entity (SSPE). SecurityAgent Counterparty is a Security agent. Seller Counterparty is a seller. Servicer Counterparty is a servicer. SpecialServicer Counterparty is a special servicer. SponsorOfTheSecuritisationSpecialPurposeEntity Counterparty is a Sponsor of the Securitisation Special Purpose Entity (SSPE). StartUpLoanOrLeaseProvider Counterparty is a start-up loan or lease provider. SubordinatedLoanProvider Counterparty is a subordinated loan provider. Subscriber Counterparty is a subscriber. SubstitutionAgent Counterparty is a substitution agent. SwinglineFacilityProvider Counterparty is a swingline facility provider. TransferAgent Counterparty is a transfer agent. Trustee Counterparty is a trustee. VerificationAgent Counterparty is a verification agent. Underwriter Counterparty is an underwriter. CountryCode Code to identify a country, a dependency, or another area of particular geopolitical interest, on the basis of country names obtained from the United Nations (ISO 3166, Alpha-2 code). CurrencyCode1Choice Choice between a currency code or no data option. Code Code of the currency in which a transaction is made. NoDataOption Reason for not providing currency code. CurrencySwap1 Currency swap information. PayerCurrency Enter the currency that the payer leg of the swap is paying. ReceiverCurrency Enter the currency that the receiver leg of the swap is paying. ExchangeRate The exchange rate that has been set for a currency swap. MaturityDate Date of maturity of the interest rate or currency swap. Notional Interest rate or currency swap notional amount as at the data cut-off date. CurrentPeriodStatus1Code Specifies the current period status of the collateralized loan obligation (CLO). Other Any other current period status of the collateralized loan obligation (CLO) PostReinvestment Collateralized loan obligation (CLO) is currently in post-reinvestment. RampUp Collateralized loan obligation (CLO) is currently in ramp-up. Reinvestment Collateralized loan obligation (CLO) is currently in Reinvestment. Warehouse Collateralized loan obligation (CLO) is currently in Warehouse. DayConvention1Choice Choice of days convention method used for calculations. Code Convention method used for the calculation of interest. NoDataOption Reason for not providing data on the day count convention. DecimalNumberFraction5 Number of objects represented as a decimal number, eg, 0.75 or 45.6. DefaultAndTerminationEvent1Code Specifies the place where the protection arrangement events of default and termination events are listed. OtherBespoke Any other place where the protection arrangement events of default and termination events are listed. ScheduleToTheISDA2002 Protection arrangement events of default and termination events are listed in Schedule to the ISDA 2002. ScheduleToTheISDA2014 Protection arrangement events of default and termination events are listed in Schedule to the ISDA 2014. DefaultAndTerminationEventListing1Choice Choice between listing location of protection arrangement events of default and termination events or no data option. Code Protection arrangement events of default and termination events listed NoDataOption Reason for not providing data for default and termination events. ESAIdentifier The ESA 2010 classification of the guarantor according to EU Regulation No 549/2013 ('ESA 2010'). This entry must be provided at the sub-sector level. Use one of the values available in Table 2 of Annex 1. EntityNameAndContactDetails1 Information of the reporting entity and it's contact details. Name The full legal name of the entity designated as per Article 7(2) of Regulation (EU) 2017/2402; that name must match the name entered in for that entity in field SESP3 in the counterparty information section. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. ContactPerson First and Last name of the contact person(s) responsible for preparing this securitisation comprehensive report and to whom questions on this comprehensive report must be addressed. ContactTelephone Direct telephone number(s) of the contact person(s) responsible for preparing this securitisation comprehensive report and to whom questions on this comprehensive report must be addressed. ContactEmail Direct email address(es) of the contact person(s) responsible for preparing this securitisation comprehensive report and to whom questions on this comprehensive report must be addressed. EuropeanSystemOfAccountsSubsector1Choice Choice of European System of Account (ESA) 2010 classification or no data option. Code The ESA 2010 classification of the guarantor or collateral according to EU Regulation No 549/2013 ('ESA 2010'). This entry must be provided at the sub-sector level. Use one of the values available in Table 2 of Annex 1. NoDataOption Reason for not providing an ESA subsector code. EventFrequency11Code Specifies the regularity of an event. Monthly Event takes place every month or once a month. Quarterly Event takes place every three months or four times a year. SemiAnnual Event takes place every six months or two times a year. Annual Event takes place every year or once a year. Other Unspecified frequency of event. ExtensionClause1Choice Choice of extension clause. Code Select the most appropriate option to describe which party has the right to extend the maturity of the instrument, as per the terms and conditions of the securitisation/programme. NoDataOption Reason for not providing data for extension clause. ExtensionClause1Code Specifies the party which has the right to extend the maturity of the instrument, as per the terms and conditions of the securitisation/programme. NoOption No party has the right to extend the maturity of the instrument. Noteholder Noteholder has the right to extend the maturity of the instrument. SSPEOnly Securitisation Special Purpose Entity only has the right to extend the maturity of the instrument. SSPEOrNoteholder Either the Securitisation Special Purpose Entity or the noteholder have the right to extend the maturity of the instrument. FinancialBreachConsequence2Code Specifies the consequence, as per the securitisation documentation, for this test/event/trigger not being satisfied (being breached). ChangeInPriorityOfPayments Consequence for the breach is change in the priority of payments. ReplacementOfACounterparty Consequence for the breach is the replacement of a counterparty. BothChangeInPriorityOfPaymentsAndReplacementOfCounterparty Consequence for the breach is both change in the priority of payments and replacement of a counterparty. Other Any other consequence for the breach. ISINIdentifier1Choice Choice between International Securities Identification Number (ISIN) or no data option. ISIN International Securities Identification Number (ISIN) code. NoDataOption Reason for not providing ISIN code. ISINIdentifier3Choice Choice between International Securities Identification Number (ISIN) or Tranche identifier. ISIN International Securities Identification Number (ISIN) code. NoDataOption Reason for not providing ISIN code. ISINOrTrancheIdentifier List of International Securities Identification Numbers (ISIN) and Tranche identifiers (where no ISIN is available). ISINIdentifier4Choice List of International Securities Identification Numbers (ISIN) and Tranche identifiers (where no ISIN is available). ISIN International Securities Identification Number (ISIN) code. NewIdentifier The new identifier assigned to this tranche as reported under SEST3 where no ISIN is available for that tranche. ISINOct2015Identifier International Securities Identification Number (ISIN). A numbering system designed by the United Nation's International Organisation for Standardisation (ISO). The ISIN is composed of a 2-character prefix representing the country of issue, followed by the national security number (if one exists), and a check digit. Each country has a national numbering agency that assigns ISIN numbers for securities in that country. ISODate A particular point in the progression of time in a calendar year expressed in the YYYY-MM-DD format. This representation is defined in "XML Schema Part 2: Datatypes Second Edition - W3C Recommendation 28 October 2004" which is aligned with ISO 8601. ISODate1Choice Choice between a date or no data option. Date Date of the event. NoDataOption Reason for not providing date. ISODate2Choice Choice between a date or no data option. Date Date of the event. NoDataOption Reason for not providing date. InterestComputationMethod3Code Specifies the 'days' convention used to calculate interest:. Actual360 Method whereby interest is calculated based on the actual number of accrued days in the interest period and a 360-day year. IC30360ICMAor30360basicrule Method whereby interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that the 31st is assumed to be the 30th and 28 Feb (or 29 Feb for a leap year) is assumed to be the 28th (or 29th). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. Actual365Fixed Method whereby interest is calculated based on the actual number of accrued days in the interest period and a 365-day year. ActualActualICMA Method whereby interest is calculated based on the actual number of accrued days and the assumed number of days in a year, that is, the actual number of days in the coupon period multiplied by the number of interest payments in the year. If the coupon period is irregular (first or last coupon), it is extended or split into quasi-interest periods that have the length of a regular coupon period and the computation is operated separately on each quasi-interest period and the intermediate results are summed up. ActualActualISDA Method whereby interest is calculated based on the actual number of accrued days of the interest period that fall (falling on a normal year, year) divided by 365, added to the actual number of days of the interest period that fall (falling on a leap year, year) divided by 366. ActualActualAFB Method whereby interest is calculated based on the actual number of accrued days and a 366-day year (if 29 Feb falls in the coupon period) or a 365-day year (if 29 Feb does not fall in the coupon period). If a coupon period is longer than one year, it is split by repetitively separating full year subperiods counting backwards from the end of the coupon period (a year backwards from 28 Feb being 29 Feb, if it exists). The first of the subperiods starts on the start date of the accrued interest period and thus is possibly shorter than a year. Then the interest computation is operated separately on each subperiod and the intermediate results are summed up. Actual365LorActuActubasisRule Method whereby interest is calculated based on the actual number of accrued days and a 365-day year (if the coupon payment date is NOT in a leap year) or a 366-day year (if the coupon payment date is in a leap year). Other Any other interest computation method. InterestRateIndex1Code Specifies the base reference interest index currently applicable (the reference rate off which the interest rate is set). EuropeanCentralBankBaseRate European Central Bank Base Rate (ECBR). EuroSwiss Swiss Franc LIBOR rate. FutureSWAP Portion of a synthetic curve that is composed of Eurodollar or Treasury or similar Futures and Swap rates. The term usually begins at 3 months to 2 years for the futures strip component with the Swaps filling in the points to 10 years and beyond. GCFRepo GCF Repo Index, the Depository Trust & Clearing Corporation (DTCC) general collateral finance repurchase agreements index. ISDAFIX Worldwide common reference rate value for fixed interest rate swap rates, as defined by the International Swaps and Derivatives Association (ISDA). JIBAR Johannesburg Interbank Agreed Rate. LenderOwnRate Lender Own Rate (LDOR). LIBID Rate at which major international banks are willing to take deposits from one another, is normally 1/8 percent below LIBOR. London InterBank Bid Rate, the rate bid by banks on Eurocurrency deposits; the international rate that banks lend to other banks. LIBOR London Interbank Offered Rate, the interest rate that major international banks in London charge each other for borrowing. MOSPRIM Moscow Prime Offered Rate. MuniAAA Benchmark curve used for municipals based on the best credit rating for municipal market debt. OTHER Any other rate. NIBOR Norwegian Interbank Offered Rate. Pfandbriefe Pfandbriefe security is a collateralised bullet bond backed by either mortgage loans or loans to the public sector. Pfandbriefe differ from traditional asset-backed securities in significant ways. The most important difference is that Pfandbriefe carry no pre-payment risk since they remain on the balance sheet of the issuing institution. Therefore, their spreads over sovereign bonds are attributable to liquidity and credit quality alone. New indices have been created and existing indices have been modified in response to the growing importance of the Pfandbriefe market. The Deutsche Borse has three synthetic indices called REX, JEX, and PEX. The Pfandbriefe curve is used as a reference for credit as well as mortgage market. PRIBOR Czech Fixing of Interest Rates on Interbank Deposits. STIBOR Stockholm Interbank Offered Rate. SWAP In curve construction, Swap is the long portion of the curve constituting about 3 years to 30 years term. The exchange of one security, currency or interest rate for another to change the maturity (bonds), or quality of issues (stocks or bonds), or because investment objectives have changed. TELBOR Tel Aviv Interbank Offered Rate. Treasury Treasury benchmark that comes in three types: the yield curve, the par curve, and the spot curve. All curves also have a constituent time series. WIBOR Warsaw Interbank Offered Rate. TIBOR Tokyo Interbank Offered Rate. BankOfEnglandBaseRate Bank of England base rate (BOER). BBSW Australian Financial Markets Association (AFMA) Bank-Bill Reference Rate (BBSW). BUBOR Budapest Interbank Offered Rate. CDOR Canadian Dollar Offered Rate. CIBOR Copenhagen Interbank Offered Rate. EONIA Euro OverNight Index Average rate. EONIASwaps Euro OverNight Index Average swap rate. Euribor Euro Interbank Offer Rate is the rate at which Euro inter-bank term deposits within the Euro zone are offered by one prime bank to another prime bank. EURODOLLAR Rate for the eurodollars, time deposits denominated in U.S. dollars at banks outside the United States, and thus are not under the jurisdiction of the Federal Reserve. InterestRateIndex2Choice Choice of interest rate index. Code Specifies the base reference interest index currently applicable (the reference rate off which the interest rate is set. NoDataOption Reason for not providing data for the current interest rate index. InterestRateIndex2Code Specifies interest rate swap benchmark on the payer leg of the swap is fixed to. BUBOR Budapest Interbank Offered Rate. BBSW Australian Financial Markets Association (AFMA) Bank-Bill Reference Rate (BBSW). CDOR Canadian Dollar Offered Rate. CIBOR Copenhagen Interbank Offered Rate. EONIA Euro OverNight Index Average rate. EONIASwaps Euro OverNight Index Average swap rate. Euribor Euro Interbank Offer Rate is the rate at which Euro inter-bank term deposits within the Euro zone are offered by one prime bank to another prime bank. EURODOLLAR Rate for the eurodollars, time deposits denominated in U.S. dollars at banks outside the United States, and thus are not under the jurisdiction of the Federal Reserve. EuroSwiss Swiss Franc LIBOR rate. FutureSWAP Portion of a synthetic curve that is composed of Eurodollar or Treasury or similar Futures and Swap rates. The term usually begins at 3 months to 2 years for the futures strip component with the Swaps filling in the points to 10 years and beyond. GCFRepo GCF Repo Index, the Depository Trust & Clearing Corporation (DTCC) general collateral finance repurchase agreements index. ISDAFIX Worldwide common reference rate value for fixed interest rate swap rates, as defined by the International Swaps and Derivatives Association (ISDA). JIBAR Johannesburg Interbank Agreed Rate. LIBID Rate at which major international banks are willing to take deposits from one another, is normally 1/8 percent below LIBOR. London InterBank Bid Rate, the rate bid by banks on Eurocurrency deposits; the international rate that banks lend to other banks. LIBOR London Interbank Offered Rate, the interest rate that major international banks in London charge each other for borrowing. MOSPRIM Moscow Prime Offered Rate. MuniAAA Benchmark curve used for municipals based on the best credit rating for municipal market debt. NIBOR Norwegian Interbank Offered Rate. OTHER Any other rate. Pfandbriefe Pfandbriefe security is a collateralised bullet bond backed by either mortgage loans or loans to the public sector. Pfandbriefe differ from traditional asset-backed securities in significant ways. The most important difference is that Pfandbriefe carry no pre-payment risk since they remain on the balance sheet of the issuing institution. Therefore, their spreads over sovereign bonds are attributable to liquidity and credit quality alone. New indices have been created and existing indices have been modified in response to the growing importance of the Pfandbriefe market. The Deutsche Borse has three synthetic indices called REX, JEX, and PEX. The Pfandbriefe curve is used as a reference for credit as well as mortgage market. PRIBOR Czech Fixing of Interest Rates on Interbank Deposits. STIBOR Stockholm Interbank Offered Rate. SWAP In curve construction, Swap is the long portion of the curve constituting about 3 years to 30 years term. The exchange of one security, currency or interest rate for another to change the maturity (bonds), or quality of issues (stocks or bonds), or because investment objectives have changed. TELBOR Tel Aviv Interbank Offered Rate. TIBOR Tokyo Interbank Offered Rate. Treasury Treasury benchmark that comes in three types: the yield curve, the par curve, and the spot curve. All curves also have a constituent time series. WIBOR Warsaw Interbank Offered Rate. InterestRateIndexTenor1Code Specifies the tenor of the interest rate index. Day1 Tenor is 1 day. IntraDay Tenor is IntraDay. Month1 Tenor is 1 month. Month12 Tenor is 12 months. Month2 Tenor is 2 months. Month3 Tenor is 3 months. Month6 Tenor is 6 months. OnDemand Tenor is on demand. Overnight Tenor is overnght. Week1 Tenor is 1 week. Week2 Tenor is 2 weeks. Other Tenor is other unspecified time unit. Month4 Tenor is 4 months. InterestRateIndexTenor2Choice Choice of tenor for the interest rate index. Code Specifies the tenor for the interest rate index. NoDataOption Reason for not providing data for the interest rate index. InterestRateSwap1 Interest rate swap information. Benchmark Type of interest rate swap benchmark on the payer leg of the swap is fixed to. MaturityDate Maturity date of the interest rate or currency swap. Notional Interest rate or currency swap notional amount as at the data cut-off date. InterestRateSwapBenchmark1Choice Choice of interest rate swap benchmark. Code Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to. NoDataOption Reason for not providing data for interest rate swap benchmark. IssuerCollateralDetails1 Issuer collateral information section. ProtectionInstrumentIdentifier Report the same unique identifier here as the one entered into field Identifier, within Protection Instrument Data (SESV2). Identification Fields that uniquely identify the collateral instrument. InstrumentData Collateral instrument information. IssuerData Collateral issuer information. RepurchaseAgreement Collateral repurchase agreement (repo) information. LEIIdentifier Legal Entity Identifier is a code allocated to a party as described in ISO 17442 "Financial Services - Legal Entity Identifier (LEI)". LEIIdentifier1Choice Choice between LEI identifier or no data option. LEI Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database). Where no Legal Entity Identifier is available, enter ND5. NoDataOption Reason for not providing LEI. ManagerDetails1 Collateralized Loan Obligation (CLO) Manager information. LEI Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the CLO manager. Name Give the full legal name of the CLO manager. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. EstablishmentDate Date of CLO manager incorporation/establishment. RegistrationDate Date of registration within the EU as an investment adviser. NumberOfEmployees Total number of employees. CollateralisedLoanObligationNumberOfEmployees Total number of employees dedicated to loan trading and management of CLO portfolios. WorkoutNumberOfEmployees Total employees dedicated to working out distressed credits. UKCollateralisedLoanObligationNumber Number UK CLOs under management. Capital Total capital. CapitalRiskRetention Capital for funding risk retention. SettlementTime Average time needed, in calendar days, for trade settlement. PricingFrequency Frequency (in number of days) of pricing/re-pricing portfolios. If there are different frequencies applied, enter the weighted average frequency, using as weights the assets under management of each category, rounded to the nearest day. AssetUnderManagementValue Assets under management. AssetUnderManagementDetails CLO manager assets under management information. MasterTrustData1 Master trust information. Type If the securitisation has a master trust structure, select the most appropriate description of the structure. SecuritisationSpecialPurposeEntityData If the securitisation has a master trust structure, enter the Securitisation Special Puprose Entity (SSPE) information. TotalNoteBalance If the securitisation has a master trust structure, enter the face value of all asset-backed notes, collateralised by the underlying exposures in the trust. SellerShare If the securitisation has a master trust structure, enter the originator's interest in the trust, expressed as a percentage. In the event of multiple originators, enter the aggregate interest across all originators. FundingShare If the securitisation has a master trust structure, enter the SSPE's interest of this series in the trust at the data cut-off date, expressed as a percentage. AllocatedRevenue If the securitisation has a master trust structure, enter the revenue amounts allocated to this securitisation from the trust. MasterTrustType1Choice Choice of master trust structure of the securitisation. Code If the securitisation has a master trust structure, select the most appropriate description of the structure. NoDataOption Reason for not providing data for master trust type. MasterTrustType1Code Specifies the master trust structure of the securitisation. CapitalistStructure Master trust type is capitalist structure, that is each SSPE is independent from other SSPEs with respect to note issuance and cashflow distribution. Other Any other type of master trust type. SocialistStructure Master trust type is socialist structure, or de-linked master trust. Losses are shared across all SSPEs and single classes of notes are issued independently from more senior or junior classes. MaterialAmendment1Choice Choice between material amendments made, or no data option. Description Any material amendments made to transaction documents, including the name and item code (pursuant to Table 4 in Annex 1) of the document as well as a detailed description of the amendments. NoDataOption Reason for not providing data for material amendments. SecuritisationItem1Choice Choice between material amendments made, or no data option. Code The item code related to any material amendments made to transaction documents. NoDataOption Reason for not providing data for item code related to material amendments. Max10000Text Specifies a character string with a maximum length of 10000 characters. Max10000Text2Choice Choice between a value of max 10000 characters or no data option. Value A text with up to 100 characters. NoDataOption Reason for not providing data. Max1000Text Specifies a character string with a maximum length of 1000 characters. Max1000Text2Choice Choice between a value of max 1000 characters or no data option. Value A text with up to 1000 characters. NoDataOption Reason for not providing data. Max100Text Specifies a character string with a maximum length of 100 characters. Max100Text3Choice Choice between a value of max 100 characters or no data option. Value A text with up to 100 characters. NoDataOption Reason for not providing data. Max256Text Specifies a character string with a maximum length of 256 characters. Max4PositiveNumber Number (max 9999) of objects represented as a positive integer. Max9PositiveNumber Number (max 999999999)of objects represented as a positive integer. Monetary2Choice Choice between a currency and amount or no data option. Value Value and currency of amount. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. NoDataOption Reason for not providing data for amount and currency. Monetary3Choice Choice between a currency and amount or no data option. Value Value and currency of amount. NoDataOption Reason for not providing data for amount and currency. NewCorrectionSignificantEventInvestorReport1 Creates a new non ABCP significant event and an investor report or updates an existing one. SecuritisationIdentifier The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) …/… [include number of the disclosure RTS]. CutOffDate The data cut-off date for this data submission. When submitted alongside an underlying exposures and investor report data submission, this must match the data cut-off date in the applicable underlying exposure and investor report templates submitted. Securitisation Non ABCP Securitisation report. NoDataAllowedJustification1Code Specifies the reason for not providing data for a specific field. NoData1 Data not collected as not required by the lending or underwriting criteria. NoData2 Data collected on underlying exposure application but not loaded into the originator’s reporting system. NoData3 Data collected on underlying exposure application but loaded onto a separate system from the originator’s reporting system. NoData5 Not applicable. NoDataAllowedJustification2Code Specifies the reason for not providing data for a specific field. NoData1 Data not collected as not required by the lending or underwriting criteria. NoData2 Data collected on underlying exposure application but not loaded into the originator’s reporting system. NoData3 Data collected on underlying exposure application but loaded onto a separate system from the originator’s reporting system. NoDataAllowedJustification3Code Specifies the reason for not providing data for a specific field. NoData5 Not applicable. NoDataAllowedJustification4Code Specifies the reason for not providing data for a specific field. NoData4 Data collected but will only be available from reported date. NoDataFour1 Option for field values when data is not available at the momment of reporting but will be in the future. Date Data collected but will only be available from reported date. NoData Data collected but will only be available from reported date. NoDataJustification1Choice Options for field values when data is not available. NoData Options for field values when data is not available. NoData4 Option for field values when data is not available at the moment but will be in future. NoDataJustification3Choice Options for field values when data is not available. NoData Options for field values when data is not available. NoDataJustification4Choice Options for field values when data is not available. NoData Options for field values when data is not available. NoData4 Option for field values when data is not available at the moment but will be in future. NumberOfAccounts1Choice Choice between Securitisation Special Purpose Entity (SSPE) number of accounts or no data option. Number If the securitisation has a master trust structure, enter the number of accounts in which the trust or SSPE has a beneficial interest at the data cut-off date. NoDataOption Reason for not providing data for number of accounts. NumberOfDays1Choice Choice between number of days or no data option. NumberOfDays Number of days. NoDataOption Reason for not providing number of days. Numeric1Choice Choice between a numeric (decimal) value or no data option. Value Enter the current value of the measure being compared against the threshold level. In the event of non-numerical tests/events/triggers, enter ND5. Where percentages are being entered, these shall be entered in the form of percentage points, e.g. 99.50 for 99.50%, e.g. 0.006 for 0.006%). NoDataOption Reason for not providing data for actual value. NumericOrPercentage1Choice Choice between numerical or percentage value, or no data. Value Numerical value or percentage. NoDataOption Reason for not providing a value. ObligorDefaultProbability1 The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the ranges below. Range1 The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0.00%<= x < 0.10%. This estimate can either come from the originator or the relevant national central bank. Where there is no regulatory requirement to calculate Probability of Default, enter ND5. Range2 The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0.10%<= x < 0.25%. This estimate can either come from the originator or the relevant national central bank. Where there is no regulatory requirement to calculate Probability of Default, enter ND5. Range3 The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0.25%<= x < 1.00%. This estimate can either come from the originator or the relevant national central bank. Where there is no regulatory requirement to calculate Probability of Default, enter ND5. Range4 The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 1.00%<= x < 7.50%. This estimate can either come from the originator or the relevant national central bank. Where there is no regulatory requirement to calculate Probability of Default, enter ND5. Range5 The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 7.50%<= x < 20.00%. This estimate can either come from the originator or the relevant national central bank. Where there is no regulatory requirement to calculate Probability of Default, enter ND5. Range6 The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 20.00%<= x <= 100.00%. This estimate can either come from the originator or the relevant national central bank. Where there is no regulatory requirement to calculate Probability of Default, enter ND5. PaymentAndCollectionData1 Payment and collection information. PeriodPrincipalRecoveries Gross principal recoveries received during the period. PeriodInterestRecoveries Gross interest recoveries received during the period. PeriodPrincipalCollection Collections treated as principal in the period. PeriodInterestCollection Collections treated as revenue in the period. DrawingUnderLiquidityFacility If the securitisation has a liquidity facility Indicates whether there has been a drawing under the liquidity facility in the period ending on the last interest payment date. SecuritisationExcessSpread Amount of funds left over after application of all currently-applicable stages of the waterfall, commonly referred to as ‘excess spread’. ExcessSpreadTrappingMechanism Excess spread is currently trapped in the securitisation (e.g. accumulated in a separate reserve account). PaymentFrequency2Choice Choice of payments frequency. Code Code for frequency of payment. NoDataOption Reason for not providing data for the frequency of payments. PaymentReleaseCondition1Choice Choice of payment release conditions. Code Conditions relating to the release of payments made by the protection seller. NoDataOption Reason for not providing data for payment release conditions. PaymentReleaseCondition1Code Specifies the conditions relating to the release of payments made by the protection seller. AfterFullWorkoutOfLossForActualLoss Release of payments takes place after full workout of loss, for the actual loss. AfterPredeterminedPeriodAllowedForCollectionActivity Release of payments takes place after a predetermined period allowed for collection activity. AfterPredeterminedPeriodAllowedForAcutalLossMinusExpectedRecovery Release of payments takes place after a predetermined period allowed for collection activities, for a sum equal to the actual loss minus the expected recovery. ImmediatelyAfterCreditEventForFullAmount Release of payments takes place immediately after a credit event for the full amount of defaulted asset. ImmediatelyAfterCreditEventForAmountNetOfExpectedRecovery Release of payments takes place immediately after a credit event for the full amount of defaulted assets net of expected recovery. Other Release of payments takes place upon any other conditions. PercentageRate Rate expressed as a percentage, that is, in hundredths, for example, 0.7 is 7/10 of a percent, and 7.0 is 7%. PercentageRate2Choice Choice between percentage value or no data option. Rate Give the percentage (e.g. 0.05 represents 5% and 0.9525 represents 95.25%). NoDataOption Reason for not providing percentage. PerformanceData1 Underlying exposure performance information. Dilution Total reductions in principal underlying exposures of this type during the period. PeriodGrossChargeOff 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. RepurchasedExposure The amount of underlying exposures that have been repurchased by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date. RestructuredExposure Amount of underlying exposures that have been restructured by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date. 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 under forbearance. DefaultedExposure 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 DefaultedExposureCapitalRequirementRegulation Total outstanding principal amount as at the data cut-off date of exposures in default as at the cut-off date, using the definition of default specified in Article 178 of Regulation (EU) No 575/2013. Period7Choice Time span defined by a start date, and an end date. FromDate Date and time at which the range starts. ToDate Date and time at which the range ends. PhoneNumber The collection of information which identifies a specific phone or FAX number as defined by telecom services. It consists of a "+" followed by the country code (from 1 to 3 characters) then a "-" and finally, any combination of numbers, "(", ")", "+" and "-" (up to 30 characters). PlusOrMinusIndicator Indicates a positive or negative value. ProtectionCoverage1 Protection coverage description. CurrentProtectionNotional Total amount of coverage under the protection agreement, as at the data cut-off date. MaximumProtectionNotional Maximum amount of coverage under the protection agreement. ProtectionAttachmentPoint In terms of the pool principal, enter the percentage attachment point at which protection coverage begins. ProtectionDetachmentPoint In terms of the pool principal, enter the percentage detachment point at which protection coverage ends. CoveredTrancheIdentification If protection is provided to cover specific tranches (e.g. a guarantee), enter the ISIN of each tranche covered by the specific protection agreement. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema. Type Report the option that best describes the coverage of the protection amount. ProtectionCoverage1Code Specifies the coverage of the option amount. Other Covers any other loss type. CoversLossOfPrincipalLossOfAccruedInterestInterestPenalties Covers loss of principal, loss of accrued interest and interest penalties. CoversLossOfPrincipalLossOfAccruedInterestCostOfForeclosure Covers loss of principal, loss of accrued interest and cost of foreclosure. CoversLossOfPrincipalLossOfAccruedInterestInterestPenaltiesCostOfForeclosure Covers loss of principal, loss of accrued interest, interest penalties and cost of foreclosure. CoversLossOfPrincipalLossOfAccruedInterest Covers loss of of principal and loss of accrued interest. CoversLossOfPrincipalOnly Covers loss of principal only. ProtectionCoverageType1Choice Choice of protection amount coverage type. Code Coverage of the protection amount. NoDataOption Reason for not providing data for protection coverage. ProtectionFeature1 Protection features description. ProtectionType Type of protection instrument used. ProtectionInstrumentISIN Enter in the ISIN code of the protection instrument, where applicable. GoverningLaw Jurisdiction governing the protection agreement. AgreementType Basis for protection documentation. DefaultAndTerminationEvent Where the protection arrangement events of default and termination events are listed. SyntheticSecuritisationType Is this a 'balance sheet synthetic securitisation'? ProtectionTerminationDate Enter the contractual date at which the protection is scheduled to expire / be terminated. CollateralSubstitutable Where collateral is held, can the assets in the collateral portfolio be substituted? This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments). CollateralCoverageRequirement Where collateral is held, enter the percentage (in terms of protection notional) coverage requirement, as stipulated in the securitisation documentation. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments). CollateralInitialMargin If a repo is used, enter the initial margin required for eligible investments (collateral), as stipulated in the securitisation documentation. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. ExcessSpreadSupport Is excess spread used as a credit enhancement to the most junior class of notes? ExcessSpreadDefinition According to the securitisation documentation, the excess spread definition is best described as Fixed Excess Spread (e.g. amount of available excess spread is predetermined, usually in the form of a fixed percentage). BankruptcyIsCreditEvent Is bankruptcy of the reference credit/obligor included in the protection agreement's definition of credit events? FailureToPayIsCreditEvent Is obligor failure to pay after 90 days included in the protection agreement's definition of credit events? RestructuringIsCreditEvent Is restructuring of the reference credit/obligor included in the protection agreement's definition of credit events? ProtectionInstrumentData1 Protection instrument data. Identifier The unique identifier of the protection instrument. The reporting entity must not amend this unique identifier. Feature Protection features description. Provider Protection provider description. Coverage Protection coverage description. PaymentCondition Protetion payment conditions description. Status Protection status description. ProtectionPaymentConditions1 Protection payment conditions description. MaterialityThreshold Are there materiality thresholds before protection payouts can be made? For example, is there a minimum amount of credit deterioration in the cashflow-generating assets necessary before a claim on the protection seller can be made? PaymentReleaseCondition Conditions relating to the release of payments made by the protection seller. AdjustmentPaymentPossibility Do the terms and conditions of the credit protection agreement provide for the payment of adjustment payments to the protection buyer (e.g. if, after the maturity of the credit protection agreement, there are discrepancies in previously estimated and exchanged amounts)? LengthOfWorkoutPeriod If, as regards the timing of payments, a predetermined period is allowed for collection activities to take place and any adjustments to be made to the initial loss settlement, enter the number of days that this period is stipulated to last. ObligationToRepay Is the protection buyer under any obligation to repay any protection payments previously received (besides at termination of the derivative, or as a result of a credit event trigger, or for breach of warranty in relation to the reference obligations)? CollateralDeliveryDeadline If a repo is used, enter the deadline (in days), as per the securitisation documentation, by which collateral must be delivered, in the event it must be released. This field is expected to be completed for funded synthetic arrangements, or where otherwise applicable (e.g. cash is held as collateral for protection payments). Settlement Compensation to be delivered. MaximumMaturityDatePermitted If physical settlement, provide the maximum maturity date stipulated in the securitisation documentation for any securities that can be delivered. CurrentIndexForPaymentToProtectionBuyer Current interest rate index (the reference rate off of which payments to the protection buyer are set). This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap. CurrentIndexForPaymentToProtectionBuyerTenor Tenor of the interest rate index used for payments to the protection buyer. PaymentResetFrequencyToProtectionBuyer Frequency with which payments to the protection buyer are reset according to the credit protection agreement. CurrentInterestRateMarginForPaymentToProtectionBuyer Current interest rate margin applied on floating-rate payments to the protection buyer over (or, if under, input as a negative) the index rate used as a reference off of which payments to the protection buyer are set. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap. CurrentInterestRateForPaymentToProtectionBuyer Current interest rate applied on payments to the protection buyer. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap. CurrentIndexForPaymentToProtectionSeller Current interest rate index (the reference rate off of which payments to the protection seller are set). CurrentIndexForPaymentToProtectionSellerTenor Tenor of the interest rate index used for payments to the protection seller. PaymentResetFrequencyToProtectionSeller Frequency with which payments to the protection seller are reset according to the credit protection agreement. CurrentInterestRateMarginForPaymentToProtectionSeller Current interest rate margin applied on floating-rate payments to the protection seller over (or, if under, input as a negative) the index rate used as a reference off of which payments to the protection seller are set. This field would in particular be expected to be completed in the event of protection arrangements being provided via a swap. CurrentInterestRateForPaymentToProtectionSeller Current interest rate applied on payments to the protection seller. ProtectionProvider1 Protection provider description. Name Enter the full legal name of the protection provider. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. LEI Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the protection provider. PublicEntityWithZeroRiskWeight Is the protection provider a public entity classified under Articles 113(4), 117(2), or 118 of Regulation (EU) 575/2013? ProtectionStatus1 Protection status description. CurrentProtectionStatus Current status of the protection, as at the data cut-off date. CreditEvent Has a credit event notice been given? CumulativePaymentToProtectionBuyer Total amount of payments made to the protection buyer by the protection seller, as at the data cut-off date. CumulativeAdjustmentPaymentToProtectionBuyer Total amount of adjustment payments made to the protection buyer by the protection seller, as at the data cut-off date (for example, to compensate for the difference between initial payments for expected losses and subsequent actual losses realised on impaired cashflow-generating assets). CumulativePaymentToProtectionSeller Total amount of payments made to the protection seller by the protection buyer, as at the data cut-off date. CumulativeAdjustmentPaymentToProtectionSeller Total amount of adjustment payments made to the protection seller by the protection buyer, as at the data cut-off date (for example, to compensate for the difference between initial payments for expected losses and subsequent actual losses realised on impaired cashflow-generating assets). SyntheticExcessSpreadLedgerAmount Total amount of the synthetic excess spread ledger, as at the data cut-off date. ProtectionStatus1Code Specifies the status of the protection at the data cut-off date. Active The CA event is active. Cancelled The CA event is cancelled. Deactivated The CA event is deactivated. The clients cannot send instruction anymore. Expired The CA event is expired, no more processing, claims, transformations take place. Inactive Option is not active and can no longer be responded to. Any responses already processed against this option will remain valid, eg, expired option. Other Any other protection status. Withdrawn The CA event is withrawn, ie, cancelled by the market. ProtectionType1Choice Choice of protection instrument. Code Protection instrument used. NoDataOption Reason for not providing data for protection instrument. ProtectionType1Code Specifies the type of protection intstrument used. CreditDefaultSwap Protection instrument used is credit default swap. CreditInsurance Protection instrument used is credit insurance. CreditLinkedNote Protection instrument used is credit-linked note. FinancialGuarantee Protection instrument used is financial guarantee, also known as unfunded credit risk mitigation. Other Any other protection instrument used. TotalReturnSwap Protection instrument used is total return swap. RegulatoryData1 Regulatory information. NoLongerSTS Indicates whether the securitisation ceased to meet STS requirements. If the securitisation has never had STS status, then enter ND5. RemedialAction Has the competent authority taken any remedial actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5. AdministrativeAction Has the competent authority taken any administrative actions relating to this securitisation? If the securitisation is not an STS securitisation, then enter ND5. MaterialAmendmentToTransactionDocument Describe any material amendments made to transaction documents, including the name and item code (pursuant to Table 4 in Annex I) of the document as well as a detailed description of the amendments. ItemCode Provides the item code(s) (pursuant to Table 3 in Annex I) corresponding to the amendments. PerfectionOfSale Indicates whether, pursuant to Article 20(5) of Regulation (EU) 2017/2402, the transfer of underlying exposures to the SSPE (i.e. perfection of sale) is being performed after the securitisation closing date. CurrentWaterfallType Choose the closest waterfall arrangement currently applicable to the securitisation. MasterTrustData Information about master trust. ReportCancellation2 Cancels a specific report of the Securitisation, based on the securitisation identifier and the submission date of the report. SecuritisationIdentifier The unique identifier assigned by the reporting entity to this non-ABCP securitisation CutOffDate The data cut-off date for this data submission. ReportType Specifies whether the securitisation report to be cancelled is the Investor report or the Inside information and significant event report. RiskAndPerformanceDetails1 Underlying exposures risk and performance information. TriggerMeasurementRatio Has any underlying exposure-related trigger event occurred? These include any delinquency, dilution, default, loss, stop-substitution, stop-revolving, or similar exposure-related events which impact the securitisation, as at the data cut-off date. This also includes if there is a debit balance on any PDL or an asset deficiency. AnnualisedConstantPrepaymentRate Annualised Constant Prepayment Rate (CPR) of the underlying exposures based upon the most recent periodic CPR. Periodic CPR is equal to the [(total unscheduled principal received at the end of the most recent collection period) / (the total principal balance at the start of the collection period)]. The Periodic CPR is then annualised as follows: 100*(1-((1-Periodic CPR)^number of collection periods in a year)) ‘Periodic CPR’ refers to the CPR during the last collection period i.e. for a securitisation with quarterly paying bonds this will usually be the prior three month period. PerformanceData Performance information. AnnualisedConstantDefaultRate Annualised Constant Default Rate (CDR) for the underlying exposures based on the periodic CDR. Periodic CDR is equal to the [(total current balance of underlying exposures classified as defaulted during the period) / (total current balance of non-defaulted underlying exposures at the beginning of the period)]. This value is then annualised as follows: 100*(1-((1-Periodic CDR)^number of collection periods in a year)) ""Periodic CDR"" refers to the CDR during the last collection period, i.e. for a securitisation with quarterly paying bonds this will usually be the prior three month period. RiskWeightApproach Indicate which risk weight approach was used by the originator to produce the risk weight attached to the underlying exposures, in accordance with Regulation (EU) 575/2013. ObligorDefaultProbability The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the ranges below. InternalLossGivenDefaultEstimate The originator’s latest Loss Given Default estimate for the underlying exposure in a downturn scenario, weighted using the total outstanding principal balance of the underlying exposures as at the data cut-off date. Where there is no regulatory requirement to calculate Loss Given Default, enter ND5. Arrears Arrears information. RiskRetention1 Risk retention information. Method Method for complying with risk retention requirements in the EU (e.g. Article 6 of Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) 575/2013). Holder Entity which is retaining the material net economic interest, as specified in Article 6 of Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) 575/2013). RiskRetentionHolder2Code Specifies the entity that is retaining the material net economic interest, as specified in Article 6 of the Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) 575/2013). NoComplianceWithRiskRetentionRequirement No Compliance with Risk Retention Requirement. OriginalLender Risk retention holder is original lender. Originator Risk retention holder is originator. Other Any other type of risk retention holder. Seller Risk retention holder is seller. Sponsor Risk retention holder is sponsor. RiskRetentionMethod1Code Specifies the method for complying with risk retention requirements in the EU (for example. Article 6 of the Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) 575/2013). FirstLossExposureInEachAsset Risk retention method is first loss exposure in each asset, that is Article 6(3)(e). FirstLossTranche Risk retention method is First loss tranche, that is Article 6(3)(d). NoComplianceWithRiskRetentionRequirements No compliance with risk retention requirements. Other Any other risk retention method used. RandomlySelectedExposuresKeptOnBalanceSheet Risk retention method is randomly-selected exposures kept on balance sheet, that is Article 6(3)(c). SellerShare Risk retention method is seller's share, that is Article 6(3)(b). VerticalSlice Risk retention method is vertical slice, that is Article 6(3)(a). RiskWeightApproach1Choice Choice of risk weight approach. Code Indicates which risk weight approach was used by the originator to produce the risk weight attached to the underlying exposures, according to the Regulation (EU) 575/2013. NoDataOption Reason for not providing data forrisk weight approach. RiskWeightApproach1Code Specifies the risk weight approach which was used by the originator to produce the risk weight attached to the underlying exposures, according to the Regulation (EU) 575/2013. AdvancedInternalRatingsBased Risk weight approach is advanced internal ratings- based. FoundationInternalRatingsBased Risk weight approach is foundation internal ratings- based. StandardisedApproach Risk weight approach is standardised approach. Securitisation3 Non-ABCP securitisation. InsideInformationOrSignificantEvent Inside Information or Significant Event. InvestorReport Investor report. SecuritisationAccountDetails1 Account information. AccountType Type of the account. TargetBalance The amount of funds that would be on deposit in the account in question when it is fully funded pursuant to the securitisation documentation. ActualBalance The balance of funds on deposit in the account at the Accrual End Date. AmortisingAccount Indicates whether the account is amortising over the lifetime of the securitisation. SecuritisationAccountIdentifier1 Unique identifier of the account. OriginalIdentifier The original unique account identifier. The reporting entity must not amend this unique identifier. NewIdentifier If the original identifier 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 'Original Account Identifier'. The reporting entity must not amend this unique identifier. SecuritisationAccountType1Code Specifies the type of the account. CashReserveAccount Account type is cash reserve account. ComminglingReserveAccount Account type is commingling reserve account. LiquidityFacility Account type is liquidity facility. MarginAccount Account type is margin account. OtherAccount Any other account type used. SetOffReserveAccount Account type is set-off reserve account. SecuritisationAdditionalInformation1 Additional information text provided line by line. LineNumber Enter the line number of the other information InformationValue The other information, line by line. SecuritisationCounterparty1 Counterparty description information. LEI Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the counterparty. Name Give the full legal name of the counterparty. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. Type Type of counterparty. CountryOfDomicile Country where the underlying exposure originator is established. SecuritisationDetails1 Securitisation information section of the inside information/significant event report. RegulatoryData Regulatory information. InterestRateSwap Interest rate swap information. CurrencySwap Currency swap information. TrancheBond Tranche bond level information section. Account Account level information section. Counterparty Counterparty level information section. CollateralisedLoanObligationSecuritisation CLO securitisation information section. CollateralisedLoanObligationManager CLO manager information section. ProtectionInstrument Synthetic coverage information section. Collateral Issuer collateral information section. AdditionalInformation Any other information section. SecuritisationDetails2 Securtitisation information section of the investor report. SecuritisationName Name of the securitisation. ReportingEntity Information about reporting entity and it's contact details. RiskRetention Information about risk retention. UnderlyingExposureDetails Underlying exposures description. PaymentAndCollection Payment and collection information. RiskAndPerformance Risk and performance information. TestEventTrigger Test/Event/Trigger information section. CashFlow Cashflow information section. SecuritisationIdentifier Unique identifier for Non-ABCP securitisations, assigned by the reporting entity according to Article 11(1) of the Commission Delegated Regulation (EU) …/… [include full reference to the disclosure RTS]. SecuritisationItem1Code UnderlyingExposuresOrUnderlyingReceivablesOrCreditClaims Underlying exposures or underlying receivables or credit claims TrustDeedOrOtherAgreement Trust deed; security deed; agency agreement; account bank agreement; guaranteed investment contract; incorporated terms or master trust framework or master definitions agreement or such legal documentation with equivalent legal value AssetSaleAgreement Asset sale agreement; assignment; novation or transfer agreement; any relevant declaration of trust DerivativeOrGuaranteesAgreement Derivatives and guarantees agreements; any relevant documents on collateralisation arrangements where the exposures being securitised remain exposures of the originator FinalOfferingDocumentOrProspectusClosingTransactionDocuments Final offering document; prospectus; closing transaction documents, excluding legal opinions InsideInformation Inside information relating to the securitisation that the originator, sponsor or SSPE is obliged to make public in accordance with the Regulation. InterCreditorAgreements Inter-creditor agreements; derivatives documentation; subordinated loan agreements; start-up loan agreements and liquidity facility agreements InvestorReport Investor report OtherUnderlyingDocumentation Any other underlying documentation that is essential for the understanding of the transaction ServicingAgreement Servicing; back-up servicing; administration and cash management agreements SignificantEvent A significant event, such as: (i) a material breach of the obligations provided for in the documents made available in accordance with Article 7(1)(b) of Regulation (EU) 2017/2402, including any remedy, waiver or consent subsequently provided in relation to such a breach; (ii) a change in the structural features that can materially impact the performance of the securitisation; (iii) a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation; (iv) in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where competent authorities have taken remedial or administrative actions; (v) any material amendment to transaction documents. STSNotification Simple, transparent and standardised notification pursuant to Article 27 of Regulation (EU) 2017/2402 SecuritisationItem2Code Specifies whether the securitisation report is an Investor report or an Inside information and significant event report. InvestorReport Investor report SignificantEvent A significant event, such as: (i) a material breach of the obligations provided for in the documents made available in accordance with Article 7(1)(b) of Regulation (EU) 2017/2402, including any remedy, waiver or consent subsequently provided in relation to such a breach; (ii) a change in the structural features that can materially impact the performance of the securitisation; (iii) a change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation; (iv) in the case of STS securitisations, where the securitisation ceases to meet the STS requirements or where competent authorities have taken remedial or administrative actions; (v) any material amendment to transaction documents. SecuritisationNonAssetBackedCommercialPaperSignificantEventInvestorReportV01 The SecuritisationNonAssetBackedCommercialPaperSignificantEventInvestorReport message is sent by the reporting agent to the securitisation repositories, to report significant events and information to investor in relation with the securitisation. NewCorrection For significant event, stores a new report. For investor report, either it stores a new report or if the identification and the data cut off date already exist, it replaces the old report with the new one. Cancellation Deletes a securitisation or a specific report. SecuritisationSpecialPurposeEntityData1 Securitisation Special Purpose Entity (SSPE) information. FaceValue If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal and charges) in which the trust or SSPE has a beneficial interest at the data cut-off date. PrincipalValue If the securitisation has a master trust structure, enter the face value of all underlying exposures (principal only) in which the trust had a beneficial interest at the data cut-off date. NumberOfAccounts If the securitisation has a master trust structure, enter the number of accounts in which the trust or SSPE has a beneficial interest at the data cut-off date. Settlement1Code Specifies the compensation to be delivered. Cash Compensation is in cash. PhysicalSettlement Compensation is a physical settlement. SettlementConvention1Choice Choice of settlement date convention. Code Usual settlement convention for the tranche. NoDataOption Reason for not providing data for settlement convention. SettlementDate7Code Specifies the usual settlement convention for the tranche. TPlusOne Settlement takes place on the trade date plus one business day. TPlusTwo Settlement takes place on the trade date plus two business days. TPlusThree Settlement takes place on the trade date plus three business days. AsSoonAsPossible Transfer is to be effected as soon as possible. AtEndOfContract Transfer is to be effected at the end of the contract. EndOfMonth Settlement takes place at the end of the month. Future Settlement takes place on the trade date plus six or more business days. NextDay Settlement takes place on the day after trade date. Regular Settlement takes place under the standard rules applicable to the market and instrument. TPlusFive Settlement takes place on the trade date plus five business days. TPlusFour Settlement takes place on the trade date plus four business days. WhenAndIfIssued Settlement takes place when the financial instrument is issued by the issuer. WhenDistributed Settlement takes place when the financial instrument is distributed. WhenIssued Settlement is to be done when the security is issued. WhenIssuedOrDistributed Settlement takes place when the financial instrument is issued or distributed. Other Any other settlement date. SettlementType4Choice Choice of settlement to be delivered. Code Code for compensation to be delivered. NoDataOption Reason for not providing data for settlement. TestEventTrigger1 Test/Event/Trigger information section. Identification Unique identification of the tests/events/triggers. TestEventTriggerData Test/Event/Trigger information. TestEventTriggerData1 Test/event/trigger information. Description Describe the test/event/trigger, including any formulae. This is a free text field, however the description of the test/event/trigger shall include any formulae and key definitions to allow an investor/potential investor to form a reasonable view of the test/event/trigger and any conditions and consequences attached to it. ThresholdLevel Enter the level at which the test is deemed to have been met, the trigger is deemed to have been breached, or at which any other action is deemed to occur, as applicable given the type of test/event/trigger being reported. In the event of non-numerical tests/events/triggers, enter ND5. CurrentValue Enter the current value of the measure being compared against the threshold level. In the event of non-numerical tests/events/triggers, enter ND5. Where percentages are being entered, these are to be entered in the form of percentage points, e.g. 99.50 for 99.50%, e.g. 0.006 for 0.006%). Status Is this status of the test/event/trigger set to 'Breach' (i.e. the test has not been met or the trigger conditions have been met) at the data cut-off date? CurePeriod Enter the maximum number of days granted for this test/trigger to be brought back into compliance with the required level. If no time is granted (i.e. there is no Cure Period), enter 0. CalculationFrequency Enter the number of calendar days' interval for calculating the test. Use round numbers, for example 7 for weekly, 30 for monthly, 90 for quarterly, and 365 yearly. BreachConsequence Consequence, as per the securitisation documentation, for this test/event/trigger not being satisfied (i.e. being breached). TestEventTriggerIdentification1 Test/event/trigger unique identifiers. OriginalIdentifier Original unique test/event/trigger identifier. The reporting entity must not amend this unique identifier. NewIdentifier If the original identifier in field 'Original Identifier' 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 'Original Identifier'. The reporting entity must not amend this unique identifier. TrancheBondData1 Provides informtion on the tranches or bonds of the ABCP transaction. BondIdentifier Tranche unique identifiers. TrancheDescription Tranche description information. PaymentData Tranche payment information. RiskData Tranche risk information. ProtectionData Tranche protection information. TrancheBondType1Code Specifies the repayment profile of the instrument. ControlledAmortisation Tranche/bond type is Controlled amortisation, that is repayment of principal begins at a specified period. HardBullet Tranche/bond type is hard bullet, that is fixed maturity date. Other Any other type of tranche/bond type. ScheduledAmortisation Tranche/bond type is Scheduled amortisation, that is repayment of principal on scheduled amortisation dates. SoftBullet Tranche/bond type is soft bullet, that scheduled maturity date can be extended to the legal maturity date. TrancheDetails1 Tranche description information. ISINIdentifier ISIN code assigned to this tranche, where applicable. TrancheName The designation (typically a letter and/or number) given to this tranche of bonds (or class of securities) which exhibit the same rights, priorities and characteristics as defined in the prospectus i.e. Series 1, Class A1 etc. TrancheBondType Select the most appropriate option to describe the repayment profile of the instrument. OriginalPrincipalBalance Original Principal Balance of this tranche at issuance CurrentPrincipalBalance The par, or notional, balance of this tranche after the current Principal Payment Date. Include the currency in which the amount is denominated, using CURRENCYCODE_3 format. IssueDate Date that this instrument was issued. TrancheIdentification1 Tranche unique identifiers. OriginalIdentifier The original unique identifier assigned to this instrument. The reporting entity must not amend this unique identifier. NewIdentifier If the original identifier cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the value in field 'Original Tranche Identifier'. The reporting entity must not amend this unique identifier. TranchePayment1 Tranche payment information. InterestPaymentFrequency Frequency with which interest is due to be paid on this instrument. InterestPaymentDate First occurring date, after the data cut-off date being reported, upon which interest payments are scheduled to be distributed to bondholders of this tranche. PrincipalPaymentDate First occurring date, after the data cut-off date being reported, upon which principal payments are scheduled to be distributed to bondholders of this tranche. CurrentCoupon The coupon on the instrument in basis points. CurrentInterestRateMarginSpread Coupon spread applied to the reference interest index as defined in the offering document applicable to the specific instrument in basis points. CouponFloor Coupon floor of the instrument. CouponCap Coupon cap of the instrument. StepUpStepDownCouponValue If any, what is the value of the Step-up/Step-down coupon as per the terms and conditions of the securitisation/programme? StepUpStepDownCouponDate If any, what is the date on which the coupon definition is supposed to change as per the terms and conditions of the securitisation/programme? BusinessDayConvention Business day convention used for the calculation of interest due. CurrentInterestRateIndex Base reference interest index currently applicable (the reference rate off which the interest rate is set). CurrentInterestRateIndexTenor Tenor of the current interest rate index. DisbursementDate First date starting on which the amount of interest payable on the instrument is calculated. LegalMaturity Date before which this instrument must be repaid in order not to be in default. ExtensionClause The most appropriate option to describe which party has the right to extend the maturity of the instrument, as per the terms and conditions of the securitisation/programme. NextCallDate Next date on which the instrument can be called as per the terms and conditions of the securitisation/programme. This excludes clean-up arrangements. CleanUpCallThreshold Clean-up call threshold as per the terms and conditions of the securitisation/programme. NextPutDate Next put date as per the terms and conditions of the securitisation/programme. DayCountConvention 'Days' convention used to calculate interest. SettlementConvention Usual settlement convention for the tranche. TrancheProtection1 Tranche protection information. GuarantorLEI If the tranche has been guaranteed, provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the guarantor. If not guaranteed, enter ND5. GuarantorName Give the full legal name of the guarantor. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database. If not guaranteed, enter ND5. GuarantorSystemAccountSubSector The SA classification of the guarantor. This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex I to this Regulation. If not guaranteed, enter ND5. ProtectionType Type of protection instrument used. TrancheRisk1 Tranche risk information. CurrentAttachmentPointRate The current tranche attachment point, calculated as per Article 256 of Regulation (EU) No 575/2013, and multiplied by 100. OriginalAttachmentPoint The tranche attachment point at the time of issuance of the tranche notes, calculated as per Article 256 of Regulation (EU) No 575/2013, and multiplied by 100. CurrentCreditEnhancementRate Current tranche credit enhancement, calculated as per the originator/sponsor/SSPE's definition. OriginalCreditEnhancement Tranche credit enhancement at the time of issuance of the tranche notes, calculated as per the originator/sponsor/SSPE's definition. CreditEnhancementFormula Describe/Enter the formula used to calculate the tranche credit enhancement. PariPassuTranche Enter the ISINs of all tranches (including this one) that, as at the data cut-off date, rank pari-passu with the current tranche according to the securitisation priority of payments as at the data cut-off date. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema. SeniorTranche Enter the ISINs of all tranches that, as at the data cut-off date, rank senior to the current tranche according to the securitisation priority of payments as at the data cut-off date. In the event of multiple ISINs, all ISINs must be provided in accordance with the XML schema. OutstandingPrincipalDeficiencyLedgerBalance Unpaid Principal Deficiency Ledger balance of the tranche in question. UnderlyingExposureDetails10 Details of the underlying exposure. UnderlyingExposureType Type of underlying exposures of the securitisation. If multiple types from the list below are present, enter 'Mixed' (with the exception of securitisations whose underlying exposures consist exclusively of a combination of consumer loans and automobile loans or leases--for these securitisations the value corresponding to 'Consumer loans' must be entered). TrueSaleRiskTransferMethod In accordance with Article 242(13) and (14) of Regulation (EU) No 575/2013, the securitisation risk transfer method is 'true sale'. RevolvingOrRampUpPeriodEndDate Date at which the securitisation’s revolving or ramp-up period is scheduled to cease. Enter the securitisation maturity date if there is a revolving period with no scheduled end date. CurrentOverCollateralisation Current overcollateralisation of the securitisation, calculated as the ratio of (the sum of the outstanding principal balance of all underlying exposures, excluding underlying exposures classified as defaulted, as at the data cut-off date) to (the sum of the outstanding principal balance of all tranches/bonds as at the data cut-off date). UnderlyingExposureType2Code Specifies the type of underlying exposures of the securitisation. If multiple types from the list are present, enter in 'Mixed' (with the exception of securitisations whose underlying exposures consist exclusively of a combination of consumer loans and automobile loans or leases.For these securitisations the value corresponding to 'Consumer loans' must be entered) AutomobileLoansOrLeases Underlying exposure type is automobile loans or leases. ConsumerLoans Underlying exposure type is consumer loans. CommercialMortgages Underlying exposure type is commercial mortgages. CreditCardReceivables Underlying exposure type is credit-card receivables. Lease Underlying exposure type is lease. ResidentialMortgages Underlying exposure type is residential mortgages. Mixed Underlying exposure type is mixed. SmallAndMediumEnterpriseLoans Underlying exposure type is small and medium enterprise loans. NonSmallAndMediumEnterpriseCorporateLoans Underlying exposure type is non small and medium enterprise corporate loans. Other Any other type of underlying exposure. Value1Choice Choice between numerical or percentage value. Numerical Enter in a numeric value. Percentage Enter in a percentage. WaterfallType2Code Specifies the closest waterfall arrangement currently applicable to the securitisation. TurboWaterfall Waterfall type is turbo waterfall. SequentialWaterfall Waterfall type is sequential waterfall. CurrentlyProRataPossibilityToSwitchToSequential Waterfall type is Currently Pro-rata, with Possibility to Switch to Sequential in the Future. CurrentlySequentialPossibilityToSwitchToProRata Waterfall type is Currently Sequential, with Possibility to Switch to Pro-rata in the Future. ProRataWaterfall Waterfall type is pro-rata saterfall. Other Other type of waterfall. YesNoIndicator Indicates a "Yes" or "No" type of answer for an element. YesNoIndicator2Choice Choice between a Yes/No value or no data option. Indicator Yes/No indicator. NoDataOption Reason for not providing data. InterestRateSwapBenchmark2Choice Choice of interest rate swap benchmark. Code Describe the type of interest rate swap benchmark on the payer leg of the swap is fixed to. NoDataOption Reason for not providing data for interest rate swap benchmark. InterestRateIndex3Choice Choice of interest rate index. Code Specifies the base reference interest index currently applicable (the reference rate off which the interest rate is set. NoDataOption Reason for not providing data for the current interest rate index. InterestRateIndex3Code Specifies the base reference interest index currently applicable (the reference rate off which the interest rate is set). EuropeanCentralBankBaseRate European Central Bank Base Rate (ECBR). EuroSwiss Swiss Franc LIBOR rate. FutureSWAP Portion of a synthetic curve that is composed of Eurodollar or Treasury or similar Futures and Swap rates. The term usually begins at 3 months to 2 years for the futures strip component with the Swaps filling in the points to 10 years and beyond. GCFRepo GCF Repo Index, the Depository Trust & Clearing Corporation (DTCC) general collateral finance repurchase agreements index. ISDAFIX Worldwide common reference rate value for fixed interest rate swap rates, as defined by the International Swaps and Derivatives Association (ISDA). JIBAR Johannesburg Interbank Agreed Rate. LenderOwnRate Lender Own Rate (LDOR). LIBID Rate at which major international banks are willing to take deposits from one another, is normally 1/8 percent below LIBOR. London InterBank Bid Rate, the rate bid by banks on Eurocurrency deposits; the international rate that banks lend to other banks. LIBOR London Interbank Offered Rate, the interest rate that major international banks in London charge each other for borrowing. MOSPRIM Moscow Prime Offered Rate. MuniAAA Benchmark curve used for municipals based on the best credit rating for municipal market debt. OTHER Any other rate. NIBOR Norwegian Interbank Offered Rate. Pfandbriefe Pfandbriefe security is a collateralised bullet bond backed by either mortgage loans or loans to the public sector. Pfandbriefe differ from traditional asset-backed securities in significant ways. The most important difference is that Pfandbriefe carry no pre-payment risk since they remain on the balance sheet of the issuing institution. Therefore, their spreads over sovereign bonds are attributable to liquidity and credit quality alone. New indices have been created and existing indices have been modified in response to the growing importance of the Pfandbriefe market. The Deutsche Borse has three synthetic indices called REX, JEX, and PEX. The Pfandbriefe curve is used as a reference for credit as well as mortgage market. PRIBOR Czech Fixing of Interest Rates on Interbank Deposits. STIBOR Stockholm Interbank Offered Rate. SWAP In curve construction, Swap is the long portion of the curve constituting about 3 years to 30 years term. The exchange of one security, currency or interest rate for another to change the maturity (bonds), or quality of issues (stocks or bonds), or because investment objectives have changed. TELBOR Tel Aviv Interbank Offered Rate. Treasury Treasury benchmark that comes in three types: the yield curve, the par curve, and the spot curve. All curves also have a constituent time series. WIBOR Warsaw Interbank Offered Rate. TIBOR Tokyo Interbank Offered Rate. BankOfEnglandBaseRate Bank of England base rate (BOER). BBSW Australian Financial Markets Association (AFMA) Bank-Bill Reference Rate (BBSW). BUBOR Budapest Interbank Offered Rate. CDOR Canadian Dollar Offered Rate. CIBOR Copenhagen Interbank Offered Rate. EONIA Euro OverNight Index Average rate. EONIASwaps Euro OverNight Index Average swap rate. Euribor Euro Interbank Offer Rate is the rate at which Euro inter-bank term deposits within the Euro zone are offered by one prime bank to another prime bank. EURODOLLAR Rate for the eurodollars, time deposits denominated in U.S. dollars at banks outside the United States, and thus are not under the jurisdiction of the Federal Reserve. SOFR Secured Overnight Financing Rate. SONIA Sterling Overnight Index Average. SARON Swiss Average Rate Overnight. TONA Tokyo Overnight Average Rate. €STR Euro Short-Term Rate. SystemOfAccountsSubsector1Choice Choice of System of Account (SA) classification or no data option. Code The SA classification of the guarantor or collateral. This entry must be provided at the sub-sector level. Use one of the values available in Table 1 of Annex 1 to this Regulation. NoDataOption Reason for not providing an SA subsector code. SAIdentifier The System of Accounts sector, using the codes set out in Table 1 of Annex I to Commission Delegated Regulation (EU) …/… [COMMISSION DELEGATED REGULATION (EU) …/… of XXX supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards specifying the information and the details of a securitisation to be made available by the originator, sponsor and SSPE]