ESMA ABCP Exposures Table
Table Fields
| Field | Type | Definition |
|---|---|---|
| ESMA ABCP.Exposures.Unique Identifier - ABCP Programme | ALPHANUM-28 | The unique identifier assigned by the reporting entity to this ABCP programme according to Article 11(1) of the Commission Delegated Regulation (EU) …/… [include full reference to the disclosure RTS]. |
| ESMA ABCP.Exposures.Unique Identifier - ABCP Transaction | ALPHANUM-36 | The unique identifier assigned by the reporting entity to this ABCP transaction according to Article 11(2) of the Commission Delegated Regulation (EU) …/… [include full reference to the disclosure RTS]. |
| ESMA ABCP.Exposures.Original Underlying Exposure Identifier | ALPHANUM-1000 | Unique underlying exposure type identifier. The reporting entity shall not amend this unique identifier. |
| ESMA ABCP.Exposures.New Underlying Exposure Identifier | ALPHANUM-1000 | If the original identifier in field IVAL3 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in IVAL3. The reporting entity shall not amend this unique identifier. |
| ESMA ABCP.Exposures.Underlying Exposure Type | LIST | Select the type of underlying exposure that exists in this transaction
|
| ESMA ABCP.Exposures.Data Cut-Off Date | DATEFORMAT | The data cut-off date for this data submission. |
| ESMA ABCP.Exposures.Geographic Region - Largest Exposure Concentration 1 | NUTS | The geographic region where the largest amount of underlying exposures (by current value of exposures as at the data cut-off date) of this type are located, in terms of the location of the collateral (for secured underlying exposures) or obligor (for unsecured underlying exposures). Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by 'ZZZ'. |
| ESMA ABCP.Exposures.Geographic Region - Largest Exposure Concentration 2 | NUTS | The geographic region where the second-largest amount of underlying exposures (by current value of exposures as at the data cut-off date) of this type are located, in terms of the location of the collateral (for secured underlying exposures) or obligor (for unsecured underlying exposures). Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by 'ZZZ'. |
| ESMA ABCP.Exposures.Geographic Region - Largest Exposure Concentration 3 | NUTS | The geographic region where the third-largest amount of underlying exposures (by current value of exposures as at the data cut-off date) of this type are located, in terms of the location of the collateral (for secured underlying exposures) or obligor (for unsecured underlying exposures). Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by 'ZZZ'. |
| ESMA ABCP.Exposures.Geographic Region Classification | YEAR | Enter the year of the NUTS3 classification used for the Geographic Region fields, e.g. 2013 for NUTS3 2013. All geographic region fields must use the same classification consistently for each underlying exposure and across all underlying exposures in the data submission. For example, reporting using NUTS3 2006 for some geographic fields relating to a given underlying exposure and reporting using NUTS3 2013 for other fields relating to the same exposure is not allowed. In the same way, reporting geographic region fields using NUTS3 2006 for some underlying exposures and reporting geographic region fields using NUTS3 2013 for other underlying exposures in the same data submission is not allowed. |
| ESMA ABCP.Exposures.Current Principal Balance | MONETARY | The total outstanding principal balance of outstanding principal balance as of the data cut-off date for this exposure type. This includes any amounts that are classed as principal in the securitisation. For example if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these shall be added. Excluding any interest arrears or penalty amounts.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Number Of Underlying Exposures | INTEGER-999999999 | Number of underlying exposures of this exposure type being securitised. |
| ESMA ABCP.Exposures.EUR Exposures | MONETARY | The total outstanding principal balance of exposures of this type that are denominated in EUR as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.GBP Exposures | MONETARY | The total outstanding principal balance of exposures of this type that are denominated in GBP as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.USD Exposures | MONETARY | The total outstanding principal balance of exposures of this type that are denominated in USD as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Other Exposures | MONETARY | The total outstanding principal balance of exposures of this type that are denominated in currencies different to EUR, GBP, and USD as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Maximum Residual Maturity | INTEGER-9999 | The longest residual maturity in months, as at the data cut-off date, of any exposure of this exposure type. |
| ESMA ABCP.Exposures.Average Residual Maturity | INTEGER-9999 | The average residual maturity in months, as at the data cut-off date and weighted by the current balance as at the data cut-off date, of all exposures of this exposure type. |
| ESMA ABCP.Exposures.Current Loan-To-Value | PERCENTAGE | Weighted average, using the current balances of all exposures of this type as at the data cut-off date, current loan to value (LTV) ratio. For non-first lien loans this shall be the combined or total LTV. |
| ESMA ABCP.Exposures.Debt To Income Ratio | PERCENTAGE | Weighted average, using the current balances of all exposures of this type as at the data cut-off date, obligor debt to income ratio. Debt defined as the total outstanding principal balance of underlying exposure outstanding as of data cut-off date. This shall include any amounts classified as principal in the securitisation. For example if fees have been added to the underlying exposure balance and are part of the principal in the securitisation these shall be added. Excluding any interest arrears or penalty amounts.
Income defined as combined income, sum of primary and (where applicable) secondary income. |
| ESMA ABCP.Exposures.Amortisation Type | MONETARY | The total outstanding principal balance of exposures of this type where the amortisation is either bullet, balloon, or some other arrangement besides French, German, or a fixed amortisation schedule. For the purposes of this field:
- French Amortisation is defined as amortisation in which the total amount — principal plus interest — repaid in each instalment is the same; - German Amortisation is defined as amortisation in which the first instalment is interest-only and the remaining instalments are constant, including capital amortisation and interest; - Fixed Amortisation Schedule is defined as amortisation in which the principal amount repaid in each instalment is the same; - Bullet Amortisation is defined as amortisation in which the full principal amount is repaid in the last instalment; - Balloon Amortisation is defined as amortisation consisting of partial principal repayments followed by a larger final principal amount; and - Other Amortisation is defined as any other amortisation type not captured by any of the categories listed above.
|
| ESMA ABCP.Exposures.Scheduled Principal Payment Frequency Above One Month | MONETARY | The total outstanding principal balance of exposures of this type where the frequency of principal payments due, i.e. period between payments, is greater than one month (e.g. quarterly, semi-annual, annual, bullet, zero-coupon, other).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Scheduled Interest Payment Frequency Above One Month | MONETARY | The total outstanding principal balance of exposures of this type where the frequency of interest payments due, i.e. period between payments, is greater than one month (e.g. quarterly, semi-annual, annual, bullet, zero-coupon, other).
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Floating Rate Receivables | MONETARY | The total outstanding principal balance of exposures of this type, as at the data cut-off date, where the interest rate is generally understood as 'floating'. 'Floating' refers to a rate indexed to any of the following: LIBOR (any currency and tenor), EURIBOR (any currency and tenor), any central bank base rate (BoE, ECB, etc.), the originator's standard variable rate, or any similar arrangement.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Financed Amount | MONETARY | Amount of underlying exposures purchased from the originator in this transaction that have been financed by commercial paper, between the previous data cut-off date and the data cut-off date of the present data submission.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Dilutions | MONETARY | Total reductions in principal underlying exposures of this type during the period.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Repurchased Exposures | MONETARY | The total outstanding principal balance of exposures of this type that have been repurchased (i.e. removed from the pool of underlying exposures by being bought back) by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Defaulted Or Credit-Impaired Exposures At Securitisation | MONETARY | Pursuant to Article 24(9) of the Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type that, at the time of securitisation, were either defaulted exposures or exposures to a credit-impaired debtor or guarantor in the meaning set out in that same Article.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Defaulted Exposures | MONETARY | The total outstanding principal balance of exposures of this type in default as at the cut-off date, using the definition of default specified in the securitisation documentation
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Defaulted Exposures CRR | MONETARY | The total outstanding principal balance of exposures of this type in default as at the cut-off date, using the definition of default specified in Article 178 of Regulation (EU) No 575/2013.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Gross Charge Offs In The Period | MONETARY | Face value of gross principal charge-offs (i.e. before recoveries) for the period. Charge-off is as per securitisation definition, or alternatively per lender's usual practice.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Arrears 1-29 Days | PERCENTAGE | 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 shall be 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. |
| ESMA ABCP.Exposures.Arrears 30-59 Days | PERCENTAGE | The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 30 and 59 days (inclusive) as at the data cut-off date. The percentage shall be 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. |
| ESMA ABCP.Exposures.Arrears 60-89 Days | PERCENTAGE | The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 60 and 89 days (inclusive) as at the data cut-off date. The percentage shall be 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. |
| ESMA ABCP.Exposures.Arrears 90-119 Days | PERCENTAGE | The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 90 and 119 days (inclusive) as at the data cut-off date. The percentage shall be 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. |
| ESMA ABCP.Exposures.Arrears 120-149 Days | PERCENTAGE | The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 120 and 149 days (inclusive) as at the data cut-off date. The percentage shall be 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. |
| ESMA ABCP.Exposures.Arrears 150-179 Days | PERCENTAGE | The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 150 and 179 days (inclusive) as at the data cut-off date. The percentage shall be 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. The percentage shall be 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. |
| ESMA ABCP.Exposures.Arrears 180+ Days | PERCENTAGE | The percentage of exposures of this type in arrears on principal and/or interest payments due for a period for 180 days or more as at the data cut-off date. The percentage shall be 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. |
| ESMA ABCP.Exposures.Restructured Exposures | PERCENTAGE | Pursuant to Article 24(9)(a) of the Regulation (EU) 2017/2402, enter the proportion of exposures of this type that have at any time been restructured by the originator/sponsor.
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. Calculate the proportion as the total current balance of these exposures divided by total current balance of exposures of this type, as at the data cut-off date. |
| ESMA ABCP.Exposures.Restructured Exposures (0-1 years before transfer) | MONETARY | Pursuant to Article 24(9)(a) of the Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time starting from, and less than 1 year before, the date of transfer or assignment to the SSPE.
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. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Restructured Exposures (1-3 years before transfer) | MONETARY | Pursuant to Article 24(9)(a) of the Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time starting from 1 and less than 3 years before the date of transfer or assignment to the SSPE.
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. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| [[ESMA ABCP.Exposures.Restructured Exposures (>3 years before transfer)|ESMA ABCP.Exposures.Restructured Exposures (>3 years before transfer)]] | MONETARY | Pursuant to Article 24(9)(a) of the Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time starting from 3 years before the date of transfer or assignment to the SSPE.
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. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Restructured Exposures (Interest Rate) | MONETARY | Pursuant to Article 24(9)(a) of the Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type whose interest rate has been restructured by the originator/sponsor.
Restructuring of interest rate refers to any changes made to the interest rate-related contractual terms of the underlying exposure agreement due to forbearance, including changes of interest rate basis or margins, fees, penalties, and/or other generally-accepted measures of interest rate-related restructuring under forbearance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Restructured Exposures (Repayment Schedule) | MONETARY | Pursuant to Article 24(9)(a) of the Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type whose repayment schedule has been restructured by the originator/sponsor.
Restructuring of repayment schedule refers to any changes made to the repayment schedule-related contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, repayment timing, and/or other generally-accepted repayment schedule-related measures of restructuring under forbearance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Restructured Exposures (Maturity) | MONETARY | Pursuant to Article 24(9)(a) of the Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type whose maturity profile has been restructured by the originator/sponsor.
Restructuring of maturity profile refers to any changes made to the maturity-related contractual terms of the underlying exposure agreement due to forbearance, including maturity extensions and/or other generally-accepted measures of maturity-related restructuring under forbearance. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Restructured Exposures (0-1 years before transfer and No New Arrears) | MONETARY | Pursuant to Article 24(9)(a) of the Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor 1 year or earlier than the date of transfer or assignment to the SSPE AND have not at any time been in arrears (either regarding principal or interest payments) since the date of restructuring.
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. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Restructured Exposures (No New Arrears) | MONETARY | Pursuant to Article 24(9)(a) of the Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time AND have not at any time been in arrears (either regarding principal or interest payments) since the date of restructuring.
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. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Restructured Exposures (New Arrears) | MONETARY | Pursuant to Article 24(9)(a) of the Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor at any time AND have at any time been in arrears (either regarding principal or interest payments) since the date of restructuring.
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. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA ABCP.Exposures.Restructured Exposures (Other) | MONETARY | Pursuant to Article 24(9)(a) of the Regulation (EU) 2017/2402, enter the total outstanding principal balance of exposures of this type that have been restructured by the originator/sponsor, excluding restructurings already captured under fields IVAL43, IVAL44, and IVAL45.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
Disclaimer
- This text is generated automatically. Do not edit manually!
- This information is provided as is. Refer to the ESMA Securitisation Template for pointers to definitive instructions
