ESMA Automobile Exposures Table

From Open Risk Manual
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Table Fields

Field Type Definition
ESMA Automobile.Exposures.Unique Identifier ALPHANUM-28 The unique identifier assigned by the reporting entity according to Article 11(1) of the Commission Delegated Regulation (EU) …/… [include full reference to the disclosure RTS].
ESMA Automobile.Exposures.Original Underlying Exposure Identifier ALPHANUM-1000 Unique underlying exposure identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity shall not amend this unique identifier.
ESMA Automobile.Exposures.New Underlying Exposure Identifier ALPHANUM-1000 If the original identifier in field AUTL2 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 AUTL2. The reporting entity shall not amend this unique identifier.
ESMA Automobile.Exposures.Original Obligor Identifier ALPHANUM-1000 Original unique obligor identifier. The identifier must be different from any external identification number, in order to ensure anonymity of the obligor. The reporting entity shall not amend this unique identifier.
ESMA Automobile.Exposures.New Obligor Identifier ALPHANUM-1000 If the original identifier in field AUTL4 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 AUTL4. The reporting entity shall not amend this unique identifier.
ESMA Automobile.Exposures.Data Cut-Off Date DATEFORMAT The data cut-off date for this data submission.
ESMA Automobile.Exposures.Pool Addition Date DATEFORMAT The date that the underlying exposure was transferred to the SSPE. For all underlying exposures in the pool as at the cut-off date in the first report submitted to the securitisation repository, if this information is not available then enter the later of: (i) the closing date of the securitisation, and (ii) the origination date of the underlying exposure.
ESMA Automobile.Exposures.Date Of Repurchase DATEFORMAT Date on which the underlying exposure was repurchased from the pool.
ESMA Automobile.Exposures.Redemption Date DATEFORMAT Date on which account redeemed or (for defaulted underlying exposures) the date that the recovery process was completed.
ESMA Automobile.Exposures.Geographic Region - Obligor NUTS The geographic region (NUTS3 classification) where the obligor is located. 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 Automobile.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 Automobile.Exposures.Employment Status LIST Employment status of the primary obligor


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

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

(i) a restructured underlying exposure has not presented new arrears since the date of the restructuring, which must have taken place at least one year prior to the date of transfer or assignment of the underlying exposures to the SSPE; and
(ii) the information provided by the originator, sponsor and SSPE in accordance with points (a) and (e)(i) of the first subparagraph of Article 7(1) explicitly sets out the proportion of restructured underlying exposures, the time and details of the restructuring as well as their performance since the date of the restructuring;

(b) was, at the time of origination, where applicable, on a public credit registry of persons with adverse credit history or, where there is no such public credit registry, another credit registry that is available to the originator or original lender; or (c) has a credit assessment or a credit score indicating that the risk of contractually agreed payments not being made is significantly higher than for comparable exposures held by the originator which are not securitised.

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

ESMA Automobile.Exposures.Obligor Legal Type LIST Legal form of customer


ESMA Automobile.Exposures.Customer Type LIST Customer type at origination


ESMA Automobile.Exposures.Primary Income MONETARY Primary obligor annual income used to underwrite the underlying exposure at the time of origination. Where the primary obligor is a legal person/entity, enter ND5.

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

ESMA Automobile.Exposures.Primary Income Type LIST Indicate what income in AUTL16 is displayed


ESMA Automobile.Exposures.Primary Income Currency CURRENCYCODE_3 Currency in which the primary obligor's income is paid. Where the primary obligor is a legal person/entity, enter the currency of the revenue provided in field AUTL20.
ESMA Automobile.Exposures.Primary Income Verification LIST Primary Income Verification


ESMA Automobile.Exposures.Revenue MONETARY Annual sales volume net of all discounts and sales taxes of the obligor in accordance with Recommendation 2003/361/EC. Equivalent to the concept of ‘total annual sales’ in Article 153(4) of Regulation (EU) No 575/2013.

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

ESMA Automobile.Exposures.Financial Statement Currency CURRENCYCODE_3 The reporting currency of the financial statements.
ESMA Automobile.Exposures.Special Scheme ALPHANUM-10000 If the underlying exposure is governed by any special public sector arrangement, enter the full name (without abbreviations) of the arrangement here.
ESMA Automobile.Exposures.Product Type LIST The classification of the lease, per lessor's definitions


ESMA Automobile.Exposures.Origination Date DATEFORMAT Date of original underlying exposure advance.
ESMA Automobile.Exposures.Maturity Date DATEFORMAT The date of maturity of the underlying exposure or expiry of the lease.
ESMA Automobile.Exposures.Original Term INTEGER-9999 Original contractual term (number of months) at the origination date.
ESMA Automobile.Exposures.Origination Channel LIST Origination channel of the underlying exposure


ESMA Automobile.Exposures.Currency Denomination CURRENCYCODE_3 The underlying exposure currency denomination.
ESMA Automobile.Exposures.Original Principal Balance MONETARY Obligor's underlying exposure principal balance or discounted lease balance (inclusive of capitalised fees) at origination.

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

ESMA Automobile.Exposures.Current Principal Balance MONETARY Obligor's underlying exposure (or discounted lease) balance outstanding as of the data cut-off date. This shall include any amounts that are secured against the vehicle. For example if fees have been added to the balance and are part of the principal in the securitisation these shall be added. Exclude any interest arrears or penalty amounts.

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

ESMA Automobile.Exposures.Purchase Price PERCENTAGE Enter in the price, relative to par, at which the underlying exposure was purchased by the SSPE. Enter in 100 if no discounting was applied.
ESMA Automobile.Exposures.Amortisation Type LIST Type of amortisation of the underlying exposure including principal and interest


ESMA Automobile.Exposures.Principal Grace Period End Date DATEFORMAT If applicable as at the data cut-off date, indicate the principal grace period end date.
ESMA Automobile.Exposures.Scheduled Principal Payment Frequency LIST Frequency of principal payments due, i.e. period between payments


ESMA Automobile.Exposures.Scheduled Interest Payment Frequency LIST Frequency of interest payments due, i.e. period between payments


ESMA Automobile.Exposures.Payment Method LIST Usual method of payment (can be based upon last payment received)


ESMA Automobile.Exposures.Payment Due MONETARY This is the next contractual payment due by the obligor according to the payment frequency of the underlying exposure.

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

ESMA Automobile.Exposures.Balloon Amount MONETARY Total amount of (securitised) principal repayment to be paid at the maturity date of the underlying exposure.

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

ESMA Automobile.Exposures.Down Payment Amount MONETARY Amount of deposit/down payment on origination of underlying exposure (this shall include the value of traded-in vehicles etc.)

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

ESMA Automobile.Exposures.Current Interest Rate PERCENTAGE Total gross current interest or discount rate applicable to the underlying exposure. Rates calculated on a period-by-period basis must be annualised.
ESMA Automobile.Exposures.Current Interest Rate Index LIST The base reference interest index currently applicable (the reference rate off which the interest rate is set)


ESMA Automobile.Exposures.Current Interest Rate Index Tenor LIST Tenor of the current interest rate index


ESMA Automobile.Exposures.Current Interest Rate Margin PERCENTAGE Current interest rate margin of the floating-rate underlying exposure over (or under, in which case input as a negative) the index rate.
ESMA Automobile.Exposures.Interest Rate Reset Interval INTEGER-9999 Number of months between each interest rate reset date on the underlying exposure.
ESMA Automobile.Exposures.Interest Rate Cap PERCENTAGE Maximum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
ESMA Automobile.Exposures.Interest Rate Floor PERCENTAGE Minimum rate that the obligor must pay on a floating rate underlying exposure as required under the terms of the underlying exposure agreement.
ESMA Automobile.Exposures.Number Of Payments Before Securitisation INTEGER-9999 Enter the number of payments made prior to the exposure being transferred to the securitisation.
ESMA Automobile.Exposures.Percentage Of Prepayments Allowed Per Year PERCENTAGE Percentage amount of pre-payments allowed under the product per year. This is for underlying exposures that allow a certain threshold of pre-payments (i.e. 10%) before charges are incurred.
ESMA Automobile.Exposures.Prepayment Fee MONETARY Amount collected from the obligor as the fee/penalty due for making prepayments as required under the terms of the underlying exposure agreement. This is not intended to include any amounts paid as a "break cost" to make up interest payments up to the underlying exposure Payment Date.

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

ESMA Automobile.Exposures.Prepayment Fee End Date DATEFORMAT The date after which the lender allows prepayment of the underlying exposure without requirement for a prepayment fee to be paid.
ESMA Automobile.Exposures.Prepayment Date DATEFORMAT The latest date on which an unscheduled principal payment was received.
ESMA Automobile.Exposures.Cumulative Prepayments MONETARY Total prepayments collected as at the data cut-off date (prepayments defined as unscheduled principal payment) since the underlying exposure origination date

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

ESMA Automobile.Exposures.Manufacturer ALPHANUM-100 Brand name of the vehicle manufacturer

E.g. enter "Skoda", not "Volkswagen".

ESMA Automobile.Exposures.Model ALPHANUM-100 Name of the car model.
ESMA Automobile.Exposures.Year Of Registration YEAR Year the car was registered.
ESMA Automobile.Exposures.New Or Used LIST Condition of vehicle at point of underlying exposure origination


ESMA Automobile.Exposures.Energy Performance Certificate Value LIST The energy performance certificate value of the collateral at the time of origination


ESMA Automobile.Exposures.Energy Performance Certificate Provider Name ALPHANUM-100 Enter in the legal name of the energy performance certificate provider. Where a Legal Entity Identifier (LEI) is available in the Global Legal Entity Foundation (GLEIF) database, the name entered shall match the name associated with the LEI.
ESMA Automobile.Exposures.Original Loan-To-Value PERCENTAGE The ratio of the underlying exposure balance at origination relative to the automobile value at origination.
ESMA Automobile.Exposures.Original Valuation Amount MONETARY List price of the vehicle at date of underlying exposure origination. For a non-new car, enter the trade value or the sale price of the car.

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

ESMA Automobile.Exposures.Original Residual Value Of Vehicle MONETARY The estimated residual value of the asset at the date of lease origination.

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

ESMA Automobile.Exposures.Option To Buy Price MONETARY The amount the obligor has to pay at the end of the lease or underlying exposure in order to take ownership of the vehicle, other than the payment referred to in AUTL63.

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

ESMA Automobile.Exposures.Securitised Residual Value MONETARY Residual value amount which has been securitised only.

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

ESMA Automobile.Exposures.Updated Residual Value Of Vehicle MONETARY If the residual value has been securitised, enter in the most recent estimated residual value of vehicle at end of contract. If no update has been performed, enter the original estimated residual value.

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

ESMA Automobile.Exposures.Date Of Updated Residual Valuation Of Vehicle DATEFORMAT If the residual value has been securitised, enter in the date that the most recent updated estimation of the residual value of the vehicle was calculated. If no update has been performed, enter the date of the original valuation.
ESMA Automobile.Exposures.Date Of Restructuring DATEFORMAT Enter the date at which the underlying exposure has been restructured. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring under forbearance.

In the event of multiple dates, all dates must be provided according to the XML schema.

ESMA Automobile.Exposures.Date Last In Arrears DATEFORMAT Date the obligor was last in arrears.
ESMA Automobile.Exposures.Arrears Balance MONETARY Current balance of arrears, which is defined as:

Total payments due to date PLUS any amounts capitalised PLUS any fees applied to the account LESS total payments received to date.

If no arrears then enter 0.

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

ESMA Automobile.Exposures.Number Of Days In Arrears INTEGER-9999 Number of days this underlying exposure is in arrears (either interest or principal and, if different, the higher number of the two) as at the data cut-off date.
ESMA Automobile.Exposures.Account Status LIST Current status of the underlying exposure that has been securitised

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

ESMA Automobile.Exposures.Reason for Default or Foreclosure LIST If the underlying exposure is in default as per Article 178 of Regulation (EU) No 575/2013, select the appropriate reason


ESMA Automobile.Exposures.Default Amount MONETARY Total gross default amount before the application of sale proceeds and recoveries. If not in default, enter 0.

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

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

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

ESMA Automobile.Exposures.Residual Value Losses MONETARY Residual value loss arising on turn-in of vehicle. If the residual value has not been securitised, enter ND5.

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

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

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

ESMA Automobile.Exposures.Sale Price MONETARY Price achieved on sale of vehicle in case of foreclosure.

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

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

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

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

ESMA Automobile.Exposures.Original Lender Name ALPHANUM-100 Give the full legal name of the original lender. Where a Legal Entity Identifier (LEI) is available in the Global Legal Entity Foundation (GLEIF) database, the name entered shall match the name associated with the LEI.
ESMA Automobile.Exposures.Original Lender Legal Entity Identifier LEI Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the original lender.

Where no Legal Entity Identifier is available, enter ND5.

ESMA Automobile.Exposures.Original Lender Establishment Country COUNTRYCODE_2 Country where the original lender is established.
ESMA Automobile.Exposures.Originator Name ALPHANUM-100 Give the full legal name of the underlying exposure originator. Where a Legal Entity Identifier (LEI) is available in the Global Legal Entity Foundation (GLEIF) database, the name entered shall match the name associated with the LEI.
ESMA Automobile.Exposures.Originator Legal Entity Identifier LEI Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure originator.
ESMA Automobile.Exposures.Originator Establishment Country COUNTRYCODE_2 Country where the underlying exposure originator is established.

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