ESMA Commercial Real Estate Exposures Table
From Open Risk Manual
Table Fields
| Field | Type | Definition |
|---|---|---|
| ESMA Commercial Real Estate.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 Commercial Real Estate.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 Commercial Real Estate.Exposures.New Obligor Identifier | ALPHANUM-1000 | If the original identifier in field CREL2 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 CREL2. The reporting entity shall not amend this unique identifier. |
| ESMA Commercial Real Estate.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 Commercial Real Estate.Exposures.New Underlying Exposure Identifier | ALPHANUM-1000 | If the original identifier in field CREL4 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 CREL4. The reporting entity shall not amend this unique identifier. |
| ESMA Commercial Real Estate.Exposures.Data Cut-Off Date | DATEFORMAT | The data cut-off date for this data submission. |
| ESMA Commercial Real Estate.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 Commercial Real Estate.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 Commercial Real Estate.Exposures.Date Of Repurchase | DATEFORMAT | Date on which the underlying exposure was repurchased from the pool. |
| ESMA Commercial Real Estate.Exposures.Date Of Substitution | DATEFORMAT | If underlying exposure was substituted for another underlying exposure after the Securitisation Date, the date of such substitution. |
| ESMA Commercial Real Estate.Exposures.Redemption Date | DATEFORMAT | Date on which account redeemed or (for defaulted underlying exposures) the date that the recovery process was completed. |
| ESMA Commercial Real Estate.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 Commercial Real Estate.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 Commercial Real Estate.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 Commercial Real Estate.Exposures.Origination Date | DATEFORMAT | Date of original underlying exposure advance. |
| ESMA Commercial Real Estate.Exposures.Start Date Of Amortisation | DATEFORMAT | The date that amortisation will commence on the securitised underlying exposure (this can be a date prior to the securitisation date). |
| ESMA Commercial Real Estate.Exposures.Maturity Date At Securitisation Date | DATEFORMAT | The maturity date of the underlying exposure as defined in the underlying exposure agreement. This would not take into account any extended maturity date that may be allowed under the underlying exposure agreement. |
| ESMA Commercial Real Estate.Exposures.Maturity Date | DATEFORMAT | The date of maturity of the underlying exposure or expiry of the lease. |
| ESMA Commercial Real Estate.Exposures.Original Term | INTEGER-9999 | Original contractual term (number of months) at the origination date. |
| ESMA Commercial Real Estate.Exposures.Duration Of Extension Option | INTEGER-9999 | Duration in months of any maturity extension option available to the underlying exposure. In the event of multiple maturity extensions available, enter in the duration of the option that has the shortest extension period for the underlying exposure. |
| ESMA Commercial Real Estate.Exposures.Nature Of Extension Option | LIST | Reference thresholds involved for the possibility of triggering/exercising the extension option referred to in field CREL20
|
| ESMA Commercial Real Estate.Exposures.Currency Denomination | CURRENCYCODE_3 | The underlying exposure currency denomination. |
| ESMA Commercial Real Estate.Exposures.Current Principal Balance | MONETARY | Outstanding principal balance of the securitised underlying exposure. This shall include any amounts that are secured by the mortgage and will be 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. It shall exclude any interest arrears or penalty amounts.
Current balance shall include the principal arrears. However, savings amount shall be deducted if a subparticipation exists. (i.e. underlying exposure balance = underlying exposure +/- subparticipation; +/- 0 if no subparticipation). Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Original Principal Balance | MONETARY | Original underlying exposure balance (inclusive of fees).
This is referring to the balance of the underlying exposure at the underlying exposure origination date, not the date of the underlying exposure’s sale to the SSPE or the closing date of the securitisation. Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Original Principal Balance At Securitisation Date | MONETARY | Original Principal Balance of the securitised underlying exposure at the Securitisation Date as identified in the Offering Circular.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Committed Undrawn Facility Underlying Exposure Balance | MONETARY | The total whole underlying exposure remaining facility/ Undrawn balance at the end of the period. The total whole underlying exposure remaining facility at the end of the Interest Payment Date that the obligor can still draw upon.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Total Other Amounts Outstanding | MONETARY | Cumulative outstanding amounts on loan (e.g. insurance premium, ground rents, cap ex) that have been expended by SSPE/Servicer. The cumulative amount of any property protection advances or other sums that have been advanced by the Servicer or SSPE and not yet reimbursed by the obligor.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.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 Commercial Real Estate.Exposures.Latest Utilisation Date | DATEFORMAT | Date of the most recent utilisation/drawdown of the underlying exposure facility agreement. |
| ESMA Commercial Real Estate.Exposures.Purpose | LIST | Underlying exposure purpose - In the event of multiple purposes, report the option that best describes the arrangement
|
| ESMA Commercial Real Estate.Exposures.Structure | LIST | Underlying Exposure Structure
|
| ESMA Commercial Real Estate.Exposures.Waterfall A-B Pre Enforcement Scheduled Interest Payments | LIST | Waterfall pre-enforcement schedule for interest payments
|
| ESMA Commercial Real Estate.Exposures.Waterfall A-B Pre Enforcement Scheduled Principal Payments | LIST | Waterfall pre-enforcement schedule for principal payments
|
| ESMA Commercial Real Estate.Exposures.Principal Payment Allocation To Senior Loan | PERCENTAGE | Insert % of all periodical scheduled principal payments that go to the senior loan (e.g. A loan), if there are multiple loans in the lending arrangement (for example, if field CREL31 is completed with values PMLS, AABP, BABP, AABC, BABC, or CABC). |
| ESMA Commercial Real Estate.Exposures.Waterfall Type | LIST | Type of waterfall governing the overall lending arrangement
|
| ESMA Commercial Real Estate.Exposures.Defaulted Underlying Exposure Purchase Price | PERCENTAGE | If the subordinated loan holder (e.g. B loan holder) can purchase the senior loan in an event of default, enter in the purchase price as per the applicable co-lender/intercreditor agreement. |
| ESMA Commercial Real Estate.Exposures.Cure Payments Possible? | LIST | Can the subordinated loan holder (e.g. B loan holder) make cure payments in lieu of the mortgage obligor? Select from the list below
|
| ESMA Commercial Real Estate.Exposures.Restrictions On Sale Of Subordinated Loan? | Y/N | Are there any restrictions on the ability of the subordinated loan holder (e.g. B loan holder) to sell off the loan to a third party? |
| ESMA Commercial Real Estate.Exposures.Subordinated Loan Holder Affiliated To Obligor? | Y/N | Is there a non-disenfranchised subordinated loan holder (e.g. B loan holder) affiliated (i.e. part of the same financial group) as the commercial mortgage obligor? |
| ESMA Commercial Real Estate.Exposures.Subordinated Loan Holder Control Of Workout Process | Y/N | Can the subordinated loan holder (e.g. B loan holder) exercise control over the decision to and process to enforce and sell the loan collateral? |
| ESMA Commercial Real Estate.Exposures.Do Non-Payments On Prior Ranking Claims Constitute A Default Of The Underlying Exposure? | Y/N | Do Non-payments on Prior Ranking Claims Constitute a Default of the underlying exposure? |
| ESMA Commercial Real Estate.Exposures.Do Non-Payments On Equal Ranking Underlying Exposures Constitute Default Of Property? | Y/N | Do Non-payments on Equal Ranking underlying exposures Constitute Default of Property? |
| ESMA Commercial Real Estate.Exposures.Noteholder Consent | Y/N | Is Noteholder consent needed in any restructuring? Restructuring includes changes in the securitised underlying exposure's payment terms (including interest rate, fees, penalties, maturity, repayment schedule, and/or other generally-accepted measures of payment terms) |
| ESMA Commercial Real Estate.Exposures.Noteholder Meeting Scheduled | DATEFORMAT | What date is the next noteholder meeting scheduled for? |
| ESMA Commercial Real Estate.Exposures.Syndicated | Y/N | Is the underlying exposure syndicated? |
| ESMA Commercial Real Estate.Exposures.Participation Of SSPE | LIST | Method used by the SSPE to acquire ownership in the syndicated underlying exposure
|
| ESMA Commercial Real Estate.Exposures.Consequence For Breach Of Financial Covenant | LIST | The consequence for the financial covenant breach
|
| ESMA Commercial Real Estate.Exposures.Financial Information Non-Submission Penalties | Y/N | Are there are monetary penalties for obligor's failure to submit required financial information (Op. Statement, Schedule, etc.) as per underlying exposure documents? |
| ESMA Commercial Real Estate.Exposures.Recourse | Y/N | Is there recourse (full or limited) to the obligor's assets beyond the proceeds of any collateral for this underlying exposure? |
| ESMA Commercial Real Estate.Exposures.Recourse - 3rd Party | Y/N | Is there recourse (full or limited) to another party (e.g. guarantor) in the event the obligor defaults on an obligation under the underlying exposure agreement? |
| ESMA Commercial Real Estate.Exposures.Servicing Standard | Y/N | Does the servicer of this securitised underlying exposure also service the whole underlying exposure or only one/several components of the whole underlying exposure (e.g. A or B component; or one of the pari-passu components)? |
| ESMA Commercial Real Estate.Exposures.Amounts Held In Escrow | MONETARY | Total balance of the legally charged reserve accounts as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Collection Of Escrows | Y/N | Enter Y if any payments are held in reserve accounts to cover ground lease payments, insurance or taxes only (not maintenance, improvements, capex etc.) as required under the underlying exposure agreement. |
| ESMA Commercial Real Estate.Exposures.Collection Of Other Reserves | Y/N | Are any amounts other than ground rents taxes or insurance held in reserve accounts as required under the terms of the underlying exposure agreement for tenant improvements, leasing commissions and similar items in respect of the related property or for purpose of providing additional collateral for such underlying exposure? |
| ESMA Commercial Real Estate.Exposures.Trigger For Escrow To Be Held | LIST | Type of trigger event leading to amounts to be paid into escrow
|
| ESMA Commercial Real Estate.Exposures.Target Escrow Amounts / Reserves | MONETARY | Target escrow amounts / reserves.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Escrow Account Release Conditions | ALPHANUM-1000 | Release conditions of the escrow account. If multiple conditions, each condition must be provided according to the XML schema. |
| ESMA Commercial Real Estate.Exposures.Conditions Of Drawing Cash Reserve | LIST | When the Cash Reserve can be used
|
| ESMA Commercial Real Estate.Exposures.Escrow Account Currency | CURRENCYCODE_3 | Escrow account currency denomination. |
| ESMA Commercial Real Estate.Exposures.Escrow Payments Currency | CURRENCYCODE_3 | Currency of the Escrow payments. Fields CREL52 and CREL56. |
| ESMA Commercial Real Estate.Exposures.Total Reserve Balance | MONETARY | Total balance of the reserve accounts at the underlying exposure level at the underlying exposure Payment Date. Includes Maintenance, Repairs & Environmental, etc. (excludes Tax & Insurance reserves Includes LC's for reserves. shall be completed if field CREL54 ("Collection of Other Reserves") is equal to "Y" = Yes.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Reserve Balance Currency | CURRENCYCODE_3 | Reserve account currency denomination. |
| ESMA Commercial Real Estate.Exposures.Escrow Trigger Event Occurred | Y/N | Enter Y if an event has occurred which has caused reserve amounts to be established. Enter N if payments are built up as a normal condition of the underlying exposure agreement. |
| ESMA Commercial Real Estate.Exposures.Amounts Added To Escrows In Current Period | MONETARY | Amount that has been added to any escrows or reserves between the previous data cut-off date and the data cut-off date of this data submission.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Revenue | MONETARY | Total revenues from all sources for the period covered by the most recent financial operating statement (i.e. year to date or trailing 12 months) for all the properties. May be normalised if required by the applicable servicing agreement.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Operating Expenses At Securitisation Date | MONETARY | Total underwritten operating expenses for all the properties as described in the Offering Circular. These may include real estate taxes, insurance, management, utilities, maintenance and repairs and direct property costs to the landlord; capital expenditures and leasing commissions are excluded. If multiple properties exist, total the operating expenses of the underlying properties.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Capital Expenditures At Securitisation Date | MONETARY | Anticipated capex over the life of the securitised underlying exposure at Securitisation Date (as opposed to repairs and maintenance) if identified in the Offering Circular.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Financial Statement Currency | CURRENCYCODE_3 | The currency used in the initial financial reporting of fields CREL65 - CREL66. |
| ESMA Commercial Real Estate.Exposures.Obligor Reporting Breach | Y/N | Is obligor in breach of its obligation to deliver reports to underlying exposure servicer or lender? Y = Yes or N = No. |
| ESMA Commercial Real Estate.Exposures.Debt Service Coverage Ratio Method | LIST | Define the calculation of the Debt Service Coverage Ratio financial covenant requirement, the inferred method of calculation. If the calculation method differs between the whole loan and the A-loan, then enter in the A-loan method
|
| ESMA Commercial Real Estate.Exposures.Debt Service Coverage Ratio Indicator At Securitisation Date | LIST | How the Debt Service Coverage Ratio is calculated or applied when an underlying exposure relates to multiple properties
|
| ESMA Commercial Real Estate.Exposures.Most Recent Debt Service Coverage Ratio Indicator | LIST | How the Debt Service Coverage Ratio is calculated or applied when an underlying exposure relates to multiple properties
|
| ESMA Commercial Real Estate.Exposures.Debt Service Coverage Ratio At The Securitisation Date | PERCENTAGE | The Debt Service Coverage Ratio calculation for the securitised underlying exposure, at the Securitisation Date, based on the underlying exposure documentation. |
| ESMA Commercial Real Estate.Exposures.Current Debt Service Coverage Ratio | PERCENTAGE | Current Debt Service Coverage Ratio calculation for the securitised underlying exposure, based on the underlying exposure documentation. |
| ESMA Commercial Real Estate.Exposures.Original Loan-To-Value | PERCENTAGE | The Loan to Value ratio (LTV) for the entire lending arrangement (i.e. not just reflecting the securitised loan amount), as at the Securitisation Date. |
| ESMA Commercial Real Estate.Exposures.Current Loan-To-Value | PERCENTAGE | Current Loan to Value ratio (LTV) for the entire lending arrangement (i.e. not just reflecting the securitised loan amount). |
| ESMA Commercial Real Estate.Exposures.Interest Coverage Ratio At The Securitisation Date | PERCENTAGE | The Interest Coverage Ratio calculation for the securitised underlying exposure, at the Securitisation Date. |
| ESMA Commercial Real Estate.Exposures.Current Interest Coverage Ratio | PERCENTAGE | Current Interest Coverage Ratio calculation for the securitised underlying exposure. |
| ESMA Commercial Real Estate.Exposures.Interest Coverage Ratio Method | LIST | Define the calculation of the Interest Coverage Ratio financial covenant requirement at the level of the securitised underlying exposure (or the whole underlying exposure level if not specified for any specific underlying exposure arrangements within the overall lending arrangement), the inferred method of calculation
|
| ESMA Commercial Real Estate.Exposures.Number Of Properties At Securitisation Date | INTEGER-9999 | The number of properties that serve as security for the underlying exposure at the Securitisation Date. |
| ESMA Commercial Real Estate.Exposures.Number Of Properties At Data Cut-Off Date | INTEGER-9999 | The number of properties that serve as security for the underlying exposure. |
| ESMA Commercial Real Estate.Exposures.Properties Collateralised To The Underlying Exposure | ALPHANUM-1000 | Enter the unique collateral identifiers (CREC4) of the properties that serve as security for the underlying exposure at the data cut-off date. If multiple properties enter all of the identifiers as set out in the XML schema. |
| ESMA Commercial Real Estate.Exposures.Property Portfolio Value At Securitisation Date | MONETARY | The valuation of the properties securing the underlying exposure at the Securitisation Date as described in the Offering Circular. If multiple properties then sum the value of the properties.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Property Portfolio Valuation Currency At Securitisation Date | CURRENCYCODE_3 | The currency of the valuation in CREL83. |
| ESMA Commercial Real Estate.Exposures.Status Of Properties | LIST | Status of properties. Where multiple situations from the list below exist, choose the situation which best represents the overall set of properties
|
| ESMA Commercial Real Estate.Exposures.Valuation Date At Securitisation Date | DATEFORMAT | The date the valuation was prepared for the values disclosed in the Offering Circular. For multiple properties, if several dates, take the most recent date. |
| ESMA Commercial Real Estate.Exposures.Amortisation Type | LIST | Type of amortisation of the underlying exposure including principal and interest
|
| ESMA Commercial Real Estate.Exposures.Principal Grace Period End Date | DATEFORMAT | If applicable as at the data cut-off date, indicate the principal grace period end date. |
| ESMA Commercial Real Estate.Exposures.Grace Days Allowed | INTEGER-9999 | The number of days after a payment is due in which the lender will not consider the missed payment to be an Event of Default. This refers to missed payments due to non-technical reasons (i.e. missed payments not due to systems failures for example). |
| ESMA Commercial Real Estate.Exposures.Scheduled Principal Payment Frequency | LIST | Frequency of principal payments due, i.e. period between payments
|
| ESMA Commercial Real Estate.Exposures.Scheduled Interest Payment Frequency | LIST | Frequency of interest payments due, i.e. period between payments
|
| ESMA Commercial Real Estate.Exposures.Number Of Payments Before Securitisation | INTEGER-9999 | Enter the number of payments made prior to the exposure being transferred to the securitisation. |
| ESMA Commercial Real Estate.Exposures.Prepayment Terms Description | ALPHANUM-100 | Shall reflect the information in offering circular. For instance, if the prepayment terms are the payment of a 1% fee in year one, 0.5% in year two and 0.25% in year three of the loan this may be shown in the offering circular as: 1%(12), 0.5%(24), 0.25%(36). |
| ESMA Commercial Real Estate.Exposures.Prepayment Lock-Out End Date | DATEFORMAT | The date after which the lender allows prepayment of the underlying exposure. |
| ESMA Commercial Real Estate.Exposures.Yield Maintenance End Date | DATEFORMAT | Date after which underlying exposure can be prepaid without yield maintenance. |
| ESMA Commercial Real Estate.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 Commercial Real Estate.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 Commercial Real Estate.Exposures.Unscheduled Principal Collections | MONETARY | Unscheduled payments of principal received in the most recent collection period. Other principal payments received during the interest period that will be used to pay down the underlying exposure. This may relate to sales proceeds, voluntary prepayments, or liquidation amounts.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Liquidation / Prepayment Date | DATEFORMAT | The most recent date on which an unscheduled principal payment was received or liquidation proceeds are received. |
| ESMA Commercial Real Estate.Exposures.Liquidation / Prepayment Code | LIST | Code assigned to any unscheduled principal payments or liquidation proceeds received during the collection period
|
| ESMA Commercial Real Estate.Exposures.Prepayment Interest Excess / Shortfall | MONETARY | Shortfall or excess of actual interest payment from the scheduled interest payment that is not related to an underlying exposure default. Results from a prepayment received on a date other than a scheduled payment due date: Shortfall – The difference by which the amount of interest paid is less than the scheduled interest that was due on the underlying exposure Payment Date, (this would only apply if there is a shortfall after the obligor has paid any break costs). Excess – Interest collected in excess of the accrued interest due for the underlying exposure interest accrual period. A negative number represents a shortfall and excess is represented as a positive number.
Refers to the entire lending arrangement (i.e. not just reflecting the securitised underlying exposure amount) Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Payment Date | DATEFORMAT | The most recent date principal and interest is paid to the SSPE as at the data cut-off date, this would normally be the interest payment date of the underlying exposure. |
| ESMA Commercial Real Estate.Exposures.Next Payment Adjustment Date | DATEFORMAT | For adjustable rate underlying exposures, the next date that the amount of scheduled principal and/or interest is due to change. For fixed rate underlying exposures, enter the next payment date. |
| ESMA Commercial Real Estate.Exposures.Next Payment Date | DATEFORMAT | Date of next underlying exposure payment. |
| ESMA Commercial Real Estate.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 Commercial Real Estate.Exposures.Original Interest Rate | PERCENTAGE | Underlying exposure all-in interest rate at the date of origination of the securitised underlying exposure. |
| ESMA Commercial Real Estate.Exposures.Interest Rate At The Securitisation Date | PERCENTAGE | The total interest rate (e.g. EURIBOR + Margin) that is being used to calculate interest due on the securitised underlying exposure for the first Interest Payment Date after the Securitisation Date. |
| ESMA Commercial Real Estate.Exposures.First Payment Adjustment Date | DATEFORMAT | For adjustable rate underlying exposures, the first date that the amount of scheduled principal and/or interest is due to change. For fixed rate underlying exposures, enter the first date that the amount of scheduled principal or interest is due (not the first date after securitisation on which it could change). |
| ESMA Commercial Real Estate.Exposures.Interest Rate Type | LIST | Interest rate type
|
| ESMA Commercial Real Estate.Exposures.Current Interest Rate | PERCENTAGE | Gross rate per annum used to calculate the current period scheduled interest on the securitised underlying exposure. Rates calculated on a period-by-period basis must be annualised. |
| ESMA Commercial Real Estate.Exposures.Current Interest Rate Index | LIST | The base reference interest index currently applicable (the reference rate off which the interest rate is set)
|
| ESMA Commercial Real Estate.Exposures.Current Interest Rate Index Tenor | LIST | Tenor of the current interest rate index
|
| ESMA Commercial Real Estate.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 Commercial Real Estate.Exposures.Interest Rate Reset Interval | INTEGER-9999 | Number of months between each interest rate reset date on the underlying exposure. |
| ESMA Commercial Real Estate.Exposures.Current Index Rate | PERCENTAGE | The index rate used to determine the current securitised underlying exposure interest rate. The interest rate (before margin) used to calculate the interest paid on the securitised underlying exposure payment date in field CREL102. |
| ESMA Commercial Real Estate.Exposures.Index Determination Date | DATEFORMAT | If the underlying exposure Agreement states specific dates for the index to be set, enter the next index determination date. |
| ESMA Commercial Real Estate.Exposures.Rounding Increment | PERCENTAGE | The incremental percentage by which an index rate shall be rounded in determining the interest rate as set out in the underlying exposure agreement. |
| ESMA Commercial Real Estate.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 Commercial Real Estate.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 Commercial Real Estate.Exposures.Current Default Interest Rate | PERCENTAGE | Interest rate used to calculate the default interest paid on the securitised underlying exposure payment date in field CREL102. |
| ESMA Commercial Real Estate.Exposures.Accrual Of Interest Allowed | Y/N | Do the documents describing the terms and conditions of the underlying exposure allow for interest to be accrued and capitalised? |
| ESMA Commercial Real Estate.Exposures.Day Count Convention | LIST | The 'days' convention used to calculate interest
|
| ESMA Commercial Real Estate.Exposures.Total Scheduled Principal & Interest Due | MONETARY | Scheduled principal & interest payment due on the securitised underlying exposure on the most recent payment date, as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Total Scheduled Principal & Interest Paid | MONETARY | Scheduled Principal & Interest payment due on the securitised underlying exposure on the last payment date, as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Negative Amortisation | MONETARY | Negative amortisation/deferred interest/capitalised interest without penalty. Negative amortisation occurs when interest accrued during a payment period is greater than the scheduled payment and the excess amount is added to the outstanding underlying exposure balance. Refers to the entire lending arrangement (i.e. not just reflecting the securitised underlying exposure amount)
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Deferred Interest | MONETARY | Deferred interest on the whole loan (i.e. including the securitised loan and any other loan belonging to the lending arrangement with the obligor). Deferred interest is the amount by which the interest an obligor is required to pay on a mortgage loan, less than the amount of interest accrued on the outstanding principal balance.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Total Shortfalls In Principal & Interest Outstanding | MONETARY | Cumulative outstanding principal and interest amounts due on the entire lending arrangement (i.e. not just the securitised underlying exposure) as at the data cut-off date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Date Last In Arrears | DATEFORMAT | Date the obligor was last in arrears. |
| ESMA Commercial Real Estate.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 Commercial Real Estate.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 Commercial Real Estate.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 Commercial Real Estate.Exposures.Default Amount | MONETARY | Total gross default amount before the application of sale proceeds and recoveries and inclusive of any capitalised fees/penalties/etc. If not in default, enter 0.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Default Date | DATEFORMAT | The date of default. |
| ESMA Commercial Real Estate.Exposures.Interest In Arrears | Y/N | Is the interest that accrues on the underlying exposure paid in arrears? |
| ESMA Commercial Real Estate.Exposures.Actual Default Interest | MONETARY | Actual default interest paid between the previous data cut-off date and the data cut-off date of this data submission. Total amount of default interest paid by the obligor during the interest period or on the underlying exposure payment date.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.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 Commercial Real Estate.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 Commercial Real Estate.Exposures.Net Proceeds Received On Liquidation | MONETARY | Net proceeds received on liquidation used to determine loss to the SSPE per the Securitisation Documents. The amount of the net proceeds of sale received, this will determine whether there is a loss or shortfall on the underlying exposure.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Liquidation Expense | MONETARY | Expenses associated with the liquidation to be netted from the other assets of issuer to determine loss per the Securitisation Documents. Amount of any liquidation expenses that will be paid out of the net sales proceeds to determine whether there will be any loss.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Expected Timing Of Recoveries | INTEGER-9999 | The underlying exposure servicer's expected recovery timing in months. |
| ESMA Commercial Real Estate.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 Commercial Real Estate.Exposures.Enforcement Start Date | DATEFORMAT | The date on which foreclosure or administration proceedings or alternative enforcement procedures were initiated against or agreed by the obligor. |
| ESMA Commercial Real Estate.Exposures.Workout Strategy Code | LIST | Work-out strategy
|
| ESMA Commercial Real Estate.Exposures.Modification | LIST | Type of modification
|
| ESMA Commercial Real Estate.Exposures.Special Servicing Status | Y/N | As of the underlying exposure Payment Date is the underlying exposure currently being specially serviced? |
| ESMA Commercial Real Estate.Exposures.Most Recent Special Servicer Transfer Date | DATEFORMAT | The date an underlying exposure was transferred to the special Servicer following a servicing transfer event. Note: If the underlying exposure has had multiple transfers, this shall be the last date transferred to special servicing. |
| ESMA Commercial Real Estate.Exposures.Most Recent Primary Servicer Return Date | DATEFORMAT | The date an underlying exposure becomes a "corrected mortgage underlying exposure", which is the date the underlying exposure was returned to the master/primary Servicer from the special Servicer. Note: If the underlying exposure has had multiple transfers, this shall be the last date returned to the master/primary Servicer from special servicing. |
| ESMA Commercial Real Estate.Exposures.Non Recoverability Determined | Y/N | Indicator (Yes/No) as to whether the Servicer or Special Servicer has determined that there will be a shortfall in recovering any advances it has made and the outstanding underlying exposure balance and any other amounts owing on the underlying exposure from proceeds upon sale or liquidation of the property or underlying exposure. |
| ESMA Commercial Real Estate.Exposures.Covenant Breach / Trigger | LIST | Type of Covenant Breach / Trigger
|
| ESMA Commercial Real Estate.Exposures.Date Of Breach | DATEFORMAT | The date that any breach of the underlying exposure terms and conditions occurred. If multiple breaches, the date of the earliest breach. |
| ESMA Commercial Real Estate.Exposures.Date Of Breach Cure | DATEFORMAT | The date that any breach reported in field CREL150 cured. If multiple breaches, the date which the last breach cured. |
| ESMA Commercial Real Estate.Exposures.Servicer Watchlist Code | WATCHLIST | If the underlying exposure has been entered onto the servicer watchlist, enter in the most appropriate corresponding code from Table 3 in Annex 1 of this Regulation. If multiple criteria are applicable, list the most detrimental code. |
| ESMA Commercial Real Estate.Exposures.Servicer Watchlist Date | DATEFORMAT | Determination Date that an underlying exposure was placed on the Watchlist. If underlying exposure came off the Watchlist in a prior period and is now coming back on, use the new entry date. |
| ESMA Commercial Real Estate.Exposures.Interest Rate Swap Provider | ALPHANUM-100 | Name of underlying exposure interest rate swap provider. |
| ESMA Commercial Real Estate.Exposures.Interest Rate Swap Provider Legal Entity Identifier | LEI | Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure interest rate swap provider. |
| ESMA Commercial Real Estate.Exposures.Interest Rate Swap Maturity Date | DATEFORMAT | Date of maturity for the interest rate underlying exposure level swap. |
| ESMA Commercial Real Estate.Exposures.Interest Rate Swap Notional | MONETARY | Interest rate underlying exposure level swap notional amount
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Currency Swap Provider | ALPHANUM-100 | Name of underlying exposure currency swap provider. |
| ESMA Commercial Real Estate.Exposures.Currency Swap Provider Legal Entity Identifier | LEI | Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure currency swap provider. |
| ESMA Commercial Real Estate.Exposures.Currency Swap Maturity Date | DATEFORMAT | Date of maturity for the currency underlying exposure level swap. |
| ESMA Commercial Real Estate.Exposures.Currency Swap Notional | MONETARY | Currency underlying exposure level swap notional amount
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Exchange Rate For Swap | PERCENTAGE | The exchange rate that has been set for a currency underlying exposure level swap. |
| ESMA Commercial Real Estate.Exposures.Other Swap Provider | ALPHANUM-100 | The legal name of the swap provider for the underlying exposure, where the swap is neither an interest rate nor currency swap. 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 Commercial Real Estate.Exposures.Other Swap Provider Legal Entity Identifier | LEI | Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure 'other' swap provider. |
| ESMA Commercial Real Estate.Exposures.Obligor Must Pay Breakage On Swap | LIST | Extent to which the obligor is obligated to pay breakage costs to the underlying exposure swap provider. In the event of multiple swaps, enter in the most appropriate value
|
| ESMA Commercial Real Estate.Exposures.Full Or Partial Termination Event Of Swap For Current Period | LIST | If underlying exposure swap has been terminated between the previous data cut-off date and the data cut-off date of the current report submission, identify reason. In the event of multiple swaps, enter in the most appropriate value
|
| ESMA Commercial Real Estate.Exposures.Net Periodic Payment Made By Swap Provider | MONETARY | Net amount of payment made by the swap counterparty securitised underlying exposure, on the underlying exposure Payment Date as required by the swap contract. This does not include any breakage or termination payments. In the event of multiple swaps, enter in the sum across all swaps.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Breakage Costs Due To Underlying Exposure Swap Provider | MONETARY | Amount of any payment due from the obligor to the swap counterparty for partial of full termination of the swap. In the event of multiple swaps, enter in the most appropriate value.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Shortfall In Payment Of Breakage Costs On Swap | MONETARY | Amount of any shortfall, if any, of breakage costs resulting from the full or partial termination of the swap, paid by the obligor. In the event of multiple swaps, enter in the sum across all swaps.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Breakage Costs Due From Swap Counterparty | MONETARY | Amount of any gains paid by the swap counterparty to the obligor on full or partial termination. In the event of multiple swaps, enter in the most appropriate value.
Include the currency in which the amount is denominated, using {CURRENCYCODE_3} format. |
| ESMA Commercial Real Estate.Exposures.Next Swap Reset Date | DATEFORMAT | Date of next reset date on the underlying exposure level swap. In the event of multiple swaps, enter in the most appropriate value. |
| ESMA Commercial Real Estate.Exposures.Sponsor | ALPHANUM-100 | The name of the underlying exposure sponsor. |
| ESMA Commercial Real Estate.Exposures.Agent Bank Of Syndication Legal Entity Identifier | LEI | Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the agent bank of syndication, i.e. the entity acting as an interface between the obligor and the lending parties involved in the syndicated underlying exposure. |
| ESMA Commercial Real Estate.Exposures.Servicer Legal Entity Identifier | LEI | Provide the Legal Entity Identifier (as specified in the Global Legal Entity Foundation (GLEIF) database) of the underlying exposure servicer. |
| ESMA Commercial Real Estate.Exposures.Servicer Name | ALPHANUM-100 | Give the full legal name of the underlying exposure servicer. 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 Commercial Real Estate.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 Commercial Real Estate.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 Commercial Real Estate.Exposures.Originator Establishment Country | COUNTRYCODE_2 | Country where the underlying exposure originator is established. |
| ESMA Commercial Real Estate.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 Commercial Real Estate.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 Commercial Real Estate.Exposures.Original Lender Establishment Country | COUNTRYCODE_2 | Country where the original lender 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
