ESMA Esoteric Assets Exposures Table

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Table Fields

Field Type Definition
ESMA Esoteric Assets.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 Esoteric Assets.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 Esoteric Assets.Exposures.New Underlying Exposure Identifier ALPHANUM-1000 If the original identifier in field ESTL2 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 ESTL2. The reporting entity shall not amend this unique identifier.
ESMA Esoteric Assets.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 Esoteric Assets.Exposures.New Obligor Identifier ALPHANUM-1000 If the original identifier in field ESTL4 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 ESTL4. The reporting entity shall not amend this unique identifier.
ESMA Esoteric Assets.Exposures.Data Cut-Off Date DATEFORMAT The data cut-off date for this data submission.
ESMA Esoteric Assets.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 Esoteric Assets.Exposures.Date Of Repurchase DATEFORMAT Date on which the underlying exposure was repurchased from the pool.
ESMA Esoteric Assets.Exposures.Redemption Date DATEFORMAT Date on which account redeemed or (for defaulted underlying exposures) the date that the recovery process was completed.
ESMA Esoteric Assets.Exposures.Description ALPHANUM-1000 Describe in a few words the underlying exposure (e.g. 'Electricity Tariff Receivables', 'Future Flow'). All underlying exposures of this type in the data submission must use identical language.
ESMA Esoteric Assets.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 Esoteric Assets.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 Esoteric Assets.Exposures.Employment Status LIST Employment status of the primary obligor


ESMA Esoteric Assets.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 Esoteric Assets.Exposures.Obligor Legal Type LIST Legal form of customer


ESMA Esoteric Assets.Exposures.NACE Industry Code NACE Obligor industry NACE Code, as set out in Regulation (EC) No 1893/2006 (or as otherwise amended).
ESMA Esoteric Assets.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 Esoteric Assets.Exposures.Primary Income Type LIST Indicate what income in ESTL17 is displayed


ESMA Esoteric Assets.Exposures.Primary Income Currency CURRENCYCODE_3 Currency in which the primary obligor's income or revenue is paid.
ESMA Esoteric Assets.Exposures.Primary Income Verification LIST Primary Income Verification


ESMA Esoteric Assets.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 Esoteric Assets.Exposures.Financial Statement Currency CURRENCYCODE_3 The reporting currency of the financial statements.
ESMA Esoteric Assets.Exposures.International Securities Identification Number ISIN The ISIN code assigned to this underlying exposure, where applicable.
ESMA Esoteric Assets.Exposures.Origination Date DATEFORMAT Date of original underlying exposure advance.
ESMA Esoteric Assets.Exposures.Maturity Date DATEFORMAT The date of maturity of the underlying exposure or expiry of the lease.
ESMA Esoteric Assets.Exposures.Currency Denomination CURRENCYCODE_3 The underlying exposure currency denomination.
ESMA Esoteric Assets.Exposures.Original Principal Balance MONETARY Original underlying exposure principal balance (inclusive of capitalised fees) at origination. 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 Esoteric Assets.Exposures.Current Principal Balance MONETARY Amount of underlying exposure outstanding as of the data cut-off date. This shall include 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 Esoteric Assets.Exposures.Total Credit Limit MONETARY For underlying exposures with flexible re-draw facilities (including revolving characteristics) or where the maximum underlying exposure amount hasn’t been withdrawn in full – the maximum underlying exposure amount that could potentially be outstanding.

This field shall only be populated for underlying exposures that have flexible or further drawing characteristics.  This is not intended to capture instances where the obligor may renegotiate an increased underlying exposure balance but rather where there is currently the contractual ability for the obligor to do this and for the lender to provide the additional funding.

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

ESMA Esoteric Assets.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 Esoteric Assets.Exposures.Amortisation Type LIST Type of amortisation of the underlying exposure including principal and interest


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


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


ESMA Esoteric Assets.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 Esoteric Assets.Exposures.Debt To Income Ratio PERCENTAGE Debt defined as the amount of underlying exposure outstanding as of data cut-off date, 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. Excluding any interest arrears or penalty amounts.

Income defined as in field code, plus any other relevant income (e.g. secondary income).

ESMA Esoteric Assets.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 Esoteric Assets.Exposures.Interest Rate Reset Interval INTEGER-9999 Number of months between each interest rate reset date on the underlying exposure.
ESMA Esoteric Assets.Exposures.Current Interest Rate PERCENTAGE Current interest rate.
ESMA Esoteric Assets.Exposures.Current Interest Rate Index LIST The base reference interest index currently applicable (the reference rate off which the interest rate is set)


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


ESMA Esoteric Assets.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 Esoteric Assets.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 Esoteric Assets.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 Esoteric Assets.Exposures.Number Of Payments Before Securitisation INTEGER-9999 Enter the number of payments made prior to the exposure being transferred to the securitisation.
ESMA Esoteric Assets.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 Esoteric Assets.Exposures.Prepayment Lock-Out End Date DATEFORMAT The date after which the lender allows prepayment of the underlying exposure.
ESMA Esoteric Assets.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 Esoteric Assets.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 Esoteric Assets.Exposures.Prepayment Date DATEFORMAT The latest date on which an unscheduled principal payment was received.
ESMA Esoteric Assets.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 Esoteric Assets.Exposures.Date Last In Arrears DATEFORMAT Date the obligor was last in arrears.
ESMA Esoteric Assets.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 Esoteric Assets.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 Esoteric Assets.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 Esoteric Assets.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 Esoteric Assets.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 Esoteric Assets.Exposures.Default Date DATEFORMAT The date of default.
ESMA Esoteric Assets.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 Esoteric Assets.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 Esoteric Assets.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 Esoteric Assets.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 Esoteric Assets.Exposures.Originator Establishment Country COUNTRYCODE_2 Country where the underlying exposure originator is established.
ESMA Esoteric Assets.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 Esoteric Assets.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 Esoteric Assets.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