Frequently Asked Questions

The loan-level data requirements are explained in detail in Annex VIII of the General Documentation Guideline (ECB/2014/60).

The taxonomy should provide all the information that is required to populate the template. If further queries remain after consulting the taxonomy and the Frequently Asked Questions page, then please contact either your NCB or the ECB at eligible-assets.hotline@ecb.europa.eu .

For ABSs that fall under the scope of the EU Securitisation Regulation (Regulation (EU) 2017/2402), loan-level data must be submitted to an ESMA-registered securitisation repository using templates developed by ESMA – see further information in the section below ‘ESMA ABS loan-level templates’.

For the remaining ABSs, loan-level data can be submitted according to one of the available ECB templates to a data repository accepted by the Eurosystem. At present, European DataWarehouse is the only data repository accepted by the Eurosystem for ECB templates. The available ECB templates can be found here and further details in the section below ‘ECB ABS loan-level templates’. ECB templates can only be used until 30 September 2024 and thereafter the submission of ESMA templates becomes mandatory for these ABSs as well. 

Since 1 October 2021, all ABSs that fall under the scope of the EU Securitisation Regulation (Regulation (EU) 2017/2402) (i.e. are issued after 1 January 2019 or are issued before 1 January 2019 but are designated as STS-compliant) are accepted as Eurosystem collateral only if loan-level data are submitted to an ESMA-registered securitisation repository using templates developed by ESMA.

For ABSs issued prior to 1 January 2019 that are not subject to the Securitisation Regulation, the Eurosystem’s current loan-level data reporting requirements will be maintained for a period of three years, from 1 October 2021 until 30 September 2024. After this date, the new disclosure requirements based on the ESMA templates further explained below will also apply for these ABSs. However, for ABSs not subject to the Securitisation Regulation, it is also possible to submit loan-level data to an ESMA-registered securitisation repository using templates developed by ESMA during this interim period.

For newly issued ABSs, before their first interest payment date (IPD), the underlying exposures template is required for the eligibility assessment. Depending on the ABS type, the Eurosystem accepts loan-level data submitted using the ESMA templates identified as Annexes 2 to 8 of the technical standards on disclosure requirements under the Securitisation Regulation.

After the first IPD three types of ESMA templates are required to maintain the collateral eligibility: (i) the underlying exposure template (Annex 2 to Annex 8 of the Securitisation Regulation technical standards), (ii) the investor report (Annex 12), and (iii) the inside information or significant event information template (Annex 14).

The frequency of loan-level data reporting should follow the requirements set out in Section I, point 3 of Annex VIII of the General Documentation Guideline, which states that loan-level data must be reported at least on a quarterly basis, but no later than one month following a due date for the payment of interest. Therefore, ABSs with monthly IPDs must submit loan-level data templates a maximum of one month after each IPD.

The ESMA data score does not constitute an Eurosystem eligibility requirement. Nevertheless, the submission of all ESMA templates, as described above, is required for collateral eligibility purposes.

The compulsory minimum compliance level of an “A1” data score is applicable only to loan-level data that use the ECB ABS templates.

The ESMA templates must be completed and submitted (uploaded) to a data repository accepted by ESMA. The available ESMA templates can be found https://www.esma.europa.eu/policy-activities/securitisation. Further instructions for data submissions can be found in the dedicated section on ESMA’s website.

Detailed loan-level information regarding the pool of cash flow-generating assets must be provided in order for an ABS to become or remain eligible. Each ABS is given a score based on the availability of information in the loan-level reporting template.

There are six “no data” (ND) options, which must be used whenever data cannot be submitted in accordance with the template. There is also a seventh ND option, which is applicable only to the CMBS template. The various ND options and their meanings are set out in the following table:

The ABS’s score will reflect (i) the number of mandatory fields reported as “ND,1” relative to the total number of mandatory fields and (ii) the number of mandatory fields reported as “ND,2”, “ND,3” or “ND,4” relative to the total number of mandatory fields. “ND,5”, “ND,6” and “ND,7” may be used only if the fields in the relevant loan-level reporting template allow it.

The score for the reported data – the best being “A1” and the worst being “D4” – will be calculated in accordance with the following matrix:

An A1 score is required for Eurosystem collateral eligibility. However, special provisions apply to ABS transactions that include mandatory fields reported as “ND,1”, “ND,2”, “ND,3” or “ND,4” after the completion of the nine-month transition phase. The Eurosystem may accept these transactions as eligible collateral on a case-by-case basis and subject to the provision of adequate explanations for the failure to achieve the mandatory score. As outlined on the ECB website, the Eurosystem has specified its tolerance stance for each possible explanation.

Where the Field Definition & Criteria states that "No Data" options may be used, then any of the "No Data" options may be used i.e. ND,1 or ND,2 or ND,3 or ND,4 or ND,5 or ND,6. Do not enter "ND" or "No Data" as these are not valid entries and you will not be able to upload the report. Please do not use “No Data” options where the Field Definition & Criteria states that 'No Data' options must not be used in that field.

The two percentages used to determine the score are calculated as follows:

• Number of mandatory fields reported as “ND,1” / (Total number of mandatory fields)
• Number of mandatory fields reported as “ND,2”, “ND,3” or “ND,4” / (Total number of mandatory fields)

Imagine, for example, that you have an ABS backed by 10,000 loans and the template contains 50 mandatory fields for each loan. In total, then, there are 500,000 cells in the Excel spreadsheet that need to be filled out (i.e. 50 mandatory fields x 10,000 loans).

If “ND,1” is used a total of 5,000 times in the spreadsheet, 1% of all mandatory fields are reported as “ND,1” (i.e. 5,000/500,000). Note that these 5,000 can be for any mandatory field and any loan. As an extreme example, you could have 100 loans for which “ND,1” was used in all 50 mandatory fields. Alternatively, that could be the result of one missing data field for 5,000 individual loans.

“ND,2”, “ND,3” and “ND,4” are added together (rather than being counted individually). So, if “ND,2” is used 3,000 times, “ND,3” 5,000 times and “ND,4” 2,000 times, the total will be 10,000. The total number of cells is 500,000, so the percentage for these three “no data” options will be 2% (i.e. 10,000/500,000). Again, those 10,000 can be for any mandatory field and any loan.

If the information is only available for some loans but not for others, please provide it for those loans where you have the requested data. For the loans where you do not have the data, you can use no data “ND” options (preferably) or alternatively fields may be left blank. If the information requested is not relevant, ND,5 may be entered.

No, it is not appropriate to use ND,5 as a response where any other ND option could be used.

Percentages should be entered as whole numbers e.g. 70% would be entered as 70 (and not as "70%" or "0.70").

Please follow the instructions and examples given within the taxonomy and do not include leading or trailing zeros, or the positive sign e.g. 750.25 should be entered as 750.25 and not as "00000750.250000 " or "+750.25" etc.

We would expect this information to be captured at loan origination and therefore at a minimum, it should be provided as of this date. However certain static fields may, but not necessarily, be updated periodically during the life of a loan, for example where the borrower contacts the bank for a further advance, a product switch or when they experience payment difficulties.

The most recent information is generally the most relevant and pertinent to the users of loan-level data. For this reason, in situations where the originator has been provided with updated information for these static fields in the normal course of their business, and it has been captured, then this updated information should be provided (replacing the previous information in the same ‘static’ field). This is applicable to any loan included within a submitted report.

The ECB recognises that, despite the best efforts of data providers, data submissions can contain typographical and format errors. On the request of the ECB, the relevant data repository conducts some consistency and accuracy checks on reports of new and/or uploaded loan-level data for each transaction (in accordance with the requirements in Guideline ECB/2012/25). These checks are paramount to ensure confidence in the high quality of the data submissions.

On a regular basis, data providers can thus expect to receive queries from the relevant data repository to verify particular entries in their latest data submissions. Examples of possible verifications include:

• Numeric fields format – compliance with taxonomy: For example, cases where interest rate-related fields are not in line with the taxonomy data format requirements (e.g. an interest rate of 2.5% should be reported as 2.5 and not 0.025). There may also be cases where different decimal formats are used across lines of the same field—such as 0.70 in one line and 70 in another line, when in both lines a percentage value of 70 is required (e.g. current loan-to-value ratio).
• Unconventional values: For example, cases where amounts (e.g. loan balances, valuation amounts, default amounts) appear surprisingly high, or cases where amounts are reported as negative values (e.g. primary income, loan balance, arrears balance).
• Leading and/or trailing zeros: For example, cases where numbers appear in the format 0000000000123.45 instead of 123.45, or 123.4500000 instead of 123.45.

If the presence of typographical/data format issues identified by the data repository is indeed confirmed, data providers may be requested to address these issues in their next loan-level data submission.

Loan-level data must be reported on at least a quarterly basis and no more than one month after the interest payment date on the ABS in question.

Data should be reported on at least a quarterly basis, even if the interest payment dates are biannual or annual. If interest payment dates are of a higher frequency (e.g. monthly), data should be sent on a monthly basis.

Regarding the need to report on a “quarterly basis”, each submitted data report must be received by the loan-level data repository not later than four months after the date of the previously submitted report.

Example 1: Assume there is an ABS with a quarterly coupon frequency with interest payment dates on 15th March, 15th June, 15th September and 15th December. The data must be reported to the loan-level data repository by 15th April, 15th July, 15th October and 15th January respectively for each payment date. This ABS would automatically fulfil the requirement to report at least on a quarterly basis.

Example 2: Assume there is an ABS with a semi-annual coupon frequency with interest payment dates on 15th January and 15th July. The first quarterly report must be sent by 15th February (i.e. within one month of the first interest payment date). The second quarterly report must be submitted within four months of the first report (i.e. assuming the first report was sent on 1st February the second report must be sent by 1st June). The third quarterly report must be sent by 15th August (i.e. one month after the second interest payment date). The fourth quarterly report must be sent within four months of the third report (i.e. assuming the third report was sent on 1st August the fourth report must be sent by 1st December).

The following table provides further examples on when the loan-level reports will be due, depending on the IPD date and frequency:

The DECC reporting requirements, as part of the Eurosystem eligibility criteria for DECCs backed by public-sector credit claims, are effective as of 3 March 2016. There is no transition period, however the ‘comply or explain approach’ set out on the ECB’s ABS loan-level data page will apply immediately. Participants should use the associated explanation form.

On an on-going basis, reports must be submitted at least a monthly basis, no later than one month following the cut-off date (which is the last calendar day of the month).

If loan-level data are not reported or updated in accordance with the rules above, the ABS or public-sector DECC will cease to be eligible.

Once you have begun submitting reports, eligibility will be lost if you fail to meet the reporting deadlines or if a report fails to meet the required compliance score.

Pool cut-off dates should be aligned with investor reports cut-off dates.

This should be completed with the most recent name of the institution (i.e. the name post-merger) that advanced the loan.

The only requirement is that the identification number used within the loan-level report must be different from the actual identification number, to ensure anonymity of the borrower. It does not need to be formally encrypted.

Within the first report submitted to the data repository for stand-alone RMBS transactions, it is mandatory only to report active loans* that form part of the pool as of the cut-off date of the first submitted report. While it is optional for Data Providers to report loans that have been redeemed, prepaid, cancelled, repurchased, defaulted or substituted prior to this date, we strongly encourage their inclusion where this is operationally feasible. For all subsequent reports submitted to the data repository, it is mandatory that all loans which were included in the first submitted report should continue to be reported, including those which have been redeemed, prepaid, cancelled, repurchased, defaulted or substituted since the cut-off date of the first submitted report.

*Active loan means a loan that has a non-zero principal balance (i.e. for which cash inflows or outflows may be expected to occur in the future).

As an example: The pool of a standalone RMBS contained 1000 loans at the closing date in January 2005. Between closing and Q1 2013, 600 of those loans have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or been substituted, and a further 30 loans have defaulted but for which further recoveries may be expected. The first report submitted to the data repository need only contain the 400 loans that are active loans forming part of the pool as of the date of the first submitted report. This figure of 400 active loans includes the 30 loans that have defaulted and that are still within the pool, as further recoveries (cash inflows) are expected.

All future reports for this standalone RMBS will contain all of the 400 loans (regardless of their account status) that were included in the first submitted report, along with any new loans that have been added to the pool after the cut-off date of the first submitted report.

For redeemed, prepaid, cancelled, repurchased, defaulted (where no further future recoveries are expected) or substituted loans:

• AR1 – AR3 should always be populated.
• AR5 – AR7 should always be populated.
• AR67 (Current Balance) would be reported as zero.
• AR109 (Current Interest Rate) would be reported as zero.
• AR166 (Account Status) would be populated with the code for "Redeemed", "Repurchased by Seller", "Default or Foreclosure" or "Other" as appropriate
• AR175 (Redemption Date) would be populated with the date of redemption, if the loan has been redeemed or prepaid; otherwise use ND,5.
• All other mandatory fields would be populated with ND,5

For defaulted loans for which future recoveries may be expected:

• All mandatory fields should continue to be reported in the same manner as for any other active loan

The intention is that loans that no longer form part of the master trust pool are reported three times, regardless of reporting frequency, before they are removed from the report. For example, assume a loan is redeemed or repaid on 5th January. If pool cuts are submitted monthly:

• January 31 report – loan included
• February 28 report – loan included
• March 31 report – loan included
• April 30 – loan is no longer included in the report

If pool cuts are submitted quarterly:

• March 31 report – loan included
• June 30 report – loan included
• September 30 report – loan included
• December 31 – loan is no longer included in the report

How should loan IDs be treated? To enable data users to track the performance of individual loans, the loan id should not change throughout the life of the transaction. If the original loan id cannot be maintained in AR3, please enter the original loan id followed by the new loan id, comma delimited.

Should we look into the underwriting of the original loan or the underwriting of the restructured/forborne loan? Although many fields are static, the most recent information is generally the most relevant and pertinent to the users of loan-level data, so if updated information is available (e.g. for primary income), please provide this. However please do not provide updated information where the change in status is only due to the restructuring of the loan - please see below for examples.

AR55 (Loan Origination Date): is this the date of the original loan or the date of the restructuring or forbearance measures? Please provide the original date of the loan origination.

AR59 (Purpose): should we look into the purpose of the original loan advance or use i.e. Debt Consolidation (5)? Please provide the original purpose of the loan.

AR61 (Loan Term): should we provide the term of the original loan or the term after the forbearance measures (maturity extension is a common measure)? Please provide the original loan term.

AR66 (Original Balance): Should we provide the original loan amount, or the balance after the forbearance measures (which might include capitalized interest)? Please provide the original loan balance at origination.

In the case of multiple RMBS originators, the trustee or management company will be responsible for information relating to the underlying assets and loans securitised in the RMBS transactions. The loan data from the various originators need to be consolidated in a single XML file covering the entire transaction and submitted to the data repository. Bond information can generally be found in transaction documentation, and most of the time it is simply a matter of copying such information. The bond information should be included in the same XML file.

All tranches need to be submitted to the data repository for validation. Each tranche should be reported separately within that single XML file, so fields BR25 to BR39 have to be completed for each individual tranche.

Loans that are not part of the capital structure or have not been segregated as part of the RMBS transaction should not be reported.

Yes, this field should be populated for every loan in the pool regardless of whether it is an active or non-active loan.

In case of multiple borrowers, it is necessary to report at least the main borrower. If all the borrowers are going to be reported then the primary borrower should be the first in the list with the other borrowers comma (,) delimited.

Yes, this field should be populated for every loan in the pool regardless of whether it is an active or non-active loan.

Where the underwriting of a BTL loan is based upon the rental income of the property and the borrower’s income is not assessed, these fields should be populated with ND,5. In these circumstances, AR154 (Gross Annual Rental Income), AR155 (Number of Buy to Let Properties) and AR156 (Debt Service Coverage Ratio) should be populated and not treated as optional fields.

The field name is only intended to be informative and the data provider should follow the instructions in the field definition and criteria. If the borrower is a national of the country in which both the property and mortgage loan reside (e.g. an Italian borrower with an Italian law mortgage over a property in Italy), then the appropriate response would be "Y".

It is important to report the primary income as such data will have a direct impact on the scoring matrix.

For these cases, Primary Income may be reported with zero. However, the fields "Borrower's Employment Status" (AR21) should be reported with "Employed or full loan is guaranteed" (1) and all the relevant information should be reported such as "Type of Guarantee Provider" (AR74), "Guarantee Provider" (AR75), "Income Guarantor" (AR76) and "Amount Guaranteed" (AR63), in compliance with the provisions settled in the EU General Data Protection Regulation (GDPR).

The Primary Income should be floored at zero.

Self-certified no checks: this means no checks are performed to verify the validity of the income stated by the borrower.

Self-certified with affordability confirmation: this means no checks are performed to verify the validity of the income stated by the borrower, but nevertheless the affordability of the loan has been assessed based upon the borrower’s stated income.

Verified: this means that the income stated by the borrower has been verified by the lender.

Non-Verified Income / Fast Track: this means that the income of the borrower has not been verified as the borrower meets the lender’s criteria (e.g. based upon credit score, loan amount, LTV ratio etc.) for not performing the usual income checks (e.g. obtaining pay slips, checking against bank statements, contacting the employer etc.).

ND,5 should be entered for defaulted loans

AR56 refers to the expected maturity date of the loan at each pool cut-off date, i.e. in case of partial prepayment, the new scheduled expiration date should be entered. AR175 refers to the date when the loan was actually paid off by the borrower.

If a loan does not have a contractual term (for example, is a revolving loan or for other reason does not possess a legal final maturity in the loan documentation), please enter ND,5.

AR61 is requesting the "original contractual term" and therefore should not be amended. Any updated maturity date of the loan should be reflected in AR56, which is a dynamic field.

AR62 refers only to the start of the loan (i.e. from the origination date) when the borrower may initially only be required to make interest payments for a period (e.g. for 2 years) before then becoming a repayment loan making payments of both interest and principal.

AR92 is intended to capture payment holidays that are either contractually allowed or which are granted as a forbearance measure during the life of the loan. In this context, please treat AR92 as a dynamic (rather than static) field.

AR66 should be reported as at the time of origination of the loan and not at the time of securitisation.

It is expected that this field would be completed with zero for all non-active loans.

The intention is that any loan that is in the pool at the point of securitisation should continue to be reported within the data tape. Therefore if the loan has been subrogated after securitisation, then both loan parts would continue to be reported. Please also see the response to the question "What loans need to be included in the reports submitted to the data repository for standalone RMBS transactions?"

The 'original loan' would contain the original borrower identity (with “6 – Other” entered for AR166 Account Status) while the 'new' loan would have the new borrower identity and would be marked with "Y" in AR68 Fractioned / Subrogated Loan.

Please populate the optional field AR62 "Principal Grace Period" with the number of months where interest only is paid, and populate AR69 "Repayment Method" with "2" (Repayment).

This field is referring to all principal and interest payments, but in case of a bullet loan the interest payment frequency should be entered.

AR71 should be completed with the next periodic contractual payment that is due from the borrower (regardless of when this next payment falls due i.e. even if this next payment is due after the date at which the next report must be submitted).

Please enter ND,5 for defaulted loans.

Please enter the amount that will be payable on the borrower's next occurring payment date i.e. zero. Any relevant optional fields (e.g. AR122 Restructuring Arrangement) should still be completed for these loans, to prevent the data provider from being regularly queried regarding the accuracy of this information.

Please use the Annuity (1) option in the list.

AR90 should be completed with the total value of the payments that the borrower has made to the lender to date, that may be redrawn by that borrower. These payments include both scheduled principal repayments of the loan and unscheduled prepayments. For example, if the loan amortised normally and only prepayments could be redrawn, you would not include the normal scheduled payments that the borrower had made under the loan to date: instead you would only include any prepayments that they had made, as these would be the only amounts that would be considered flexible.

Yes, both statements are correct.

Please provide the total amount of mortgages.

Please report the sum of pre-payment amounts within the last collection period.

As per the taxonomy, (1) is a loan that is floating for life, e.g. with EURIBOR as an index. (2) is a loan that is initially floating based upon one index and which at a later point will become floating based upon a different index. AR107 is a static field, and should therefore be completed based upon the loan type at origination. If a fixed rate loan has subsequently switched to floating rate, then this characteristic will be captured by the responses to other dynamic mandatory fields, such as AR108, AR109 and AR110.

In this case, AR107 should be populated with (1) “Floating rate loan (for life)”.

It should be reported as Other (13) as IRPH is not currently included in the available list.

These should be reported as No Index (12).

This should be completed with zero for all non-active loans.

Please enter ND,5.

Please report the ongoing reset interval, not remaining time until the next reset.

Please enter the whole loan term.

Please enter ND,5 for defaulted loans.

Please complete AR111 with the time to the next optional switch date.

Please enter within this field the number of months until the loan maturity date.

These should be the next occurring reversions i.e. these fields should only contain information about changes that will occur in the future, after the pool cut-off date of the report.

Please enter ND,5 in these fields.

These fields refer only to contractual changes in the margin (e.g. from +50bps to +100bps) or to contractual changes in the underlying index (e.g. from 3M EURIBOR to 1M EURIBOR) used for the interest calculation: they do not refer to the date at which the index is reset periodically (e.g. they do not refer to the date at which the 1M EURIBOR is reset each month).

Only the first half of the postcode should be completed (comprising at least 2 or 3 characters). The full postcode should not be provided.

Where the issuer has received legal advice counselling against the provision of any postcode information or such postcode information does not exist in such country (Ireland only), the optional field AR128 (Geographical Region List) should be completed with the appropriate Geographic Region code, as indicated in the specific section of the RMBS taxonomy under “Geographic Region List”. Furthermore, the mandatory field AR129 must also be filled with the same geographical regional code data as used in AR128.

The response to this question is based on the following example:

• Valuation amount: 100,000
• Loan A (lien 1): 80,000
• Loan B (lien 2): 20,000

1. If both loan parts were securitised, the correct value for each loan part would be 100%
2. If only the second lien was securitised, the correct value for this loan part would also be 100%
3. If only the first-ranking loan was securitised, the correct value would be 80%.

In addition, please also complete fields from AR80 to AR84.

AR136 should be reported as at the time of origination of the loan and not at the time of securitisation.

We expect to receive the same CLTV among loans that share the same property ID and apply pro-rata shares to derive this.

As an example:

• AR143 Current Valuation Amount = 200,000
• Loan 1 current balance = 100,000
• Loan 2 current balance = 50,000
• Loan 1 pro-rata share = 100,000 / (100,000+50,000) = 66.67%
• Loan 2 pro-rata share = 50,000 / (100,000+50,000) = 33.33%

Thus:

• AR141 for Loan 1 = 100,000 / (66.67% x 200,000) = 75%
• AR141 for Loan 2 = 50,000 / (33.33% x 200,000) = 75%

The current loan to value should be floored at zero. It should never be reported as a negative value, even if the current balance of the loan is negative.

These fields are requesting information of the "most recent" valuation. Where an additional valuation has not been performed since origination, then these fields would be populated with the valuation information at origination. However, if during the life of a loan (e.g. where the borrower contacts the bank for a further advance, a product switch or when they experience payment difficulties) a re-valuation of the property may be carried out. The most recent information will be the most relevant and pertinent to the users of loan-level data. For this reason in situations where the originator has been provided with updated information for these static fields in the normal course of their business, and it has been captured, then this updated information should be provided (replacing the previous information in the same 'static' field). Indeed, this is applicable to any loan included within a submitted report.

This needs to be consistent with the definition in the relevant transaction documentation. Otherwise, there will be inconsistencies between transaction documentation and the reporting of those transactions.

No. In these circumstances, the account status should remain as option "3" (Default or Foreclosure). Data users will be able to identify that this is a non-active loan because AR67 (Current Balance) will be zero.

It is expected that this option will be used extremely infrequently. It is highly probable that any data provider entering this option will be contacted to explain the circumstances of its usage.

This is correct. It should only be reported for loans that are currently in arrears. Performing loans should be reported with “ND,5”.

AR167 (Date Last Current) and AR168 (Date Last in Arrears) should be considered together and only one of these fields needs to be populated. For example:

• For a performing loan, AR167 would be populated with ND,5 while AR168 would show when the loan was last in arrears.
• For a loan in arrears AR168 would be populated with ND,5 while AR167 would show when the loan was last current.

This relates to all arrears. If the loan has no outstanding missed payments, please report zero. If the loan has any missed payments, please report the full missed payment (i.e. any Principal Unpaid and any Interests Unpaid).

Generally-speaking, if the loan has no outstanding missed payments, please report zero. If the loan has any missed payments, please report the full missed payment (i.e. any Principal Unpaid and any Interests Unpaid).

The field definition of AR170 is “Number of months this loan is in arrears…according to the definition of the issuer…” (and is there to provide guidance only). However, we would expect that for non-monthly paying loans, the result from the calculation described in AR170 (“The number of months in arrears will be calculated based upon the total arrears amount divided by the payment due (AR 71)”) is multiplied by the number of months between each payment, to give the equivalent number of months in arrears e.g.

• For a quarterly paying loan, the result is multiplied by 3
• For a semi-annually paying loan, the result is multiplied by 6
• For an annually paying loan, the result is multiplied by 12

Although this field is labelled as dynamic, once it has been populated (at the point of default), the value should remain unchanged thereafter.

Any loan that is classified as defaulted (3) per AR166 must have a numerical value in field AR177.

The calculation needs to fully reflect the definition included in the documentation of the specific ABS transaction. Unpaid principal, fees and accrued interest should normally be taken into consideration for the calculations.

All actual cash recoveries should be included in this field, regardless of their source. Anticipated future recoveries should not be included.

This is intended to capture any amounts received as a result of claims against surveyors, solicitors etc. where they have committed professional negligence in relation to the loan. Note that this field is optional and a value of “ND,5” will be appropriate in the majority of cases.

If there has been a drawing under the liquidity facility since the previously-submitted report, please answer yes; if not, answer no. If there is no liquidity facility in the transaction, then the response should be ND,5.

The date to be entered into field BR27 is the first occurring date, after the pool cut-off date being reported, upon which interest payments are distributed to bondholders.

This should be the latest occurring final legal maturity date of the bonds, which can be refined when and if the evolving bond amortisation indicates a probable date.

It should be reported in numerical form i.e. 0.5% would be reported as 0.5000 (to four decimal places).

Yes, this is correct.

(i) Within the first report submitted to the data repository, it is mandatory only to report "Active Loans" that form part of the pool as of the cut-off date of the first submitted report. "Active Loan" means a loan that has a non-zero principal balance at the pool cut-off date (i.e. for which cash inflows or outflows may be expected to occur in the future).

(ii) For all subsequent reports submitted to the data repository, it is mandatory to report all Active Loans, plus all loans that have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or substituted (together referred to as "Non-Active Loans") since the cut-off date of the previously submitted report. Once Non-Active Loans have been reported once, they need not be included in subsequent reports.

Therefore, starting from and including the second submitted report to the data repository, reports should contain all Active Loans plus those loans that have become Non-Active Loans since the cut-off date of the previously submitted report.

* Active loan means a loan that has a non-zero principal balance (i.e. for which cash inflows or outflows may be expected to occur in the future).

Yes, you may continue reporting all Non-Active Loans in all your future reports if you wish.

At present only loans that are active loans as of each pool cut-off date should be included within the report.

* Active loan means a loan that has a non-zero principal balance (i.e. for which cash inflows or outflows may be expected to occur in the future).

You may populate AS5 with the same information as AS6 i.e. the name of the entity that services the SME loan.

AS19 refers to the date of incorporation of the obligor, i.e. the date at which the legal form of the borrower was created. AS20 is asking for the date from which the obligor has been a customer of the originator.

This refers to the seniority of the SME loan, in the event of the bankruptcy of the obligor. If the SME loan ranks lower than any other claim (excluding amounts owed to preferential creditors) it should be classified as junior.

Yes, any loan that is classified as secured in AS26 should have at least one collateral ID in the collateral section of the template.

• An SME loan should be classified as ‘secured’ if it is collateralised with physical or financial assets (such as vehicles, real estate, equipment, securities, etc.), regardless of whether these assets are provided directly by the borrower or pledged by the guarantor

• An SME loan should be classified as ‘unsecured’ in all other cases, for example: if the loan has no collateral, or if the loan is collateralised with non-physical or non-financial assets (including guarantees which do not benefit from any pledges or charges of physical or financial assets)

This field is only relevant for loans that have flexible features that allow the obligor to change their total loan size without the need for further underwriting such as in the case of overdrafts.

This field should be populated with the internal one year probability of default of the obligor, expressed as a numerical value.

At present ND options are not allowed in this field so please enter the dummy value "999.99"

If an SME obligor is involved in a range of activities, the code that most represents the predominant activity must be selected. If the exact activity is not listed, please select the code that most closely resembles their activity.

AS44 should capture any potentially off-settable amounts.

This refers to the balance of the SME loan as of the date that the loan was added to the pool.

This field is only relevant for loans that have flexible features that allow the obligor to change their total loan size without the need for further underwriting e.g. overdrafts.

The Weighted Average Life that is reported is expected to be the WAL as at the securitisation date.

Linear amortisation refers to when the principal payment remains constant throughout the life of the loan. The regular overall (i.e. principal + interest) instalment therefore decreases over time as the interest element decreases.

French amortisation refers to annuity loans, where a constant instalment is paid throughout the life of the loan with the principal component increasing over time and the interest element decreasing over time.

Fixed amortisation refers to where the timing of principal repayments is determined by a schedule that is decided in advance and which does not conform to any of the other options in AS62.

AS63 and AS64 should be populated with the amount payable at the next payment date.

If there is a lump sum payable at maturity that is materially greater than the regular instalments, then this value should be entered. If this is not applicable then please enter zero.

These fields are static and therefore refer only to grace periods granted at the commencement of the loan. They do not refer to any forbearance granted at a later date.

These should be the next occurring revisions i.e. these fields should only contain information about changes that will occur in the future, after the pool cut-off date of the submitted report.

These fields refer only to contractual changes in the margin (e.g. from +50bps to +100bps) or to contractual changes in the underlying index (e.g. from 3M EURIBOR to 1M EURIBOR) used for the interest calculation: they do not refer to the date at which the index is reset periodically (e.g. they do not refer to the date at which the 1M EURIBOR is reset each month).

This refers to the ABS transaction documentation.

In this case you should use the definition of default as per the lender's usual practice.

Yes. Any loan that is classed as defaulted per AS121 should also have a default date and default amount; therefore AS124 and AS125 also should be populated.

This refers to the ABS transaction documentation.

Although these fields are dynamic, once they have been populated (at the point of default), the values should remain unchanged thereafter.

All recoveries should be included in this field, regardless of their source.

This is not relevant for non-defaulted loans and so you should enter ND,5. Where a defaulted loan has not had any recoveries to date, please enter zero.

Once a loan has defaulted, this field captures the best estimate of the loss that will be incurred once the recovery process has been completed. As a consequence, the value in this field is dynamic and may change over time as recoveries are collected and the work out process progresses.

If the loan has not been redeemed, then this field should be populated with ND,5.

You should report the most recent date in the reporting period for AS134 (Date Loss Allocated).

The amortisation profile section should be populated showing the remaining principal balance outstanding at each period after the repayment of the scheduled principal. It should be populated only with future amortisations occurring after the pool cut-off date. It should not include all amortisation since the loan was originated.

The entire collateral section (CS1-CS28) would be completed for each collateral part that backs the SME loan. In this example, the collateral section would be completed twice.

‘Unsecured Guarantee’ should be used when the guarantor has not provided any physical or financial assets as collateral to secure the guarantee

‘Third Party Guarantee’ should be used when the guarantor provides physical or financial assets as collateral to secure the guarantee

If there is no real estate collateral the appropriate response is "ND,5".

CS18 and CS19 should be completed with the lower of (i) AS27 (The Total Credit Limit Granted to the Loan), and (ii) The maximum value of the guarantee.

Yes, CS23 is requesting information about the loan origination channel.

CS28 should include the total number of collateral pieces which are securing the loan, regardless of their source (i.e. directly pledged by the borrower and indirectly from any guarantor).

• Four - residential building, investment fund, bank deposit, and a pledge on a deposit
• Two – residential building and investment fund.

If your ABS has a liquidity facility then this field should be completed with either "Y" (to indicate that the liquidity facility has been drawn in the period up to the last interest payment date) or "N" (if it has not). If your ABS has no liquidity facility then please enter ND,5.

The dates to be entered into fields BS27 and BS28 are the first occurring dates, after the pool cut-off date being reported, upon which interest and principal payments are distributed to bondholders.

1. Within the first report submitted to the data repository, it is mandatory only to report "Active Loans" that form part of the pool as of the cut-off date of the first submitted report. "Active Loan" means a loan that has a non-zero principal balance at the pool cut-off date (i.e. for which cash inflows or outflows may be expected to occur in the future).
2. For all subsequent reports submitted to the data repository, it is mandatory to report all Active Loans, plus all loans that have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or substituted (together referred to as "Non-Active Loans") since the cut-off date of the previously submitted report. Once Non-Active Loans have been reported once, they need not be included in subsequent reports.

Therefore, starting from and including the second submitted report to the data repository, reports should contain all Active Loans plus those loans that have become Non-Active Loans since the cut-off date of the previously submitted report.

Yes, you may continue reporting all Non-Active Loans in all your future reports if you wish.

For non-active loans, static fields will remain unchanged. Dynamic fields should be populated on the same basis as for active loans i.e. using information that is relevant for that loan at that cut-off date e.g. AN11 Total Credit Limit would be 0; AN12 Revolving End Date – Loan would be ND,5; AA26 Current Principal Outstanding Balance would be 0 etc.

No, only Active Loans that form part of the collateral pool on the pool cut-off date of each report should be included. Loans that have been added after this date (i.e. since 31st March) will be included in your next report, providing that they are Active Loans as of the next pool cut-off date.

No, loans secured by residential properties cannot be included within the Consumer Finance template. If a mortgage (either a first or second lien) was used as security for a portfolio of personal loans, the RMBS template would be the most appropriate reporting format to use.

Please provide a unique anonymised identifier for the main borrower, using the rules suggested in the template and taxonomy.

Yes, this is correct.

Only consumer finance loans (personal loans or specific purpose loans: e.g. financing car, equipment, etc., but excluding residential mortgages) to private individuals may be included in Eurosystem-eligible Consumer finance ABS.

The option values (1, 2, 3, … , 8, 9) for this field are standardised in all applicable ECB loan-level templates, in order to avoid reporting inconsistencies and errors from data providers.

Nevertheless, as regards field AN16, the value (6) “No Employment, borrower is legal entity.” is not an acceptable entry.

No, only gross annual income data should be provided in this field.

This occurs very infrequently. Please select one of the two possible NUTS3 codes and then apply this consistently in all future report submissions.

AN23 is the original term of the loan as per the original loan agreement and will remain unchanged through the life of the loan. AN22 is the expected maturity date of the loan and reflects all prepayments, loan amendments, loan modifications etc.

Yes, this requires the total principal balance that is actually outstanding at the pool cut-off date, including principal due but unpaid.

This is asking for the next scheduled payment due from the borrower.

Please report the remaining time until the next reset.

This is any amount ("charge", "fee", "penalty" etc.) that is payable by the borrower if they make prepayments on their loan.

We would consider a 'new' customer to be one that has not had a financial relationship of any sort (e.g. a loan, a bank account etc.) with the Originator's group in the past.

This is referring to any loan that no longer acts as collateral to the transaction, so covers scheduled and unscheduled redemptions, cancellation, write-offs and buy-backs. Please also see the answer to the question How do we populate the report for Non-Active Loans? in this section.

This refers to all amounts owed to the borrower regardless of the account type e.g. current account, savings account, deposit account etc., and not just to amounts held as collateral.

In both of these situations these borrowers should be classified as being employees.

This relates to all arrears.

Please only report the overdue amount, not the entire outstanding balance.

AN59 is capturing the amount of any arrears that has been capitalised. AN49 is asking for the current amount of arrears on the loan, excluding anything that has been capitalised. For further details see also the answer to the question “AN59 (Arrears Balance Capitalised) – what does this mean?”

'Default' should be interpreted as per the definition in the ABS transaction documents.

Yes, this is correct.

This applies to all loans that have redeemed, prepaid, cancelled or defaulted (with no further recoveries expected).

6 – Repurchased by Seller – breach of reps and warranties: the loan has been repurchased by the seller as it was found to be in breach of the reps and warranties made by the seller at closing / transfer and therefore ineligible for inclusion in the pool.

7 – Repurchased by Seller – restructured: the loan has been repurchased by the seller as the loan terms are in the process of being restructured

8 – Repurchased by Seller – special servicing: the loan has been repurchased by the seller to allow the seller to offer a greater range of forbearance options to the delinquent borrower.

Restructured refers to those loans that have been restructured at any point since the loan was originated.

This refers to any arrears amounts that have been added to the outstanding principal balance of the loan (usually as a forbearance measure) so the borrower is no longer classified as being in arrears.

Yes - although we would expect that interest would be charged on these amounts, this has no impact on whether AN59 should be populated.

AN59 is capturing the amount of any arrears that has been capitalised. AN49 is asking for the current amount of arrears on the loan, excluding anything that has been capitalised.

This is at the pool level and aims to capture the total amount of receivables that have been sold to the SPV. For example in a static €100 deal, this would be €100. For a revolving deal, it would be the sum of the initial amount sold to the SPV at closing, plus the sum of all further receivables bought by the SPV (using principal collections) until the revolving period ends.

1. Within the first report submitted to the data repository, it is mandatory only to report "Active Loans" that form part of the pool as of the cut-off date of the first submitted report. "Active Loan" means a loan that has a non-zero principal balance at the pool cut-off date (i.e. for which cash inflows or outflows may be expected to occur in the future).
2. For all subsequent reports submitted to the data repository, it is mandatory to report all Active Loans, plus all loans that have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or substituted (together referred to as "Non-Active Loans") since the cut-off date of the previously submitted report. Once Non-Active Loans have been reported once, they need not be included in subsequent reports.

Therefore, starting from and including the second submitted report to the data repository, reports should contain all Active Loans plus those loans that have become Non-Active Loans since the cut-off date of the previously submitted report.

Yes, you may continue reporting all Non-Active Loans in all your future reports if you wish.

For non-active loans, static fields will remain unchanged. Dynamic fields should be populated on the same basis as for active loans i.e. using information that is relevant for that loan or lease at that cut-off date e.g. AA19 Amortisation Type would be ND,5; AA27 Current Principal Outstanding Balance would be 0; AA28 Scheduled Payment Due would be ND,5 etc.

No, only Active Loans that form part of the collateral pool on the pool cut-off date of each report should be included. Loans that have been added after this date (i.e. since 31st March) will be included in your next report, providing that they are Active Loans as of the next pool cut-off date.

• A collateral pool that is comprised entirely of auto assets would use the Auto ABS template, regardless of whether the underlying auto agreements were loans or leases.
• An ABS deal where the underlying agreements were entirely leases would use the Leasing ABS template, unless the collateral pool was comprised entirely of autos in which case the auto ABS template would be used. For example:

Please provide a unique anonymised identifier for the main borrower, based upon highest income. It does not need to be formally encrypted.

Yes, although ND,5 may be more appropriate.

This field is requesting either the originator's or an external data provider's definition of credit quality. The ECB does not provide any definitions of borrower credit quality.

Please report (6) "No Employment, borrower is legal entity" for corporates.

The borrower is employed and receives a subsidy in respect of the auto loan or lease from their employer.

Field AA17 should be filled with the income of the borrower/customer only. If the ‘co-holder’ is a ‘guarantor’, then please choose the appropriate options in fields AR74 (“Type of Guarantee Provider”) and fill in the co-holder income in AR76 (“Income Guarantor”).

Field AA17 should be filled with ND,5, because the primary income is not relevant for corporates.

No, only gross annual income data should be provided in this field.

For individual / non-corporate borrowers we would expect that income would form part of the underwriting criteria. We therefore do not consider ND,5 to be an appropriate response for AA17 in these circumstances, and ND,1 should be entered instead.

This occurs very infrequently. Please select one of the two possible NUTS3 codes and then apply this consistently in all future report submissions.

AN24 is the original term of the loan or lease as per the original loan or lease agreement and will remain unchanged through the life of the loan. AN23 is the expected maturity date of the loan or lease and reflects all prepayments, loan amendments, loan modifications etc.

It is fine to report ND,5 in this circumstance. Alternatively, one may report the latest-available expected maturity prior to the loan or lease entering into default.

Yes, this requires the total principal balance that is actually outstanding at the pool cut-off date, including principal due but unpaid.

Yes, in the case of overpayments, please provide the negative balance. No other fields concerning the outstanding balance or principals should be adjusted however.

This is asking for the next scheduled payment due from the borrower.

When a loan has defaulted, please enter ND,5. For delinquent loans, please report the next contractual instalment.

The date of the most recently audited financial statements e.g. year ended 31 December 2012.

“Rounded to the nearest 5%” means, for example, that 72.6% LTV may be reported as 75% LTV, 72.5% LTV may be reported as 75% LTV, and 72.4% LTV may be reported as 70% LTV.

No - this field is any amount, other than the balloon / residual value payment, that the borrower must pay to purchase the vehicle at the end of their contract.

Please report the remaining time until the next reset.

This is the discount rate applied to the receivable when it was sold to the SPV. If the receivable was not sold at a discount, please enter zero in this field.

If the residual value has been neither securitised nor pledged to the SPV, then this value does not need to be disclosed and ND,5 may be entered.

Details and examples are provided in the "Instructions" sheet of the taxonomy and template.

No it is not applicable and ND,5 should be entered.

If the residual value has not been securitised, then this value does not need to be disclosed and ND,5 may be entered.

Details and examples are provided in the "Instructions" sheet of the taxonomy and template.

No it is not applicable and ND,5 should be entered.

If the residual value has been neither securitised nor pledged to the SPV, then this value does not need to be disclosed and ND,5 may be entered.

Details and examples are provided in the "Instructions" sheet of the taxonomy and template.

No it is not applicable and ND,5 should be entered.

No it is not applicable and ND,5 should be entered.

This is referring to any loan or lease that no longer acts as collateral to the transaction, so covers scheduled and unscheduled redemptions, cancellation, write-offs and buy-backs. Please also see the answer to the question How do we populate the report for Non-Active Loans? in this section.

This refers to all amounts owed to the borrower regardless of the account type e.g. current account, savings account, deposit account etc., and not just to amounts held as collateral.

This relates to all arrears.

Please only report the overdue amount, not the entire outstanding balance.

'Default' should be interpreted as per the definition in the ABS transaction documents.

Yes, this is correct.

This should be net of costs and refers only to recoveries from the sale of the vehicle. See also AA71 (Cumulative Recoveries) - how does this differ from AA69 Sale Price? for further details.

AA71 should be populated with the total net amount of recoveries for an individual loan or lease, regardless of the source of those recoveries. This is different from AA69, which refers only to recoveries from the sale of the vehicle. See also AA69 (Sale Price) - should this be the gross proceeds or net of costs? for further details.

This applies to all loans or leases that have redeemed, prepaid, cancelled or defaulted (with no further recoveries expected).

If the residual value has been neither securitised nor pledged to the SPV, then this value does not need to be disclosed and ND,5 may be entered.

Restructured refers to those loans or leases that have been restructured at any point since they were originated.

This is at the pool level and aims to capture the total amount of receivables that have been sold to the SPV. For example in a static €100 deal, this would be €100. For a revolving deal, it would be the sum of the initial amount sold to the SPV at closing, plus the sum of all further receivables bought by the SPV (using principal collections) until the revolving period ends.

1. Within the first report submitted to the data repository, it is mandatory only to report "Active Loans" that form part of the pool as of the cut-off date of the first submitted report. "Active Loan" means a loan that has a non-zero principal balance at the pool cut-off date (i.e. for which cash inflows or outflows may be expected to occur in the future).
2. For all subsequent reports submitted to the data repository, it is mandatory to report all Active Loans, plus all loans that have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or substituted (together referred to as "Non-Active Loans") since the cut-off date of the previously submitted report. Once Non-Active Loans have been reported once, they need not be included in subsequent reports.

Therefore, starting from and including the second submitted report to the data repository, reports should contain all Active Loans plus those loans that have become Non-Active Loans since the cut-off date of the previously submitted report.

Yes, you may continue reporting all Non-Active Loans in all your future reports if you wish.

For non-active loans, static fields will remain unchanged. Dynamic fields should be populated on the same basis as for active loans i.e. using information that is relevant for that lease at that cut-off date e.g. AL56 Current Principal Outstanding Balance would be 0; AL58 Repayment Method would be ND,5; AL61 Payment Due would be ND,5 etc.

No, only Active Loans that form part of the collateral pool on the pool cut-off date of each report should be included. Loans that have been added after this date (i.e. since 31st March) will be included in your next report, providing that they are Active Loans as of the next pool cut-off date.

• A collateral pool that is comprised entirely of auto assets would use the Auto ABS template, regardless of whether the underlying auto agreements were loans or leases.
• An ABS deal where the underlying agreements were entirely leases would use the Leasing ABS template, unless the collateral pool was comprised entirely of auto leases in which case the auto ABS template would be used. For example:

In general, the template should be completed in relation to the securitised balance.

The only requirement is that the identification number used within the loan level report must be different from the actual identification number, to ensure anonymity of the lessee. There is no need for formal encryption.

The only requirement is that the identification number used within the loan level report must be different from the actual identification number, to ensure anonymity of the lessee. There is no need for formal encryption.

This occurs very infrequently. Please select one of the two possible NUTS3 codes and then apply this consistently in all future report submissions.

As this is not relevant for individuals, please enter ND,5.

As this is not relevant when using the standardised approach, please enter ND,5.

As this is not relevant when using the standardised or foundation-IRB approaches, please enter ND,5.

As this is not relevant when using the standardised or foundation-IRB approaches, please enter ND,5.

Please reference the "NACE Industry Code List" tab in the SME taxonomy for the list of values that may be used in this field.

This refers to all amounts owed to the lessee regardless of the account type e.g. current accounts, savings accounts, deposit accounts etc., and not just to amounts held as collateral.

This is referring to any lease that no longer acts as collateral to the transaction, so covers scheduled and unscheduled redemptions, cancellation, write-offs and buy-backs. Please also see the answer to the question How do we populate the report for Non-Active Loans? in this section.

Yes, this requires the total principal balance that is actually outstanding at the pool cut-off date, including principal due but unpaid.

This refers to the securitised amount only.

If the residual value has not been securitised, then this value does not need to be disclosed and ND,5 may be entered.

Details and examples are provided in the "Instructions" sheet of the taxonomy and template.

This is asking for the next scheduled payment due from the lessee.

When a lease has defaulted, please enter ND,5. For delinquent leases, please report the next contractual instalment.

This refers to the amount that will be due to the SPV only.

No - this field is any amount, other than the residual value payment, that the lessor must pay to purchase the asset at the end of their contract.

If the residual value has been neither securitised nor pledged to the SPV, then this value does not need to be disclosed and ND,5 may be entered.

Details and examples are provided in the "Instructions" sheet of the taxonomy and template.

This field is asking for the most recent estimate of the future value of the leased asset at the expiry of the lease term.

Please report the remaining time until the next reset.

As this is not relevant to fixed-rate leases, please enter ND,5.

The date of the most recently audited financial statements e.g. year ended 31 December 2012.

This relates to all arrears.

Please only report the overdue amount, not the entire outstanding balance.

This refers to the arrears amounts due to the SPV only.

'Default' should be interpreted as per the definition in the ABS transaction documents.

Yes, this is correct.

This refers to the securitised amount only i.e. the default as suffered by the SPV only.

This refers to amounts due to the SPV only.

Please populate this for all leases as soon as they are classified as defaulted, with the best estimate of the losses that will be incurred when the entire recovery / work-out process has been completed. As this field is dynamic, the estimate of the loss could change from one report to the next.

The estimated losses that will be incurred by the SPV.

This applies to all loans or leases that have redeemed, prepaid, cancelled or defaulted (with no further recoveries expected).

Yes, this is correct.

Restructured refers to those leases that have been restructured at any point since they were originated.

This is the loss suffered by the SPV.

If the residual value has been neither securitised nor pledged to the SPV, then this value does not need to be disclosed and ND,5 may be entered.

As this is not relevant for real estate, please enter ND,5.

In these circumstances yes, it is acceptable to enter the name of the asset supplier.

As this is not relevant for real estate, please enter ND,5.

If the property is newly built, then please use 1 (New); otherwise use 4 (Other).

If the residual value has been neither securitised nor pledged to the SPV, then this value does not need to be disclosed and ND,5 may be entered.

Details and examples are provided in the "Instructions" sheet of the taxonomy and template.

This is at the pool level and aims to capture the total amount of receivables that have been sold to the SPV. For example in a static €100 deal, this would be €100. For a revolving deal, it would be the sum of the initial amount sold to the SPV at closing, plus the sum of all further receivables bought by the SPV (using principal collections) until the revolving period ends.

This is just the SPV's share of recoveries.

In accordance with Article 107a of Guideline ECB/2015/27, the public-sector DECC template must be completed for all debt instruments backed by eligible credit claims (DECCs) that 1. are backed by loans granted to public-sector obligors that comply with Eurosystem eligibility requirements for individual credit claims and 2. seek to become eligible as collateral for Eurosystem credit operations.

The published template only applies to public-sector DECCs and does not signal any change in eligibility for other products, such as any ABSs whose cash-flow generating assets are composed of public-sector claims.

(i) Within the first report submitted to the data repository, it is mandatory only to report "Active Loans" that form part of the pool as of the cut-off date of the first submitted report. "Active Loan" means a loan that has a non-zero principal balance at the pool cut-off date (i.e. for which cash inflows or outflows may be expected to occur in the future).

(ii) For all subsequent reports submitted to the data repository, it is mandatory to report all Active Loans, plus all loans that have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or substituted (together referred to as "Non-Active Loans") since the cut-off date of the previously submitted report. Once Non-Active Loans have been reported once, they need not be included in subsequent reports.

Therefore, starting from and including the second submitted report to the data repository, reports should contain all Active Loans plus those loans that have become Non-Active Loans since the cut-off date of the previously submitted report.

Yes, you may continue reporting all Non-Active Loans in all your future reports if you wish.

For non-active loans, static fields will remain unchanged. Dynamic fields should be populated on the same basis as for active loans i.e. using information that is relevant for that lease at that cut-off date e.g. AP39 Current Balance would be 0; AP45 Amortisation Type would be ND,5; etc.

The present template and its options for certain fields do not signal a change in Eurosystem collateral eligibility requirements, which are set out in the relevant legal acts, such as Guideline ECB/2015/50. The present template aims to reflect possible arrangements for public-sector credit claims regardless of whether these are eligible for the Eurosystem or not. In this way, the template aims to be useful both for the Eurosystem and for the wider market, for example if market participants wish to make use of these reporting requirements for their own purposes.

In order to be eligible, an ABS must be backed by cash flow-generating assets which the Eurosystem considers to be homogeneous (i.e. a pool of assets consisting solely of either (i) residential mortgages, (ii) commercial mortgages, (iii) loans to SMEs, (iv) auto loans, (v) consumer finance loans (vi) leasing receivables) or (vii) credit card receivables. ABSs are not eligible for Eurosystem monetary policy operations if they have a heterogeneous pool of underlying assets, as those assets cannot then be reported using a single template.

ABSs that do not comply with the loan-level data reporting requirements because they have heterogeneous pools of underlying assets and/or do not conform to any of the loan-level templates ceased to be eligible starting on 1 April 2014.