Regulation on Compiling and Submitting Statistical Data on the Financial Position of Financial Vehicle Corporations

K. VALDEMĀRA IELA 2A, RIGA, LV-1050, LATVIA. TELEPHONE +371 67022300, E-MAIL INFO@BANK.LV, WWW.BANK.LV This translation is provided by Latvijas Banka for information purposes only. The original document is in Latvian. 5 December 2022 Regulation No 233 Riga Regulation on Compiling and Submitting Statistical Data on the Financial Position of Financial Vehicle Corporations (FVCs) Issued pursuant to Paragraph two of Section 63 of the Law on Latvijas Banka I. General Provisions

1. The Regulation establishes: 1.1. the requirements and procedure pursuant to which the commercial companies registered in Latvia and carrying out securitisation activity within the meaning of Regulation (EU) No 1075/2013 of the European Central Bank of 18 October 2013 concerning statistics on the assets and liabilities of financial vehicle corporations engaged in securitisation transactions (recast) (ECB/2013/40) (hereinafter referred to as "Regulation (EU) No 1075/2013") (hereinafter referred to as the "financial vehicle corporation") shall compile and submit the statistical data on their balance sheet, off￾balance sheet, the quality of the securitised loans, the nature and originators of securitisation (hereinafter referred to as the "statistical data"); 1.2. the deadlines for submitting the statistical data; 1.3. the duration for storing the statistical data.
2. The terms used in the Regulation: 2.1. other securitisation – securitisation other than the traditional securitisation, synthetic securitisation or insurance-linked securitisation; 2.2. other financial intermediaries, except insurance corporations, pension funds and financial vehicle corporations – financial corporations that are principally engaged in financial intermediation by incurring liabilities in forms other than currency, deposits or investment fund shares or units of customers other than monetary financial institutions, or related to insurance, pension and standardised guarantee schemes (including corporations engaged in lending (e.g. financial leasing companies, factoring companies, export/import financing companies), investment brokerage companies (including credit institutions other than monetary financial institutions), central counterparties, venture capital corporations);

2 2.3. deposit-taking corporations – monetary financial institutions, except money market funds and the central bank, i.e. credit institutions (except credit institutions other than monetary financial institutions), credit unions and other financial institutions whose business is to receive deposits or close substitutes for deposits from customers other than monetary financial institutions, and, for their own account, to grant loans and invest in securities, as well as electronic money institutions whose core business is to issue electronic money; 2.4. buy-back guarantee – a legal commitment by the original lender to buy back the loan if its repayment is delayed or the loan is classified as an unlikely-to-pay loan; 2.5. unlikely-to-pay loan – a loan classified by the original lender as the one whose commitments will not be fully met by the loan beneficiary without recourse by the original lender to actions such as collateral realisation. 3. The terms "originator", "securitisation", "securitised loans" and "other securitised assets" are used within the meaning of Regulation (EU) No 1075/2013. 4. The term "original lender" is used within the meaning of Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012. 5. The terms "synthetic securitisation", "traditional securitisation" and "insurance-linked securitisation" are used within the meaning of Guideline (EU) 2021/831 of the European Central Bank of 26 March 2021 on statistical information to be reported on financial intermediaries other than monetary financial institutions (ECB/2021/12). 6. Other terms are used within the meaning of Latvijas Banka's regulation laying down the requirements and procedure for compiling and submitting the statistical data on the financial position of credit institutions and other monetary financial institutions. 7. A list of resident institutional units, which is compliant with the requirements of Regulation (EU) No 549/2013 of the European Parliament and of the Council of 21 May 2013 on the European system of national and regional accounts in the European Union, is available on the website of the Central Statistical Bureau of Latvia. 8. The statistical data are necessary for the performance of Latvijas Banka's tasks, including the tasks of compiling financial vehicle corporations statistics, the balance of payments, the international investment position, external debt statistics and financial accounts statistics in compliance with the requirements of international standards and the legal acts of the European Union, including those of the European Central Bank, identifying and assessing the risks inherent in securitisation activities within Latvia's financial system, as well as analysing dynamic economic changes. 9. Latvijas Banka may transfer the statistical data to the institutions referred to in Paragraphs two and three of Section 71 of the Law on Latvijas Banka subject to the requirements stipulated therein. 10. Latvijas Banka stores the statistical data for an unlimited duration.

3 II. List of Financial Vehicle Corporations 11. Latvijas Banka establishes, maintains and updates, on a regular basis, the list of financial vehicle companies of Latvia (hereinafter referred to as the "list") in the section "Statistics" of Latvijas Banka's website (www.bank.lv), using the information provided by financial vehicle companies pursuant to Article 3(2) of Regulation (EU) No 1075/2013. The list has also been published on the European Central Bank's website, where the European Central Bank publishes, on a regular basis, the list of financial vehicle corporations of the European Union countries. 12. The list is maintained for statistical purposes and shall be used solely as a source of information. III. General Requirements and Procedure for Compiling and Submitting the Statistical Data and the Submission Deadlines 13. The financial vehicle corporation shall compile the statistical data for each quarter of the calendar year and submit them to Latvijas Banka by the 15th day of the calendar month following the end of the respective quarter of the calendar year in accordance with Appendix 1 "Balance Sheet and Off-balance Sheet Report" (hereinafter referred to as the "Report on the Quality of Securitised Loans") and Appendix 3 "Report on the Quality of Securitised Loans" (hereinafter referred to as the "Report on the Quality of Securitised Loans") to the Regulation. 14. The financial vehicle corporation shall compile the statistical data in accordance with Appendix 2 "Report on the Nature and Originators of Securitisation" (hereinafter referred to as the "Report on the Nature and Originators of Securitisation") to the Regulation and submit them to Latvijas Banka: 14.1. by the 15th day of the calendar month following the end of the calendar year's quarter for which the Balance Sheet and Off-balance Sheet Report has been submitted for the first time; 14.2. within 10 business days after changes have occurred in the statistical data, which are included in the last Report on the Nature and Originators of Securitisation submitted to Latvijas Banka. 15. The statistical data shall be submitted to Latvijas Banka electronically via the non￾bank statistics system in accordance with Latvijas Banka's regulation governing electronic information exchange with Latvijas Banka. 16. The following general principles shall be observed when submitting the statistical data: 16.1. amounts shall be disclosed in whole euro; 16.2. the country code shall be disclosed in accordance with the international standard ISO 3166 "Codes for the representation of names of countries and their subdivisions". The code of an international organisation shall be disclosed in accordance with the List of Codes and Sectors for International Organisations maintained by Latvijas Banka; 16.3. the currency code shall be disclosed in accordance with the international standard ISO 4217 "Codes for the representation of currencies and funds"; 16.4. the sector code shall be disclosed in accordance with Appendix 4 "Codes Used" to the Regulation.

4 IV. Requirements and Procedure for Compiling the Balance Sheet and Off￾balance Sheet Report 17. In the Balance Sheet and Off-balance Sheet Report, the amounts shall be disclosed in compliance with the value included in the financial vehicle corporation's balance sheet, off-balance sheet and profit or loss statement. 18. The accrued interest shall be disclosed under the asset or liability item of the Balance Sheet and Off-balance Sheet Report that discloses the respective assets or liabilities (for example, loans, time deposits). 19. In the Balance Sheet and Off-balance Sheet Report, the maturity breakdown shall be determined based on original maturity, and the maturity code shall be disclosed in accordance with Appendix 4 "Codes Used" to the Regulation. 20. The changes arising from writing off/writing down a loan, in full or in part, from the balance sheet or off-balance sheet shall be disclosed with the minus sign in column 2 "Adjustment in respect of write-offs/write-downs of loans" of the Balance Sheet and Off￾balance Sheet Report. 21. The increase or decrease in the value of financial assets or financial liabilities arising from holdings of financial assets or financial liabilities during the respective quarter of the calendar year shall be disclosed in column 3 "Price changes" of the Balance Sheet and Off-balance Sheet Report. The decrease in financial assets or financial liabilities shall be disclosed with the minus sign. V. Requirements and Procedure for Compiling the Report on the Nature and Originators of Securitisation 22. The code of the nature of securitisation shall be disclosed in section 1 "Nature of Securitisation" of the Report on the Nature and Originators of Securitisation in accordance with Appendix 4 "Codes Used" to the Regulation. 23. The legal entity identifier of the originator (hereinafter referred to as the "LEI code") shall be disclosed in column B "LEI code" of section 2 "Originators" of the Report on the Nature and Originators of Securitisation in accordance with the international standard ISO 17442 "Financial services – Legal entity identifier (LEI)". Where the originator has not been assigned the LEI code, the column shall not be filled in. 24. The full name of the originator shall be disclosed in column C "Name" of section 2 "Originators" of the Report on the Nature and Originators of Securitisation. 25. Where the financial vehicle corporation has access to information on the date of the originator's registration, it shall be disclosed in column E "Registration date" of section 2 "Originators" of the Report on the Nature and Originators of Securitisation. The format for reporting the registration date shall be dd.mm.yyyy, where dd – the day, mm – the month, yyyy – the year. VI. Requirements and Procedure for Compiling the Report on the Quality of Securitised Loans 26. The statistical data on the quality of securitised loans shall be disclosed in the Report on the Quality of Securitised Loans.

5 27. The full name of the original lender shall be disclosed in column A "Name of the original lender" of the Report on the Quality of Securitised Loans. 28. The code of the collateral type shall be disclosed in column E "Code of the collateral type" of the Report on the Quality of Securitised Loans in accordance with Latvijas Banka's regulation governing the content and scope of the data to be entered in the Credit Register and laying down the list of codes of collateral types. 29. The code of the loan type shall be disclosed in column F "Code of the loan type" of the Report on the Quality of Securitised Loans in accordance with Latvijas Banka's regulation governing the content and scope of the data to be entered in the Credit Register and laying down the list of codes of customer liabilities. 30. The code of the buy-back guarantee issuer and the code of the length of the loan repayment delay shall be disclosed in column G "Code of the buy-back guarantee issuer" and column H "Length of the loan repayment delay" of the Report on the Quality of Securitised Loans respectively in accordance with Appendix 4 "Codes Used" to the Regulation. 31. The weighted average annual interest rate on the respective loans, which is expressed as a percentage with two digits after the decimal point, shall be disclosed in column 1 "Weighted average annual interest rate" of the Report on the Quality of Securitised Loans. It shall be calculated as weighted average annual interest rate on loans, using actual loans outstanding at the end of the respective quarter of the calendar year as weights. 32. Securitised loans other than unlikely-to-pay loans (including accrued interest) and unlikely-to-pay loans (including accrued interest) outstanding at the end of the respective quarter of the calendar year shall be disclosed in column 2 "Loans other than unlikely-to￾pay loans" and column 3 "Unlikely-to-pay loans" of the Report on the Quality of Securitised Loans respectively. VII. Final Provision 33. The Regulation shall take effect on 1 January 2023. Governor of Latvijas Banka Mārtiņš Kazāks

6 Appendix 1 to Latvijas Banka's Regulation No 233 of 5 December 2022 Balance Sheet and Off-balance Sheet Report _________ quarter of 20___ (reporting quarter) Name of the financial vehicle corporation Registration number of the financial vehicle corporation

1. BALANCE SHEET REPORT 1.1. ASSETS (in whole euro) Item Item code Country code of the counter￾party Sector code of the counter￾party Currency code Maturity code Country code of the originat or Balance at the end of the quarter Adjustment in respect of write￾offs/write￾downs of loans (–) Price changes A B C D E F G 1 2 3 Securitised loans 10100 total x Principal of securitised loans 10110 x Accrued interest on securitised loans 10120 x Other securitised assets 10200 total x x 10201 x x Cash in hand 10300 total x x Demand deposits 10400 total x x 10401 total x x Time deposits 10500 total x x 10501 total total x x

7 (1.1. Assets; continued) Item Item code Country code of the counter￾party Sector code of the counter￾party Currency code Maturity code Country code of the originator Balance at the end of the quarter Adjustment in respect of write￾offs/write￾downs of loans (–) Price changes A B C D E F G 1 2 3 Debt securities and other fixed-income securities 10600 total x x Loans 10700 total x 10701 total x Investment fund shares or units and alternative investment fund shares or units 10800 total x x Listed shares 10900 total x 10901 total x Unlisted shares 11000 total x 11001 total x Other equity 11100 total x 11101 total x Financial derivatives 11200 total x 11201 total x Trade receivables 11300 total x x 11301 total x x Advance payments 11400 total x x 11401 total x x Intangible assets (other than advance payments) 11500 total x x Fixed assets (other than advance payments) 11600 total x x Inventories (other than advance payments) 11700 total x x Other assets 11800 total x x 11801 total x x TOTAL ASSETS 10000 total x x

8 1.2. LIABILITIES Item Item code Country code of the counter￾party Sector code of the counter￾party Currency code Maturity code Country code of the originator Balance at the end of the quarter Adjustment in respect of write￾offs/write￾downs of loans (–) Price changes A B C D E F G 1 2 3 Stock or share capital (fixed capital) 20100 total x x 20101 total x x Stock (share) premium 20200 total x x Revaluation reserve for long-term investments 20300 total x x Fair value reserve for financial instruments 20400 total x x Reserves 20500 total x x Retained profit or loss or non-covered losses (–) for the previous years 20600 total x x Profit or loss (–) for the reporting year 20700 total x x Provisions 20800 total x x Debt securities issued 20900 total x x Principal of debt securities issued 20910 total x x Accrued interest on debt securities issued 20920 total x x Loans 21000 total x x 21001 total x x Financial derivatives 21100 total x 21101 total x Trade payables 21200 total x x 21201 total x x Customer advance payments 21300 total x x 21301 total x x Other liabilities 21400 total x x 21401 total x x TOTAL LIABILITIES 20000 total x x

9 2. OFF-BALANCE SHEET REPORT 2.1. OFF-BALANCE SHEET ASSETS Item Item code Country code of the counter￾party Sector code of the counter￾party Currency code Maturity code Country code of the originator Balance at the end of the quarter Adjustment in respect of write￾offs/write￾downs of loans (–) Price changes A B C D E F G 1 2 3 Securitised loans 30100 total x Principal of securitised loans 30110 x Accrued interest on securitised loans 30120 x Other securitised assets 30200 total x x 30201 x x OFF-BALANCE SHEET TOTAL ASSETS 30000 total x x 2.2. OFF-BALANCE SHEET LIABILITIES Item Item code Country code of the counter￾party Sector code of the counter￾party Currency code Maturity code Country code of the originator Balance at the end of the quarter Adjustment in respect of write￾offs/write￾downs of loans (–) Price changes A B C D E F G 1 2 3 Debt securities issued as a result of securitisation 40100 total x x Principal of debt securities issued 40110 total x x Accrued interest on debt securities issued 40120 total x x Other financial instruments issued as a result of securitisation 40200 total x x 40201 total x x OFF-BALANCE SHEET TOTAL LIABILITIES 40000 total x x Prepared by ________________________________________ Submission date __________________ (first name, surname; e-mail address; telephone number) Governor of Latvijas Banka Mārtiņš Kazāks

10 Appendix 2 to Latvijas Banka's Regulation No 233 of 5 December 2022 Report on the Nature and Originators of Securitisation Name of the financial vehicle corporation Registration number of the financial vehicle corporation

1. NATURE OF SECURITISATION Code of the nature of securitisation A
2. ORIGINATORS Registration number LEI code Title Country code Registration date Address City Postal code Street name Number or name of the building Number of the group of rooms or apartment A B C D E F G H I J Prepared by ________________________________________ Submission date __________________ (first name, surname; e-mail address; telephone number) Governor of Latvijas Banka Mārtiņš Kazāks

11 Appendix 3 to Latvijas Banka's Regulation No 233 of 5 December 2022 Report on the Quality of Securitised Loans ________ quarter of 20___ (reporting quarter) Name of the financial vehicle corporation Registration number of the financial vehicle corporation Name of the original lender Country code of the loan beneficiary Currency code Sector code of the loan beneficiary Code of the collateral type Code of the loan type Code of the buy￾back guarantee issuer Code of the length of the loan repayment delay Weighted average annual interest rate (%) Balance at the end of the quarter (in whole euro) Loans other than unlikely￾to-pay loans Unlikely-to￾pay loans A B C D E F G H 1 2 3 Prepared by ________________________________________ Submission date __________________ (first name, surname; e-mail address; telephone number) Governor of Latvijas Banka Mārtiņš Kazāks

12 Appendix 4 to Latvijas Banka's Regulation No 233 of 5 December 2022 Codes Used Name Code Explanation Sector code SK11 Non-financial corporations SK122 Deposit-taking corporations SK123 Money market funds SK124 Non-MMF investment funds and alternative investment funds SK1254 Financial vehicle corporations SK125C Other financial intermediaries, except insurance corporations and pension funds and financial vehicle corporations SK126 Financial auxiliaries SK127 Captive financial institutions and money lenders SK128 Insurance corporations SK129 Pension funds SK13 General government SK14 Households SK15 Non-profit institutions serving households Maturity code 00M12M Up to 1 year (inclusive) 01G02G From 1 year (exclusive) to 2 years (inclusive) 02G05G From 2 years (exclusive) to 5 years (inclusive) 05G99G Over 5 years Code of the nature of securitisation T Traditional securitisation S Synthetic securitisation I Insurance-linked securitisation O Other securitisation Code of the buy￾back guarantee issuer NAV No buy-back guarantee FISG A company belonging to the group of the financial vehicle corporation SA Original lender SAG A company within the original lender group CIT Other company Code of the length of the loan repayment delay 00D00D No delay of loan repayment 00D15D Up to 15 days past due 16D30D From 16 to 30 days past due 31D60D From 31 to 60 days past due 61D90D From 61 to 90 days past due 91D99G 91 days or longer Governor of Latvijas Banka Mārtiņš Kazāks