ANNEX XII
Investor report template – Non-asset backed commercial paper securitisation
FIELD CODE |
FIELD NAME |
FORMAT |
Securitisation information section |
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IVSS1 |
Unique Identifier |
{ALPHANUM-28} |
IVSS2 |
Data Cut-Off Date |
{DATEFORMAT} |
IVSS3 |
Securitisation Name |
{ALPHANUM-100} |
IVSS4 |
Reporting Entity Name |
{ALPHANUM-100} |
IVSS5 |
Reporting Entity Contact Person |
{ALPHANUM-256} |
IVSS6 |
Reporting Entity Contact Telephone |
{TELEPHONE} |
IVSS7 |
Reporting Entity Contact Emails |
{ALPHANUM-256} |
IVSS8 |
Risk Retention Method |
{LIST} |
IVSS9 |
Risk Retention Holder |
{LIST} |
IVSS10 |
Underlying Exposure Type |
{LIST} |
IVSS11 |
Risk Transfer Method |
{Y/N} |
IVSS12 |
Trigger Measurements/Ratios |
{Y/N} |
IVSS13 |
Revolving/Ramp-Up Period End-Date |
{DATEFORMAT} |
IVSS14 |
Principal Recoveries In The Period |
{MONETARY} |
IVSS15 |
Interest Recoveries In The Period |
{MONETARY} |
IVSS16 |
Principal Collections In The Period |
{MONETARY} |
IVSS17 |
Interest Collections In The Period |
{MONETARY} |
IVSS18 |
Drawings Under Liquidity Facility |
{Y/N} |
IVSS19 |
Securitisation Excess Spread |
{MONETARY} |
IVSS20 |
Excess Spread Trapping Mechanism |
{Y/N} |
IVSS21 |
Current Overcollateralisation |
{PERCENTAGE} |
IVSS22 |
Annualised Constant Prepayment Rate |
{PERCENTAGE} |
IVSS23 |
Dilutions |
{MONETARY} |
IVSS24 |
Gross Charge Offs In The Period |
{MONETARY} |
IVSS25 |
Repurchased Exposures |
{MONETARY} |
IVSS26 |
Restructured Exposures |
{MONETARY} |
IVSS27 |
Annualised Constant Default Rate |
{PERCENTAGE} |
IVSS28 |
Defaulted Exposures |
{MONETARY} |
IVSS29 |
Defaulted Exposures CRR |
{MONETARY} |
IVSS30 |
Risk Weight Approach |
{LIST} |
IVSS31 |
Obligor Probability Of Default in Range [0.00%,0.10%) |
{PERCENTAGE} |
IVSS32 |
Obligor Probability Of Default in Range [0.10%,0.25%) |
{PERCENTAGE} |
IVSS33 |
Obligor Probability Of Default in Range [0.25%,1.00%) |
{PERCENTAGE} |
IVSS34 |
Obligor Probability Of Default in Range [1.00%,7.50%) |
{PERCENTAGE} |
IVSS35 |
Obligor Probability Of Default in Range [7.50%,20.00%) |
{PERCENTAGE} |
IVSS36 |
Obligor Probability Of Default in Range [20.00%,100.00%] |
{PERCENTAGE} |
IVSS37 |
Bank Internal Loss Given Default Estimate |
{PERCENTAGE} |
IVSS38 |
Arrears 1-29 Days |
{PERCENTAGE} |
IVSS39 |
Arrears 30-59 Days |
{PERCENTAGE} |
IVSS40 |
Arrears 60-89 Days |
{PERCENTAGE} |
IVSS41 |
Arrears 90-119 Days |
{PERCENTAGE} |
IVSS42 |
Arrears 120-149 Days |
{PERCENTAGE} |
IVSS43 |
Arrears 150-179 Days |
{PERCENTAGE} |
IVSS44 |
Arrears 180+ Days |
{PERCENTAGE} |
Tests/Events/Triggers information section |
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IVSR1 |
Unique Identifier |
{ALPHANUM-28} |
IVSR2 |
Original Test/Event/Trigger Identifier |
{ALPHANUM-1000} |
IVSR3 |
New Test/Event/Trigger Identifier |
{ALPHANUM-1000} |
IVSR4 |
Description |
{ALPHANUM-100000} |
IVSR5 |
Threshold Level |
{NUMERIC} |
IVSR6 |
Actual Value |
{NUMERIC} |
IVSR7 |
Status |
{Y/N} |
IVSR8 |
Cure Period |
{INTEGER-9999} |
IVSR9 |
Calculation Frequency |
{INTEGER-9999} |
IVSR10 |
Consequence for Breach |
{LIST} |
Cash-flow information section |
||
IVSF1 |
Unique Identifier |
{ALPHANUM-28} |
IVSF2 |
Original Cashflow Item Identifier |
{ALPHANUM-1000} |
IVSF3 |
New Cashflow Item Identifier |
{ALPHANUM-1000} |
IVSF4 |
Cashflow Item |
{ALPHANUM-1000} |
IVSF5 |
Amount Paid During Period |
{MONETARY} |
IVSF6 |
Available Funds Post |
{MONETARY} |