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Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

You are viewing the version of the document as on 2021-01-01.

ANNEX XII

INVESTOR REPORT INFORMATION – NON-ASSET BACKED COMMERCIAL PAPER SECURITISATION

Field code

Field name

Content to report

ND1-ND4 allowed?

ND5 allowed?

Securitisation information section

IVSS1

Unique Identifier

The unique identifier assigned by the reporting entity in accordance with Article 11(1) of Delegated Regulation (EU) 2020/1224.

NO

NO

IVSS2

Data Cut-Off Date

The data cut-off date for this data submission. This must match the data cut-off date in the applicable underlying exposure templates submitted.

NO

NO

IVSS3

Securitisation Name

Enter the name of the securitisation

NO

NO

IVSS4

Reporting Entity Name

The full legal name of the entity designated as per Article 7(2) of Regulation (EU) 2017/2402; this name must match the name entered in for that entity in field SESP3 in the counterparty information section. The name entered must match the name associated with the LEI in the Global Legal Entity Foundation (GLEIF) database.

NO

NO

IVSS5

Reporting Entity Contact Person

First and Last name of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed.

NO

NO

IVSS6

Reporting Entity Contact Telephone

Direct telephone number(s) of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed.

NO

NO

IVSS7

Reporting Entity Contact Emails

Direct email address(es) of the contact person(s) responsible for preparing this securitisation data submission and to whom questions on this data submission must be addressed.

NO

NO

IVSS8

Risk Retention Method

Method for complying with risk retention requirements in the EU (e.g. Article 6 of Regulation (EU) 2017/2402, or until entry into force, Article 405 of Regulation (EU) No 575/2013):

Vertical slice - i.e. Article 6(3)(a) (VSLC)

Seller's share - i.e. Article 6(3)(b) (SLLS)

Randomly-selected exposures kept on balance sheet - i.e. Article 6(3)(c) (RSEX)

First loss tranche - i.e. Article 6(3)(d) (FLTR)

First loss exposure in each asset - i.e. Article 6(3)(e) (FLEX)

No compliance with risk retention requirements (NCOM)

Other (OTHR)

NO

NO

IVSS9

Risk Retention Holder

Which entity is retaining the material net economic interest, as specified in Article 6 of Regulation (EU) 2017/2402, or until its entry into force, Article 405 of Regulation (EU) No 575/2013):

Originator (ORIG)

Sponsor (SPON)

Original Lender (OLND)

Seller (SELL)

No Compliance with Risk Retention Requirement (NCOM)

Other (OTHR)

NO

NO

IVSS10

Underlying Exposure Type

Enter the type of underlying exposures of the securitisation. If multiple types from the list below are present, enter "Mixed" (with the exception of securitisations whose underlying exposures consist exclusively of a combination of consumer loans and automobile loans or leases--for these securitisations the value corresponding to "Consumer loans" must be entered):

Automobile Loan or Lease (ALOL)

Consumer Loan (CONL)

Commercial Mortgage (CMRT)

Credit-Card Receivable (CCRR)

Lease (LEAS)

Residential Mortgage (RMRT)

Mixed (MIXD)

Small and Medium Enterprise (SMEL)

Non Small and Medium Enterprise Corporate (NSML)

Other (OTHR)

NO

NO

IVSS11

Risk Transfer Method

In accordance with Article 242(13) and (14) of Regulation (EU) No 575/2013, the securitisation risk transfer method is "traditional" (i.e. "true sale").

NO

NO

IVSS12

Trigger Measurements/Ratios

Has any underlying exposure-related trigger event occurred? These include any delinquency, dilution, default, loss, stop-substitution, stop-revolving, or similar exposure-related events which impact the securitisation, as at the data cut-off date. This also includes if there is a debit balance on any PDL or an asset deficiency.

NO

NO

IVSS13

Revolving/Ramp-Up Period End-Date

Enter the date at which the securitisation's revolving or ramp-up period is scheduled to cease. Enter the securitisation maturity date if there is a revolving period with no scheduled end date.

NO

YES

IVSS14

Principal Recoveries In The Period

Gross principal recoveries received during the period.

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

NO

YES

IVSS15

Interest Recoveries In The Period

Gross interest recoveries received during the period.

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

NO

YES

IVSS16

Principal Collections In The Period

Collections treated as principal in the period.

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

NO

YES

IVSS17

Interest Collections In The Period

Collections treated as revenue in the period.

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

NO

YES

IVSS18

Drawings Under Liquidity Facility

If the securitisation has a liquidity facility confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date.

NO

YES

IVSS19

Securitisation Excess Spread

The amount of funds left over after application of all currently-applicable stages of the waterfall, commonly referred to as "excess spread".

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

NO

NO

IVSS20

Excess Spread Trapping Mechanism

Excess spread is currently trapped in the securitisation (e.g. accumulated in a separate reserve account)

NO

NO

IVSS21

Current Overcollateralisation

Current overcollateralisation of the securitisation, calculated as the ratio of (the sum of the outstanding principal balance of all underlying exposures, excluding underlying exposures classified as defaulted, as at the data cut-off date) to (the sum of the outstanding principal balance of all tranches/bonds as at the data cut-off date).

NO

NO

IVSS22

Annualised Constant Prepayment Rate

The annualised Constant Prepayment Rate (CPR) of the underlying exposures based upon the most recent periodic CPR. Periodic CPR is equal to the [(total unscheduled principal received at the end of the most recent collection period)/(the total principal balance at the start of the collection period)]. The Periodic CPR is then annualised as follows:

100*(1-((1-Periodic CPR)^number of collection periods in a year))

"Periodic CPR" refers to the CPR during the last collection period i.e. for a securitisation with quarterly paying bonds this will usually be the prior three month period.

NO

NO

IVSS23

Dilutions

Total reductions in principal exposures during the period.

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

NO

NO

IVSS24

Gross Charge Offs In The Period

Total amount of gross principal charge-offs (i.e. before recoveries) for the period. Charge-off is as per securitisation definition, or alternatively per lender's usual practice.

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

NO

NO

IVSS25

Repurchased Exposures

The total outstanding principal amount of underlying exposures that have been repurchased by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date.

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

YES

YES

IVSS26

Restructured Exposures

The total outstanding principal amount of underlying exposures that have been restructured by the originator/sponsor between the immediately previous data cut-off date and the current data cut-off date. Restructuring refers to any changes made to the contractual terms of the underlying exposure agreement due to forbearance, including payment holidays, arrears capitalisation, change of interest rate basis or margins, fees, penalties, maturity and/or other generally-accepted measures of restructuring due to forbearance.

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

NO

NO

IVSS27

Annualised Constant Default Rate

The annualised Constant Default Rate (CDR) for the underlying exposures based on the periodic CDR. Periodic CDR is equal to the [(total current balance of underlying exposures classified as defaulted during the period)/(total current balance of non-defaulted underlying exposures at the beginning of the period)]. This value is then annualised as follows:

100*(1-((1-Periodic CDR)^number of collection periods in a year))

"Periodic CDR" refers to the CDR during the last collection period, i.e. for a securitisation with quarterly paying bonds this will usually be the prior three month period.

NO

NO

IVSS28

Defaulted Exposures

The total outstanding principal amount as at the data cut-off date of exposures in default as at the cut-off date, using the definition of default specified in the securitisation documentation

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

NO

NO

IVSS29

Defaulted Exposures CRR

The total outstanding principal amount as at the data cut-off date of exposures in default as at the cut-off date, using the definition of default specified in Article 178 of Regulation (EU) No 575/2013.

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

YES

YES

IVSS30

Risk Weight Approach

Indicate which risk weight approach was used by the originator to produce the risk weight attached to the underlying exposures, in accordance with Regulation (EU) No 575/2013:

Standardised Approach (STND)

Foundation Internal Ratings-Based (FIRB)

Advanced Internal Ratings-Based (ADIR)

NO

YES

IVSS31

Obligor Probability Of Default in Range [0,00 %,0,10 %)

The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0,00 % <= x < 0,10 %. This estimate can either come from the originator or the relevant national central bank.

Where there is no regulatory requirement to calculate Probability of Default, enter ND5.

NO

YES

IVSS32

Obligor Probability Of Default in Range [0,10 %,0,25 %)

The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0,10 % <= x < 0,25 %. This estimate can either come from the originator or the relevant national central bank.

Where there is no regulatory requirement to calculate Probability of Default, enter ND5.

NO

YES

IVSS33

Obligor Probability Of Default in Range [0,25 %,1,00 %)

The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 0,25 % <= x < 1,00 %. This estimate can either come from the originator or the relevant national central bank.

Where there is no regulatory requirement to calculate Probability of Default, enter ND5.

NO

YES

IVSS34

Obligor Probability Of Default in Range [1,00 %,7,50 %)

The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 1,00 % <= x < 7,50 %. This estimate can either come from the originator or the relevant national central bank.

Where there is no regulatory requirement to calculate Probability of Default, enter ND5.

NO

YES

IVSS35

Obligor Probability Of Default in Range [7,50 %,20,00 %)

The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 7,50 % <= x < 20,00 %. This estimate can either come from the originator or the relevant national central bank.

Where there is no regulatory requirement to calculate Probability of Default, enter ND5.

NO

YES

IVSS36

Obligor Probability Of Default in Range [20,00 %,100,00 %]

The total outstanding amount of underlying exposures whose one-year-ahead probability of default has been assessed as in the range 20,00 % <= x <= 100,00 %. This estimate can either come from the originator or the relevant national central bank.

Where there is no regulatory requirement to calculate Probability of Default, enter ND5.

NO

YES

IVSS37

Internal Loss Given Default Estimate

The originator's latest Loss Given Default estimate for the underlying exposure in a downturn scenario, weighted using the total outstanding principal balance of the underlying exposures as at the data cut-off date.

Where there is no regulatory requirement to calculate Loss Given Default, enter ND5.

NO

YES

IVSS38

Arrears 1-29 Days

The percentage of exposures of this type in arrears on principal and/or interest payments due for a period between 1 and 29 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears, relative to the total outstanding principal amount of all exposures of this type as at the data cut-off date.

NO

NO

IVSS39

Arrears 30-59 Days

The percentage of exposures in arrears on principal and/or interest payments due for a period between 30 and 59 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.

NO

NO

IVSS40

Arrears 60-89 Days

The percentage of exposures in arrears on principal and/or interest payments due for a period between 60 and 89 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.

NO

NO

IVSS41

Arrears 90-119 Days

The percentage of exposures in arrears on principal and/or interest payments due for a period between 90 and 119 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.

NO

NO

IVSS42

Arrears 120-149 Days

The percentage of exposures in arrears on principal and/or interest payments due for a period between 120 and 149 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.

NO

NO

IVSS43

Arrears 150-179 Days

The percentage of exposures in arrears on principal and/or interest payments due for a period between 150 and 179 days (inclusive) as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.

NO

NO

IVSS44

Arrears 180+ Days

The percentage of exposures in arrears on principal and/or interest payments due for a period for 180 days or more as at the data cut-off date. The percentage is calculated as the total outstanding principal amount as at the data cut-off date of the exposures in this category of arrears, relative to the total outstanding principal amount of all exposures as at the data cut-off date.

NO

NO

Tests/Events/Triggers information section

IVSR1

Unique Identifier

Report the same unique identifier here as the one entered into field IVSS1.

NO

NO

IVSR2

Original Test/Event/Trigger Identifier

The original unique test/event/trigger identifier. The reporting entity must not amend this unique identifier.

NO

NO

IVSR3

New Test/Event/Trigger Identifier

If the original identifier in field IVSR2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in IVSR2. The reporting entity must not amend this unique identifier.

NO

NO

IVSR4

Description

Describe the test/event/trigger, including any formulae. This is a free text field, however the description of the test/event/trigger includes any formulae and key definitions to allow an investor/potential investor to form a reasonable view of the test/event/trigger and any conditions and consequences attached to it.

NO

NO

IVSR5

Threshold Level

Enter the level at which the test is deemed to have been met, the trigger is deemed to have been breached, or at which any other action is deemed to occur, as applicable given the type of test/event/trigger being reported. In the event of non-numerical tests/events/triggers, enter ND5.

NO

YES

IVSR6

Actual Value

Enter the current value of the measure being compared against the threshold level. In the event of non-numerical tests/events/triggers, enter ND5. Where percentages are being entered, these are to be entered in the form of percentage points, e.g. 99.50 for 99,50 %, e.g. 0.006 for 0,006 %.

NO

YES

IVSR7

Status

Is this status of the test/event/trigger set to "Breach" (i.e. the test has not been met or the trigger conditions have been met) at the data cut-off date?

NO

NO

IVSR8

Cure Period

Enter the maximum number of days granted for this test/trigger to be brought back into compliance with the required level. If no time is granted (i.e. there is no Cure Period), enter 0.

NO

YES

IVSR9

Calculation Frequency

Enter the number of calendar days' interval for calculating the test. Use round numbers, for example 7 for weekly, 30 for monthly, 90 for quarterly, and 365 yearly.

NO

YES

IVSR10

Consequence for Breach

Enter the consequence, as per the securitisation documentation, for this test/event/trigger not being satisfied (i.e. being breached):

Change in the priority of payments (CHPP)

Replacement of a counterparty (CHCP)

Both change in the priority of payments and replacement of a counterparty (BOTH)

Other consequence (OTHR)

NO

NO

Cash-flow information section

IVSF1

Unique Identifier

Report the same unique identifier here as the one entered into field IVSS1.

NO

NO

IVSF2

Original Cashflow Item Identifier

The original unique cashflow item identifier. The reporting entity must not amend this unique identifier.

NO

NO

IVSF3

New Cashflow Item Identifier

If the original identifier in field IVSF2 cannot be maintained in this field enter the new identifier here. If there has been no change in the identifier, enter the same identifier as in IVSF2. The reporting entity must not amend this unique identifier.

NO

NO

IVSF4

Cashflow Item

List the cashflow item. This field is to be completed in the order of the applicable priority of receipts or payments as at the data cut-off date. That is, each source of cash inflows must be listed in turn, after which sources of cash outflows must be listed.

NO

NO

IVSF5

Amount Paid During Period

What are the funds paid out as per the priority of payments for this item? Enter negative values for funds paid out, positive values for funds received. Note that the "Amount Paid During Period" value entered in a given line (e.g. in line B) plus the "Available Funds Post" value entered in the preceding line (e.g. line A) together equal the "Available Funds Post" value entered in this line (e.g. line B).

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

NO

NO

IVSF6

Available Funds Post

What are the funds available to the priority of payments after to the application of the cashflow item? Note that the "Amount Paid During Period" value entered in a given line (e.g. in line B) plus the "Available Funds Post" value entered in the preceding line (e.g. line A) together equal the "Available Funds Post" value entered in this line (e.g. line B).

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

NO

NO