ANNEX XII

Investor report template – Non-asset backed commercial paper securitisation

FIELD CODE

FIELD NAME

FORMAT

Securitisation information section

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

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}