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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 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}