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} |