[ESMA 33-128-563 Securitisation Q&A, Q&A 5.3.21]

As set out in the “Content to Report” for these two fields: “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.”

In other words, fully performing loans are not included in the numerator (the total outstanding principal amount as at the data cut-off date of the exposures of this type and in this category of arrears). Fully performing loans are, however, included in the denominator (“the total outstanding principal amount of all exposures of this type”).