ESMA_QA_320
03/08/2021
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Subject Matter
Annex XII - REGULATION (EU) 2020/1224 - IVSS22 - Annualised Constant Prepayment Rate
In case of portfolio with NPL underlying exposure only, in which none of the underlying loans have an Amortization schedule still valid is it correct the following interpretation: a) numerator of the CPR= 0 cause the prepayment event of is not applicable to NPL (even if there is a spontaneous payment by the debtor); b) denominator of the CPR = 0 or should we represent the GBV of the portfolio regardless it is NPLs only?
Status: Answer Published

Additional Information

Level 1 Regulation
Securitisation Regulation (EU) 2017/2402
Level 2 Regulation
ITS on the format and standardised templates for making available the information and details of a securitisation by the originator, sponsor and SSPE and associated ANNEXES
Level 3 Regulation
Guidelines on securitisation repository data completeness and consistency thresholds
Additional Legal Reference
COMMISSION DELEGATED REGULATION (EU) 2020/1224 of 16 October 2019 - Article 3 (1) - Information on investor reports - Annex XII, — INVESTOR REPORT INFORMATION NON-ASSET BACKED COMMERCIAL PAPER SECURITISATION
Topic
Securitisation Disclosure Templates