Annexes 12 and 13: Investor Reports - Questions relating to principal and interest recoveries.

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.14.4] (a) Such information could be reported in the cash-flow information section, with a specific line item to capture this information. (b) These fields are capturing information for all underlying exposures that are undergoing a recovery/work-out process (whether defaulted, in arrears, or in any other situation that means that there is a recovery/work-out process that is ongoing). (c) In the beginning of the introduction of these reporting requirements this is acceptable, however it is expected that this reporting issue will be fixed over time. During the interim period until the situation is solved, the principal recoveries field (IVSS14) should indeed be populated and the interest recoveries field (IVSS15) be populated with ‘ND5’. (d) It is not acceptable to enter ‘ND5’ (‘Not Applicable’) in cases where recoveries may in principle be possible for some, but not all, underlying exposures in the securitisation. In such situations, the value 0 should be entered where no recoveries have taken place, otherwise the value of the recoveries should be provided. ‘ND5’ (‘Not Applicable’) should only be entered when no recoveries are in principle possible (given the type of underlying exposures, repayment profile, etc.) for all underlying exposures in the securitisation.