[ESMA 33-128-563 Securitisation Q&A, Q&A 5.1.11.a]

Preliminary remarks: It is recalled that recital 13 of the RTS on disclosure reads: “The set of ‘No data’ options from ND1 to ND4 is meant to signal legitimate cases of information not being available and under no circumstance should constitute an exemption from reporting requirements. Furthermore, use of these options in reporting underlying exposures information in a given securitisation is expected to be limited and, where present, to converge quickly towards reporting of the relevant information.

If a template field allows ‘No Data’ options (either ND1-4 and/or ND5) to be entered, this does not, under any circumstance, mean that this template field is optional. In particular, the fact that information is not available for a particular field does not automatically imply that ‘ND5’ (‘Not Applicable’) is the appropriate value to provide.

As suggested by the description of ‘ND5’ (i.e. the words ‘Not Applicable’) if information regarding a template field is not available AND the reason for this information not being available is that the template field does not apply to the particular underlying exposure or other aspect of the securitisation, then ND5 may be entered. If information is not available AND the reason for this information not being available is one of those described by options ND1-4, then the relevant option should be entered in accordance with the disclosure regulatory technical standards. Finally, if information is not available AND the reason for that information not being available is any reason other than those described in options ND1-4 as set out in the Table below), then the reporting entity must obtain and provide this information without exception. Please see also the response in point b below.

Options for field values when data is not available[1]