ESMA_QA_1362
15/11/2019
Subject Matter
Interest Rate Floor
Original question
How must these fields be completed when the interest rate floor applies to the underlying reference/index rate, and not to the total interest rate?
ESMA Answer
15-11-2019
Original language
[ESMA 33-128-563 Securitisation Q&A, Q&A 5.3.28]
In such circumstances, the field must be reported by reference to the contractual floor plus margin applicable to the underlying exposure.
Status: Answer Published
Additional Information
Level 1 Regulation
Securitisation Regulation (EU) 2017/2402
Topic
Securitisation Disclosure Templates