ESMA_QA_1363
28/05/2020
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Subject Matter
Credit impaired obligor
The field entitled “Credit impaired obligor” refers to an STS requirement laid down in Article 20(11) of the Securitisation Regulation. Does this imply that this field is only applicable for STS transactions, whereas for non-STS transactions ND5 can be entered?
ESMA Answer
28-05-2020

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.3.29]

Yes. For all non-STS securitisations, these fields do not need to be reported and, instead, ND5 may be entered. This includes the field “Defaulted Or Credit-Impaired Exposures At Securitisation” (IVAL28) in Annex 11.

Status: Answer Published

Additional Information

Level 1 Regulation
Securitisation Regulation (EU) 2017/2402
Topic
Securitisation Disclosure Templates