ESMA_QA_1434
15/11/2019
Subject Matter
Annexes 12 and 13: Investor Reports - Current Overcollateralisation
Original question
(a) Should all bonds/tranches be included in this calculation (including bonds that are unplaced/retained/funding reserve accounts)?
(b) In the field content to report, does the phrase “the outstanding principal balance of underlying exposures” refer to the full balance of each underlying exposure or only to the balance that has been securitised?
(b) In the field content to report, does the phrase “the outstanding principal balance of underlying exposures” refer to the full balance of each underlying exposure or only to the balance that has been securitised?
ESMA Answer
15-11-2019
Original language
[ESMA 33-128-563 Securitisation Q&A, Q&A 5.14.12]
(a) Yes, all bonds/tranches (including unplaced/retained/funding bonds and subordinated loans) and other arrangements that constitute liabilities in the securitisation should be included in this calculation.
(b) With respect to underlying exposures, the “outstanding principal balance” included in the calculation for this field should include all outstanding principal balances that securitisation investors have recourse to.
Status: Answer Published
Additional Information
Level 1 Regulation
Securitisation Regulation (EU) 2017/2402
Topic
Securitisation Disclosure Templates