ESMA_QA_1437
28/05/2020
Subject Matter
Annexes 12 and 13: Investor Reports - Trigger Measurements/Ratios
Original question
(a) How should this field be reported with respect to ABCP (field code IVAS7)?
(b) How should this field be completed where none of the securitised underlying exposures include any triggers?
(b) How should this field be completed where none of the securitised underlying exposures include any triggers?
ESMA Answer
28-05-2020
Original language
[ESMA 33-128-563 Securitisation Q&A, Q&A 5.14.15]
(a) This field is located in the ‘programme information section’ of Annex 13. It refers to (and must be completed for) any programme-level test/trigger that involves underlying exposures in the ABCP programme, across any/all transactions within that ABCP programme. See also Q&A 1422.
(b) In such situations, this field should be reported as “N”—‘NO’.
Status: Answer Published
Additional Information
Level 1 Regulation
Securitisation Regulation (EU) 2017/2402
Topic
Securitisation Disclosure Templates