ESMA_QA_1440
17/07/2019
Subject Matter
Annexes 12 and 13: Investor Reports - Loss Given Default and Probability of Default
Original question
(a) How often should these fields be updated?
(b) If an underlying exposure is originated by multiple banks, which information should be entered into these fields?
(b) If an underlying exposure is originated by multiple banks, which information should be entered into these fields?
ESMA Answer
17-07-2019
Original language
[ESMA 33-128-563 Securitisation Q&A, Q&A 5.14.18]
(a) These fields fall into the category of information described in the first paragraph of Q&A 1295.
(b) In case of multiple originators, the highest (i.e. most pessimistic) probability of default and loss given default information must be entered.
Status: Answer Published
Additional Information
Level 1 Regulation
Securitisation Regulation (EU) 2017/2402
Topic
Securitisation Disclosure Templates