ESMA_QA_1444
19/11/2019
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Subject Matter
Annexes 12 and 13: Investor Reports - Trigger Measurements/Ratios
If a single underlying exposure goes into default, should the field “IVSS12” by definition be completed with a 'Y'?
ESMA Answer
19-11-2021

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.14.22]

No. This field refers exclusively to underlying exposure-related events which trigger changes in the priority of payments or the replacement of any counterparties.

Status: Answer Published

Additional Information

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