ESMA_QA_1262
Status: ✅ Answer Published
Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1262
Regulatory Context
Regulation : SECR
Level 1 Regulation: Securitisation Regulation (EU) 2017/2402
Level 2 Regulation: No information available
Level 3 Regulation: No information available
Topic: Securitisation Disclosure Templates
Subject Matter: Consolidated ABCP reporting involving more than one ABCP programme and/or more than one ABCP transaction
Question
Submission Date: 28 May 2020
Article 4 (2)(b) and Article 8(2)(b) of the disclosure technical standards states that the reporting entity shall make information available on each ABCP programme which is funding the ABCP transactions. How should these requirements be fulfilled when an ABCP transaction is syndicated and funded via multiple ABCP Programmes, each managed by a different Sponsor? Is there a requirement for each ABCP Programme Sponsor to report on the programme level details of other ABCP Programmes funding the transaction?
ESMA Answer
Answer Date: 28-05-2020
[ESMA 33-128-563 Securitisation Q&A, Q&A 5.1.8.a] A single consolidated report should be created for each ABCP Programme and all the ABCP Transactions within that Programme. Take the example illustrated in the figure below with two ABCP Programmes (P1 and P2) funding three ABCP transactions T1, T2 and T3. Each Transaction contains two types of underlying exposures Trade Receivables (‘TREC’) and Consumer Loans (‘CONL’).
ABCP Programmes “P1” and “P2” are co-funding transaction “T2”. At the same time “P1” is funding the transaction “T1” on a stand-alone basis and P2 is funding the transaction “T3” on a stand-alone basis. In this example, two reports need to be generated, one for P1 and one for P2. The contents of each report is summarised in the table below. For the purpose of this example, this is assumed to be ‘public’ structure. For more information about the disclosure requirements applicable to public and private securitisation see Q&A 1256.
Annex / Section to be completed
Report for P1 includes
Annex 13 “Investor Report” including
‘Transaction Information Section’ completed for T1 + ‘Transaction Information Section’ completed for T2
Annex 15 “Inside Information Or Significant Event Report” including
‘Transaction Information Section’ completed for T1 + ‘Transaction Information Section’ completed for T2
Annex 11 for Trade Receivables (TREC) in T1
Annex 11 for Consumer loans (CONL) in T1
Annex 11 for Trade Receivables (TREC) in T2
Annex 11 for Consumer loans (CONL) in T2
Report for P2 includes
Annex 13 “Investor Report” including
‘Transaction Information Section’ completed for T2 + ‘Transaction Information Section’ completed for T3
Annex 15 “Inside Information Or Significant Event Report” including
‘Transaction Information Section’ completed for T2 + ‘Transaction Information Section’ completed for T3
Annex 11 for Trade Receivables (TREC) in T2
Annex 11 for Consumer loans (CONL) in T2
Annex 11 for Trade Receivables (TREC) in T3
Annex 11 for Consumer loans (CONL) in T3
In each case, the field SEAR3 ‘Number Of Programmes Funding The Transaction’ in Annex 15 should be completed accordingly, in order to identify the other programme identifiers associated with this transaction.
This document was automatically extracted from the ESMA EMIR Q&A database.