ESMA_QA_1327

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1327

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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: Revision Margin and Revision Date fields

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Question

Submission Date: 31 January 2019

How should these fields be completed if the underlying exposure is currently paying a fixed rate of interest, but will in the future switch to a floating interest rate product that contains several changes to the interest rate margin?

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ESMA Answer

Answer Date: 31-01-2019

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.2.8] Consider for example a loan that was originated on 1 January 2015 and charged a fixed interest rate of 3% until 31 December 2019, after which the loan would be indexed to the 3M Euribor index and charged an interest rate margin over 3M Euribor of 2% starting on 1 January 2020, 1.5% starting on 1 January 2022, and 1% starting on 1 January 2024. In this case, the following information should be entered:

Field code

Field name

Value to enter in this field

RREL50 (or CRPL60)

Revision Margin 1

2

RREL51 (or CRPL61)

Interest Revision Date 1

1 January 2020

RREL52 (or CRPL62)

Revision Margin 2

1.5

RREL53 (or CRPL63)

Interest Revision Date 2

1 January 2022

RREL54 (or CRPL64)

Revision Margin 3

1

RREL55 (or CRPL65)

Interest Revision Date 3

1 January 2024

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This document was automatically extracted from the ESMA EMIR Q&A database.