ESMA_QA_1362

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1362

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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: Interest Rate Floor

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Question

Submission Date: 15 November 2019

How must these fields be completed when the interest rate floor applies to the underlying reference/index rate, and not to the total interest rate?

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ESMA Answer

Answer Date: 15-11-2019

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.3.28] In such circumstances, the field must be reported by reference to the contractual floor plus margin applicable to the underlying exposure.

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