ESMA_QA_1363

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1363

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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: Credit impaired obligor

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Question

Submission Date: 28 May 2020

The field entitled “Credit impaired obligor” refers to an STS requirement laid down in Article 20(11) of the Securitisation Regulation. Does this imply that this field is only applicable for STS transactions, whereas for non-STS transactions ND5 can be entered?

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ESMA Answer

Answer Date: 28-05-2020

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.3.29] Yes. For all non-STS securitisations, these fields do not need to be reported and, instead, ND5 may be entered. This includes the field “Defaulted Or Credit-Impaired Exposures At Securitisation” (IVAL28) in Annex 11.

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