ESMA_QA_1414
Status: ✅ Answer Published
Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1414
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: Annex 11: Underlying Exposures - ABCP - Geographic Region fields for ABCP securitisation
Question
Submission Date: 28 May 2020
According to the “content to report” of the Geographic region fields in Annex 11 “Where no NUTS3 classification has been produced by Eurostat (e.g. a non-EU jurisdiction), enter the two-digit country code in {COUNTRYCODE_2} format followed by ‘ZZZ’.” This leads to the question of what to fill into these fields, when the largest single concentration is located in a third-country without nuts codes e.g. the United States (for which the applicable code would be USZZZ), whereas the sum of exposures in all the nuts regions of a country for which there are NUTS codes (e.g. France) is much higher.
Imagine for example, 10% of one type of underlying exposures in an ABCP Transaction are located in the US, whereas the remaining 90% are located in France. However, no more than 9% of the underlying exposures of that type are concentrated in a single French NUTS region. Should field IVAL7 (Geographic Region - Largest Exposure Concentration 1) indicate USZZZ for US.
ESMA Answer
Answer Date: 28-05-2020
[ESMA 33-128-563 Securitisation Q&A, Q&A 5.13.6] Yes, in the described example ‘USZZZ’ should be entered into field IVAL7. Third-country jurisdictions for which no NUTS classification has been developed should be treated in the same way as a NUTS region for the purposes of these fields. The remaining two next-largest (French) regions should be entered into IVAL8 and IVAL9.
This document was automatically extracted from the ESMA EMIR Q&A database.