ESMA_QA_1415

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1415

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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: Annex 11: Underlying Exposures - ABCP - Number of underlying exposures of this exposure type being securitised

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Question

Submission Date: 28 May 2020

For the purposes of this field, how does one count underlying exposures? Should all advances/exposures to an individual or entity be consolidated and treated as a single “exposure”? What if there are multiple categories of exposures to the same individual or entity (e.g. both a residential loan and a consumer loan)? In the case of trade receivables, should each invoice be treated as a single exposure, regardless of whether multiple invoices have the same debtor(s)?

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ESMA Answer

Answer Date: 28-05-2020

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.13.7] Securitised loan parts should be treated as individual underlying exposures for the purposes of this field. For the specific case of credit card underlying exposures, see Q&A 1404. In the case of trade receivables each invoice should be considered as its own underlying exposure.

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