ESMA_QA_1420

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1420

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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 - Restructured Exposures (>3 years before transfer)

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Question

Submission Date: 28 May 2020

There is some ambiguity between the field name of IVAL42 (“Restructured Exposures (>3 years before transfer)” which implies restructuring > 3 years before transfer, and the “content to report” of this field, which refers to the time “starting 3 years before the date of transfer”, i.e. any time < 3 years before transfer. Which is intended?

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ESMA Answer

Answer Date: 28-05-2020

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.13.12] This field refers to exposures that have been restructured by the originator/sponsor earlier than 3 years before transfer. So, for example, an underlying exposure which was restructured 4 years before transfer should be included in this field whereas an underlying exposure which was restructured 2 years before transfer should not.

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