ESMA_QA_1440

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1440

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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: Annexes 12 and 13: Investor Reports - Loss Given Default and Probability of Default

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Question

Submission Date: 17 July 2019

(a) How often should these fields be updated?

(b) If an underlying exposure is originated by multiple banks, which information should be entered into these fields?

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ESMA Answer

Answer Date: 17-07-2019

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.14.18] (a) These fields fall into the category of information described in the first paragraph of Q&A 1295. (b) In case of multiple originators, the highest (i.e. most pessimistic) probability of default and loss given default information must be entered.

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