ESMA_QA_1441

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1441

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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 - Risk Weight Approach

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Question

Submission Date: 15 November 2019

How must this field be completed where different risk weight approaches are used for different underlying exposures in the securitisation?

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ESMA Answer

Answer Date: 15-11-2019

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.14.19] In this situation, the risk weight approach associated with the highest share of underlying exposures in terms of value should be reported. For example, if EUR 500 million of underlying exposures in the securitisation follow the Foundation Internal Ratings-Based (FIRB) approach and another EUR 700 million of underlying exposures in the securitisation follow the Advanced Internal Ratings-Based (AIRB) approach, then IVSS30 should be completed with ‘AIRB’.

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