ESMA_QA_1446

Status: ✅ Answer Published

Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/1446

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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 14 and 15: Inside Information or Significant Event Information - Step-Up/Step-Down Coupon Value

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Question

Submission Date: 26 February 2021

Does this only refer to the step-up part of the coupon and not the total coupon (since the future total coupon for floating rate based transactions is uncertain)?

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ESMA Answer

Answer Date: 31-01-2019

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.15.2] This indeed refers only to the step-up part of the coupon and not the total coupon. An example would be if an initial coupon is set to EURIBOR 3M + 20bps and then, after a given period of time, the coupon steps-up to EURIBOR 3M + 30bps, then 30bps would be reported. In the event of multiple step-up/step-down coupons, the next-occurring step-up (or lowest step-down) coupon should be reported. And the same reasoning should apply for field SEST18 (Step-Up/Step-Down Coupon Date)—i.e. the next-occurring step-up/step-down coupon date should be provided.

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