ESMA_QA_320
Status: ⏳ Pending / Forwarded to EC
Link to ESMA Q&A tool: https://www.esma.europa.eu/publications-data/questions-answers/320
Regulatory Context
Regulation : SECR
Level 1 Regulation: Securitisation Regulation (EU) 2017/2402
Level 2 Regulation: ITS on the format and standardised templates for making available the information and details of a securitisation by the originator, sponsor and SSPE and associated ANNEXES
Level 3 Regulation: Guidelines on securitisation repository data completeness and consistency thresholds
Topic: Securitisation Disclosure Templates
Subject Matter: Annex XII - REGULATION (EU) 2020/1224 - IVSS22 - Annualised Constant Prepayment Rate
Question
Submission Date: 03 August 2021
In case of portfolio with NPL underlying exposure only, in which none of the underlying loans have an Amortization schedule still valid is it correct the following interpretation: a) numerator of the CPR= 0 cause the prepayment event of is not applicable to NPL (even if there is a spontaneous payment by the debtor); b) denominator of the CPR = 0 or should we represent the GBV of the portfolio regardless it is NPLs only?
ESMA Answer
No answer has been published yet for this question.
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