Securitisation Disclosure Requirements and Templates

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.1.1.b] (b) The third subparagraph of Article 7(1) of the Securitisation Regulation requires underlying exposures and investor reports to be made available simultaneously each quarter, at the latest one month after the interest payment date. For ABCP securitisations, such information is required on a monthly basis. In addition, information on inside information or significant events must be made available at the same time as the underlying exposure and investor reports (see also Q&A 1247). In addition, Article 10 of the RTS on disclosure sets out the timeliness provisions on the ‘data cut-off date’, i.e. no more than two calendar months prior to the submission date for all information in the Annexes, with the exception of the ‘programme information’ and ‘tests/events/triggers information’ sections of Annex 13 and Annex 15 (no more than one calendar month). The following tables provide illustrations of the expected submission deadlines for the disclosure templates as per the RTS and ITS on disclosure, assuming that the templates begin to be required as of a hypothetical date of 01 January 2019 (which is used purely for illustrative purposes). Example submission deadlines and data cut-off dates for non-ABCP securitisations: Example submission deadlines and data cut-off dates for ABCP securitisations: