Current Valuation Amount and related fields in the event of foreclosed collateral

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(a) How should this field be reported for a foreclosed collateral item that has already been sold? (b) Should this collateral item be included in all of the next data submissions after the sale, although it has already been sold? Or, just in the first data submission after the sale of the asset and not in following data submissions (similar to the process with underlying exposures)?

European Securities and Markets Authority · Accepted Answer

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.3.23] (a) This field must be reported with the valuation amount as at the date of sale, since it is expected that the collateral item would be valued as part of the foreclosure process. See also Q&A 1295   Similarly, other related fields such as the Current Valuation Date (i.e. fields RREC15; CREC14; CRPC12; LESL77; ESTC12, as applicable) should also be completed as at the date of sale. (b) The collateral information section for this collateral item must continue to be completed and reported in all of the next data submissions after the sale of the collateral and until the first report after the underlying exposure becomes inactive (see also Q&A 1296).

Current Valuation Amount and related fields in the event of foreclosed collateral

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