ESMA · ESMA_QA_1362 Answer Published

Interest Rate Floor

Regulation
Securitisation Regulation (EU) 2017/2402
Topic
Securitisation Disclosure Templates
Submitted
2019-11-15
Answered
2019-11-15
More Q&As on this regulation →

Question

How must these fields be completed when the interest rate floor applies to the underlying reference/index rate, and not to the total interest rate?

Answer

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.3.28] In such circumstances, the field must be reported by reference to the contractual floor plus margin applicable to the underlying exposure.
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This Q&A is published by European Securities and Markets Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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