ESMA · ESMA_QA_1393 Answer Published

Annex 4: Underlying Exposures - Corporate - Collateral valuation fields for corporate and leveraged lending

Regulation
Securitisation Regulation (EU) 2017/2402
Topic
Securitisation Disclosure Templates
Submitted
2019-01-31
Answered
2019-01-31
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Question

These have an asset valuation focus, whereas corporate and leveraged lending is based on the corporate credit of the borrower and not asset based. How should this information be reported?

Answer

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.6.2] Any information on the value of the security provided to the underlying exposure (including from guarantees), as well as the method used to calculate that value and the date at which this was performed, are expected to be provided in these fields. For example, in the event that a corporate borrower has secured a full guarantee on its underlying exposure contracted to the originator (or original lender), then this should also be reflected.
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