Annexes 12 and 13: Investor Reports - Reporting of risk retention information for ABCP securitisations

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How should risk retention fields be completed for ABCP securitisations (Risk Retention Method (IVAS10), Risk Retention Holder (IVAS11), Risk Retention Method (IVAN5), Risk Retention Holder (IVAN6))?

European Securities and Markets Authority · Accepted Answer

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.14.13] Where risk retention requirements are being met at the level of the ABCP programme and not at the level of the ABCP transaction , then fields IVAS10 and IVAS11 should be entered as appropriate and fields IVAN5 and IVAN6 entered as ‘ND5’ (‘Not Applicable’). Where risk retention requirements are being met at the level of the ABCP transaction and not at the level of the ABCP programme , then fields IVAS10 and IVAS11 should be entered as ‘ND5’ (‘Not Applicable’) and fields IVAN5 and IVAN6 should be entered as appropriate.

Annexes 12 and 13: Investor Reports - Reporting of risk retention information for ABCP securitisations

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