ESMA · ESMA_QA_1437 Answer Published

Annexes 12 and 13: Investor Reports - Trigger Measurements/Ratios

Regulation
Securitisation Regulation (EU) 2017/2402
Topic
Securitisation Disclosure Templates
Submitted
2020-05-28
Answered
2020-05-28
More Q&As on this regulation →

Question

(a) How should this field be reported with respect to ABCP (field code IVAS7)? (b) How should this field be completed where none of the securitised underlying exposures include any triggers?

Answer

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.14.15] (a) This field is located in the ‘programme information section’ of Annex 13. It refers to (and must be completed for) any programme-level test/trigger that involves underlying exposures in the ABCP programme, across any/all transactions within that ABCP programme. See also Q&A 1422. (b) In such situations, this field should be reported as “N”—‘NO’.
View original on European Securities and Markets Authority ↗

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.

Similar Q&As

Annexes 12 and 13: Investor Reports - Must rating triggers be reported in the tests/events/triggers information section of Annexes 12 and 13?

Answered 2019-07-17

Annexes 12 and 13: Investor Reports - Trigger Measurements/Ratios

Answered 2021-11-19

Annexes 12 and 13: Investor Reports - What type of tests/triggers need to be reported?

Answered 2020-05-28

Consolidated ABCP reporting involving more than one ABCP programme and/or more than one ABCP transaction

Answered 2020-05-28

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

Answered 2019-05-27

More Q&As on this topic

Pool Addition Date and Date Of Repurchase in a revolving deal

Answered 2021-11-19

Original Valuation Method

Answered 2021-11-19

Annexes 12 and 13: Investor Reports - Annualised Constant Prepayment and Default Rates

Answered 2021-11-19

Securitisation Disclosure Requirements and Templates

Answered 2021-11-19

Securitisation Disclosure Requirements and Templates

Answered 2021-11-19

📋 Track EU financial regulation continuously

Forseti monitors EU financial regulation and delivers personalised alerts anchored to verified official sources.

Start free trial → Learn more

14-day free trial. No credit card required.