ESMA · ESMA_QA_1440 Answer Published

Annexes 12 and 13: Investor Reports - Loss Given Default and Probability of Default

Regulation
Securitisation Regulation (EU) 2017/2402
Topic
Securitisation Disclosure Templates
Submitted
2019-07-17
Answered
2019-07-17
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Question

(a) How often should these fields be updated? (b) If an underlying exposure is originated by multiple banks, which information should be entered into these fields?

Answer

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.14.18] (a) These fields fall into the category of information described in the first paragraph of Q&A 1295. (b) In case of multiple originators, the highest (i.e. most pessimistic) probability of default and loss given default information must be entered.
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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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