ESMA · ESMA_QA_1441 Answer Published

Annexes 12 and 13: Investor Reports - Risk Weight Approach

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 this field be completed where different risk weight approaches are used for different underlying exposures in the securitisation?

Answer

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.14.19] In this situation, the risk weight approach associated with the highest share of underlying exposures in terms of value should be reported. For example, if EUR 500 million of underlying exposures in the securitisation follow the Foundation Internal Ratings-Based (FIRB) approach and another EUR 700 million of underlying exposures in the securitisation follow the Advanced Internal Ratings-Based (AIRB) approach, then IVSS30 should be completed with ‘AIRB’.
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 - Current Overcollateralisation

Answered 2019-11-15

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

Answered 2021-11-19

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

Answered 2020-05-28

Missing reporting of Securitization under the Internal Assessment Approach in C14.01 template

Answered 2021-04-30

Annex 11: Underlying Exposures - ABCP - Restructured Exposures

Answered 2020-05-28

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.