ESMA · ESMA_QA_1444 Answer Published

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

Regulation
Securitisation Regulation (EU) 2017/2402
Topic
Securitisation Disclosure Templates
Submitted
2019-11-19
Answered
2021-11-19

Question

If a single underlying exposure goes into default, should the field “IVSS12” by definition be completed with a 'Y'?

Answer

[ESMA 33-128-563 Securitisation Q&A, Q&A 5.14.22] No. This field refers exclusively to underlying exposure-related events which trigger changes in the priority of payments or the replacement of any counterparties.

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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