On 13 July 2023, ESMA updated its questions and answers (“Q&As”) in relation to Regulation (EU) 2017/2402 of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation (the “Securitisation Regulation”), (the “Q&A”). This latest update was quite extensive in that it amended several of the existing Q&As, as well as adding an array of new Q&As.
In their update of 13 July 2023, ESMA modified existing Q&As in the following areas:
- Disclosure Requirements and Templates - Delegation and Prepayments;
- Underlying Exposures (Annex 2), Residential Real Estate - Collateral Item supporting an RMBS Loan;
- Underlying Exposures (Annex 3), Commercial Real Estate - Total Shortfalls in Principal & Interest Outstanding and Arrears balance; and
- Investor Reports (Annexes 12 and 13) - the types of tests/triggers that need to be reported.
ESMA have also added new Q&As on the following matters:
- Disclosure Requirements and Templates in relation to Amended transaction documents, Self-Securitisation and Consumers’ rights to access information;
- Underlying Exposures (Annex 2) - Residential Real Estate, specifically Allocated Losses and Cumulative Recoveries;
- Underlying Exposures (Annex 3) - Commercial Real Estate, in relation to Current Principal Balance, Original Principal Balance and Original Principal Balance At Securitisation Date, Non-Payments on prior ranking Claims and Unscheduled Principal Collections for non-performing exposures;
- Underlying Exposures (Annex 4) - Corporate, namely Current Principal Balance, Total Credit Limit and Balloon Amount;
- Underlying Exposures (Annex 8) - Leasing , specifically regarding the NACE Industry Code;
- Underlying Exposures (Annex 9) - Esoteric, namely the Collateral Information Section and the Reporting template for B2B BNPL assets; and
- Investor Reports (Annexes 12 and 13) - Weighted Average Life.
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