Loan-level requirements
Introduction
The Eurosystem has the following loan-level information requirements for asset-backed securities (ABSs) accepted as collateral in Eurosystem credit operations.
Main objectives
The loan-level requirements aim to:
- improve transparency in ABS markets by requiring loan-by-loan information to be available and accessible to market participants on an ongoing basis;
- facilitate the risk assessment of ABSs as collateral used by Eurosystem counterparties in monetary policy operations.
Eligibility requirements
The Eurosystem takes into account loan-level data to determine whether ABSs are eligible as collateral in its credit operations.
Loan-level requirements apply to existing and newly issued ABSs.
These data should be submitted via a securitisation repository registered with the European Securities and Markets Authority (ESMA) and using the templates specified in the implementing technical standards adopted by the Commission under Article 7(4) of Regulation (EU) 2017/2402 (the Securitisation Regulation). These templates are commonly referred to as the “ESMA templates”. The specific template to be used in each case depends on the type of asset backing the ABS. Regardless of any exemption from the disclosure requirements under the Securitisation Regulation, all ABSs seeking collateral eligibility are subject to the same loan-level data requirements as described on this page.
In line with the Securitisation Regulation, loan-level data must be reported on at least a quarterly basis and no later than one month following the due date for the payment of interest on the ABS in question. The data submitted should not be more than two months old.
Further instructions for submitting data can be found in the dedicated section of ESMA's website.
Frequently Asked Questions
For newly issued ABSs, before their first interest payment date (IPD), the underlying exposures template is required for the eligibility assessment. Depending on the ABS type, the Eurosystem accepts loan-level data submitted using the ESMA templates identified as Annexes 2 to 8 of the technical standards on disclosure requirements under the Securitisation Regulation.
After the first IPD three types of ESMA templates are required to maintain the collateral eligibility: (i) the underlying exposure template (Annex 2 to Annex 8 of the Securitisation Regulation technical standards), (ii) the investor report (Annex 12), and (iii) the inside information or significant event information template (Annex 14).
The frequency of loan-level data reporting should follow the requirements set out in Section I, point 3 of Annex VIII of the General Documentation Guideline, which states that loan-level data must be reported on at least a quarterly basis, but no later than one month following a due date for the payment of interest. Therefore, ABSs with monthly IPDs must submit loan-level data templates a maximum of one month after each IPD.
The ESMA data score does not constitute an Eurosystem eligibility requirement. Nevertheless, the submission of all ESMA templates, as described above, is required for collateral eligibility purposes.
The ESMA templates must be completed and submitted (uploaded) to a data repository accepted by ESMA. The available ESMA templates and further instructions for data submissions can be found in the dedicated section on ESMA’s website.
Disclaimer: for questions related to the completion of the ESMA templates, please consult ESMA's website.