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The reporting templates are intended to improve transparency, give investors access to loan-level data, as well as ensure that rating agencies and other market participants have the information they need to update their credit and cash flow models. The templates are designed to ensure compliance with the data protection, banking secrecy and confidentiality regulations.
The Eurosystem has worked closely with Technical Working Group (TWG), consisting of market participants, on the development of loan-level data templates.
Other asset classes: in the long term, other asset classes may be covered as well. The need to provide loan-by-loan information for the remaining asset classes will be assessed on an on-going basis.
A dedicated manual (taxonomy) will be available on this website for each template to assist market participants when they submit loan-level information. For the RMBS and SME template, such a compiling manual has been published (RMBS taxonomy, SME taxonomy).
The RMBS template will ensure that standardised data are gathered for all European RMBS transactions. The RMBS template is applicable to prime and non-conforming RMBS transactions and covers both stand-alone and revolving structures.
Sets of fields: The RMBS template consists of various sets of fields: on the one hand, fields which relate to information about the underlying assets and, on the other, fields which relate to information about bond securities. For those fields relating to the underlying assets, the template includes static fields for information relevant to the underlying assets at issuance and dynamic fields for data that need to be updated regularly.
Mandatory fields: While all of the fields requested in the asset and bond templates are relevant to RMBS securities, the Eurosystem has decided that a subset of those fields should be mandatory. The mandatory fields should be provided to maintain eligibility upon entry into force of the eligibility requirements. The template will operate under a ‘comply or explain’ principle. If a counterparty is not able to complete a certain mandatory field, this will not automatically render the transaction ineligible as the counterparty will be expected to explain why the information cannot be provided. Counterparties are encouraged to include data in optional fields in the template.
Jurisdictional specificities: The RMBS template takes into account jurisdictional specificities and will ensure that standardised data are gathered for all European RMBS transactions. For each jurisdiction, applicable fields are clearly marked in the templates. In certain markets some fields will not apply and therefore do not need to be completed.
Future reviews: Future reviews of the RMBS template are envisaged. They will refine aspects of the template as participants start to use it and also to ensure that market developments are reflected.
The RMBS taxonomy serves as a dedicated manual for the RMBS template to assist market participants when they submit loan-level information. A key objective of the taxonomy is to define the field sizes, types and descriptions of the data that need to be submitted. The RMBS taxonomy mirrors the RMBS template and provides reporting instructions for each field in the template. It has been developed with industry input and takes into account jurisdictional specificities.
The CMBS template will ensure that standardised data are gathered for all European CMBS transactions. The CMBS template is applicable to all CMBS transactions and covers both stand-alone and revolving structures.
Sets of fields: The CMBS template consists of various sets of fields: on the one hand, fields which relate to information about the underlying assets and the properties underlying the assets, on the other, fields which relate to information about bond securities. For those fields relating to the underlying assets, the template includes static fields for information relevant to the underlying assets at issuance (Loan Setup) and dynamic fields for data that need to be updated regularly (Loan Periodic).
Mandatory fields: While all of the fields requested in the asset and bond templates are relevant to CMBS securities, the Eurosystem has decided that a subset of those fields should be mandatory. The mandatory fields should be provided to maintain eligibility upon entry into force of the eligibility requirements. The instructions tab sets the data requirement for loans of less than €0.5 million (total commercial loan balance at origination) or 1.5% of the total outstanding balance of the pool. The template will operate under a ‘comply or explain’ principle. If a counterparty is not able to complete a certain mandatory field, this will not automatically render the transaction ineligible, as the counterparty will be expected to explain why the information cannot be provided. Counterparties are encouraged to include data in optional fields in the template.
Jurisdictional specificities: The CMBS template takes into account jurisdictional specificities and will ensure that standardised data are gathered for all European CMBS transactions.
Future reviews: Future reviews of the CMBS template are envisaged. They will refine aspects of the template as participants start to use it and also ensure that market developments are reflected.
A dedicated manual (taxonomy) will be available on this website for each template to assist market participants when they submit loan-level information. A key objective of the taxonomy is to define the field sizes, types and descriptions of the data that need to be submitted. The CMBS taxonomy will mirror the CMBS template and will provide reporting instructions for each field in the template. It has been developed with industry input and will take into account jurisdictional specificities. It is expected that, along with the data templates, the taxonomy will be updated regularly. The ECB intends to publish the taxonomy when the necessary data-handling infrastructure has been established.
The SME template will ensure that standardised data are gathered for all European SME transactions. The SME template is applicable to all SME transactions with the exception of those where the underlying assets are constituted by leasing contracts. The template covers both stand-alone and revolving structures.
Sets of fields: The SME template consists of various sets of fields: on the one hand, fields which relate to information about the underlying assets and the properties underlying the assets, on the other, fields which relate to information about bond securities. For those fields relating to the underlying assets, the template includes static fields for information relevant to the underlying assets at issuance and dynamic fields for data that need to be updated regularly.
Mandatory fields: While all of the fields requested in the asset and bond templates are relevant to SME securities, the Eurosystem has decided that a subset of those fields should be mandatory. The mandatory fields should be provided to maintain eligibility upon entry into force of the eligibility requirements. The template will operate under a ‘comply or explain’ principle. If a counterparty is not able to complete a certain mandatory field, this will not automatically render the transaction ineligible as the counterparty will be expected to explain why the information cannot be provided. Counterparties are encouraged to include data in optional fields in the template.
Jurisdictional specificities: The SME template takes into account jurisdictional specificities and will ensure that standardised data are gathered for all European SME transactions.
Future reviews: Future reviews of the SME template are envisaged. They will refine aspects of the template as participants start to use it and also ensure that market developments are reflected.
The SME taxonomy serves as a dedicated manual for the SME template to assist market participants when they submit loan-level information. A key objective of the taxonomy is to define the field sizes, types and descriptions of the data that need to be submitted. The SME taxonomy mirrors the SME template and provides reporting instructions for each field in the template. It has been developed with industry input and takes into account jurisdictional specificities.
To facilitate the introduction of the loan-by-loan information requirements, the Eurosystem will actively encourage market participants to establish the necessary data-handling infrastructure in the form of a data warehouse. This warehouse should be provided by an independent party or parties external to the Eurosystem and be able to process, verify and transmit ABS loan-level data. The warehouse will ensure that the data is made available to the market and, in this way, it will increase the transparency of existing ABS transactions. The infrastructure should also comprise the processes and systems necessary for counterparties to submit the loan-level data electronically. This data should be checked for compliance with the specific requirements, as well as for accuracy, consistency and timeliness.
In April 2011 the Governing Council of the European Central Bank (ECB) indicated in a letter of intent the Eurosystem’s intention to make use of such a data warehouse. The Eurosystem intends to become a client of the data warehouse on a non-exclusive basis once ABS loan-level data requirements become an ECB collateral eligibility criterion, provided that the data warehouse complies with certain technical specifications.
An independent market-driven initiative to establish the data warehouse got under way in April 2011. The market group promoting this initiative can be contacted at Rfi@themarketgroup.eu
The ECB will regularly provide information updates on the establishment of the infrastructure.
