Data templates

Loan-level data templates

Loan-level data templates

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.

Asset classes

The loan-level reporting requirements will start on 3 January 2013 for RMBS and SME ABS, on 1 March 2013 for CMBS, on 1 January 2014 for Consumer Finance ABS, Leasing ABS and Auto ABS, and on 1 April 2014 for Credit Card ABS.

Compiling manual

A dedicated manual (taxonomy) is available on this website for each template to assist market participants when they submit loan-level information.

RMBS

RMBS template

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.

Latest update : Please note that the RMBS template and taxonomy were updated in June 2013 to incorporate a small number of technical changes. These changes are listed below and will be applicable as of 1 July 2013.

Field number Priority TAG Field Name Data Type Field Definition & Criteria Change
AR88 Optional Dynamic Further Loan Advance Numeric Total value of further advances made on loan. If several further advances have been made list all advances (if available), comma delimited. If no data available refer to Taxonomy for inputs. Maximum length of characters have increased from 150-4000 separated by comma
AR89 Optional Dynamic Further Loan Advance Date Date/Numeric Date last further advance was made. If several further advances have been made list all advance dates (if available), comma delimited. If no data available refer to Taxonomy for inputs. Maximum length of characters have increased from 150-4000 separated by comma
AR114 Mandatory Dynamic Interest Revision Date 1 Date/Numeric Date interest rate next changes (e.g. discount margin changes, fixed period ends, loan re-fixed etc. this is not the next LIBOR reset date). If no data available refer to Taxonomy for inputs. The field has changed from ‘Not Applicable‘ to ‘Applicable‘ for Netherlands. Please note that ND,5 (‘not relevant at the present time’) for this field will also be accepted
BR26 Mandatory Static International Securities Identification Number Text/Numeric The international security identification code or codes, or if no ISIN then any other unique securities code such as a CUSIP, assigned to this class of note by an exchange or other entity. If more than one code, enter comma delineated Multiple ISINs or CUSIPs can be entered in the field comma separated

RMBS taxonomy

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.

CMBS

CMBS Template

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.

Latest update : Please note that the CMBS template and taxonomy have been updated in January 2013, as a result of the findings during the testing phase with data providers.

CMBS taxonomy

The CMBS taxonomy serves as a dedicated manual for the CMBS 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 mirrors the CMBS template and provides 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.

SME

SME Template

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.

Latest update : Please note that the SME template and taxonomy have been updated in December 2012, as a result of the findings during the testing phase with data providers. The main changes include a change in the number of mandatory fields for the amortisation profile, the introduction of a new option “No Collateral (4)” in field Security Type (CS3), and the addition of a new mandatory field (CS28) to identify if there are multiple collateral pieces, a few or none.

SME taxonomy

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.

Consumer Finance

Consumer finance ABS template

The Consumer Finance ABS template last update: 20 September 2013 - will ensure that standardised data are gathered for all European Consumer Finance ABS transactions. The Consumer Finance ABS template is applicable to all types of consumer loans, except credit card receivables.

Sets of fields: The 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 Consumer Finance ABS 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: There are no jurisdictional specificities needed for the Consumer Finance ABS template.

Latest update : Please note that the Consumer Finance ABS template was updated on 20 September 2013. The template was revised to clarify when ND values can be used or not.

Consumer Finance ABS taxonomy

The Consumer Finance ABS taxonomy serves as a dedicated manual for the Consumer Finance ABS 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 Consumer Finance ABS taxonomy mirrors the Consumer Finance ABS template and provides reporting instructions for each field in the template. It has been developed with industry input and takes into account jurisdictional specificities.

Leasing

Leasing ABS template

The Leasing ABS template last update: 20 September 2013 - will ensure that standardised data are gathered for all European Leasing ABS transactions.

Sets of fields: The 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 Leasing ABS 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: There are no jurisdictional specificities needed for the Leasing ABS template.

Latest update : Please note that the Leasing ABS template was updated on 20 September 2013. The template was revised to clarify when ND values can be used or not.

Leasing ABS taxonomy

The Leasing ABS taxonomy serves as a dedicated manual for the Leasing ABS 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 Leasing ABS taxonomy mirrors the Leasing ABS template and provides reporting instructions for each field in the template. It has been developed with industry input and takes into account jurisdictional specificities.

Auto

Auto ABS template

The Auto ABS template last update: 20 September 2013 - will ensure that standardised data are gathered for all European Auto ABS transactions. The template is appropriate for auto loans and leases to both companies and individuals.

Sets of fields: The 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 Auto ABS 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: There are no jurisdictional specificities needed for the Auto ABS template.

Latest update : Please note that the Auto ABS template was updated in on 20 September 2013. The template was revised to clarify when ND values can be used or not.

Auto ABS taxonomy

The Auto ABS taxonomy serves as a dedicated manual for the Auto ABS 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 Auto ABS taxonomy mirrors the Auto ABS template and provides reporting instructions for each field in the template. It has been developed with industry input and takes into account jurisdictional specificities.

Credit Card

Credit Card ABS template

The Credit Card ABS template last update: 19 September 2013 - will ensure that standardised data are gathered for all European Credit Card ABS transactions.

Sets of fields: The template consists of various sets of fields: on the one hand, fields which relate to information about the underlying 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 Credit Card ABS 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: There are no jurisdictional specificities needed for the Credit Card ABS template.

Latest update : Please note that the Credit Card ABS template was updated on 19 September 2013.

Credit Card ABS taxonomy

The Credit Card ABS taxonomy serves as a dedicated manual for the Credit Card ABS 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 Credit Card ABS taxonomy mirrors the Credit Card ABS template and provides reporting instructions for each field in the template. It has been developed with industry input and takes into account jurisdictional specificities.