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Eligibility requirements

Frequency of data submission

Loan-level data must be reported at least on a quarterly basis, no later than one month following the due date for payment of interest on the asset-backed security in question.

Scoring of data

As of the implementation date for each class of asset-backed security, loan-by-loan information regarding an ABS’s pool of cash flow-generating assets must be provided in order for that ABS to become or remain eligible. Three months after that implementation date, the asset-backed security must have achieved a minimum level of compliance, which is assessed with reference to the availability of information for particular fields in the loan-level template. In order to ascertain the reasons for any unavailability of data, seven “no data” (“ND”) options are available. These must be used whenever data cannot be submitted in accordance with the template.

The various “no data” options and their meaning are set out in the following table:

“No Data” option Explanation
ND 1 Data not collected as not required by the underwriting criteria
ND 2 Data collected at application but not loaded in the reporting system at completion
ND 3 Data collected at application but loaded in a separate system from the reporting one
ND 4 Data collected but will only be available from YYYY-MM
ND 5 Not relevant at the present time
ND 6 Not applicable for the jurisdiction
ND 7 Only for CMBS loans with a value less than EUR 500 000, i.e. the value of the whole commercial loan balance at origination

Gradual introduction via compliance scoring

The following transitional timetable (which is based on the implementation date for the relevant class of asset-backed security) applies to all ABSs.

  • The first three months following the implementation date for the requirements is a test period. Loan-level data must be reported, but no specific limits or thresholds apply – i.e. there are no minimum compliance levels.
  • In the second three-month period , the number of mandatory fields reported as “ND 1” may not exceed 30% of the total number of mandatory fields, and the total number of mandatory fields reported as “ND 2”, “ND 3” or “ND 4” may not exceed 40% of the total number of mandatory fields.
  • In the third three-month period , the number of mandatory fields reported as “ND 1” may not exceed 10% of the total number of mandatory fields, and the total number of mandatory fields reported as “ND 2”, “ND 3” or “ND 4” may not exceed 20% of the total number of mandatory fields.
  • Thereafter, no mandatory fields for loan-level data may be reported as “ND 1”, “ND 2”, “ND 3” or “ND 4” for any individual transaction.

Applying the above-mentioned thresholds, the European DataWarehouse will generate and assign a score to each ABS transaction following the submission and processing of loan-level data. This score will reflect the number of mandatory fields reported as “ND 1” and the total number of mandatory fields reported as “ND 2”, “ND 3” or “ND 4” (relative, in both cases, to the total number of mandatory fields). The options “ND 5”, “ND 6” and “ND 7” may, in this regard, only be used if applicable to the relevant fields in the data reporting template.

The two thresholds are combined to produce the following matrix indicating the range of possible scores for loan-level data:

Scoring matrix
ND 1 fields
0 ≤ 10% ≤ 30% > 30%
ND 2,
ND 3 or ND 4
0 A1 B1 C1 D1
≤ 20% A2 B2 C2 D2
≤ 40% A3 B3 C3 D3
> 40% A4 B4 C4 D4

The Eurosystem may temporarily accept as eligible collateral non-compliant transactions (except CMBS) on a case-by-case basis and subject to the provision of adequate explanations about the reason for the failure to achieve the mandatory score. For each adequate explanation the Eurosystem will specify a maximum tolerance level and a tolerance horizon. The tolerance horizon indicates that data quality must improve within the specified time period.

The full list of adequate explanations is provided in the overview below, as well as their corresponding tolerance levels and tolerance horizons. This overview is subject to revision at the Eurosystem’s discretion.

Legacy assets

Almost all mandatory fields in data submissions received so far for these transactions are completed. However, a small share of assets has missing data for a limited number of mandatory fields. At the same time, for newly originated assets such data are being successfully collected and reported in the applicable templates.

Tolerance horizon

Long term
No precise deadline possible; quantitative criteria will be regularly re-assessed to incentivize compliance

Tolerance threshold until [30 September 2016]

Number of legacy assets ≤ 10% of all the active loans in the transaction, and
Number of mandatory fields not filled with data across all the legacy assets ≤ 10

Tolerance threshold after [1 October 2016]

Number of legacy assets ≤ 7% of all the active loans in the transaction, and
Number of mandatory fields not filled with data across all the legacy assets ≤ 7

Additional qualitative criteria

Comply or explain approach will continue to apply until the issue is deemed resolved by the Eurosystem

Legacy IT systems

The loan originator’s IT systems do not store a small amount of mandatory data.

Tolerance horizon

Long term
No precise deadline possible; quantitative criteria will be regularly re-assessed to incentivize compliance

Tolerance threshold until [30 September 2016]

Number of mandatory fields not filled with data across all the loans ≤ 5

Tolerance threshold after [1 October 2016]

Number of mandatory fields not filled with data across all the loans ≤ 3

Additional qualitative criteria

Comply or explain approach will continue to apply until the issue is deemed resolved by the Eurosystem

Not integrated IT systems

Data not reported because the required data are stored in different systems that cannot easily be consolidated (such as due to recent bank mergers).

Tolerance horizon

Long term
No precise deadline possible; quantitative criteria will be regularly re-assessed to incentivize compliance

Tolerance threshold until [30 September 2016]

Number of mandatory fields not filled with data across all the loans ≤ 5

Tolerance threshold after [1 October 2016]

Number of mandatory fields not filled with data across all the loans ≤ 5

Additional qualitative criteria

Comply or explain approach will continue to apply until the issue is deemed resolved by the Eurosystem

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