Pursuant to Article 4(2)(d) of the draft Commission Delegated Regulation supplementing Regulation (EU) 2017/2402, securitisation repositories are required to verify that 'No Data options' are only used in a securitisation data submission “where permitted and do not prevent the data submission from being sufficiently representative of the underlying exposures in the securitisation”.
ESMA has published a consultation paper which seeks to “help market participants and securitisation repositories to understand ESMA’s expected maximum use of ‘No Data options' when submitting the information contained in the disclosure templates”.
The consultation paper contains guidelines on the operational standards of securitisation repositories and proposes ‘tolerance thresholds’ for use of ‘No Data options' in two situations, along with worked examples of the thresholds:
- legacy assets – where a reporting entity is unable to provide information for a limited number of underlying exposures for several fields; and
- legacy IT systems – where a reporting entity is unable to provide information for many or all underlying exposures for a few fields, for example because such information is stored in other databases and cannot be retrieved in the short run without significant disproportionate expense by reporting entities.
While the guidelines are explicitly for securitisation repositories, they are also of interest in relation to private securitisations for which the same data has to be made available to investors and relevant regulators.
Given that it has been more than a year since the Securitisation Regulation came into force, the attempt to settle the details of the disclosure and transparency regime is commendable, however, the final guidelines will need to be sufficiently flexible to be workable in practice.
The consultation is open until 16 March 2020.
This post forms part of a series on the disclosure and transparency regime under the securitisation framework. Please see below for our comments on the incremental developments.
- 8 February 2019: A spate of developments but new securitisation disclosure requirements still lack clarity
- 18 October 2019: EU Commission adopts finalised draft RTS on securitisation transparency
- 3 December 2019: EU Commission adopts draft RTS on securitisation repositories
- 5 December 2019: ESMA publishes guidance note on registering securitisation repositories
- 20 December 2019: ESMA provides updated XML schema and reporting instructions for securitisation reporting