ESMA publishes final report on securitisation repository data guidelines

In January 2020, we discussed ESMA’s publication of a consultation paper on securitisation data submissions pursuant to Article 4(2)(d) of the draft Commission Delegated Regulation supplementing Regulation (EU) 2017/2402. The consultation paper sought 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”.

ESMA has now published its final report based on the consultation, during which the majority of respondents supported the approach suggested by ESMA in its proposed guidelines on securitisation repository data completeness and consistency thresholds. ESMA has also further developed and clarified the guidelines based on the feedback it received.

Significantly, there will be more leeway than initially proposed in relation to the use of ‘No Data options’ in the reporting of ‘corporate’ loan exposures, where the tolerance thresholds have been increased from 20 to 35. ESMA’s intention is to limit this leeway over time as market participants become more experienced with the reporting requirements.

Some respondents suggested that the scope of application of the guidelines should be limited to the public securitisation market as the guidelines are more directly relevant to securitisation repositories. ESMA, however, appears to maintain its view that the guidelines are also intended to guide investors in private securitisations as to the data they should expect to receive. ESMA also provides clarification on a transition period for the application of the thresholds and the guiding principles it will consider when revising the thresholds in future.

Securitisation repositories are required to make every effort to comply with the guidelines and ESMA will monitor its application for the purpose of its supervision as of 1 January 2021, although repositories are not required to report their compliance with the guidelines.