The ABS loan-level initiative establishes specific loan-by-loan information requirements for asset-backed securities (ABSs) accepted as collateral in Eurosystem credit operations. It will increase transparency and make available more timely information on the underlying loans and their performance to market participants in a standardised format. In the past, assessments of asset-backed securities have been hampered by the lack of standardised, timely and accurate information on single loan exposures. The Eurosystem believes that the new data requirements will help both investors and third-party assessment providers with their due diligence. Ultimately, more transparency will help to restore confidence in the securitisation market.
The Eurosystem investigated the usefulness of ABS loan-by-loan information for market participants via a public consultation and received overwhelming support for the initiative.
The loan-level initiative aims to:
The Eurosystem will take into account loan-level data to determine whether ABSs are eligible as collateral in its credit operations. Via its collateral framework, the Eurosystem can help to improve market functioning and the transparency of the securitisation structures.
Loan-by loan information requirements for residential mortgage-backed securities (RMBSs) and ABS backed by small and medium-sized enterprise (SME) loans will begin on 3 January 2013. On 1 March 2013, the loan-by-loan requirements will begin for commercial mortgage backed securities. On 1 January 2014, the loan-by-loan reporting requirements will start for the remaining asset classes, i.e. for consumer ABS, auto loan ABS and leasing ABS.
The requirements will apply to existing and newly issued ABSs.