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