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The reporting templates are intended to improve transparency, give investors access to loan-level data, as well as ensure that rating agencies and other market participants have the information they need to update their credit and cash flow models.
The templates are designed to ensure compliance with the data protection, banking secrecy and confidentiality regulations.
The Eurosystem has worked closely with Technical Working Group (TWG), consisting of market participants, on the development of loan-level data templates.
The loan-level reporting requirements will start on 3 January 2013 for RMBS and SME ABS, on 1 March 2013 for CMBS, and on 1 January 2014 for Consumer Finance ABS, Leasing ABS and Auto loan ABS.
In the long term, other asset classes may be covered as well. The need to provide loan-by-loan information for the remaining asset classes will be assessed on an on-going basis.
A dedicated manual (taxonomy) is available on this website for each template to assist market participants when they submit loan-level information ( RMBS taxonomy, SME taxonomy, CMBS taxonomy, Consumer Finance ABS taxonomy, Leasing ABS taxonomy, Auto Loan ABS taxonomy).
The RMBS template will ensure that standardised data are gathered for all European RMBS transactions. The RMBS template is applicable to prime and non-conforming RMBS transactions and covers both stand-alone and revolving structures.
Sets of fields: The RMBS template consists of various sets of fields: on the one hand, fields which relate to information about the underlying assets and, on the other, fields which relate to information about bond securities. For those fields relating to the underlying assets, the template includes static fields for information relevant to the underlying assets at issuance and dynamic fields for data that need to be updated regularly.
Mandatory fields: While all of the fields requested in the asset and bond templates are relevant to RMBS securities, the Eurosystem has decided that a subset of those fields should be mandatory. The mandatory fields should be provided to maintain eligibility upon entry into force of the eligibility requirements. The template will operate under a ‘comply or explain’ principle. If a counterparty is not able to complete a certain mandatory field, this will not automatically render the transaction ineligible as the counterparty will be expected to explain why the information cannot be provided. Counterparties are encouraged to include data in optional fields in the template.
Jurisdictional specificities: The RMBS template takes into account jurisdictional specificities and will ensure that standardised data are gathered for all European RMBS transactions. For each jurisdiction, applicable fields are clearly marked in the templates. In certain markets some fields will not apply and therefore do not need to be completed.
Latest update: Please note that the RMBS template and taxonomy have been updated in January 2013. There are new instructions for completing the template regarding the reporting of redeemed / prepaid / repurchased / defaulted / substituted or cancelled loans.
The RMBS taxonomy serves as a dedicated manual for the RMBS template to assist market participants when they submit loan-level information. A key objective of the taxonomy is to define the field sizes, types and descriptions of the data that need to be submitted. The RMBS taxonomy mirrors the RMBS template and provides reporting instructions for each field in the template. It has been developed with industry input and takes into account jurisdictional specificities.
The CMBS template will ensure that standardised data are gathered for all European CMBS transactions. The CMBS template is applicable to all CMBS transactions and covers both stand-alone and revolving structures.
Sets of fields: The CMBS template consists of various sets of fields: on the one hand, fields which relate to information about the underlying assets and the properties underlying the assets, on the other, fields which relate to information about bond securities. For those fields relating to the underlying assets, the template includes static fields for information relevant to the underlying assets at issuance (Loan Setup) and dynamic fields for data that need to be updated regularly (Loan Periodic).
Mandatory fields: While all of the fields requested in the asset and bond templates are relevant to CMBS securities, the Eurosystem has decided that a subset of those fields should be mandatory. The mandatory fields should be provided to maintain eligibility upon entry into force of the eligibility requirements. The instructions tab sets the data requirement for loans of less than €0.5 million (total commercial loan balance at origination) or 1.5% of the total outstanding balance of the pool. The template will operate under a ‘comply or explain’ principle. If a counterparty is not able to complete a certain mandatory field, this will not automatically render the transaction ineligible, as the counterparty will be expected to explain why the information cannot be provided. Counterparties are encouraged to include data in optional fields in the template.
Jurisdictional specificities: The CMBS template takes into account jurisdictional specificities and will ensure that standardised data are gathered for all European CMBS transactions.
Latest update: Please note that the CMBS template and taxonomy have been updated in January 2013, as a result of the findings during the testing phase with data providers.
The CMBS taxonomy serves as a dedicated manual for the CMBS template to assist market participants when they submit loan-level information. A key objective of the taxonomy is to define the field sizes, types and descriptions of the data that need to be submitted. The CMBS taxonomy mirrors the CMBS template and provides reporting instructions for each field in the template. It has been developed with industry input and will take into account jurisdictional specificities. It is expected that, along with the data templates, the taxonomy will be updated regularly.
The SME template will ensure that standardised data are gathered for all European SME transactions. The SME template is applicable to all SME transactions with the exception of those where the underlying assets are constituted by leasing contracts. The template covers both stand-alone and revolving structures.
Sets of fields: The SME template consists of various sets of fields: on the one hand, fields which relate to information about the underlying assets and the properties underlying the assets, on the other, fields which relate to information about bond securities. For those fields relating to the underlying assets, the template includes static fields for information relevant to the underlying assets at issuance and dynamic fields for data that need to be updated regularly.
Mandatory fields: While all of the fields requested in the asset and bond templates are relevant to SME securities, the Eurosystem has decided that a subset of those fields should be mandatory. The mandatory fields should be provided to maintain eligibility upon entry into force of the eligibility requirements. The template will operate under a ‘comply or explain’ principle. If a counterparty is not able to complete a certain mandatory field, this will not automatically render the transaction ineligible as the counterparty will be expected to explain why the information cannot be provided. Counterparties are encouraged to include data in optional fields in the template.
Jurisdictional specificities: The SME template takes into account jurisdictional specificities and will ensure that standardised data are gathered for all European SME transactions.
Latest update: Please note that the SME template and taxonomy have been updated in December 2012, as a result of the findings during the testing phase with data providers. The main changes include a change in the number of mandatory fields for the amortisation profile, the introduction of a new option “No Collateral (4)” in field Security Type (CS3), and the addition of a new mandatory field (CS28) to identify if there are multiple collateral pieces, a few or none.
The SME taxonomy serves as a dedicated manual for the SME template to assist market participants when they submit loan-level information. A key objective of the taxonomy is to define the field sizes, types and descriptions of the data that need to be submitted. The SME taxonomy mirrors the SME template and provides reporting instructions for each field in the template. It has been developed with industry input and takes into account jurisdictional specificities.
The Consumer Finance ABS template - last update: 18 January 2013 will ensure that standardised data are gathered for all European Consumer Finance ABS transactions. The Consumer Finance ABS template is applicable to all types of consumer loans, except credit card receivables.
Sets of fields: The template consists of various sets of fields: on the one hand, fields which relate to information about the underlying assets and, on the other, fields which relate to information about bond securities. For those fields relating to the underlying assets, the template includes static fields for information relevant to the underlying assets at issuance and dynamic fields for data that need to be updated regularly.
Mandatory fields: While all of the fields requested in the asset and bond templates are relevant to Consumer Finance ABS securities, the Eurosystem has decided that a subset of those fields should be mandatory. The mandatory fields should be provided to maintain eligibility upon entry into force of the eligibility requirements. The template will operate under a ‘comply or explain’ principle. If a counterparty is not able to complete a certain mandatory field, this will not automatically render the transaction ineligible as the counterparty will be expected to explain why the information cannot be provided. Counterparties are encouraged to include data in optional fields in the template.
Jurisdictional specificities: There are no jurisdictional specificities needed for the Consumer Finance ABS template.
Latest update: Please note that the Consumer Finance ABS template was updated in January 2013, together with the taxonomy which was not available before.
The Consumer Finance ABS taxonomy serves as a dedicated manual for the Consumer Finance ABS template to assist market participants when they submit loan-level information. A key objective of the taxonomy is to define the field sizes, types and descriptions of the data that need to be submitted. The Consumer Finance ABS taxonomy mirrors the Consumer Finance ABS template and provides reporting instructions for each field in the template. It has been developed with industry input and takes into account jurisdictional specificities.
The Leasing ABS template - last update: 18 January 2013 will ensure that standardised data are gathered for all European Leasing ABS transactions.
Sets of fields: The template consists of various sets of fields: on the one hand, fields which relate to information about the underlying assets and, on the other, fields which relate to information about bond securities. For those fields relating to the underlying assets, the template includes static fields for information relevant to the underlying assets at issuance and dynamic fields for data that need to be updated regularly.
Mandatory fields: While all of the fields requested in the asset and bond templates are relevant to Leasing ABS securities, the Eurosystem has decided that a subset of those fields should be mandatory. The mandatory fields should be provided to maintain eligibility upon entry into force of the eligibility requirements. The template will operate under a ‘comply or explain’ principle. If a counterparty is not able to complete a certain mandatory field, this will not automatically render the transaction ineligible as the counterparty will be expected to explain why the information cannot be provided. Counterparties are encouraged to include data in optional fields in the template.
Jurisdictional specificities: There are no jurisdictional specificities needed for the Leasing ABS template.
Latest update: Please note that the Leasing ABS template was updated in January 2013, together with the taxonomy which was not available before.
The Leasing ABS taxonomy serves as a dedicated manual for the Leasing ABS template to assist market participants when they submit loan-level information. A key objective of the taxonomy is to define the field sizes, types and descriptions of the data that need to be submitted. The Leasing ABS taxonomy mirrors the Leasing ABS template and provides reporting instructions for each field in the template. It has been developed with industry input and takes into account jurisdictional specificities.
The Auto Loan ABS template - last update: 18 January 2013 will ensure that standardised data are gathered for all European Auto loan ABS transactions. The template is appropriate for auto loans to both companies and individuals.
Sets of fields: The template consists of various sets of fields: on the one hand, fields which relate to information about the underlying assets and, on the other, fields which relate to information about bond securities. For those fields relating to the underlying assets, the template includes static fields for information relevant to the underlying assets at issuance and dynamic fields for data that need to be updated regularly.
Mandatory fields: While all of the fields requested in the asset and bond templates are relevant to Auto loan ABS securities, the Eurosystem has decided that a subset of those fields should be mandatory. The mandatory fields should be provided to maintain eligibility upon entry into force of the eligibility requirements. The template will operate under a ‘comply or explain’ principle. If a counterparty is not able to complete a certain mandatory field, this will not automatically render the transaction ineligible as the counterparty will be expected to explain why the information cannot be provided. Counterparties are encouraged to include data in optional fields in the template.
Jurisdictional specificities: There are no jurisdictional specificities needed for the Auto loan ABS template.
Latest update: Please note that the Auto loan ABS template was updated in January 2013, together with the taxonomy which was not available before.
The Auto Loan ABS taxonomy) serves as a dedicated manual for the Auto loan ABS template to assist market participants when they submit loan-level information. A key objective of the taxonomy is to define the field sizes, types and descriptions of the data that need to be submitted. The Auto loan ABS taxonomy mirrors the Auto loan ABS template and provides reporting instructions for each field in the template. It has been developed with industry input and takes into account jurisdictional specificities.
