Today the European Central Bank's (ECB) governing council announced how the mandatory provision of loan-by-loan ABS data will be introduced into the securitization single loan-level data repository known as the European DataWarehouse.
At the Information Management Network’s and Association for Financial Markets in Europe’s Global ABS 2012 conference, the ECB's data requirements were one of the main topics of discussion.
In a panel at the gathering, one of the primary concerns raised was whether investors will have enough data through the warehouse to model deal cashflows. Panelists also questioned whether the key drivers of defaults are reflected in the available information and if the expected losses in the event of a default can be modeled using the information from the DataWarehouse. For the full story, please click here.
According to today's ECB announcement, the mandatory provision relating to loan-by-loan ABS data will be introduced on different dates for the various asset classes. For RMBS, this will be mandatory as of Dec 1; for ABS whose underlying assets include loans to small and medium-sized enterprises and for CMBS, the information will be mandatory by January 1, 2013; for consumer finance, leasing and auto loan ABS, the data will be mandatory by January 1, 2014.
The ECB council decided in December 2010 to implement loan-level data reporting requirements for ABS as part of the Eurosystem’s collateral framework. With the preparatory work now finished, it also noted the DataWarehouse's creation, which is utilized to handle loan-level data reporting.
Loan-level data are to be offered according to templates available on the ECB’s Web site, at least on a quarterly basis. The council has also decided on details and modalities of the implementation process.
The ECB added that for the details relating to loan-level data reporting, a nine-month phasing-in period, starting on the dates indicated above for each asset class, will apply to each one. If the loan-level data are incomplete on the given date, they must be completed over the transitional period.
The single loan-level data repository will automatically check ABS on the loan-level information submitted and assign them a score. The score will strictly reflect the specific requirements set out in the provisions governing the Eurosystem’s collateral framework. These moves are for monitoring compliance with the loan-level template requirements and to check the timeliness, consistency and level of completeness of loan-level data, the ECB said.
To allow the effective reporting of loan-level data, the ABS' cash flow-generating assets must all be part of the same asset class. The ABS’s underlying assets must also be part of a homogeneous pool so that loan-level data can be reported in one template matching the underlying assets.
ABS that do not comply with the loan-level data reporting requirements will only be eligible until March 31, 2014.