At one of the panels at the Global ABS 2011 conference being held in Brussels this week, participants discussed the new data disclosure requirements from the European Central Bank (ECB).
Securitizaqtion issuers will need to comply with these data requirements if they want their ABS to be eligible under the Eurosystem collateral framework.
The ECB has completed the data templates for RMBS, CMBS and SME loans as part of its ABS data warehouse. It is now working on making the templates for auto ABS, other consumer assets and leases, said Fernando Gonzalez Miranda, head of risk strategy section, risk management at the ECB.
The bank is also working on the taxonomy (or dedicated manual) for all these assets classes. Gonzalez Miranda also noted that there will be an 18-month adaptation period to possibly determine whether there is something additional that needs to be done.
According Gonzalez Miranda, the ECB-chaired technical working group, which has been established to offer advice on the ABS loan-level initiative’s various aspects and which comprises senior securitization players, has been working on what the best loan-level template and aggregated information to provide via the information warehouse.
Jessica Miller, senior manager at PWC, said that there might be operational issues in terms of ABS originators. Their systems, she said, “were not designed for these templates.”
Other issues that were raised by the speakers included the ownership of the data and the length of time needed to export the information, which might take at least six to nine months.
This is a voluntary scheme, Gonzalez Martinez pointed out, that issuers will be motivated to comply with if they want to be eligible for the Eurosystem’s credit operations. He also said that the data belongs to the participating banks, but the ECB will have the right to distribute the information via the data warehouse.
Issuers are well advised, panelists said, to begin preparations to implement requirements under the warehouse now.
Gonzalez Martinez said that the data warehouse is not a panacea, but a step in the right direction given the significant number of defaults in the triple-A area that the market has experienced. He also said that considering that the Eurosystem is a 17-country entity, there is a need for a standardized solution that has no room for any leeway.