Loan-level requirements
Introduction
The Eurosystem has the following loan-level information requirements for asset-backed securities (ABSs) and for non-marketable debt instruments backed by eligible credit claims (SME and public sector debt instruments backed by eligible credit claims (DECCs)) accepted as collateral in Eurosystem credit operations.
Main objectives
The loan-level requirements aim to:
- improve transparency in ABS markets by requiring loan-by-loan information to be available and accessible to market participants on an ongoing basis;
- facilitate the risk assessment of ABSs and DECCs as collateral used by Eurosystem counterparties in monetary policy operations.
Eligibility requirements
The Eurosystem takes into account loan-level data to determine whether ABSs and DECCs are eligible as collateral in its credit operations.
Loan-level requirements apply to existing and newly issued ABSs and DECCs.
Loan-level data are required for ABSs seeking collateral eligibility. These data should be submitted via a securitisation repository registered with the European Securities and Markets Authority (ESMA) and using the templates developed by ESMA (see Data templates section). Regardless of any exemption from the disclosure requirements under Regulation (EU) 2017/2402 (the Securitisation Regulation), all ABSs seeking collateral eligibility are subject to the same loan-level data requirements as described on this page.
In line with the Securitisation Regulation, loan-level data must be reported on at least a quarterly basis and no later than one month following the due date for the payment of interest on the ABS in question. The data submitted should not be more than two months old.
DECC issuers are required to submit loan-level data using specific standardised templates (see Data templates section) via the European DataWarehouse. Loan-level data must be reported on at least a monthly basis and no later than one month following the cut-off date (i.e. the last calendar day of the month).