Disclosure under the new Securitisation Regulation
ESMA Reporting Instructions
Less than a year after the publication of a final report of Regulatory Technical Standards (RTS) on disclosure requirements under the new securitization regulation, reporting instructions associated XML-schema were published on July 17, 2019 prior to the adoption and publication by the European Commission. These measures are an important step towards an efficient implementation and increased transparency in the European securitisation market.
On July 17, 2019 the ESMA published Reporting Instructions relating to the disclosure requirements under Article 7 of the new Securitisation Regulation (Regulation (EU) No 2017/2402) (see also White Paper 81 on the revised European Securitisation Regulation). These requirements apply to originators, sponsors and securitisation special purpose entities (SSPE) and are intended to enhance the transparency of the European securitisation market. For this reason, the ESMA has developed four Message Definitions and associated XML schemas to harmonise and simplify the reporting process for ABCP and non-ABCP securitisation information.
As already stated in the ESMA Opinion published on January 31, 2019 for the fields contained in the 14 templates more "No Data" options were granted. For these "No Data" options, ESMA differentiates between various reasons if no disclosure is made under indication of the following numbering:
The changed requirements represent a facilitation - in particular for sponsoring banks in the ABCP-sector. In order to accelerate the timely practical implementation of Article 7 (Transparency requirements for originators, sponsors and SSPEs) of the Securitisation Regulation, which is applicable since January 2019, ESMA has already published the Reporting Instructions before the official adoption of the respective Delegated Act by the European Commission.
The Reporting Instructions refer to the roles defined in the securitisation regulation that a market participant can assume and explain the processes involved in the notification. It should be noted that ESMA refers to public securitisations in these instructions since in comparison to private securitisations a securitisation repository is designated by the originator, sponsor or also the SSPE for the purpose of fulfilling transparency requirements in accordance with Article 7(2) of the Securitisation Regulation.
Explanation and Goals
For the submission of the 14 templates, the following Message Definitions and associated identifiers were defined for the information to be reported with regard to the underlying exposures, investor reports, significant events, insider information and status information in accordance with ISO 20022 :
- Securitisation non-ABCP Underlying Exposure Report message,
- Securitisation non-ABCP Significant Event and Investor Report message,
- Securitisation ABCP Underlying Exposure Report message,
- Securitisation ABCP Inside Significant Event and Investor Report message,
- Financial Instrument Reporting Status Advice
It also describes, inter alia, what information should be included in the report, how often and under what conditions it should be submitted and how to deal with changes regarding structural or risk characteristics during the reporting period. In the same vein, the reporting instructions deal with error handling regarding certain data or reports and with details on how to make changes to a particular securitisation record recognisable by an identifier.
ESMA’s technical standards concerning the transparency requirements under the Securitisation Regulation are yet to be adopted and published by the European Commission, therefore the amendments are not final and may be subject to changes. The same applies to the XML schemas and the validation rules.