EU securitisation – updated ESMA Q&A, reporting instructions and XML schema and validation rules

The Q&A has been updated to include four new questions which concern:

• including information in disclosure templates about underlying exposures which have merged or split (question 5.1.26);
• completing the disclosure template for residential real estate exposures where the collateral supporting the exposure has been sold (question 5.4.7);
• completing the disclosure template for esoteric exposures to include information about the employment status of primary obligors that are central, regional or local administrations (question 5.11.2); and
• completing the disclosure templates for inside information and significant events to include information about pari passu and senior tranches which do not have an assigned ISIN (question 5.15.15).

The Q&A has also been updated to modify the questions and/or answers regarding:

• the requirement to use the new “ESMA” templates as of 23 September 2020 (question 5.1.1);
• new identifier fields (question 5.2.3);
• the calculation of loan-to-value ratios, debt service coverage ratios and debt to income ratios (question 5.2.4);
• default amount and default date fields (question 5.2.5);
• completing the collateral information section for guarantees and multiple items of collateral (question 5.2.10);
• obligor identifiers, collateral identifiers and tenant identifiers (question 5.2.15);
• allocated losses (question 5.2.12);
• energy performance certificate value and energy performance certificate provider name (question 5.3.19);
• reporting primary income in case of buy-to-let in the disclosure template for residential real estate exposures (question 5.4.6);
• reporting principal collections in the period in investor reports (question 5.14.10);
• reporting counterparty information in the disclosure templates for inside information and significant event reporting (question 5.15.1); and
• reporting extension clauses in the disclosure templates for inside information and significant event reporting (question 5.15.7).

The reporting instructions have been updated to include extra information about messages for end-of-day and rejection reports and corrections and cancellations on disclosure messages and the following changes and clarifications have been made to the XML schema and validation rules:

• cancellation of individual exposure records (non-backward compatible);
• codes for property type have been amended to fix inconsistencies on non-ABCP underlying exposure records (non-backward compatible);
• the addition of optional element for the gross annual rental income on non-ABCP underlying exposure records;
• change multiplicity for the set of reporting entity contact details in the investor report; and
• new parent tag added to allow reporting of tranches identifiers when the tranche(s) do(es) not have an assigned ISIN.

Please see our recent Passle blog for further information on the ESMA reporting templates and the associated technical standards.

Feel free to contact us if you would like to discuss any of the changes.