On 21 December 2023, ESMA published the long-awaited consultation on the disclosure templates. The origin of this consultation lies in the report on the functioning of the Securitisation Regulation from October 2022, in which the EU Commission invited ESMA to revise the disclosure templates (see TSI kompakt of 10 October 2022). Following initial bilateral discussions with market participants in autumn 2022 and an informal field-by-field review at the beginning of 2023, in which TSI participated together with its partner companies and the German Banking Industry Committee, this consultation is now the logical next step.
In addition to the ongoing consultation on the Article 44 Review of the ESAs (see TSI kompakt of 12 December 2023), this is another important opportunity for the market to provide the supervisory authority with feedback on the current securitisation regulation.
ESMA is searching for the right approach
In the consultation, ESMA is not yet proposing a future design of the transparency requirements in accordance with Article 7 of the Securitisation Regulation, despite previous explorations. Instead, it proposes four possible approaches and points out that a combination of several options may also be appropriate. The four options are summarised below.
The four options for further action
Option A – everything remains as it is: The disclosure templates remain untouched until the Level I text is reviewed, thus overlaps or duplication of work with a possible review of the Level I text should be avoided. However, this review is not yet planned or foreseeable.
Option B – minor adjustments:
Option B builds on Option A but provides for an adjustment to the ND options: Stricter criteria would be introduced for options ND1-4 and the sum of fields with the possibility of an ND indication would be restricted in order to reduce the use of the ND5 option. Furthermore, under this option B, the templates are to be expanded to include information on climate risks. These should also play a role in all other options.
Option C – targeted revision of the templates:
This option C could introduce a new standardised template for private transactions based on the SSM notification template which is designed in line with the needs of the supervisory authority. Furthermore, the data requirements for some asset classes (in particular auto loans/leases, credit cards, trade receivables) would be changed from loan level to portfolio level. In addition, some templates are to be optimised or deleted or new templates might be designed for certain asset classes (e. g. trade receivables).
Option D – Complete review of the disclosure requirements:
Within this option, the disclosure templates would be revised in full, i. e. substantially simplified and focussed on the underlying asset class rather than the transaction type. For suitable asset classes, the requirements would be changed from loan level to portfolio level, as under option C. In addition, the ND options are to be converted to mandatory, conditionally mandatory and optional data fields. This option is therefore the opposite of option A.
Evaluation of the consultation and next steps
The options proposed by ESMA differ greatly in terms of content and cover practically all possible approaches. This shows that ESMA is still looking for the right approach to revising the disclosure templates 14 months after the EU Commission’s request, despite the extensive consultation steps already taken (initial discussions, field-by-field review). The main reason cited is the very heterogeneous feedback from the market, which in TSI’s view is not surprising given the different market segments and stakeholders (sellers, investors, rating agencies, supervisory authorities). However, it also shows that ESMA has dealt with this issue in detail. The feedback received from the market to date has been extensively incorporated into the consultation.
Before preparing feedback, we recommend a detailed reading of the consultation paper, which is well worth reading. The TSI will prepare a statement together with its partner companies to support ESMA in a meaningful revision of the disclosure templates and to contribute to the optimisation of the disclosure requirements. The deadline for the submission of feedback is 15 March 2024.