The study by Oliva Hauet, Principal Economist at ECB, delves into the intricate and disjointed nature of reporting obligations pertaining to securitization matters within the EU financial system. It underscores the fragmented reporting landscape, characterized by diverse entities and templates, resulting in elevated costs and jeopardized data quality. The deficiency in technical and semantic integration is underscored, accentuating the difficulties encountered by credit institutions in fulfilling these reporting mandates.
Before the introduction of the STS securitization framework (SECR), the ECB initiated the collection of loan-level data (LLD) in 2013. The provision of LLD by originators via the European DataWarehouse was defined as a prerequisite for the recognition of the eligibility of securitisations by the ECB. Market participants have successfully implemented these requirements since then and no new regulation was actually required. Despite SECR’s goal to mitigate regulatory fragmentation through cross-sectoral common rules, it has not effectively streamlined reporting requirements. The ESMA was tasked with developing technical standards aligning with SECR Articles 5 and 7. ESMA adopted an approach akin to ECB LLD, fashioning templates that compile comprehensive information about securitization, encompassing underlying exposures and counterparties, including natural persons, collaterals, accounts, cashflows, and trigger events.
Another facet of reporting obligations related to capital requirements calculations falls under the purview of the EBA. In this context, new common reporting (COREP) templates were released in 2019, with subsequent additions covering SECR amendments.
Supplementary notification requirements augment the ESMA and EBA reporting frameworks:
- Originators are due to notify ESMA of securitisations meeting the STS criteria in accordance with the ‘STS notifications templates’.
- Significant institutions originating securitisations and applying for SRT are required to notify the Single Supervisory Mechanism (SSM) of their intentions at least three months in advance of the expected closing date of the transaction.
- In 2022, the ECB published a non-binding guide on the notifications of securitisation transactions. Significant institutions acting as originators or sponsors are encouraged to populate an Excel template at origination and upon significant events.
From a statistical perspective, credit institutions relay securitization data to the ECB through national central banks, encompassing the Balance Sheet Items regulation, the analytical credit data sets (AnaCredit), and the ECB’s securities holding statistics. Additional complexities arise from external factors such as Brexit and Sustainable Finance, further intricating the reporting landscape. The overarching theme underscores the persistently fragmented nature of reporting obligations, posing challenges for credit institutions.
Oliva Hauet’s study suggests that greater regulatory intervention in terms of consistent and proportionate reporting requirements is needed to help revitalise securitisation markets in the EU.