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The loan-level initiative lays out specific information requirements per loan for both asset-backed securities (ABS) and non-marketable debt securities backed by eligible credit obligations that can be accepted as collateral in Eurosystem credit operations (SME and public sector debt securities backed by eligible credit obligations (DECC)). This will increase transparency and provide market participants with more timely information in a standard format on the underlying loans and their performance. Until now, the valuation of ABS has been hampered by a lack of standardized, timely and accurate information on single loan exposures. The Eurosystem believes that the data requirements will aid due diligence for both investors and third-party valuation providers. Ultimately, increased transparency will help restore confidence in the securitization market.
The Eurosystem has explored the usefulness of ABS loan-specific information for market participants through a public consultation, which has received overwhelming support for the initiative.
Main Objective
The objectives of the loan-level initiative are to:
Improving transparency in the ABS market by requiring loan-by-loan information to be continuously available and accessible to market participants, which is considered necessary for the revival of the ABS market and will facilitate Eurosystem counterparties' risk assessment of ABS and DECC as collateral for monetary policy operations.
Eligibility Requirements
The Eurosystem will take into account loan-level data to determine whether ABS and DECC are eligible as collateral for credit operations. Through its collateral framework, the Eurosystem can contribute to improving market functioning and transparency in securitization structures.
Loan-by-loan information requirements for residential mortgage-backed securities (RMBS) and ABS secured by small and medium-sized enterprise (SME) loans began on January 3, 2013. Loan-by-loan requirements began on March 1, 2013 for commercial mortgage-backed securities. Loan-by-loan reporting requirements began on January 1, 2014 for consumer ABS, auto loan ABS, and lease ABS. Loan-by-loan reporting requirements began on April 1, 2014 for ABS secured by credit card receivables. Reporting requirements for SME DECCs were established on March 27, 2016. Reporting requirements for public sector DECCs were established on March 3, 2016.
This requirement applies to existing and newly issued ABS and DECCs.
Further information on the special provisions of these instruments can be found on the eligibility requirements page.