With the aim of contributing to delivering a regulatory rulebook for European securitisation markets, the European Securities and Markets Authority ("ESMA") has published an Opinion ( ESMA33-128-600) containing a revised set of draft regulatory standards ("RTS") and implementing technical standards ("ITS") under the Securitisation Regulation1 that address which details of a securitisation need to be published by the originator, sponsor, and Securitisation Special Purpose Entity ("SSPE"), as well as the relevant format and templates. The Opinion reflects ESMA's response to the European Commission's ("EC") request for certain amendments to the disclosure RTS/ITS published in ESMA's Final Report ( ESMA33-128-474) in August 2018, which takes account of the feedback received during the public consultation of the Draft Technical Standards on disclosure requirements to be fulfilled by originators, sponsors, and securitisation special purpose entities in securitisations, which we examined in our White Paper of February 2018.

Additionally, ESMA published a first set of Q&As ( ESMA33- 128-563), based on stakeholder feedback and questions on the disclosure ITS/RTS received by ESMA since August 2018, covering technical issues on how to complete template fields, which will be updated in due course.

In this Jones Day White Paper, we set out ESMA's key proposals as amended in response to the EC's request.

CURRENT STATUS AND NEXT STEPS

Based on ESMA's Opinion, the EC will adopt Delegated Regulations with regard to:

  • RTS specifying the information and the details of a securitisation to be made available by the originator, sponsor, and SSPE; and
  • ITS on the format and standardised templates for making available information and details of a securitisation by the originator, sponsor, and SSPE.

The templates enter into force according to the date set out in the Delegated Regulations that the EC will adopt. For the time being, reporting entities are invited to refer to the statement made by the Joint Committee of the European Supervisory Authorities that makes reference to Article 43 of the Regulation (EU) 2017/2402.

KEY OUTCOMES OF THE CONSULTATION AND THE OPINION

New templates were added on nonperforming underlying exposures, including collateralised loan obligations ("CLO"), securitisations ("Annex 10"), and esoteric underlying exposures ("Annex 9").2

New templates were added on insider dealing and market manipulation relating to securitisations that must be made public under the Market Abuse Regulation3 ("MAR"), also including significant events affecting the securitisation, addressing material changes in its structural features, changes to its risk characteristics and STS criteria, or where authorities have taken remedial or administrative sanctions (Annexes 14 for non-asset backed commercial paper ("ABCP") securitizations and 15 for ABCP).

Regarding the "No Data" option, adjustments and clarifications to the template fields were made. In particular, ESMA has:

  • adjusted the content to report for fields relating to borrower employment status, certain income-related fields (e.g., primary income, primary income type, primary income currency); the calculation method for the balance of the underlying exposure in arrears; the definition of "restructuring"; and fields relating to geographic regions;
  • adjusted the collateral sections of the residential and commercial real estate templates to streamline the structures of these templates and remove several fields that became no longer necessary as a result of the restructuring;
  • adopted a more closely adapted arrangement for risk retention signalling in ABCP securitisations.

Deviating from the initial proposal, the reporting entity designated among the originator, sponsor, and SSPE should be responsible for the creation of unique identifiers to track information across the securitisation/ABCP transactions instead of the securitisation repository.

Footnotes

1 Regulation 2017/2402 of the European Parliament and of the Council laying down a general framework for securitisation and creating a specific framework for simple, transparent, and standardised securitisation.

2 Such templates were already included in the Final Report of 22 August 2018.

3 Regulation (EU) No 596/2014 of the European Parliament and of the Council of 16 April 2014 on market abuse (market abuse regulation).

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