Requirements for Some Asset-backed Securities The ECB has announced the new loan-level reporting requirements for residential mortgage-backed securities (RMBSs) and ABSs backed by loans to small and medium-sized enterprises (SME ABSs) that are used as collateral in Eurosystem monetary policy operations and are unable to satisfy the timeline announced on 27 November 2012.

The reporting requirements mean that for these securities to be accepted as collateral, loan-by-loan information relating to the underlying loans will need to be provided to the ECB (using templates on the ECB website) within one month of each interest payment date, and at least quarterly. As of 16 October 2013, RMBS and SME ABSs will become ineligible for use as Eurosystem collateral where:

  • They have not attained the mandatory level of compliance with the reporting requirements.
  • The data provider has not given an explanation for the non-compliance or provided an action plan for achieving full compliance.

Where an "adequate explanation" is given for the failure to achieve the mandatory score, the Eurosystem may accept non-compliant RMBSs and SME ABSs as eligible collateral, temporarily and on a case-by-case basis. The full list of adequate explanations is available on the ECB's website.