On Friday 26 February 2021, the European Securities and Markets Authority published updated versions of its Q&A on the EU securitisation regulation and its reporting instructions and XML schema and validation rules for disclosure templates.

The Q&A has been updated to include four new questions which concern:

  • including information in disclosure templates about underlying exposures which have merged or split (question 5.1.26);
  • completing the disclosure template for residential real estate exposures where the collateral supporting the exposure has been sold (question 5.4.7);
  • completing the disclosure template for esoteric exposures to include information about the employment status of primary obligors that are central, regional or local administrations (question 5.11.2); and
  • completing the disclosure templates for inside information and significant events to include information about pari passu and senior tranches which do not have an assigned ISIN (question 5.15.15).

The Q&A has also been updated to modify the questions and/or answers regarding:

  • the requirement to use the new “ESMA” templates as of 23 September 2020 (question 5.1.1);
  • new identifier fields (question 5.2.3);
  • the calculation of loan-to-value ratios, debt service coverage ratios and debt to income ratios (question 5.2.4);
  • default amount and default date fields (question 5.2.5);
  • completing the collateral information section for guarantees and multiple items of collateral (question 5.2.10);
  • obligor identifiers, collateral identifiers and tenant identifiers (question 5.2.15);
  • allocated losses (question 5.2.12);
  • energy performance certificate value and energy performance certificate provider name (question 5.3.19);
  • reporting primary income in case of buy-to-let in the disclosure template for residential real estate exposures (question 5.4.6);
  • reporting principal collections in the period in investor reports (question 5.14.10);
  • reporting counterparty information in the disclosure templates for inside information and significant event reporting (question 5.15.1); and
  • reporting extension clauses in the disclosure templates for inside information and significant event reporting (question 5.15.7).

The reporting instructions have been updated to include extra information about messages for end-of-day and rejection reports and corrections and cancellations on disclosure messages and the following changes and clarifications have been made to the XML schema and validation rules:

  • cancellation of individual exposure records (non-backward compatible);
  • codes for property type have been amended to fix inconsistencies on non-ABCP underlying exposure records (non-backward compatible);
  • the addition of optional element for the gross annual rental income on non-ABCP underlying exposure records;
  • change multiplicity for the set of reporting entity contact details in the investor report; and
  • new parent tag added to allow reporting of tranches identifiers when the tranche(s) do(es) not have an assigned ISIN.