ESMA Opens Consultation Period on Data Completeness Thresholds and their Calibration

On Friday January 17, ESMA opened a period on assessment of data completeness of Securitization Disclosure. The consultation paper can also be accessed on ESMA’s web site.

Each party reporting data under Article 7 of the Securitization Regulation may use different No Data option for fields it cannot populate (each option disclosing the reason for its use, e.g. ND1 meaning that required information has not been collected because it was not required by the lending or underwriting criteria at the time of origination). In order to keep up the information value of the disclosures, ESMA limits the use of the different No Data options. The core of the new consultation deals with a calibration of acceptance thresholds for the use of No Data[1] options in the disclosure templates. ESMA defines two root causes of No Data usage – Legacy Assets and Legacy IT Systems. The first one represents a situation where the reporting entity lacks most of the data for a limited number of loans granted whereas the later one would be referred to if a limited number of fields is unavailable across many exposures. These thresholds will be applied to all asset classes from templates for underlying exposures, not including Investor reports (Annexes 12 and 13) and Inside Information and Significant Events (Annexes 14 and 15) and are expected to change over time with a trajectory towards increased data completeness.

The consultations paper deals in greater detail with data analysis and requests for a feedback on proposed calibration of initial thresholds for data from both Legacy Assets and Legacy IT Systems. Further to his, ESMA opens a discussion around threshold revision process without making any specific suggestion about the timing.

It also worth noting that ESMA does not expect the Securitization Repositories to check for data completeness for non-STS transactions issued prior to 2019. Only public securitizations issued after Jan 1, 2019 or deals seeking the STS label will be subject to the aforementioned data completeness requirements.

ESMA has announced to close the consultation period on March 16 and evaluate all feedback collected. At PwC, we expect to see ESMA’s follow up on this topic later in Q2, 2020, for which we will publish our detailed opinion via a separate blog entry.

For more information on securitization markets, please feel free to get in touch with your PwC’s subject matter experts.


Petr Surala, CFA – Mail:


[1] ND1-4

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