Gap Analysis Version 3.0 and 3.1
In order to help sponsors, originators and securitisation special purpose entities (SSPEs) implementing the latest templates released by ESMA in their IT systems, European DataWarehouse (ED) has performed comprehensive analyses of the draft revised ESMA reporting templates.
Version 3.0 is between the ECB ABS templates and draft ESMA templates. The analysis was performed with the information available on the ESMA website as of 31 January 2019. This GAP analysis covers RMBS, Auto, SME, Consumer, Leasing and Credit Cards ABS templates. This report is comprehensive and should be used as the starting point for adjusting IT systems.
Version 3.1 is between the draft ESMA templates published on 31 January 2019 and the draft ESMA templates published on 16 October 2019. The changes in version 3.1 should be used in concert with version 3.0.
Gap Analysis 3.0:
European DataWarehouse GmbH (ED) has performed a comprehensive analysis of the draft European Securities and Markets Authority (ESMA) reporting templates published on 31 January 2019 as an Annex to the Opinion report on the Amendments to ESMA’s draft technical standards on disclosure requirements under the Securi-tisation Regulation (EU) 2017/24021. A field-by-field analysis can be found in the annexes of this document and are also available as separate Microsoft Excel files. Version 3.0 of the Gap Analysis, as of March 2019, has been performed with the information available on the ESMA website as of 1 February 2019.
Summary of the Key Differences:
The draft underlying exposure templates published in the first report by ESMA2, and the subsequent versions published by ESMA, are based on the European Central Bank (ECB) Asset-Backed Securities (ABS) loan-level data templates3 and are taking into account other data reporting standards (Bank Integrated Reporting Dictionary) and the reporting under different regulations such as MiFID II and MiFIR. In summary, the following points are illustrations of the key differences between the proposed final ESMA templates and the existing ECB templates.
To read the complete report, click the “Download Sample Report (methodology)” below, or email our team at enquires@eurodw.eu
Gap Analysis 3.1:
European DataWarehouse GmbH (ED) has performed a comprehensive analysis of the “regulatory technical standards (RTS) specifying the information and the details of a securitisation to be made available by the originator, sponsor and special purpose entities (SSPE)”, published by the European Commission (EC) on 16 October 2019. As part of our analysis, we compared these templates with the draft European Securities and Markets Authority (ESMA) reporting templates published on 31 January 2019 as an Annex to the Opinion report on the Amendments to ESMA’s draft technical standards on disclosure requirements under the Securitisation Regulation (EU) 2017/24022.
The methodology of the analysis is described in the document linked below, and a complete report can be found in the Microsoft Excel files accompanying this document, which are available for purchase. Version 3.1 of the Gap Analysis, as of December 2019, has been performed with the information available on the EC website as of 16 October 2019. This report is an Addendum to the ED Gap analysis between the ECB ABS Loan-level data templates and the draft templates proposed by ESMA on 31 January 2019 (version 3.0). ED recommends customers use the Gap Analysis version 3.1 in combination with version 3.0 to understand the full extent of the changes and latest adjustments by the relevant authorities.
European DataWarehouse GmbH’s research team produces a number of annual indices and special research reports to highlight current trends in European the asset-backed security (ABS) market. The data set includes more than 2.5 billion loan-level data points from commercial mortgage-backed securities (CMBS), residential mortgage-backed securities (RMBS), small business loans, auto loans, consumer finance, credit cards and other ABS transactions.
Users can access the data on the ABS platform with European DataWarehouse’s cloud-based solutions EDITOR and EDVANCE, or a standard API interface, and analyse and compare underlying portfolios.
Data used in this research is uploaded by ABS issuers to comply with European Securities and Markets Authority (ESMA) and European Central Bank (ECB) regulatory requirements for asset-backed securitisation transactions, as well as Bank of England loan level data requirements.
For custom research reports or information on how to access the loan-level data yourself, please contact us at enquiries@eurodw.eu. Furthermore, if you have conducted research with our ABS data and would like us to feature it, please email us.