ABS Loan Level Initiative

From Open Risk Manual

Definition

The ECB ABS loan-level initiative establishes specific loan-by-loan information requirements for asset-backed securities (ABSs) accepted as collateral in the Eurosystem credit operations.

The availability of relevant loan level data is considered best practice when analysing credit portfolios underpinning securities. Absence of such data or poor quality data has been one of the factors attributed to the collapse of the securitisation market during the financial crisis.

The data templates cover many major ABS classes: RMBS, CMBS, SME, Consumer Finance, Leasing, Auto ABS, Credit Card ABS.

Objectives

The loan-level initiative aims to:

  • Improve transparency in ABS markets by requiring loan-by-loan information to be available and accessible to market participants on an ongoing basis.
  • Facilitate the risk assessment of ABSs as collateral used by Eurosystem counterparties in monetary policy operations.

History

(Information Requirements / Reporting Templates)

3 January 2013

Loan-by-loan information requirements for residential mortgage-backed securities (RMBSs) and ABSs backed by small and medium-sized enterprise (SME) loans

1 March 2013

Loan-by-loan requirements began for commercial mortgage-backed securities

1 January 2014

Loan-by-loan reporting requirements began for consumer ABSs, auto loan ABSs and leasing ABSs.

1 April 2014

Loan-by-loan reporting requirements will begin for ABSs backed by credit card receivables.

Issues and Challenges

  • Some securitisation asset classes have had vague boundaries and overlaps, e.g., CMBS with CRE CDO

References


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