ESMA Securitisation Template

From Open Risk Manual

Background

The European Union's Securitisation Regulation published on 28 December 2017 lays down common rules on securitisation and creates a European framework for simple, transparent and standardised (STS) securitisation. Article 7(3) and (4) mandated ESMA to produce draft RTS and ITS specifying information on securitisation underlying exposures and investor reports as well as standardised templates for the submission of the information. In addition, a separate article (Article 17(2)(a) and (3)) mandates ESMA to draft RTS and ITS specifying inter alia the information and standardised templates that should be provided by the originator, sponsor, or SSPE to comply with the information requirements of Article 7(1).

Update History

  • February 2018 (Amended)) Version [1]

Structure

The templates can be represented as a set of tables[2] :

Annex No Asset Class Data Section 1 Data Section 2 Data Section 3 Data Section 4
2 Residential Real Estate Exposures Collateral
3 Commercial Real Estate Exposures Collateral Tenant Information
4 Corporate Exposures Collateral
5 Automobile Exposures
6 Consumer Exposures
7 Credit Cards Exposures
8 Leasing Exposures
9 Esoteric Assets Exposures Collateral
10 Non-Performing Exposures Exposures Collateral History
11 ABCP Exposures

Disclaimers

The ESMA Securitisation Template documentation has been converted into online hyperlinked content that is embedded within the Open Risk Manual. There is no guarantee that the conversion is faithful to the original. When in doubt, consult the documentation and templates provided by ESMA.

References

  1. Amendments to ESMA’s draft technical standards on disclosure requirements under the Securitisation Regulation, 31 January 2019 | ESMA33-128-600
  2. At present only Underlying Exposure data are included

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