On 17 January 2020, the European Securities and Markets Authority (ESMA) published a consultation paper on guidelines on securitisation repository data completeness and consistency thresholds.

Article 10(7) of the Securitisation Regulation requires ESMA to define regulatory technical standards (RTS) on securitisation repository procedures to “verify the completeness and consistency of the information” that they receive. On 12 November 2018, ESMA published and submitted a final report on securitisation repositories technical standards, which includes a set of RTS on these procedures. These procedures will be applied by securitisation repositories to data on securitisations that are submitted as per the requirements set out in the Securitisation Regulation (i.e. public securitisations). Following the European Commission’s review of the draft RTS, the completeness and consistency verification by securitisation repositories in respect of the ‘No Data Options’ has been finalised into an obligation to ensure that the data submission should be “sufficiently representative” of the underlying exposures in the securitisation.

The draft guidelines that ESMA has published explain how to verify whether a data submission is “sufficiently representative” by using the threshold system that it discussed in its final report on the technical standards for securitisation repositories. In its latest consultation paper, ESMA has set out an initial calibration of thresholds to be applied by repositories when verifying the completeness and consistency of disclosure templates submitted to them by reporting entities. These thresholds will be gradually tightened over time as market participants are able to improve their data collection and reporting processes. However, ESMA feels that it is too early to stipulate how often the thresholds will be revised. It is also not proposed to define a threshold path, but instead use a single set of numbers for the time being.

Steven Maijoor, ESMA’s Chair, said:

“Today’s proposals will help market participants and securitisation repositories to understand ESMA’s expected maximum use of ‘No Data’ options when submitting the information contained in the disclosure templates.

While the technical standards are yet to be adopted by the Parliament and Council, we believe that providing this clarification, ahead of time, to market participants, securitisation repositories, reporting entities and investors will allow them to be sufficiently prepared for the introduction of the new reporting templates. Our proactive approach contributes to stable and orderly markets as well as promoting investor protection.”

The deadline for comments on the consultation paper is 16 March 2020. ESMA aims to publish the final report on the guidelines are close as possible to the publication of the technical standards in the Official Journal of the EU.