On 10 July 2020, the European Securities and Markets Authority (ESMA) published a final report on the guidelines on securitisation repository data completeness and consistency thresholds. The guidelines provide clarity for market participants and securitisation repositories (SRs) on the accepted levels of No-Data (ND) Options contained in the securitisation data submitted to SRs.

Article 4(2)(d) of the Securitisation Repository Operational Standards Delegated Regulation (Commission Delegated Regulation (EU) …/…supplementing Regulation (EU) 2017/2402 of the European Parliament and of the Council with regard to regulatory technical standards on securitisation repository operational standards for data collection, aggregation, comparison, access and verification of completeness and consistency) requires SRs to verify that the ‘ND Options’, contained within a securitisation data submission to those repositories, “are only used where permitted and do not prevent the data submission from being sufficiently representative of the underlying exposures in the securitisation.” These verifications will be applied by the SRs to data on securitisations that are submitted as per the requirements set out in the Securitisation Regulation (i.e. ‘public securitisations’). In accordance with Article 16 of the Regulation establishing ESMA, ESMA considers it appropriate to issue guidelines to ensure that securitisation repositories apply in a consistent way this provision. The guidelines explain how to verify whether a data submission is “sufficiently representative” by using the threshold system which is described in ESMA’s ‘Final Report on Securitisation Regulation technical standards on securitisation repository application requirements, operational standards, and access conditions’.

The guidelines are set out in Annex I of the final report and will be translated into all official languages of the EU and published on ESMA’s website. ESMA will consider these guidelines for the purpose of its supervision as of 1 January 2021.