2010年-ECB欧洲央行_Results_of_the_public_consultation_on_ABS_loan-level_information_in_the_Eurosystem_collateral_framework_7页_204kb

Summary of the Public Consultation on ABS Loan-Level Information in the Eurosystem Collateral Framework

Core Content

The European Central Bank (ECB) conducted a public consultation in late 2009 to gather market feedback on the provision of loan-by-loan information for asset-backed securities (ABSs) within the Eurosystem collateral framework. The consultation included six questions, with responses received from 53 market participants, including investors, credit rating agencies (CRAs), originators, and other financial institutions. The report summarizes the key points and recommendations from these responses.

Main Viewpoints and Key Information

Support for the Initiative

• Strong support was expressed by the majority of respondents, with the main benefit cited being increased transparency, which would aid in risk assessment and restore investor confidence in the ABS market.
• Investors emphasized that loan-level data would allow for better cash-flow modeling, predictive performance analysis, and enhanced liquidity in the European market, similar to the US market.

Challenges and Costs

• Issuers/originators raised concerns about the implementation costs and technical complexity, especially for existing securitisations and assets not well-suited for granular reporting.
• There was a concern about data protection and banking secrecy, particularly regarding the anonymity of borrowers and the potential for data misuse.
• Some respondents indicated that highly granular portfolios (e.g., auto loans and credit card receivables) might not benefit from loan-level data, as the portfolio risk is already mitigated by diversification.

Recommendations for Implementation

• A phased-in approach is recommended to ease the transition, starting with retail mortgage-backed securities (RMBSs), which are the largest and most standardized ABS class.
• A single, standardized data format should be used across all asset classes to ensure data consistency and quality.
• Coordination with CRAs and industry stakeholders is essential to avoid duplication and ensure efficient reporting.
• Modular templates that can adapt to jurisdictional differences are suggested, with variable fields depending on local legal and operational requirements.

Data Handling and Transmission

• The data-handling infrastructure should be robust and standardized, possibly using existing market platforms or regulated stock exchanges.
• Technical working groups will be established to finalize templates and address implementation challenges.
• Clarification on the consequences of missing data and standardized missing-value entries is needed to ensure data completeness and usability.

Data Portal Options

• There was divergence in opinions regarding the data portal model. Scenario 1 proposed a single data portal for consistency, while Scenario 2 suggested competition among portal providers to improve cost and quality.
• Hybrid solutions were also suggested, such as phased disclosure through multiple channels and the use of existing market infrastructure like central securities depositories and stock exchanges.

Timing and Adaptation Period

• The 12-month preparation period following the announcement date was generally accepted as sufficient, though some called for more time to adapt, particularly for complex or older securitisations.
• The preparatory phase is expected to last about six months, during which the Eurosystem will finalize the technical aspects and data templates.

Key Recommendations

• Phased implementation should be adopted, starting with RMBSs.
• Standardized and modular data templates are necessary to accommodate jurisdictional and asset class differences.
• Coordination with CRAs and industry is essential for efficient and consistent reporting.
• Data protection measures must be in place to ensure anonymity and compliance with legal frameworks.
• Single data portal or regulated platforms are preferred for consistency and transparency, though competition among providers could also be considered.
• Clarification on data disclosure, missing values, and consequences of non-submission is required.
• Preparatory work will be conducted by the Eurosystem in collaboration with market participants to finalize the framework.

Conclusion

The public consultation revealed strong support for the introduction of loan-level ABS data in the Eurosystem collateral framework, with a focus on transparency, risk assessment, and market confidence. However, implementation challenges and cost considerations were also highlighted. The ECB is moving forward with a preparatory phase, expected to last six months, to refine the technical framework and data templates before announcing the final requirements.