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EBA NPL Transaction Templates Summary

Core Content

The EBA NPL transaction templates are designed to support the financial due diligence (FDD) and valuation of Non-Performing Loans (NPLs) in the context of NPL transactions. These templates provide a standardized, granular data structure to ensure consistency and transparency in the reporting of NPL portfolios across the European Union. They are part of the EBA's response to the European Commission and Council's call for reducing information asymmetry in NPL markets and improving transparency in the banking sector.

Main Purpose

• Provide the most detailed data fields for NPL transactions.
• Enable potential bidders to conduct FDD and valuation.
• Support the development of a functioning secondary market for NPLs.
• Ensure comparable and standardized data for investors and stakeholders.

Key Information

• The templates include data categories such as Portfolio, Counterparty Group, Counterparty, Loan, Collateral, Lease, and Enforcement.
• They are intended to be used in conjunction with legal and confidentiality agreements (e.g., NDAs, CAs).
• The templates are not guaranteed to be complete, accurate, or timely, and are provided "as is" without warranty.
• Users are responsible for ensuring compliance with data protection and confidentiality regulations.

Data Structure and Classification

Each data field is classified based on its criticality for FDD and valuation:

• Critical: Essential for pricing models and binding offers.
• Important: Likely to impact transaction price.
• Moderate: Adds value but not expected to have significant pricing impact.

Additionally, data fields are marked as static or dynamic, depending on whether they are likely to change between data tapes with different cut-off dates.

Asset Class Breakdown

The EBA NPL templates categorize NPLs into the following asset classes:

1. Residential Real Estate loans

   • Secured by residential property.
   • Includes primary residences, holiday homes, and development loans.

2. Commercial Real Estate loans

   • Secured by commercial property.
   • May include properties rented out or used for commercial development.

3. SME / Corporate loans

   • Loans to enterprises or SMEs.
   • Can be unsecured or secured by real or non-real estate collateral.

4. Unsecured Retail loans

   • Consumer loans or credit card receivables from private individuals.

5. Leasing / Asset Backed Finance (ABF) loans

   • Secured by movable non-property collateral.
   • Includes marine and aviation finance.

6. Auto loans

   • Secured by motor vehicles.
   • For purchase or refinancing of vehicles.

7. Specialised Loans

   • Includes project finance, infrastructure loans, and public sector loans.

Country Specific Breakdown

• The templates include country-specific data fields to reflect legal and restructuring procedures in EU Member States.
• These fields are marked in the Data Dictionary and are not exhaustive.
• Users are advised to consult with legal counsel to confirm completeness and accuracy, as the templates do not replace legal due diligence.

Data Tape and Related Instructions

• The data tape is the actual file to be filled by institutions with data on NPL portfolios.
• It includes data fields for:
  • Portfolio details (e.g., Cut-off Date, Portfolio Identifier)
  • Counterparty Group information (e.g., Group Identifier, Industry Segment)
  • Counterparty details (e.g., Name, Role, Legal Type, Address)
  • Loan and repayment information
  • Collateral details (Property and Non-Property)
  • Cross default and cross collateralisation indicators
  • Lease and swap information

Conventions for Data Entry

• Boolean fields: Enter "Yes" or "No".
• Choice fields: Use the full name of the selected option (e.g., "Employed").
• Text fields: Enter free text.
• Number and Percentage fields: Enter values to two decimal places.
• Confidentiality indicators:
  • Red and '1': Confidential for all countries.
  • Orange and '2': Confidential for some countries.
  • Blank: Not confidential.
• Static vs Dynamic fields:
  • Static fields remain consistent across different cut-off dates.
  • Dynamic fields require updates between different cut-off dates.

Handling Missing Data

• Use the following codes for missing data:
  • ND1: Not collected due to underwriting criteria.
  • ND2: Collected but not loaded into the originator’s reporting system.
  • ND3: Collected but stored in a separate system.
  • ND4-YYYY-MM-DD: Data will be available from a specific date.
  • ND5: Not relevant.

Legal and Regulatory Alignment

• The templates are aligned with:
  • CRR (Capital Requirements Regulation)
  • FINREP (Implementing Regulation No 680/2014)
  • AnaCredit (Regulation (EU) 2016/867)
  • NACE codes (Regulation (EC) No 1893/2006)
  • NUTS3 classification (Eurostat)
  • ISO codes

Summary of Templates Components

Conclusion

The EBA NPL transaction templates are a comprehensive tool for reporting NPL data in a standardized and detailed format. They aim to improve transparency and comparability in NPL transactions while ensuring compliance with legal and data protection regulations. Users are encouraged to use these templates in conjunction with legal and confidentiality agreements and to provide full data tapes for accurate assessments.