LegalizeCommission Delegated Regulation (EU) 2015/3 of 30 September 2014 supplementing Regulation (EC) No 1060/2009 of the European Parliament and of the Council with regard to regulatory technical standards on disclosure requirements for structured finance instruments Text with EEA relevance
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
| 6.1.2015 | EN | Official Journal of the European Union | L 2/57 |
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EC) No 1060/2009 of the European Parliament and of the Council of 16 September 2009 on credit rating agencies [^ntr1-L_2015002EN.01005701-E0001], and in particular the third subparagraph of Article 8b(3) thereof,
Whereas:
- (1) In accordance with Article 8b of Regulation (EC) No 1060/2009, investors should receive sufficient information on the quality and performance of their underlying assets with a view to enabling them to perform an informed assessment of the creditworthiness of structured finance instruments. This would also reduce investors’ dependence on credit ratings and should facilitate the issuance of unsolicited credit ratings.
- (2) This Regulation should apply to all financial instruments or other assets resulting from a securitisation transaction or scheme referred to in Article 4(1)(61) of Regulation (EU) No 575/2013 of the European Parliament and of the Council [^ntr2-L_2015002EN.01005701-E0002] on condition that the issuer, originator or sponsor, is established, and for that purpose has its statutory seat, in the Union. Therefore, this Regulation should only cover financial instruments or other assets resulting from any transaction or scheme whereby the credit risk associated with an exposure or pool of exposures is tranched and has the characteristics referred to in that Article. Therefore, in line with that Regulation, an exposure that creates a direct payment obligation for a transaction or scheme used to finance or operate physical assets should not be considered an exposure to a securitisation, even if the transaction or scheme has payment obligations of different seniority.
- (3) The scope of this Regulation should not be limited to the issuance of structured finance instruments that qualify as securities, but also should include other financial instruments and assets resulting from a securitisation transaction or scheme, such as money-market instruments, including asset-backed commercial paper programmes. In addition, this Regulation should apply to structured finance instruments with and without credit ratings assigned by a credit rating agency registered in the Union. Private and bilateral transactions should also be within the scope of this Regulation, as well as transactions that are not offered to the public or admitted to trading on a regulated market.
- (4) This Regulation contains standardised disclosure templates for a number of asset class categories. Without prejudice to the scope of this Regulation and until reporting obligations have been developed by ESMA and adopted by the Commission, those standardised disclosure templates and all reporting obligations under this Regulation should apply only to structured finance instruments that are backed by underlying assets which are included in the list of underlying asset class categories specified in this Regulation and which in addition are not of a private or bilateral nature.
- (5) When complying with this Regulation, issuers, originators and sponsors should comply with national and Union legislation governing the protection of confidentiality of information sources or the processing of personal data in order to avoid potential breaches of such legislation.
- (6) The issuer, originator and sponsor may designate an entity responsible for reporting the information to the website to be set up by ESMA in accordance with Article 8b(4) of Regulation (EC) No 1060/2009 (the SFIs website). Outsourcing the reporting obligation to another entity, for example a servicer, should also be possible. This should be without prejudice to the responsibility of the issuer, originator and sponsor under this Regulation.
- (7) A number of technical reporting instructions concerning, among others, the transmission or the format of the files to be submitted by issuers, originators and sponsors should be communicated by ESMA on its website. ESMA should communicate those technical reporting instructions in due course before the date of application of the reporting obligations laid down in this Regulation, in order to enable issuers, originators, sponsors and other parties involved to be given enough time to develop adequate systems and procedures following the technical instructions provided by ESMA.
- (8) The information to be provided pursuant to this Regulation should be compiled in a standard format to allow for automatic processing of the data on the SFIs website. The information should also be published in a format that is easily accessible for any user of the SFIs website. ESMA should ensure that sectoral competent authorities have access to the SFIs website so as to carry out the tasks assigned to them under Regulation (EC) No 1060/2009.
- (9) This Regulation is based on the draft regulatory technical standards submitted by ESMA to the Commission in accordance with Article 10 of Regulation (EU) No 1095/2010 of the European Parliament and of the Council [^ntr3-L_2015002EN.01005701-E0003].
- (10) ESMA has conducted an open public consultation on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the opinion of the Securities and Markets Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1095/2010.
- (11) A reasonable time is necessary in order to allow the issuers, the originators and the sponsors of a structured finance instrument established in the Union to adapt and take the necessary steps to comply with this Regulation and to allow ESMA to develop the SFIs website on which disclosure of the information required by this Regulation should take place. Therefore, this Regulation should apply from 1 January 2017. However, ESMA should communicate necessary technical reporting instructions in a timely manner before the date of application of this Regulation. This is necessary in order to enable the issuers, the originators and the sponsors of a structured finance instrument established in the Union to be given enough time to develop adequate systems and procedures following those technical instructions with a view to ensuring complete and correct reporting and to take into account further developments in the financial markets in the Union,
HAS ADOPTED THIS REGULATION:
Article 1
Scope
This Regulation shall apply to structured finance instruments where the issuer, the originator or the sponsor is established in the Union and which are issued after the date of entry into force of this Regulation.
Article 2
Reporting entity
The issuer, the originator and the sponsor of a structured finance instrument may designate one or multiple reporting entities that publish the information required pursuant to Articles 3 and 4, and Article 5(3) of this Regulation on the website referred to in Article 8b(4) of Regulation (EC) No 1060/2009 (the SFIs website). Those entities shall publish the required information on the SFIs website in accordance with Articles 4 to 7 of this Regulation.
The issuer, the originator and the sponsor of a structured finance instrument that has designated the entity or entities referred to in paragraph 1 shall notify ESMA without undue delay of any entity designated in accordance with that paragraph. That designation shall be without prejudice to the responsibility of the issuer, the originator and the sponsor to comply with Article 8b of Regulation (EC) No 1060/2009.
Article 3
Information to be reported
Where a structured finance instrument is backed by any of the underlying assets referred to in Article 4, the reporting entity shall provide the following information to the SFIs website:
- (a) loan level information through the standardised disclosure templates included in Annexes I to VII;
- (b) where applicable to a structured finance instrument, the following documents, including a detailed description of the waterfall of payments of the structured finance instrument:
- (i) the final offering document or prospectus, together with the closing transaction documents, including any public documents referenced in the prospectus or which govern the workings of the transaction and excluding legal opinions;
- (ii) the asset sale agreement, assignment, novation or transfer agreement and any relevant declaration of trust;
- (iii) the servicing, back-up servicing, administration and cash management agreements;
- (iv) the trust deed, security deed, agency agreement, account bank agreement, guaranteed investment contract, incorporated terms or master trust framework or master definitions agreement;
- (v) any relevant inter-creditor agreements, swap documentation, subordinated loan agreements, start-up loan agreements and liquidity facility agreements;
- (vi) any other underlying documentation that is essential for the understanding of the transaction;
- (c) where a prospectus has not been drawn up in compliance with Directive 2003/71/EC of the European Parliament and of the Council [^ntr4-L_2015002EN.01005701-E0004], a transaction summary or overview of the main features of a structured finance instrument, including:
- (i) deal structure;
- (ii) the asset characteristics, cash flows, credit enhancement and liquidity support features;
- (iii) the note holder voting rights, the relationship between note holders and other secured creditors in a transaction;
- (iv) a list of all triggers and events referred to in the documents provided to the SFIs website in accordance with point (b) that could have a material impact on the performance of the structured finance instruments;
- (v) the structure diagrams containing an overview of the transaction, the cash flows and the ownership structure;
- (d) the investor reports, containing the information included in Annex VIII.
Article 4
Underlying assets
The information requirements set out in Article 3 shall apply to structured finance instruments backed by the following underlying assets:
- (a) residential mortgages: this class of structured finance instruments includes structured finance instruments backed by prime and non-prime mortgages and home equity loans. For this class of structured finance instruments, the information included in the template in Annex I shall be provided to the SFIs website;
- (b) commercial mortgages: this class of structured finance instruments includes structured finance instruments backed by retail or office property loans, hospital loans, care residences, storage facilities, hotel loans, nursing facilities, industrial loans, and multifamily properties. For this class of structured finance instruments, the information included in the template in Annex II shall be provided to the SFIs website;
- (c) loans to small and medium-sized enterprises: for this class of structured finance instruments, the information included in the template in Annex III shall be provided to the SFIs website;
- (d) auto-loans: for this class of structured finance instruments, the information included in the template in Annex IV shall be provided to the SFIs website;
- (e) consumer loans: for this class of structured finance instruments, the information included in the template in Annex V shall be provided to the SFIs website;
- (f) credit card-loans: for this class of structured finance instruments, the information included in the template in Annex VI shall be provided to the SFIs website;
- (g) leases to individuals and/or businesses: for this class of structured finance instruments, the information included in the template in Annex VII shall be provided to the SFIs website.
Article 5
Frequency of reporting
The information set out in Article 3(a) and (d) shall be made available on a quarterly basis, no later than one month following the due date for payment of interest on the structured finance instrument concerned.
The information set out in Article 3(b) and (c) shall be made available without delay after the issuance of a structured finance instrument.
In addition to the requirements set out in paragraphs 1 and 2:
- (a) where the requirements laid down in Article 17 of Regulation (EU) No 596/2014 of the European Parliament and of the Council [^ntr5-L_2015002EN.01005701-E0005] on insider dealing and market manipulation (market abuse) apply also in relation to a structured finance instrument, any disclosure of information pursuant to that article shall also subsequently be published without delay on the SFIs website by the reporting entity;
- (b) where point (a) does not apply, the reporting entity shall disclose without delay on the SFIs website any significant change or event in any of the following cases:
- (i) a breach of the obligations laid down in the documents provided in accordance with Article 3(b);
- (ii) structural features that can materially impact on the performance of the structured finance instrument;
- (iii) the risk characteristics of the structured finance instrument and of the underlying assets.
Article 6
Reporting procedures
The reporting entity shall submit data files in accordance with the reporting system of the SFIs website and the technical instructions to be provided by ESMA on its website.
ESMA shall publish those technical instructions on its website at the latest on 1 July 2016.
The reporting entity shall store the files sent to and received by the SFIs website in electronic form for at least five years. Upon request, those files shall be made available by the reporting entity or the issuer, the originator or the sponsor to the sectoral competent authorities as defined in Article 3(1)(r) of Regulation (EC) No 1060/2009.
Where the reporting entity or the issuer, the originator or the sponsor, identifies factual errors in the data that has been provided to the SFIs website they shall correct the relevant data without undue delay.
Article 7
Reporting between the date of entry into force and the date of application
With respect to the structured finance instruments issued in the time period between the date of entry into force and the date of application of this Regulation, the issuer, the originator and the sponsor shall comply with the reporting requirements laid down in this Regulation only in relation to the structured finance instruments which are still outstanding at the date of application of this Regulation.
The issuer, the originator and the sponsor shall not be required to keep a backlog of the information required pursuant to this Regulation between the date of entry into force and the date of application of this Regulation.
Article 8
Entry into force
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
It shall apply from 1 January 2017.
However, Article 6(2) shall apply from the date of entry into force of this Regulation.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 30 September 2014.
For the Commission
The President
José Manuel BARROSO
[^ntr1-L_2015002EN.01005701-E0001]: OJ L 302, 17.11.2009, p. 1.
[^ntr2-L_2015002EN.01005701-E0002]: Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).
[^ntr3-L_2015002EN.01005701-E0003]: Regulation (EU) No 1095/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Securities and Markets Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/77/EC (OJ L 331, 15.12.2010, p. 84).
[^ntr4-L_2015002EN.01005701-E0004]: Directive 2003/71/EC of the European Parliament and of the Council of 4 November 2003 on the prospectus to be published when securities are offered to the public or admitted to trading and amending Directive 2001/34/EC (OJ L 345, 31.12.2003, p. 64).
[^ntr5-L_2015002EN.01005701-E0005]: Regulation (EU) No 596/2014 of the European Parliament and of the Council of 16 April 2014 on market abuse (market abuse regulation) and repealing Directive 2003/6/EC of the European Parliament and of the Council and Commission Directives 2003/124/EC, 2003/125/EC and 2004/72/EC (OJ L 173, 12.6.2014, p. 1).
ANNEX I
Reporting template for structured finance instruments backed by residential mortgages
ASSETS:
| Field Name | Static/Dynamic | Data Type | Field Definition and Criteria |
|---|---|---|---|
| Pool Cut-off Date | Dynamic | Date | Pool or portfolio cut-off date. All dates take YYYY-MM-DD format. |
| Pool Identifier | Static | Text/Numeric | Pool or portfolio identifier/name of transaction. |
| Loan Identifier | Static | Text/Numeric | Unique identifier (ID) for each loan. The loan ID should not change through the life of the transaction. |
| Originator | Static | Text | Lender that advanced the original loan. |
| Servicer Identifier | Static | Text/Numeric | Unique identifier per servicer to flag which entity is servicing the loan. |
| Borrower Identifier | Static | Text/Numeric | Unique identifier (ID) per borrower (not showing the real name) — to enable borrowers with multiple loans in the pool to be identified (e.g. further advances/second liens are shown as separate entries). The borrower ID should not change over the life of the transaction. |
| Property Identifier | Static | Text/Numeric | Unique identifier per property to enable properties with multiple loans in the pool to be identified (e.g. further advances/second liens are shown as separate entries). |
| Borrower Information | Borrower Information | Borrower Information | Borrower Information |
| Borrower’s Employment Status | Static | List | Employment status of the primary applicant. |
| Primary Income | Static | Numeric | Primary borrower underwritten gross annual income (not rent). |
| Income Verification for Primary Income | Static | List | Income verification for primary income. |
| Loan Characteristics | Loan Characteristics | Loan Characteristics | Loan Characteristics |
| Loan Origination Date | Static | Date/Numeric | Date of original loan advance. |
| Date of Loan Maturity | Dynamic | Date/Numeric | The date of loan maturity. |
| Purpose | Static | List | Loan purpose. |
| Loan Term | Static | Numeric | Original contractual term (number of months). |
| Loan Currency Denomination | Static | List | The loan currency denomination. |
| Original Balance | Static | Numeric | Original loan balance (inclusive of fees). |
| Current Balance | Dynamic | Numeric | Amount of loan outstanding as of pool cut-off date, This should include any amounts that are secured by the mortgage and will be classed as principal in the transaction. |
| Repayment Method | Static | List | Type of principal repayment. |
| Payment Frequency | Static | List | Frequency of payments due, i.e. number of months between payments. |
| Payment Due | Dynamic | Numeric | Periodic contractual payment due (the payment due if there are no other payment arrangements in force). |
| Payment Type | Static | List | Principal payment type. |
| Interest Rate | Interest Rate | Interest Rate | Interest Rate |
| Interest Rate Type | Static | List | Interest rate type. |
| Current Interest Rate Index | Dynamic | List | Current interest rate index (the reference rate off which the mortgage interest rate is set). |
| Current Interest Rate | Dynamic | Numeric | Current interest rate (%). |
| Current Interest Rate Margin | Dynamic | Numeric | Current interest rate margin (for fixed rate loans this is the same as the current interest rate, for floating rate loans this is the margin over (or under if input as a negative) the index rate). |
| Interest Rate Reset Interval | Dynamic | Numeric | The interval in months at which the interest rate is adjusted (for floating loans). |
| Revision Margin 1 | Dynamic | Numeric | The margin (%) for the loan at the first revision date. |
| Interest Revision Date 1 | Dynamic | Date/Numeric | Date interest rate next changes (e.g. discount margin changes, fixed period ends, loan re-fixed etc. This is not the next LIBOR reset date). |
| Revision Margin 2 | Dynamic | Numeric | The margin (%) for the loan at the second revision date. |
| Interest Revision Date 2 | Dynamic | Date/Numeric | Date of second interest rate change. |
| Revision Margin 3 | Dynamic | Numeric | The margin (%) for the loan at the third revision date. |
| Interest Revision Date 3 | Dynamic | Date/Numeric | Date of third interest rate change. |
| Revised Interest Rate Index | Dynamic | List | Next interest rate index. |
| Property and Additional Collateral | Property and Additional Collateral | Property and Additional Collateral | Property and Additional Collateral |
| Property Postcode | Static | Text/Numeric | First two or three characters must be provided at a minimum. |
| Property Type | Static | List | Property type. |
| Original Loan to Value | Static | Numeric | Originator’s original underwritten Loan To Value ratio (LTV). For second lien loans this should be the combined or total LTV. |
| Valuation Amount | Static | Numeric | Property value as of date of latest loan advance prior to a securitisation. Valuation amounts should be in the same currency as the loan. |
| Original Valuation Type | Static | List | Valuation type at origination. |
| Valuation Date | Static | Date/Numeric | Date of latest property valuation at time of latest loan advance prior to a securitisation. |
| Current Loan to Value | Dynamic | Numeric | Originator’s current Loan to Value ratio (LTV). For second lien loans this should be the combined or total LTV. |
| Current Valuation Amount | Dynamic | Numeric | Most recent valuation amount (if, for example, at repossession there were multiple valuations, this should reflect the lowest). Valuation amounts should be in the same currency as the loan. |
| Current Valuation Type | Dynamic | List | Current valuation type. |
| Current Valuation Date | Dynamic | Date/Numeric | The date of most recent valuation. |
| Performance Information | Performance Information | Performance Information | Performance Information |
| Account Status | Dynamic | List | Current status of account. |
| Arrears Balance | Dynamic | Numeric | Current balance of arrears. Arrears defined as: total payments due to date LESS total payments received to date LESS any amounts capitalised. This should not include any fees applied to the account. |
| Number Months in Arrears | Dynamic | Numeric | Number of months this loan is in arrears (at pool cut-off date) according to the definition of the issuer. |
| Arrears 1 Month Ago | Dynamic | Numeric | Arrears balance (defined as per ‘arrears balance’) for the previous month. |
| Arrears 2 Months Ago | Dynamic | Numeric | Arrears balance (defined as per ‘arrears balance’) two months ago. |
| Litigation | Dynamic | Y/N | Flag to indicate litigation proceedings underway. |
| Redemption Date | Dynamic | Date/Numeric | Date on which account redeemed. |
| Default or Foreclosure | Dynamic | Numeric | Total default amount before the application of sale proceeds and recoveries. |
| Date of Default or Foreclosure | Dynamic | Numeric | The date of default or foreclosure. |
| Sale Price lower limit | Dynamic | Numeric | Price achieved on sale of property in case of foreclosure, rounded down to nearest 10k. |
| Loss on Sale | Dynamic | Numeric | Total loss net of fees, accrued interest etc. after application of sale proceeds (excluding prepayment charge if subordinate to principal recoveries). |
| Cumulative Recoveries | Dynamic | Numeric | Cumulative recoveries — only relevant for cases with losses. |
BOND INFO:
| Field Name | Static/Dynamic | Data Type | Field Definition and Criteria |
|---|---|---|---|
| Fields at Security or Bond Level Data | Fields at Security or Bond Level Data | Fields at Security or Bond Level Data | Fields at Security or Bond Level Data |
| Report Date | Dynamic | Date | The date on which the transaction report was issued. All dates take YYYY-MM-DD format. |
| Issuer | Static | Text | Name of issuer and issue series, if applicable. |
| Drawings under Liquidity Facility | Dynamic | Y/N | Confirm whether or not there has been a drawing under the liquidity facility in the period ending on the last interest payment date. |
| Fields at Collateral Level Data | Fields at Collateral Level Data | Fields at Collateral Level Data | Fields at Collateral Level Data |
| Trigger Measurements/Ratios | Dynamic | Y/N | The status of various delinquency, dilution, default, loss and similar collateral measurements and ratios in relation to their early amortisation or other trigger event levels, as at the current determination date. Has any trigger event occurred? |
| Average Constant Pre-payment Rate | Dynamic | Numeric | The report shall include the Average (Avg) Constant Pre-payment Rate (CPR) speed of the underlying residential mortgage loans. In some jurisdictions, the mortgage pool may also include commercial loans. Avg CPR speed is the amount expressed as an annualised percentage of principal prepaid in excess of scheduled repayments. The Avg CPR speed is calculated by first dividing the Current Residential Mortgage Loan Principal Balance (i.e. the actual balance) by the Scheduled Residential Mortgage Loan Principal Balance assuming no pre-payments have been made (i.e. only scheduled repayments have been made). This quotient is then raised to a power whereby the exponent is the quantity twelve divided by the number of months since issue. Subtract this result from one then multiply it by one hundred (100) to determine the Avg CPR speed. This calculation is expressed as follows: Image omitted; see official source |
| Transaction Report Contact Information | Transaction Report Contact Information | Transaction Report Contact Information | Transaction Report Contact Information |
| Point Contact | Static | Text | Name of the department or the point person(s) of the information sources. |
| Contact Information | Static | Text | Telephone number and e-mail address. |
BOND INFO BY TRANCHE:
| Field Name | Static/Dynamic | Data Type | Field Definition and Criteria |
|---|---|---|---|
| Fields at Tranche Level | Fields at Tranche Level | Fields at Tranche Level | Fields at Tranche Level |
| Bond Class Name | Static | Text/Numeric | The designation (typically a letter and/or number) given to a tranche of RMBS which exhibit the same rights, priorities and characteristics as defined in the prospectus, i.e. Series 1 Class A1 etc. |
| International Securities Identification Number | Static | Text/Numeric | The international security identification code or codes, or if no ISIN, then any other unique securities code such as a CUSIP, assigned to this tranche by an exchange or other entity. If more than one code, enter comma-delimited. |
| Interest Payment Date | Dynamic | Date | The periodic date on which a payment of interest to holders of a specific tranche of residential mortgage backed structured finance instrument is scheduled to occur. |
| Principal Payment Date | Dynamic | Date | The periodic date on which a payment of principal to holders of a specific tranche of residential mortgage backed structured finance instrument is scheduled to occur. |
| Currency | Static | Text | The unit(s) of exchange in which security-level balance(s) and payments are reported. |
| Reference Rate | Static | List | The base reference interest index as defined in the offering document (e.g. three months Euribor) applicable to a specific tranche of residential mortgage backed structured finance instrument. |
| Bond Issue Date | Static | Date | Date the bonds were issued. |
ANNEX II
Loan Level Data — Reporting template for structured finance instruments backed by commercial mortgages
LOAN:
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