Frequently asked questions

The loan-level data requirements are explained in detail in Annex VIII of the General Documentation Guideline (ECB/2014/60).

Loan-level data for all ABSs must be submitted to an ESMA-registered securitisation repository using templates developed by ESMA – see further information in the section below entitled ”ESMA ABS loan-level templates”.

Loan-level data for DECCs must be submitted to the European DataWarehouse using the ECB templates.

Since 1 October 2021, all ABSs that fall under the scope of the EU Securitisation Regulation (Regulation (EU) 2017/2402) (i.e. are issued after 1 January 2019 or are issued before 1 January 2019 but are designated as STS-compliant) are accepted as Eurosystem collateral only if loan-level data are submitted to an ESMA-registered securitisation repository using templates developed by ESMA. As of 1 October 2021 all ABSs, whether or not they fall within the scope of the Securitisation Regulation, are subject to the procedures established in Sections 1 and 2 of Commission Delegated Regulation (EU) 2020/1224 of 16 October 2019.

For newly issued ABSs, before their first interest payment date (IPD), the underlying exposures template is required for the eligibility assessment. Depending on the ABS type, the Eurosystem accepts loan-level data submitted using the ESMA templates identified as Annexes 2 to 8 of the technical standards on disclosure requirements under the Securitisation Regulation.

After the first IPD three types of ESMA templates are required to maintain the collateral eligibility: (i) the underlying exposure template (Annex 2 to Annex 8 of the Securitisation Regulation technical standards), (ii) the investor report (Annex 12), and (iii) the inside information or significant event information template (Annex 14).

The frequency of loan-level data reporting should follow the requirements set out in Section I, point 3 of Annex VIII of the General Documentation Guideline, which states that loan-level data must be reported on at least a quarterly basis, but no later than one month following a due date for the payment of interest. Therefore, ABSs with monthly IPDs must submit loan-level data templates a maximum of one month after each IPD.

The ESMA data score does not constitute an Eurosystem eligibility requirement. Nevertheless, the submission of all ESMA templates, as described above, is required for collateral eligibility purposes.

The ESMA templates must be completed and submitted (uploaded) to a data repository accepted by ESMA. The available ESMA templates and further instructions for data submissions can be found in the dedicated section on ESMA’s website.

Disclaimer: for questions related to the completion of the ESMA templates, please consult ESMA's website.

Detailed loan-level information regarding the underlying individual credit claims must be provided in order for a DECC to become or remain eligible. Each DECC is given a score based on the availability of information in the loan-level reporting template.

There are six “no data” (ND) options, which must be used whenever data cannot be submitted using the template. The various ND options and their meanings are set out in the following table:

The score will reflect (i) the number of mandatory fields reported as “ND,1” relative to the total number of mandatory fields and (ii) the number of mandatory fields reported as “ND,2”, “ND,3” or “ND,4” relative to the total number of mandatory fields. “ND,5” and “ND,6” may be used only if the fields in the relevant loan-level reporting template allow it.

The score for the reported data – the best being “A1” and the worst being “D4” – will be calculated in accordance with the following matrix:

An A1 score is required for Eurosystem collateral eligibility. However, special provisions apply to instruments that include mandatory fields reported as “ND,1”, “ND,2”, “ND,3” or “ND,4”. The Eurosystem may accept these transactions as eligible collateral on a case-by-case basis and subject to the provision of adequate explanations for the failure to achieve the mandatory score. As outlined on the ECB website, the Eurosystem has specified its tolerance stance for each possible explanation.

Where the Field Definition & Criteria states that "No Data" options may be used, then any of the "No Data" options may be used i.e. ND,1 or ND,2 or ND,3 or ND,4 or ND,5 or ND,6. Do not enter "ND" or "No Data" as these are not valid entries and you will not be able to upload the report. Please do not use “No Data” options where the Field Definition & Criteria states that 'No Data' options must not be used in that field.

The two percentages used to determine the score are calculated as follows:

• Number of mandatory fields reported as “ND,1” / (Total number of mandatory fields)
• Number of mandatory fields reported as “ND,2”, “ND,3” or “ND,4” / (Total number of mandatory fields)

Imagine, for example, that you have an DECC backed by 10,000 loans and the template contains 50 mandatory fields for each loan. In total, then, there are 500,000 cells in the Excel spreadsheet that need to be filled out (i.e. 50 mandatory fields x 10,000 loans).

If “ND,1” is used a total of 5,000 times in the spreadsheet, 1% of all mandatory fields are reported as “ND,1” (i.e. 5,000/500,000). Note that these 5,000 can be for any mandatory field and any loan. As an extreme example, you could have 100 loans for which “ND,1” was used in all 50 mandatory fields. Alternatively, that could be the result of one missing data field for 5,000 individual loans.

“ND,2”, “ND,3” and “ND,4” are added together (rather than being counted individually). So, if “ND,2” is used 3,000 times, “ND,3” 5,000 times and “ND,4” 2,000 times, the total will be 10,000. The total number of cells is 500,000, so the percentage for these three “no data” options will be 2% (i.e. 10,000/500,000). Again, those 10,000 can be for any mandatory field and any loan.

If the information is only available for some loans but not for others, please provide it for those loans where you have the requested data. For the loans where you do not have the data, you can use no data “ND” options (preferably) or alternatively fields may be left blank. If the information requested is not relevant, ND,5 may be entered.

No, it is not appropriate to use ND,5 as a response where any other ND option could be used.

Percentages should be entered as whole numbers e.g. 70% would be entered as 70 (and not as "70%" or "0.70").

Please follow the instructions and examples given within the taxonomy and do not include leading or trailing zeros, or the positive sign e.g. 750.25 should be entered as 750.25 and not as "00000750.250000 " or "+750.25" etc.

We would expect this information to be captured at loan origination and therefore at a minimum, it should be provided as of this date. However certain static fields may, but not necessarily, be updated periodically during the life of a loan, for example where the borrower contacts the bank for a further advance, a product switch or when they experience payment difficulties.

The most recent information is generally the most relevant and pertinent to the users of loan-level data. For this reason, in situations where the originator has been provided with updated information for these static fields in the normal course of their business, and it has been captured, then this updated information should be provided (replacing the previous information in the same ‘static’ field). This is applicable to any loan included within a submitted report.

The ECB recognises that, despite the best efforts of data providers, data submissions can contain typographical and format errors. On the request of the ECB, the relevant data repository conducts some consistency and accuracy checks on reports of new and/or uploaded loan-level data for each transaction (in accordance with the requirements in Guideline ECB/2012/25). These checks are paramount to ensure confidence in the high quality of the data submissions.

On a regular basis, data providers can thus expect to receive queries from the relevant data repository to verify particular entries in their latest data submissions. Examples of possible verifications include:

• Numeric fields format – compliance with taxonomy: For example, cases where interest rate-related fields are not in line with the taxonomy data format requirements (e.g. an interest rate of 2.5% should be reported as 2.5 and not 0.025). There may also be cases where different decimal formats are used across lines of the same field—such as 0.70 in one line and 70 in another line, when in both lines a percentage value of 70 is required (e.g. current loan-to-value ratio).
• Unconventional values: For example, cases where amounts (e.g. loan balances, valuation amounts, default amounts) appear surprisingly high, or cases where amounts are reported as negative values (e.g. primary income, loan balance, arrears balance).
• Leading and/or trailing zeros: For example, cases where numbers appear in the format 0000000000123.45 instead of 123.45, or 123.4500000 instead of 123.45.

If the presence of typographical/data format issues identified by the data repository is indeed confirmed, data providers may be requested to address these issues in their next loan-level data submission.

On an on-going basis, reports must be submitted on at least a monthly basis, no later than one month following the cut-off date (which is the last calendar day of the month).

If loan-level data are not reported or updated in accordance with the rules above, the DECC will cease to be eligible.

Once you have begun submitting reports, eligibility will be lost if you fail to meet the reporting deadlines or if a report fails to meet the compliance score required for DECCs.

The pool cut-off date for DECCs should be the last calendar day of the month.

(i) Within the first report submitted to the data repository, it is mandatory only to report "Active Loans" that form part of the pool as of the cut-off date of the first submitted report. "Active Loan" means a loan that has a non-zero principal balance at the pool cut-off date (i.e. for which cash inflows or outflows may be expected to occur in the future).

(ii) For all subsequent reports submitted to the data repository, it is mandatory to report all Active Loans, plus all loans that have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or substituted (together referred to as "Non-Active Loans") since the cut-off date of the previously submitted report. Once Non-Active Loans have been reported once, they need not be included in subsequent reports.

Therefore, starting from and including the second submitted report to the data repository, reports should contain all Active Loans plus those loans that have become Non-Active Loans since the cut-off date of the previously submitted report.

* Active loan means a loan that has a non-zero principal balance (i.e. for which cash inflows or outflows may be expected to occur in the future).

Yes, you may continue reporting all Non-Active Loans in all your future reports if you wish.

At present only loans that are active loans as of each pool cut-off date should be included within the report.

* Active loan means a loan that has a non-zero principal balance (i.e. for which cash inflows or outflows may be expected to occur in the future).

You may populate AD5 with the same information as AD6 i.e. the name of the entity that services the SME loan.

AD19 refers to the date of incorporation of the obligor, i.e. the date at which the legal form of the borrower was created. AD20 is asking for the date from which the obligor has been a customer of the originator.

This refers to the seniority of the SME loan, in the event of the bankruptcy of the obligor. If the SME loan ranks lower than any other claim (excluding amounts owed to preferential creditors) it should be classified as junior.

Yes, any loan that is classified as "secured" in AD26 should have at least one collateral ID in the collateral section of the template.

• An SME loan should be classified as "secured" if it is collateralised with physical or financial assets (such as vehicles, real estate, equipment, securities, etc.), regardless of whether these assets are provided directly by the borrower or pledged by the guarantor

• An SME loan should be classified as "unsecured" in all other cases, for example: if the loan has no collateral, or if the loan is collateralised with non-physical or non-financial assets (including guarantees which do not benefit from any pledges or charges of physical or financial assets)

This field is only relevant for loans that have flexible features that allow the obligor to change their total loan size without the need for further underwriting such as in the case of overdrafts.

This field should be populated with the internal one-year probability of default of the obligor, expressed as a numerical value.

At present ND options are not allowed in this field so please enter the dummy value "999.99"

If an SME obligor is involved in a range of activities, the code that most represents the predominant activity must be selected. If the exact activity is not listed, please select the code that most closely resembles their activity.

AD54 should capture any potentially off-settable amounts.

This refers to the balance of the SME loan as of the date that the loan was added to the pool.

This field is only relevant for loans that have flexible features that allow the obligor to change their total loan size without the need for further underwriting e.g. overdrafts.

The Weighted Average Life that is reported is expected to be the WAL as at the securitisation date.

Linear amortisation refers to when the principal payment remains constant throughout the life of the loan. The regular overall (i.e. principal + interest) instalment therefore decreases over time as the interest element decreases.

French amortisation refers to annuity loans, where a constant instalment is paid throughout the life of the loan with the principal component increasing over time and the interest element decreasing over time.

Fixed amortisation refers to where the timing of principal repayments is determined by a schedule that is decided in advance and which does not conform to any of the other options in AD62.

AD63 and AD64 should be populated with the amount payable at the next payment date.

If there is a lump sum payable at maturity that is materially greater than the regular instalments, then this value should be entered. If this is not applicable then please enter zero.

These fields are static and therefore refer only to grace periods granted at the commencement of the loan. They do not refer to any forbearance granted at a later date.

These should be the next occurring revisions i.e. these fields should only contain information about changes that will occur in the future, after the pool cut-off date of the submitted report.

These fields refer only to contractual changes in the margin (e.g. from +50bps to +100bps) or to contractual changes in the underlying index (e.g. from 3M EURIBOR to 1M EURIBOR) used for the interest calculation: they do not refer to the date at which the index is reset periodically (e.g. they do not refer to the date at which the 1M EURIBOR is reset each month).

This refers to the transaction documentation.

In this case you should use the definition of default as per the lender's usual practice.

Yes. Any loan that is classed as defaulted per AD121 should also have a default date and default amount; therefore AD124 and AD125 also should be populated.

This refers to the ABS transaction documentation.

Although these fields are dynamic, once they have been populated (at the point of default), the values should remain unchanged thereafter.

All recoveries should be included in this field, regardless of their source.

This is not relevant for non-defaulted loans and so you should enter ND,5. Where a defaulted loan has not had any recoveries to date, please enter zero.

Once a loan has defaulted, this field captures the best estimate of the loss that will be incurred once the recovery process has been completed. As a consequence, the value in this field is dynamic and may change over time as recoveries are collected and the work out process progresses.

If the loan has not been redeemed, then this field should be populated with ND,5.

You should report the most recent date in the reporting period for AD134 (Date Loss Allocated).

The amortisation profile section should be populated showing the remaining principal balance outstanding at each period after the repayment of the scheduled principal. It should be populated only with future amortisations occurring after the pool cut-off date. It should not include all amortisation since the loan was originated.

The entire collateral section (CD1-CD28) would be completed for each collateral part that backs the SME loan. In this example, the collateral section would be completed twice.

"Unsecured Guarantee" should be used when the guarantor has not provided any physical or financial assets as collateral to secure the guarantee

"Third Party Guarantee" should be used when the guarantor provides physical or financial assets as collateral to secure the guarantee

If there is no real estate collateral the appropriate response is "ND,5".

CD18 and CD19 should be completed with the lower of (i) AD27 (The Total Credit Limit Granted to the Loan), and (ii) The maximum value of the guarantee.

Yes, CD23 is requesting information about the loan origination channel.

CD28 should include the total number of collateral pieces which are securing the loan, regardless of their source (i.e. directly pledged by the borrower and indirectly from any guarantor).

• Four - residential building, investment fund, bank deposit, and a pledge on a deposit
• Two – residential building and investment fund.

If the instrument has a liquidity facility then this field should be completed with either "Y" (to indicate that the liquidity facility has been drawn in the period up to the last interest payment date) or "N" (if it has not). If the instrument has no liquidity facility then please enter ND,5.

The dates to be entered into fields BD27 and BD28 are the first occurring dates, after the pool cut-off date being reported, upon which interest and principal payments are distributed to bondholders.

In accordance with Article 107a of Guideline ECB/2015/27, the public-sector DECC template must be completed for all debt instruments backed by eligible credit claims (DECCs) that 1. are backed by loans granted to public-sector obligors that comply with Eurosystem eligibility requirements for individual credit claims and 2. seek to become eligible as collateral for Eurosystem credit operations.

The published template only applies to public-sector DECCs and does not signal any change in eligibility for other products, such as any ABSs whose cash-flow generating assets are composed of public-sector claims.

(i) Within the first report submitted to the data repository, it is mandatory only to report "Active Loans" that form part of the pool as of the cut-off date of the first submitted report. "Active Loan" means a loan that has a non-zero principal balance at the pool cut-off date (i.e. for which cash inflows or outflows may be expected to occur in the future).

(ii) For all subsequent reports submitted to the data repository, it is mandatory to report all Active Loans, plus all loans that have redeemed, prepaid, been cancelled, repurchased, defaulted (with no further recoveries expected) or substituted (together referred to as "Non-Active Loans") since the cut-off date of the previously submitted report. Once Non-Active Loans have been reported once, they need not be included in subsequent reports.

Therefore, starting from and including the second submitted report to the data repository, reports should contain all Active Loans plus those loans that have become Non-Active Loans since the cut-off date of the previously submitted report.

Yes, you may continue reporting all Non-Active Loans in all your future reports if you wish.

For non-active loans, static fields will remain unchanged. Dynamic fields should be populated on the same basis as for active loans i.e. using information that is relevant for that lease at that cut-off date e.g. AP39 Current Balance would be 0; AP45 Amortisation Type would be ND,5; etc.

The present template and its options for certain fields do not signal a change in Eurosystem collateral eligibility requirements, which are set out in the relevant legal acts, such as Guideline ECB/2015/50. The present template aims to reflect possible arrangements for public-sector credit claims regardless of whether these are eligible for the Eurosystem or not. In this way, the template aims to be useful both for the Eurosystem and for the wider market, for example if market participants wish to make use of these reporting requirements for their own purposes.