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    ESMA Releases Schema and Instructions for Securitization Reporting

    February 26, 2021

    ESMA updated the set of questions and answers (Q&A), along with the reporting instructions and an XML schema for the templates set out in the technical standards on disclosure requirements, under the Securitization Regulation. ESMA published 4 new Q&As and modified 11 existing Q&As. The new Q&As include instructions on how to report split and merged underlying exposures. The updated Q&As include revised instructions on how to report income fields for buy-to-let residential real estate mortgages.

    ESMA published Version 1.3.0 of the XML schema and validation rules on disclosure templates as well as Version 1.3.0 of the XML schema and technical guidance on end-of-day and rejection reports under the Securitization Regulation. ESMA also published reporting instructions that provide additional messages for the end-of-day and rejection reports, along with a clarification on the corrections and cancellations on disclosure messages. The instructions address technical issues identified by stakeholders since August 2020. To facilitate the smooth implementation of the updated rules, reporting entities may choose to use Version 1.2.0 or Version 1.3.0 of the XML schema and validation rules until September 01, 2021. As of that date, reporting entities may only use Version 1.3.0.

    The end-of-day report contains summary information about all securitizations reported to a securitization repository including the name, data cut-off date, data completeness score, and the most prevalent type of underlying exposure of each securitization. The end-of-day report must be made available by securitization repository on a daily basis. The rejection report contains information about data submissions that were rejected by a securitization repository because they failed to meet one or more requirements including those related to data completeness and consistency. The rejection report must be made available by securitization repositories on a weekly basis. These two standard reports must be provided by a registered securitization repository, in accordance with the regulatory technical standards on securitization repository operational standards.

     

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    Keywords: Europe, EU, Banking, Securities, Securitization Regulation, Reporting, XML Schema, Disclosures, Basel, Q&A, Validation Rules, ESMA

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