Exposure Draft of the ESF CDO Data File Format
The ESF is pleased to release the exposure draft of the Collateralised Debt Obligations (CDOs) Data File Format. In order to improve the efficiency, transparency, and usefulness of reporting on CDOs, the ESF, in concert with market participants, is recommending a standardised format for data files related to the performance of CDO transactions that are disseminated on a regular basis by trustees to investors and other interested parties. We welcome comments on the attached files which should be sent to Marco Angheben at mangheben@europeansecuritisation.com. The comment period will run from 12 December 2007 through to 14 March 2008.
At the end of the comment period the ESF will review all comments and will issue a recommended data file format that will standardise the multiple formats currently used by trustees of CDO transactions in Europe. The ESF CDO Data File Format currently include 350 fields and definitions of which 67 are required. Simultaneously in 2008, SIFMA will update its CDO Data File Format to match so that there is a unique standard for CDO transaction reporting in Europe and in the US.
A key benefit is that the standardised, machine readable format for the data file will allow users to process the vast amount of data that are provided in reports on CDO transactions more quickly and efficiently. An end user should be able to process and manipulate data files from any trustee that produces compliant files with a single import process. Standardised values for specific fields will enable the users of the files to compare deals on a like-for like basis, with assurance that the data points will be reported in the same context manner no matter the origin of the report. The standardised values will help to eliminate confusion that arises when similarly named fields have different meanings depending on which trustee created the report.
Delivery Mechanism
The files shall be created in Extensible Markup Language (XML) format and in Pipe Separated Values (PSV) format. XML is a flexible text file format designed to create documents that can be read by any XML-compatible programme. The following general guidelines will apply:
• Dates will be in XML date notation: YYYY-MM-DD. For a date field that is not applicable (i.e. EOD_DATE for a performing deal, or REINVESTMENT_PERIOD_END_DATE for a static deal) the data will have the value 1900-01-01. • Fields with “Code” in the name will have a standard list of codes maintained by the ESF, or an international organisation recognised for the maintenance of said code (i.e. ISO).
A PSV file will also be produced for those users who are unable to manipulate the XML file format. PSV is a file format where the data values are separated by the “pipe” character. The guidelines above will still apply as the PSV files will be created with a simple format conversion from the XML file.
The layout of the data file we are introducing is as follows: The guide has five columns. The first column delineates which tag (see below for an explanation) the field belongs to. The second column contains the name of the standardised value. The third column describes the type of data expected for the value of the item. The permissible data types are: Data Type Max Size (char) String 255 Double as per XML standards (www.w3c.org) Long as per XML standards (www.w3c.org) Date as per XML standards (www.w3c.org) Boolean {true, false}
The fourth column defines the field. The fifth and final column lists the permissible values for the field. If there are a large number of permissible values for a particular data field, the list is in the attached Excel spreadsheet that will be maintained by ESF. The permissible value for such fields will read “See appendix [FIELD_NAME]”. Certain fields will not have permissible values and will have “n/a” listed in the permissible value field; for these fields, any value permitted by the field’s data type may appear in the field. Some fields with standardised values will also have standardised codes. These codes is derived from lists maintained by the ESF/SIFMA , or they will be industry standard codes maintained by organisations such as ISO or the USPS.
The XML and PSV file formats
For each cut-off date of a CDO, the trustee will create a single data file in XML format that contains seven major tags (a tag is a standard markup language delimiter) for the different types of information relating to the CDO. Below is a description of the type of data contained within each of these major tags. The standardised data file guide lists all of the fields contained within each of the major tags. Each of the seven main tags will contain several subtags, and each subtag will have descriptive elements. The tags are as follows: 1. Header Tag - The header tag contains values that relate to the entire CDO; some of which are static, such as the CDOs closing date, the period end date. The header tag will also contain basic information regarding the deal such as the name of the trustee, lead underwriter and the collateral manager. 2. Accounts Tag - The accounts tag contains information regarding accounts open at the trustee related to the CDO transaction such as collection accounts or fee accounts. 3. Amortisation Tag - The amortisation tag contains fields related to the amortisation of the principal of a security listed in the collateral of the CDO that pays back its principal in multiple instalments. The date and amount of the amortisation, as well as the internal trustee identification of the security are the fields in this file. 4. Collateral Tag - The collateral tag contains fields relating to the collateral held by the CDO and it is the largest tag of the group. 5. Tranches Tag - The tranches tag will provide information regarding the liabilities of the tranches that make up the capital structure of the CDO. A separate subtag contains the details for each tranche of the CDO. 6. Transactions Tag - The transactions tag will contain data regarding transactions that occur in the CDO. It will detail types of reasons for and proceeds of transactions involving collateral of a CDO. This file will have data for both static and managed CDOs. 7. Tests Tag - The tests tag will list, categorise, and show the results of the tests that are run for that particular CDO.
General Applicability
As with other ESF guidelines, these proposed guidelines are recommendations and are therefore voluntary standards. In order to ensure that the Standardised Data File is effective, the ESF intends periodically to reassess the accurateness and appropriateness of its format and of these guidelines and revise both when necessary. The format and associated permissible value lists will be regularly reviewed so that users are able to track changes. Members and other interested parties should note that these guidelines and the accompanying template for the Data File are set forth specifically for the creation of CDO data files. They are proprietary to the ESF/SIFMA, which grants you the royalty-free right to use them. They are, however, only applicable to data files for CDO securities. These guidelines are intended to promote the smooth functioning of the secondary market for CDO transactions. The CDO Data File standard will be reviewed periodically and updated as necessary.