ESF Standardised Loan by Loan Data File for UK Non-Conforming RMBS
The European Securitisation Forum (ESF) is pleased to release its Standardised Loan-by-Loan Data File Format for UK non-conforming residential mortgage-backed securities (RMBS). The ESF is recommending a standardised format for data files related to the performance of UK non-conforming RMBS starting from January 2008 for new transactions. The aim is to encourage issuers and trustees to publish loan-by-loan data in a consistent manner for use by investors, rating agencies and other market participants.
The new attached standards include 141 fields with a specific definition and a set of permissible values. Among the various fields 87 have been identified as priority fields as they are key for the risk assessment of the underlying loans.
From an investor and issuer perspective, the benefits in the recommended standards are increased transparency, consistency of information and potentially improved market liquidity. Investors will have more details of a deal pre-closing and importantly, on a quarterly basis post close. Issuers will also gain if they adopt the template through simplified report generation as t his initiative could reduce requests for bespoke information provision going forward.
The ESF recommends that these files should neither be password protected nor should there be confidentiality agreements. This is an important step toward increased accessibility of the information for securitisation so that investors, data providers and other interested parties can further develop internal models, stress tests and other risk tools. The ESF will incorporate the new standards in the existing ESF Securitisation Market Practice Guidelines.
The files should be in Comma Separated Value (CSV) file format which has the widest compatibility and should have consistent field headings, data formats and permissible values as laid out in the document. The machine readable format for the data file will allow users to process the vast amount of data that are provided in reports on transactions more quickly and efficiently. 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.
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 to reassess the accurateness and appropriateness of its format and of these guidelines periodically and revise both when necessary. Should you have any queries please contact Marco Angheben at mangheben@europeansecuritisation.com.