On May 17, the joint committee of the European supervisory authorities, which includes EBA and ESMA, published a report on the implementation of the European securitisation regulation. The report highlights the importance of transparency and data quality under the securitisation disclosure requirements based on ESMA templates that came into force in September 2020. Whilst the disclosure requirements apply to both public and private securitisations, currently private transactions need not deliver their reports via a securitisation repository (SR). The report notes the increase in private securitisation and recommends for the regulation of certain private securitisations to be amended to also include reporting to a SR to help ensure high data quality and facilitate supervision.

In this article we report on recent regulatory developments and focus on challenges in meeting the disclosure requirements for European securitisation transactions in general and specifically with regards to NPL securitisations. This article updates our earlier report on lessons learned from preparing ESMA compliant securitisation disclosures (NPL Markets 2020b). We draw on our experience in helping servicers, sponsors and arrangers to prepare and validate ESMA-compliant reports for securitisation transactions including synthetic risk transfer deals, CLO, and SPV-based warehouse facilities. Non-performing loan securitisations have particularly demanding disclosure requirements.

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The European securitisation regulation: recent developments and disclosure challenges