Review of ESMA disclosures for European securitisations


We review recent developments for the mandatory investor disclosures of European securitisation transactions. We report on our findings from generating these loan level disclosures and from using the data for loan valuations, ABS valuations and portfolio monitoring. We comment on important data fields that are missing from the templates, ESG disclosures, non-EU issued securitisations and the reporting of government guarantees.

Market participants have commented that investors do not use the loan disclosures much and originators have complained about the increase in complexity of the disclosures. Investors in private securitisations can find it hard to get access to the disclosures and some issuers of private securitisations appear not to be aware of their transparency obligations. On the other hand, securitisation data repositories like the European DataWarehouse have collected large loan-level data sets that provide unprecedented public insight in the detailed performance of individual bank loans in different countries and asset classes.

Read the 10 findings regarding securitisation disclosures in the full article: Review of ESMA disclosures for European securitisations.