RBA Securitisation Reporting Implementation Notice – 1 October 2014
Data Requirements for CMBS and Other ABS
Detailed consolidated guidance for CMBS and Other ABS is now available. Among other things, the guidance highlights RBA and industry initiated changes to data requirements since May 2014, provides greater clarity on the data required and submission format, and maps field codes in the Excel templates to the XML schema.
No new data items will be added to the CMBS and Other ABS reporting requirements ahead of 30 June 2015. If there are any changes to data requirements after this date, industry will be given a minimum of six months lead time to implement any changes.
For further information, refer to Data to be Reported.
CMBS
Some additional data items have been added to the CMBS Transaction, Security and Loan level templates which mirror the recent changes made to the RMBS templates. These changes allow for more efficient reporting, analysis and pricing of different asset classes. In addition to changes related to standardising the reporting requirements across asset classes, nine new fields have been added to the CMBS loan level template. These new fields will allow for a better understanding of the risk profile and valuation of the underlying assets.
A worked example of the Excel file for CMBS will be released on the Securitisation Industry Forum website shortly.
Other ABS
A number of changes have been made to the reporting requirements for Other ABS. These are detailed in the consolidated guidance. The changes align Other ABS reporting requirements with the revised reporting requirements for RMBS, and standardise the data reported across all asset classes. These changes occur largely at the Transaction and Security level for Other ABS, and have resulted in the addition of new data items.
Pool-level reporting has been reduced to ease the reporting requirement for information providers. This has reduced pool-level reporting requirements by around 280 data items. A number of fields have been removed, including interest coverage ratios for commercial obligors, following industry consultation.
A worked example of the Excel file for Other ABS will be released on the Securitisation Industry Forum website shortly.
Grandfathering Arrangements for Other ABS
The grandfathering arrangements for Other ABS have been amended to reflect the submission of data reporting in an XML structure. The RBA will provide an exemption from reporting of the cash flow waterfall model and pool-level stratifications for legacy ABS transactions where, at the implementation date and subsequently, the aggregate size of outstanding AAA-rated tranches in the transaction is less than $100 million.
For exempt Other ABS, the following nodes in the XSD do not need to be reported:
- Issue Date Stratifications of Data Measured at Contract Origination
- Zero Prepayment Scheduled Pool Balances
- Issue Date Stratification
- Issue Date Other Jurisdictions Geographical Location
- Report Date Stratification; and
- Report Date Other Jurisdiction Write Offs.
Please note that pool aggregate statistics previously reported in the Other ABS pool template will need to be reported for exempt Other ABS. These are now located in the pool roll-up nodes in the XSD.