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The European Securitisation Forum (ESF), an affiliate of the Securities Industry and Financial Markets Association (SIFMA), today released its standardised loan-by-loan data file format for UK non-conforming residential mortgage-backed securities (RMBS). ESF is recommending a standardised format for data files related to the performance of UK non-conforming RMBS starting 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 rating agencies, investors and other market participants.
The new standards include 141 fields with a specific definition and a set of permissible values. From an investor and issuer perspective there are key benefits in the recommended standards including: 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 the standards have also been discussed with rating agencies.
Charles Griffith, European credit manager, Barclays Global Investors and co-chair of the ESF Investors Committee added, “We see an enormous benefit from standardising fields of definitions on non-conforming RMBS in the UK as currently there is no common reporting format. We’re also working to make post-issuance information more accessible so that investors can further develop internal models, stress tests and other risk tools. Finally, we believe the provision of such information to data providers and pricing providers can only augment valuation precision and ultimately market liquidity. Overall, this is an important evolutionary step in our industry.”
Tim Cooley, chief financial officer, Mortgages Plc said, “We welcome this initiative as it provides best practices for issuers and could reduce requests for bespoke information provision. It should also remove the need for issuers to supply several formats of the loan-by-loan files at each interest payment date to investors and rating agencies. We have already started providing full access to loan-by-loan files without password protection in addition to the existing UK non-conforming quarterly reports. This is an important step toward increased accessibility of the information for securitisation participants.”
This is the second set of reporting guidelines issued by the ESF in its drive to improve consistent disclosure of pre- and post-issuance information for securitisation. The ESF will incorporate the new standards into the existing ESF Securitisation Market Practice Guidelines.
Rick Watson, head of ESF, added, “We laid out our advocacy initiatives in September this year and are determined to meet a key goal of improved transparency pre- and post-issuance of deals and thereby improve market liquidity. Non-conforming RMBS is an integral part of the mortgage sector in the UK and these standards will facilitate investor monitoring, modeling and valuation of future transactions. We encourage widespread use of standardised ESF/SIFMA reporting fields for UK and continental European RMBS as well as CDOs.”
To read the full ESF Standardised Loan-by-Loan Data File Format for UK Non-Conforming RMBS please go to www.europeansecuritisation.com.
