Australian securitisation disclosure and reporting standards
Loan level data disclosure – RMBS (October 2016)
ASF members, in conjunction with the RBA, have adopted a risk-based approach to the provision of loan level data to Permitted Users.
Whilst the release of such data is the responsibility of RMBS sponsors, the ASF framework is designed to promote the efficient operation of RMBS markets whilst mitigating certain risks relating to the loan level data by taking into account the circumstances of the Permitted User and the data requested.
The following framework is a recommended minimum standard for industry participants. Transaction sponsors responsible for the release of loan level data may adopt additional requirements at their discretion, or as circumstances dictate.
The key elements of the ASF framework relating to the provision of loan level data are:
- certain sensitive data that is provided to the RBA is not required to be made publicly available;
- information providers (sponsors) enter into ASF Data Access Deeds (i.e. non-disclosure deeds) with Permitted Users that, amongst other things, limit the purpose for which the data may be used;
- sponsors adopt a risk-based approach in assessing the safeguards that Permitted Users have in place to minimise any impact on individuals’ privacy.
|ASF Data Access Deed – RMBS (Word)||Pro-forma Data Access Deed|
|Process Flowchart (PDF)||Process flowchart that sponsors may follow in making a risk assessment of an applicant before allowing an applicant access to loan level data.|
|Due Diligence Guidance Notes for Sponsors (PDF)||Guidance notes to assist sponsors with further risk assessment of an applicant|
|Frequently Asked Questions (PDF)||Further information about the ASF framework|
|RBA Securitisations Industry Forum||Further information about the RBA information reporting framework|
|Loan level contact list||Sponsor contacts responsible for administering loan level data|
Sponsor due diligence
The ASF recommends that sponsors undertake sufficient due diligence on each applicant requesting access to loan level data to ascertain:
- that the applicant is capable of being considered a Permitted User;
- the applicant’s ability to comply with the terms of the ASF Data Access Deed - RMBS;
- the risks associated with the applicant seeking access to the loan level data;
- that the applicant has appropriate safeguards in place to minimise any impact on individuals’ privacy.
Schedule 1 – User Information of the pro-forma “ASF Data Access Deed – RMBS” requires basic information about the applicant, their purpose for seeking access to the loan level data and information to assist highlight privacy risk factors.
Where applicant responses indicate that there may be higher privacy risk factors, additional due diligence is recommended to ensure that appropriate safeguards are in place to minimise any impact on individuals’ privacy. The Due Diligence Guidance Notes are intended to assist the sponsors further assess such risks.
If you would like to know any more about the Australian securitisation disclosure and reporting standards, please contact us on email@example.com.
ASF standards post TFUMP
In the wake of the global 2007/8 financial crisis, IOSCO's Task Force on Unregulated Markets and Products (‘TFUMP’) published its Final Report (PDF) in September 2009, and a subsequent Implementation Report (PDF), which tracked global progress.
IOSCO’s objectives were to improve investor confidence, aid greater comparability of transaction information and to better performance assess transactions, securities and collateral.
ASF responded to every TFUMP recommendation by taking industry-led measures, as well as engaging with policy and standards reform work led by the Australian official community. The foundation of the ASF response to IOSCO’s TFUMP was formulation of minimum and consistent standards and practices by issuers of Australian asset- and mortgage-backed securities, developed between 2009 and 2012.
More recently, the industry has worked to implement and evolve these standards through collaboration with The Reserve Bank of Australia (RBA) on its new mandatory reporting requirements.
Two ASF standards remain in force, pending any reporting guidance from the RBA on these items:
- Australian RMBS Minimum Representations & Warranties Standard ASF100.60 (PDF)
- Australian RMBS Arrears Calculation and Reporting Standard ASF100.50 (PDF)
ASF also produced standardised reporting arrangements for Australian covered bonds.
RBA securitisation system and Eligible Collateral
Every public term and ‘internal-’/´self-´/´repo-’ securitisation for which Eligible Collateral status is sought, must comply with these RBA standards.
This follows the RBA's announcement that it would only accept eligible securitised notes in its Committed Liquidity Facility and Fast Payments Solution, as well as Open Market Operations where compliance with its prescribed reporting occurred.
See the media release from the RBA to understand more about the regime.
Periodic pool level CPR calculation
ABS Perpetual has published a best practice note on the Derivation of CPR from RBA Data (PDF). This is based on an industry agreed approach to the methodology for calculating a periodic pool level Conditional Prepayment Rate (CPR), with the requisite data to be sourced from the approved RBA reportable data.
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