Response to discussion on the review of the NPL transaction data templates

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1. Do you agree with the proposed data structure and the relationship between templates? If not, please provide explanation.

Yes, it has a comprehensive structure.

2. Do you agree with the deletion of data categories ‘NPL portfolio’ and ‘Swap’? If not, please provide explanation.

Yes.

3. Do you think the suggested list of data fields capture all the relevant information on the counterparty needed for NPL valuation and financial due diligence? If not, please indicate which other data fields should be included and provide explanation for this.

The due diligence process would improve if the following data fields will not be excluded:

Counterparty deceased; Insolvency Practitioner Appointed; Date of Appointment; Number of Current Judgements; Date of External Demand Issuance

They can be classified as non-critical.

4. Do you think any specific data fields should be excluded from the template? If yes, please specify the data fields and give explanation to your answer.

No.

5. Do you agree that data fields on current external and internal credit scores and current external and internal credit scores at origination should be included in the template (for both private individual and corporate counterparties)?

We agree that credit score-related data fields should be included, but they should be non-critical.
This is because for back-book securitisations, i.e. securitisations of underlying exposures with a high seasoning, or re-securitisations, i.e. for transactions where the originator is an SPV, credit score data availability may be scares and not available.

6. Do you agree that data fields on corporate’s latest available financial statement amounts should be included in the template?

Yes, it will be helpful for the due diligence process, but it may not be available for back-book securitisations and re-securitisations. Hence our view is to classify those data fields as non-critical.

7. Do you agree that data fields related to corporate counterparties’ assets and liabilities, market capitalisation should be included in the template?

Yes, it will be helpful for the due diligence process, but it may not be available for back-book securitisations and re-securitisations. Hence our view is to classify those data fields as non-critical.

8. Do you agree with the proposed Template 2 of Annex I? If not, please provide explanation to your answer.

Yes.

9. Do you agree with the inclusion of the data fields related to interest rates and other information as per contractual agreement for the valuation and financial due diligence of NPLs, especially when they are not more than 90 days past due? Please provide data field-specific explanation to your answer.

Partially agree. The discriminant of >90 days past-due may not be sufficient, although it can be regarded as a good starting valuation point. A further discriminant may be the presence of an active loan repayment plan. Certain data, mainly related to the interest rate structure or amortisation plan may lose significance when there are no active repayment plans.

10. Do you agree with the inclusion of the data fields related to forbearance measures for the valuation and financial due diligence of NPLs?

Yes, but they should be classified as non-critical.

11. Do you think the suggested list of data fields capture all relevant information on financial instrument needed for NPL valuation and financial due diligence? If not, please indicate which other data fields should be included and provide explanation for this.

Yes.

12. Do you think any specific data fields should be excluded from the template? If yes, please specify the data fields and give explanation to your answer.

No.

13. Do you agree with the data fields related to lease? Please provide data field-specific explanation to your answer.

Yes.

14. Do you think the suggested list of data fields capture all relevant information on collateral needed for NPL valuation and financial due diligence? If not, please indicate which other data fields should be included and provide explanation for this.

Yes.

15. Do you think any specific data fields should be excluded from the template? If yes, please specify the data fields and give explanation to your answer.

No.

16. Do you agree with the data fields on the characteristics of non-property collateral? Please provide data field-specific explanation to your answer.

Yes.

17. Do you agree with the data fields related to the enforcement of collateral? Please provide data field-specific explanation to your answer.

Yes.

18. Do you agree with the proposed Template 5 of Annex I for NPL valuation and financial due diligence? Please provide data field-specific explanation to your answer.

Yes.

19. Do you agree with description of data fields presented in data dictionary?

Yes.

20. Do you agree with criticality (and non-criticality) of data fields presented in data dictionary? If not, please provide suggestions and explanations related to specific data fields.

On our view the following fields should be classified as critical:

Balance at Default, Cash Recoveries


On our view the following fields should be classified as non-critical:

Counterparty deceased; Insolvency Practitioner Appointed; Date of Appointment; Number of Current Judgements; Date of External Demand Issuance; Fixed Assets; Current Assets; Cash and Cash Equivalents; Total Assets; Total Liabilities; Total Debt; Annual Revenue; Annual EBIT; Loan Purpose

21. Do you agree with confidentiality aspects of data fields? If not, please provide explanation.

Yes.

22. Do you agree with excluding no data options for data fields? If not, please provide suggestions and explanations related to specific data fields.

Yes, on an IT basis it eases up the data type classification per field.

23. Please provide your views on how proportionality considerations regarding the size of the exposures or portfolios being sold should be incorporated in the implementation of NPL data templates.

Data quality scoring rather than proportionality, may be a better discriminant on an NPL portfolio on the seller’s side. Setting a pan-European proportional threshold based on portfolio size can be cumbersome, given the characteristics of market participants and their respective business sizes and market presence. Furthermore, a decreasing number of non-critical fields can be misleading and thus it is preferable defining and maintaining on a continuous basis a constant number of critical and non-critical fields. Securitisations can differentiate themselves through data availability, making portfolios with higher transparency, more attractive to investors. As a conclusion, an ex-post data quality scoring, based on the prompt availability of non-critical fields can result a better and a more holistic discriminant both for due diligence and portfolio pricing.

24. Should there be a threshold (e.g. in monetary terms) for the application of the proportionality principle? If yes, then how should this be defined?

No, for the purposes stated on answer 23.

25. Do you agree that the proposed approach takes into account, in an adequate way, the proportionality principle? If not, which additional elements should be considered?

No, for the purposes stated on answer 23.

26. Please provide your views on the asset classes covered and whether any specific data fields, other than already foreseen, should be included in the templates for ensure full coverage of certain asset classes.

The proposed Asset Classes do not fully overlap with the Asset Classes of the ESMA templates. In a situation where both templates would be mandatory, a lack of full Asset Class semantics, may result more costly, sometimes even economically inconvenient. Hence, a harmonisation of the asset classes with the ESMA templates, is deemed preferable.

27. In your view, is the structure and coverage of the templates adequate for both portfolio transactions and transactions where an individual exposure is traded? Please explain your answer.

Yes.

28. Please add any additional comments, remarks or observations you may wish to include in your feedback to the discussion paper.

A point which may have not been fully covered regards the considerations of data availability of the portfolios by seasoning, portfolios sold by other SPVs, where the Original Lender may be not a part of the transaction, and loan portfolios originated by financial intermediaries, subsequently incorporated by other intermediaries that are part of the transaction. Based on the current experience, it should be taken into consideration, that back-book securitisations, may not have readily available data, or the data extraction may result costly and uneconomical. On the other hand, the same consideration is not made with respect to front-book securitisations, richer in data. An increasing critical-data demanding mechanism may risk impeding financial intermediaries using the securitisation channel to sell their back-books loans.

Name of the organization

Banca Finanziaria Internazionale