ECB Circular BCL 2014/236 of 25 April 2014 — Modification of Statistical Data Collection from Securitization Vehicles

Luxembourg, 25 April 2014
To all Luxembourg securitization vehicles
ECB CIRCULAR BCL 2014/236
Modification of Statistical Data Collection from Securitization Vehicles

Dear Sirs and Madams,

The Governing Council of the European Central Bank (ECB) has adopted ECB Regulations ECB/2013/40 on statistics on the assets and liabilities of securitization vehicles, ECB/2013/33 concerning the balance sheet of the monetary financial institutions sector, and ECB/2012/24 on statistics on securities holdings, as well as ECB Guidelines ECB/2013/24 on statistical reporting obligations established by the European Central Bank regarding quarterly financial accounts and ECB/2011/23, as amended, on statistical reporting obligations established by the European Central Bank regarding external statistics.

The new regulations and guidelines are a consequence of the implementation of Regulation (EU) No 549/2013 of the European Parliament and of the Council of 21 May 2013 on the European system of national and regional accounts in the European Union (ESA 2010).

The current collection system was established with the objective of limiting the overall reporting burden on Luxembourg securitization vehicles.

1 Objectives

Based on the aforementioned guidelines and regulations of the European Central Bank (ECB), the BCL has redefined its collection system to meet the following objectives:

• complete coverage of the foreseeable requirements of the European Central Bank regarding monetary and financial statistics;
• minimization of the workload for reporting institutions;
• consistency with data collected for prudential supervision purposes;
• compatibility with the ESA 2010 (European System of National and Regional Accounts 2010) standard;
• coverage of financial stability and prudential surveillance needs.

2 Main Innovations

Compared to the existing statistical collection system, the modifications consist of new versions of the current reports.
The main innovations of the reports, detailed in the instructions, are as follows:

• the codifications of headings and initial maturities are modified to harmonize these codifications with those of reporting by other Luxembourg financial entities;
• the list of economic sectors and the list of security types are modified in accordance with the changes provided for in ESA 2010;
• following the introduction of title-by-title reporting:
  • for headings related to securities, detailed breakdowns by country, economic sector, and initial maturity of held and issued securities are no longer required in quarterly balance sheets;
  • the quarterly report detailing transactions and write-offs/reductions of securitized claims has been simplified: only some headings of balance sheet items need to be filled in, and only the breakdown by country is required;
• in the quarterly balance sheet, breakdowns by country, currency, economic sector, and initial maturity of balance sheet items other than those related to securities are now required to establish estimates on financial transactions regarding these items;
• introduction of a new type of securitization related to insurance and reinsurance.

3 Securitization Vehicles

3.1 Definitions

Article 1 of Regulation ECB/2013/40 defines a "securitization vehicle." This refers in particular to an entity whose main activity fulfills both of the following criteria:

• the entity intends to carry out, or carries out, one or more securitization operations, and its structure aims to isolate the entity's payment obligations from those of the originator or the insurance or reinsurance undertaking; and
• the entity issues, or intends to issue, debt securities, other debt instruments, securitization fund securities, and/or financial derivative products (hereinafter "financing instruments") and/or is, or is likely to be, the legal or economic owner of the underlying assets for the issuance of financing instruments that are subject to a public offer for sale or sold in the context of private placements.

Therefore, all resident entities located on the territory of Luxembourg and subject to the Law of 22 March 2004 on securitization are concerned, as well as entities meeting the definition of a securitization vehicle under Article 1 of Regulation ECB/2013/40 and subject to the Law of 10 August 1915 concerning commercial companies.

When a securitization vehicle does not have legal personality under Luxembourg law, the declaration of the information required under this circular is carried out by the persons legally authorized to represent it or, in the absence of official representation, by the persons who, under Luxembourg law, are responsible for the acts of the securitization vehicle.

3.2 List of Securitization Vehicles

The ECB establishes and updates, for statistical purposes, a list of securitization vehicles constituting the reference reporting population.

To this end, Luxembourg securitization vehicles provide the BCL with the data requested by the latter in accordance with ECB Guideline ECB/2008/31 of 19 December 2008 amending ECB Guideline ECB/2007/9 on monetary, financial institutions, and capital markets statistics, within one week from the date of access to activity, regardless of whether it expects to be subject to statistical reporting obligations. The BCL transmits this information to the ECB, which establishes the list of securitization vehicles for the entire euro area and ensures access to this list and its updates through appropriate channels.

4 Statistical Data Collection

4.1 BCL Statistical Reporting

Regulation ECB/2013/40 on statistics on the assets and liabilities of securitization vehicles defines the information requests addressed to securitization vehicles. In this context, securitization vehicles must periodically submit the following financial information to the BCL:

• Quarterly Report S 2.14 "Quarterly Statistical Balance Sheet of Securitization Vehicles";
• Quarterly Report S 2.15 "Transactions and Write-offs/Reductions of Securitized Claims of Securitization Vehicles";
• Monthly Report TPT "Title-by-Title Reporting of Securitization Vehicles".

These documents are available and can be downloaded from the BCL website at the following address:
http://www.bcl.lu/en/reporting/Securitization_Vehicles/index.html.

4.2 Exemptions

Regulation ECB/2013/40 on statistics on the assets and liabilities of securitization vehicles provides for the possibility to exempt small-size reporters from reporting. The selection of securitization vehicles subject to reporting is carried out by the BCL, which will grant exemptions as long as the coverage level of the collection is greater than 95% of the aggregate balance sheet of all securitization vehicles.

The BCL verifies compliance with this condition in good time to adjust the exemption threshold, this decision taking effect at the beginning of each calendar year.

Securitization vehicles benefiting from an exemption declare their annual financial situations to the BCL, if they are not publicly accessible, i.e., published in the Trade and Companies Register, within a period of seven months from the date of the annual closing of accounts.

5 Use of Collected Data

The statistical data collection, which applies to all securitization vehicles or securitization vehicle compartments, is primarily intended for statistical purposes and is based mainly on the requirements set forth in the aforementioned ECB regulations.

However, in order to limit the workload for reporters and to avoid multiple collections, this data may be used for other purposes provided for under the BCL Organic Law.

Accordingly, the individual data collected thus fall under the professional secrecy of the organs and agents of the Central Bank, defined by Article 33 of the BCL Organic Law. It is important to note that this article allows the Central Bank to exchange information with the Financial Sector Supervisory Commission, the Insurance Supervisory Commission, and the Central Service for Statistics and Economic Studies (STATEC) to the extent necessary for the fulfillment of its missions.

6 Quality of Transmitted Data

We wish to emphasize the importance of the quality of data transmitted to the BCL and the necessity to submit data subject to verification rules detailed in the technical documentation prior to transmission. Only rigorous control performed at the time of data production can meet both quality requirements and imposed deadlines. This point is all the more important because the data collected and transmitted in aggregated form to the ECB are controlled by the ECB services before being aggregated with data from other Member States. Furthermore, the BCL publishes detailed statistics on its website, which must present a high level of quality to meet user needs. Any significant error or negligence has damaging repercussions on the reputation of the Luxembourg financial center.

7 Compliance with Reporting Deadlines

The BCL establishes and publishes on its website a table listing the submission deadlines for monthly and quarterly statistical reports.

It is recalled that the BCL must transmit quarterly statistical reports to the European Central Bank within 28 working days following the period to which they relate. It is therefore essential that reporters strictly respect delivery deadlines so that the BCL can fulfill its commitments within the European System of Central Banks (ESCB).

8 Repeals

This circular replaces and repeals, effective 1 January 2015, the following circulars:

• BCL 2009/224 "New Statistical Collection from Securitization Vehicles";
• BCL 2013/232 "Introduction of Title-by-Title Reporting".

9 Implementation of the New Collection

Securitization vehicles or securitization vehicle compartments are invited to submit the quarterly reports S 2.14 "Quarterly Statistical Balance Sheet of Securitization Vehicles" and S 2.15 "Transactions and Write-offs/Reductions of Securitized Claims of Securitization Vehicles" and the monthly title-by-title report for the reference period of December 2014, no later than 30 January 2015.

Please accept, Sirs and Madams, the assurance of our most distinguished sentiments.

BANQUE CENTRALE DU LUXEMBOURG
The Management

Pierre Beck Serge Kolb Gaston Reinesch
General Director