Regulatory Alerts2020-11-11
Added · Updated
Guidelines on securitisation repository data completeness and consistency thresholds
Securitisation repositories must verify that the use of 'No Data Options' does not prevent data submissions from being sufficiently representative of underlying exposures. This verification requires calculating individual field percentages of applicable 'No Data Options' and comparing the number of fields exceeding specific thresholds against limits set in Annex A. If the count of fields with percentages greater than 0% and below 10% exceeds the Threshold 1 limit, or if fields with percentages equal to or greater than 10% exceed the Threshold 2 limit, the submission is considered not sufficiently representative. These guidelines apply to securitisation repositories and are considered for supervision as of 1 January 2021.
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