Securitisation – Reporting obligations towards the Luxembourg Central Bank – Exemption threshold for 2017

1 Background

The European Central Bank (“the ECB”) has adopted the Regulation (EC) No 1075/2013  of 18 October 2013 concerning statistics on the assets and liabilities of financial vehicle corporations engaged in securitisation transactions (the “ECB Regulation”), in order to, amongst others, collect statistical information within the limits of the reference reporting population.¹ Financial vehicle corporations engaged in securitization vehicles (the “FVCs”) residing in EU member states that have adopted the euro, form the reference reporting population. FVCs are undertakings which are constituted pursuant to national or European law and whose principal activity meets both of the following criteria:

• it intends to carry out, or carries out, one or more securitisation transactions and is insulated from the risk of bankruptcy or any other default of the originator;
• it issues, or intends to issue, securities, securitisation fund units, other debt instruments and/or financial derivatives and/or legally or economically owns, or may own, assets underlying the issue of securities, securitisation fund units, other debt instruments and/or financial derivatives that are offered for sale to the public or sold on the basis of private placements.

On 25 April 2014, the Luxembourg Central Bank, the Banque Centrale de Luxembourg (the “BCL”) has adopted Circular BCL 2014/236 concerning the modification of the statistical data collection of securitisation vehicle (the “BCL Circular”). The ECB Regulation is directly applicable and applies to Luxembourg FVCs, notably, but amongst others, securitisation vehicles, subject to the Luxembourg law of 22 March 2004 on securitisation, as amended (the “Securitisation Law”). Luxembourg FVCs are obliged to provide the BCL with certain statistical information, which such will forward to the ECB who shall establish the complete list of securitisation vehicles for the entire Eurozone and make such list publicly available. According to point 4.2 of the BCL Circular and Article 5.1 b) of the ECB Regulation, the BCL may exempt certain securitisation vehicles from the whole set of statistical reporting obligations, apart from the obligation to report, on a quarterly basis, end-of-quarter outstanding amount data on total assets, provided that such securitisation vehicles that contribute to the quarterly aggregated assets/liabilities account for at least 95% of the total assets of securitisation vehicles in terms of outstanding amounts. The BCL announced in its Circular letter (ST.17-0021) of 9 January 2017 on the exemption threshold 2017 for securitisation vehicles that such threshold amounts to EUR 70 million.

2 Reporting, timing, exemption and sanctions

(a) Reporting and timing

FVCs have to inform the BCL within one week from the date where the FVC has taken up business (not just merely establishing the entity which is not expected to start its securitisation activity within the next six months) irrespective of whether it expects to be subject to regular reporting obligations under the ECB Regulation.

FVCs shall provide the BCL with data on end-of-quarter outstanding amounts, financial transactions and write-off/write downs on the assets and liabilities of FVCs on a quarterly basis, in accordance with Annexes I and II of the ECB Regulation.

The statistical reports S 2.14² and S 2.15³ must be submitted to the BCL at the latest on the 20thworking day following the end of the quarter to which it related. The SBS report⁴ must be submitted to the BCL at the latest on the 20th working day following the end of the month to which it relates.

The BCL established and published on its website a calendar of remittance dates at which the monthly and quarterly reports must be submitted to the BCL, while the BCL itself must transmit to the ECB quarterly statistics within 28 working days following the period to which the data refer to. This is the reason why the reporting deadlines must be respected scrupulously.

(b) Exemption

The BCL may grant derogations to certain reporting requirements laid down in the ECB Regulation as follows:

• For loans originated by euro area monetary financial institutions (the “MFIs”) and broken down by maturity, sector and residency of debtors, and where the MFI continue to service securitised loans within the meaning of Regulation (EU) No 1071/2013 (ECB/2013/33);
• For Companies of which the balance sheet total exceeds the aforementioned threshold of EUR 70 million within the year must submit the reports as from the month-end in which the threshold was crossed. Companies which report its figures per compartment are considered at the consolidated level for comparison with the exemption threshold. Besides, vehicles which report by compartment and which consolidated balance sheet total exceeds the exemption threshold must report data for all the compartments.

If the consolidated balance sheet total of the reporting company falls sustainably within the year below to the aforementioned threshold of EUR 70 million, it is important to inform the BCL before the submission deadline in order to benefit from the reporting exemption. The exemption will be granted as from the month following the first quarter-end showing a total of assets below the exemption threshold.

• To the extent that the data to be reported can be derived, according to minimum statistical standards as specified in Annexe III of the ECB Regulation, from other statistical, public or supervisory data sources and without prejudice to a) and b) above.

(c) Sanctions

Sanctions may be imposed following an infringement procedure in the event of failure to comply with minimum standards for transmission (in relation to timeliness and technical reporting requirements), accuracy (in relation to linear constraints and data consistency across frequencies) and conceptual compliance (in relation to definitions and classifications).

Moreover, serious misconduct will also be recorded and sanctions may be imposed by the ECB. Serious misconduct is defined as follows: 
systematic reporting of incorrect data;

• systematic failure to comply with the minimum standards for revisions;
• intentional incorrect, delayed or incomplete reporting;
• insufficient degree of diligence or cooperation with the BCL or the ECB.
• As part of this procedure’s implementation, the BCL does no longer accept the transmission of reports via e-mail. The transmission of reports shall occur by electronic means (e-file or Sofie).

^{1 The ECB Regulations repeals the former Regulation (EC) No 24/2009 of 19 December 2008 concerning statistics on the assets and liabilities of financial vehicle corporations engaged in securitisation transactions and other activities which are appropriate to accomplish that purpose.}

^{2 Quarterly statistical balance sheet of securitisation vehicles.}

^{3 Transactions and write-offs/write-downs on securitized loans of securitisation vehicles.}

^{4 Security by security reporting of securitisation vehicles.}