Moody's: Structured Finance performance report requirements under the ECB Guideline on the implementation of the Eurosystem monetary policy framework

Moody's Investors Service supports the ongoing commitment of the European Central Bank (ECB) to encourage transparency in structured finance markets. Moody's will endeavour to publish performance overviews for eligible asset-backed securities (ABS) within the timeframe set out in the ECB Guideline on the implementation of the Eurosystem's monetary policy (ECB/2014/60), published on 20 February 2015. To be able to publish performance overviews within this timeframe, Moody's will need to receive the necessary information from the relevant transaction counterparties within 15 days of each coupon payment date of the relevant ABS transaction.

Moody's is an external credit assessment institution (ECAI) under the Eurosystem's credit assessment framework. The guideline introduces changes to the ECB's eligibility criteria for ABS, including a revision to the framework for ABS performance overviews that the ECB requires ECAIs to publish. The new requirement will enter into force on 1 May 2015.

The guideline states that, for an ABS transaction to remain eligible, "...regular surveillance reports published by the accepted ECAIs are required for asset-backed securities. The publication of these reports shall take place no later than four weeks after the coupon payment date of the ABSs. The reference date of these reports shall be the most recent coupon payment date except for ABSs paying the coupon on a monthly basis, in which case the surveillance report shall be published at least quarterly. The surveillance reports shall contain, as a minimum, the key transaction data, e.g. composition of the collateral pool, transaction participants, capital structure, as well as performance data."