From 30 June 2015, RBA implemented new repo-eligibility criteria for asset-backed securities. They have requested information providers to submit deal data per month containing loan, security and transaction level information. Perpetual as an information provider is assisting issuers to meet the reporting requirements to submit data to the RBA and make information available via ABSPerpetual.
Perpetual has redeveloped ABSPerpetual in line with RBA’s reporting requirements and Issuers now submit their data via the Perpetual RBA standardised data templates. The standardisation of submitted data allows Perpetual to validate elements of the data, which will improve the quality of published data. As a result, Perpetual is progressively updating existing reporting on ABSPerpetual and you will notice differences in the way data is represented from September 2015.
Historical data currently reported on ABSPerpetual will remain unchanged, with Silver Subscribers able to access up to 12 months of historical data.
Stratification bands have been updated to align with RBA reporting requirements.
- Introduction of new stratification bands and relabelling and/or removal of legacy stratification bands. As an example, the loan documentation type report previously divided the pool into Full Doc, Low Doc and No Doc. A new ‘Alternative Doc’ stratification band will now appear on the report where a pool contains loans underwritten based on alternative documentation.
- Where Issuers have not provided data required for a stratification report, the loans are aggregated under a blank stratification band to provide a full view of the pool.
- For reports where stratification is based on numeric bands, data that is not reported for the stratification is captured under a ‘No Data’ band
- Shifts in data between stratification bands as Issuers more accurately report on loan measures and features under the RBA guidance
- Prepayment calculations have been updated due to the new reporting standards to provide a more accurate representation.
PORTFOLIO STRATIFICATION – SECURITY REPORTS
Security data is still largely reported from the Perpetual Treasury System. PTS is an internal Perpetual application through which payments are processed to investors and as such is the source of truth for payments. We are progressively aligned security level data outside of payments to the Issuer data reported to the RBA.
Terminal CPR substitutes for Current CPR (previously calculated by Perpetual) on the reports, which is in line with RBA reporting. Some Issuers may not report this value due to system limitations and this will show as blank on the reports. The corresponding charts will show a sharp drop in CPR measures as a result of this.
Measures such as subordination and bond factor continue to be reported based on the Perpetual Treasury System. Perpetual will determine whether these or any other fields require review based on feedback from investors and the market.
The look and feel of all ABSPerpetual reporting has also been updated to remove redundant data and relabel headers in line with RBA reporting.
FORMAT OF REPORTS
The structure of data now sourced from RMBS and ABS issuers has been expanded and has changed significantly from what was received historically. This material change to source data has necessitated changes to the ABSPerpetual reports. We understand that the move away from the legacy reports may cause some disruption to existing processes. However, the new enhanced data set delivers many benefits including a larger data set and more consistent and reliable reporting driven by data standardisation and Perpetual’s validation process.
If you have any queries or feedback on the changes to reporting please contact us.