Regulatory reporting for securitisation vehicles – S 2.14, S 2.15 and TPTTBS
BCL
These instructions specify the information to be collected, the formats and rules of the reports to be produced, as well as the procedures for transmitting these reports to the BCL.
U IT offers a solution called “RSV GUI” for the input and generation of reports, as well as comprehensive technical expertise for the configuration and support of the transmission tool that will be used to submit them.
The remainder of this article describes the conditions and usefulness of this data collection, details the reports concerned, and provides a practical summary of how to generate and submit these reports in Luxembourg.
Conditions and purpose of this data collection
RSV obligations apply to all Luxembourg securitisation vehicles, regardless of their legal form or their supervision by the CSSF.
Companies whose total balance sheet exceeds the above-mentioned threshold of EUR 70 million during the year are required to submit reports starting from the end of the month in which the threshold was reached.
Their objectives are to:
Enable the BCL to obtain statistically reliable data on securitisation activity in Luxembourg.
Monitor the development of securitised assets, their geographical, sectoral and maturity breakdown.
Analyse transactions, in particular purchases/sales of securitised receivables and write-offs or reductions of receivables.
Ensure transparency and consistency of the data used for macro-prudential supervision.
As with financial companies, the data transmitted by securitisation vehicles are harmonised with those of other euro area countries and integrated into the European statistical framework.
S 2.14 – Quarterly statistical balance sheet
Report S 2.14 is a quarterly statistical balance sheet to be submitted within 20 working days following the end of each quarter.
It provides a comprehensive picture of the assets and liabilities of the securitisation vehicle, broken down according to several criteria, including: the original maturity of receivables (e.g. ≤ 1 year, 2–5 years, > 5 years), the nature of assets and liabilities, and other groupings defined by the BCL.
The items “Total assets” (1-000000) and “Total liabilities” (2-000000) are automatically calculated as the sum of all sub-items, regardless of their detailed breakdown.
The data are transmitted via an XML file compliant with the BCL’s technical schemas and are subject to strict checks: internal consistency checks (balances, totals, prohibited negative amounts, etc.) and external checks, in particular with security-by-security reporting (TPTTBS).
This report enables the BCL to establish a clear overview of the balance sheet structure of securitisation vehicles and to ensure consistent statistical supervision.
S 2.15 – Transactions in securitised receivables
Report S 2.15, entitled “Transactions and write-offs/reductions of securitised receivables”, must be submitted quarterly within the same deadline as S 2.14.
It covers two types of operations. On the one hand, financial transactions, which include purchases of securitised receivables, sales or transfers, as well as movements in securitised assets valued at transaction price. On the other hand, write-offs or reductions of receivables, including total or partial write-offs and restructurings leading to a reduction in nominal value. All of these operations must be broken down by debtor country, currency, economic sector and original maturity of the receivables.
This reporting is essential for monitoring the dynamics of securitised portfolios: inflows/outflows, restructurings, macroeconomic effects, etc. It complements the S 2.14 balance sheet by reflecting changes not related to valuation.
TPTTBS – Monthly security-by-security reporting
TPTTBS reporting is a monthly declaration, much more detailed, covering each security held or issued by the vehicle.
For each security, the reporting entity must provide a set of information including its unique identification, the issuer and relevant sector, the type of instrument (bond, securitised receivable, equity, etc.), quantity, nominal amount and market value, as well as specific features related to the nature of the security.
This reporting stems from ECB Regulation 075/2013, which requires a high level of granularity in order to enable a precise analysis of the European securitisation market.
All data must be transmitted in an XML format governed by the BCL and are subject to consistency checks, in particular with S 2.14.
In practice
If you are required to submit such reports to the BCL, two aspects must be considered:
The input and generation of the reports
Their transmission to the BCL
Creation des rapports
As early as 2015, U IT launched a solution enabling the input and generation of the three reports. This solution is called “RSV GUI”, where “RSV” stands for “Reporting Securitisation Vehicles”, and “GUI” indicates that it is an interactive tool (GUI = Graphical User Interface).
The solution is Excel-based: three separate tools for the three types of reports, sold under an annual licence that varies depending on the number of entities subject to this reporting.
The strengths of our solution are:
Inclusion of numerous additional checks beyond those required by the BCL, minimising feedback and corrections to be made
Annual updates, with regular additions of input rules or additional checks based on BCL feedback
Addition of dedicated features (cross-checks, quick updates, automatic backups, etc.)
Use of Excel (easy to install, appreciated by users)
High-quality support
More information is available on the following of our website.
Submission of reports
Two options are available: SOFiE Sort, developed by Worldline, or e-file, developed by Fundsquare (FE Fundinfo). These two tools are known as “secure channels”. They have been in place since 2008, following a revamp of the collection of financial data from banks by the CSSF.
It is therefore necessary to open an account with one of these two applications in order to transmit these reports to the BCL.
U IT has specialised in the SOFiE Sort application and offers the following services:
Installation, configuration and commissioning of a SOFiE Sort account
Renewal of certificates (SSL, LuxTrust)
Automation (batch mode)
Any other technical assistance and/or troubleshooting (remote or on-site)
If you are required to submit these reports for your company, group, or for one of your clients, we invite you to contact us. We will take the time to answer all your questions and help you make the best choice.