ECB Staff Response to the ESMA Consultation Paper on the Securitisation Disclosure Templates

In March 2024 the European Central Bank (ECB) published the ECB staff response to the ESMA consultation paper on the securitisation disclosure templates under Article 7 of the Securitisation Regulation.

In its response, the ECB welcomes the inclusion of additional risk indicators related to climate change that can support EU efforts to improve sustainability disclosures.

Highlighting the Importance of Climate Change Data in Risk Mitigation

According to the document, climate change data is essential if investors, policymakers and all stakeholders are to properly understand, measure, and manage financial risks related to sustainability. However, this data is currently scarcely available, creating serious challenges for the assessment of climate-related risks.

The ECB supports the introduction of a minimum number of data metrics, corresponding to those used in other EU legal acts, to enable a more rigorous assessment of the associated climate-related risks without unduly burdening the reporting agents or requiring unreasonable efforts to capture the necessary data.

Echoing the joint ECB-ESAS statement of March 2023, the ECB staff response stresses that access to climate-related data at a granular level is necessary for adequately assessing the increasing transition and physical risks related to the climate, because better climate-related data reporting would provide basic information on the impact of, and the exposure to, risks arising from climate change. In turn, such disclosures would foster a level playing field in terms of transparency across all asset classes.

The availability of climate-related data is especially crucial for certain types of underlying assets, i.e., real estate or car loans for example due to their relevance in terms of greenhouse gas emissions in Europe.

Harmonising Disclosure Requirements

The ECB proposes a set of metrics that align with other EU regulatory criteria, such as the EU taxonomy or SFDR disclosure requirements, with the aim of harmonising the reporting burden for originators. For instance, for real estate securitisations, the proposed metrics are:

  • Primary energy demand (PED) (kWh/m2 per year). This information should be mandatory for new loans and estimates should be provided for legacy loans for which such data are not readily available. The originator should disclose the methodology of such estimates used for legacy loans and identify which metrics have been estimated. ESMA could provide guidelines for the methodology of such estimations, taking into account the existing practices of market participants, public investment banks and supervisors.

  • Issuance date of the Energy Performance Certificate.

  • Annual primary energy consumption of properties before and after the improvements.

The ENGAGE Templates, launched in November 2023, incorporate the metrics proposed by the ECB and will be operationalised via the ENGAGE Portal.

To access the Templates CLICK HERE.

Lending institutions interested in testing the ENGAGE Solution are also invited to email to learn more and get involved.