Previously, each originator was free to determine the format and content of its investor reporting. Both investors and credit rating agencies indicated that the transparency of Dutch securitisation transactions could be significantly improved by:
- Adding more performance data to the reports;
- Making the reports available on a monthly basis and in such a format that data would be more easily extracted (all compliant investor reports will be made available in PDF and XLS); and
- Agreeing one single format for all Dutch transactions within an asset class.
The Dutch originators have taken these recommendations into consideration and together with the trustees and Hypoport have developed two template reports for RMBS transactions:
1. Template Notes and Cash Report
A notes and cash report detailing a.o. the payments (to be) made and received by the issuer.
Previous versions can be found in Investor reporting - archive. A summary of changes in the versions can be found here (xls) or here (pdf).
2. Template Portfolio and Performance Report
- Version 2.0 (xls)/ Version 2.0 (pdf)
- DSA Template Reconciliation Report Version 1.4 (xls) / DSA Template Reconciliation Report Version 1.4 (pdf)
- Master Issue version 1.2 (xls) / Master Issuer version 1.2 (pdf)
A portfolio and performance report detailing the performance of and other developments in respect of a.o. i) the portfolio of receivables backing the Notes and ii) the ratings of the counterparties of the issuer. Previous versions can be found in Investor reporting - archive. A summary of changes in the versions can be found here (xls) or here (pdf).
The versions 2.0 of the Notes and Cash Report and the Portfolio and Performance Report have been developed in 2021 and have been implemented in 2022. Changes compared to previous versions reflect the findings from many years of usage of the older versions; also some elements of the ESMA templates have been taken into account.
A reconciliation report, reconciling the portfolio and performance report data of older versions with the ECB loan level data. The use of the report is optional.
Each compliant Notes and Cash Report and each Portfolio and Performance Report to be published by the Issuer shall contain all fields and information set out in the relevant Template, provided that empty fields are allowed if they are identified and the reason why such field is left empty is explained in reasonable detail in the relevant report. The Issuer shall make Portfolio and Performance Reports available on a monthly basis and Notes and Cash Reports available on a monthly or quarterly basis, depending on the payment frequency of the Notes
For Dutch Consumer Finance Securitisations the following template report was developed:
3. Template Investor Report
Version 1.0 (xls) / version 1.0 (pdf)
An Investor report detailing a.o. the payments (to be) made and received by the issuer, the performance of and other developments in respect of a.o. i) the portfolio of receivables backing the Notes and ii) the ratings of the counterparties of the issuer.
Each compliant Investor Report to be published by the Issuer shall contain all fields and information set out in the relevant Template, provided that empty fields are allowed if they are identified and the reason why such field is left empty is explained in reasonable detail in the relevant report. The Issuer shall make Investor Reports available on a monthly basis.
For Dutch BTL RMBS the following template report was developed.
4. Template Investor Report
Version 2.0 (xls) / version 2.0 (pdf)
A portfolio and performance report detailing the performance of and other developments in respect of a.o. i) the portfolio of receivables backing the Notes and ii) the ratings of the counterparties of the issuer.
Each compliant Portfolio and Performance Report to be published by the Issuer shall contain all fields and information set out in the relevant Template, provided that empty fields are allowed if they are identified and the reason why such field is left empty is explained in reasonable detail in the relevant report. The Issuer shall make Portfolio and Performance Reports available on a monthly or quarterly basis, depending on the payment frequency of the Notes.
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