Luxembourg securitisation vehicles: new exemption threshold for statistical reporting obligations
On 9 December 2013, the Central Bank of Luxembourg (the BCL) released a circular letter ST.13-0993 (Circular Letter 13-0993) on statistical reporting obligations to which securitisation vehicles established in Luxembourg are to be subject pursuant to two earlier BCL circular letters.3
The Circular Letter 13-0993 lowers the exemption threshold below which a securitisation vehicle is exempted from reporting obligations. The risk is that more securitisation vehicles will now be caught by these requirements.
According to the Circular Letter 2009/224 and the Circular Letter 2013/232, Luxembourg securitisation vehicles are required to submit to the BCL:
(a) the report "Quarterly statistical balance sheet of securitisation vehicles" (the S 2.14 Report);
(b) the report "Information on transactions made by securitisation vehicles" (the S 2.15 Report); and
(c) the report "Security by security reporting" (the TPT Report) to compile a statistical inventory of securities held by securitisation vehicles.
The S 2.14 Report and the S 2.15 Report must be submitted to the BCL, at the latest, 20 working days after the end of the quarter to which the data relates. The TPT Report must be submitted on a monthly basis, at the latest 20 working days after the end of the month to which the TPT Report relates.
Securitisation vehicles may be exempted from the whole set of statistical reporting obligations, subject to the fulfilment of certain conditions. The exemption threshold is defined by reference to the total amount of a securitisation vehicle's balance sheet. The Circular Letter 13-0993 lowers the exemption threshold from EUR 100 million to EUR 70 million of the total balance sheet.
Accordingly, securitisation vehicles whose total balance sheet is less than EUR 70 million are not required to file a report to the BCL. Companies whose balance sheet total exceeds the threshold of EUR 70 million within the year must submit the reports as of the quarter-end following the crossing of the threshold. A securitisation vehicle which reports per compartment is considered at the consolidated level to determine whether the exemption threshold is exceeded or not. In addition, securitisation vehicles which report by compartment and whose consolidated balance sheet total exceeds the exemption threshold must report data for all the compartments.
Newly incorporated securitisation vehicles (including those which are exempted) must spontaneously declare themselves to the BCL using the securitisation vehicle registration form available on the BCL website. The annual accounts of a securitisation vehicle must also be sent to the BCL, unless they have been filed with the Luxembourg trade and companies register and are already available to the public.
3 The BCL Circular 2009/224 on the introduction of a new statistical data collection for securitisation vehicles (Circular Letter 2009/224) and the BCL Circular 2013/232 on the introduction of a security-by-security reporting (Circular Letter 2013/232).