As mentioned throughout this book, securitization and structured finance is to a large extent about data and dissecting information. However, not only is it important to have the relevant information at hand and to be suitably equipped to publish this information, there should also be a certain amount of data quality checks and data checks by the issuer himself and then maybe followed by the trustees prior to publishing investor reports.
During the time I spent working at a rating agency I remember looking at one particular transaction that initially had dreadful reporting. The reports were distributed by a very large financial institution acting as a trustee who clearly either had no interest or at best a remote understanding of what these investor reports contained. Once we transposed the information into Excel it transpired that the “sums” of rows and columns did not add up and there also appeared to be €158m of collections “missing”.
To cut things short, it turned out there were certain problems in the transaction too, which led to it, first, being placed on rating watch negative and, second, some of the lower rated tranches being downgraded. Longer term, we worked closely with the issuer to ensure that the investor reporting did align with the actual underlying performance of the assets, nothing was missing in the report, and the issuer also implemented simple but effective data quality and assurance checks to its report prior to publishing it via the trustee and ...