European DataWarehouse - European...

European DataWarehouse European Commission Workshop – Brussels, 27 November 2013

1 November 2013 European DataWarehouse GmbH

Agenda

November 2013 European DataWarehouse GmbH 2

Corporate governance

General update on SME ABS transactions onboarded so far

Key characteristics of the ECB ABS SME template

Platform characteristics

European DataWarehouse (ED)


ED is an innovative new company that was created with the support of the European Central Bank (ECB), funded and governed by global market participants. ED operates as a utility to respond to the need for full disclosure to investors in asset-backed securities (ABS)

ED is a cornerstone for the restoration of confidence in the ABS market, providing a central European repository and data handling infrastructure

ED helps investors and other market participants to gain an in depth understanding of the underlying assets for their required due diligence and risk assessment

ED already stores more than 600 RMBS, CMBS and SME deals equivalent to 15 million loans from across Europe with an increasing trend; additional asset classes such as Auto and Consumer Loans as well as Leasing will be available in H2 2013

List of shareholders as of November 2013


1. Banco Bilbao Vizcaya Argentaria S.A. 2. Banco Santander S.A. 3. BNP Paribas S.A. 4. Caixa Bank S.A. 5. Crédit Agricole S.A. 6. Crédit Foncier de France 7. DBRS Ratings Limited 8. Dutch Securitisation Association 9. Intesa Sanpaolo S.p.A. 10. Instituto de Crédito Oficial 11. Moody's Group Cyprus Limited 12. Perella Weinberg Partners Group LLP 13. Sapient Holdings Luxembourg S.à.r.l 14. Société Génerale S.A. 15. True Sale International GmbH 16. UniCredit S.p.A. 17. Unione di Banche Italiane S.c.p.A. ED is the first ABS warehouse ever created that is owned by its market users, but has the unique feature of being supported and endorsed by the European Central Bank and members of the Eurosystem

Organisational Structure


Pricing Committee with ECB and NCBs

as observers

ED Management

José Manuel González-Páramo

Chairman

Supervisory Board with ECB and NCBs

as observers

Shareholder Meeting

José Manuel González-Páramo

Chairman

Supervisory Board: Consists of 8-16 members (mainly shareholder representatives plus ECB/NCBs as observers) and is responsible for strategy and monitoring activities

Pricing Committee: Consists of 8+ members from the ABS industry and is responsible for setting the fee structure for ED clients. The fees are set in line with a “costs-plus” approach, meaning that profits above a certain operational margin must be redeployed to the market in the form of lower fees.

Onboarding Status as of H2 2013 Overall 606 deals were created in Edwin (approx. 95% of the ECB eligible ABS)

RMBS, CMBS , SME and Auto ABS Deals in ED by Country


Source: ED data

Spain 242

Italy 133

Netherlands 104

Portugal 39

Ireland 22 France 23

Belgium 17 UK 10 Germany 6

New SME transactions have been created in ED lately together with RMBS deals. ED has already started to onboard Auto ABS, Consumer Finance and Lease ABS transactions in H2 2013 ahead of the ECB implementation of loan-level reporting requirements starting on 1 January 2014.

Onboarding status as of H2 2013 for ABS SME deals

115 SME deals by country


Source: ED data

Spain 70 Italy 28

France 5

Portugal 4

Belgium 3 Netherlands

3 Germany 2

Spain 412

Italy 286

Belgium 246

France 136

Portugal 44

Netherlands 28

Germany 17

1.17MM of SME loans or loan parts by country*

*All amounts in 000s (k) The loan count calculation is based on the total number of loans reported for each transaction in Edwin to date.

Customer Types


Data Owners: are issuers/originators who register the deals within Edwin and receive a unique global transaction identifier, or ED-Code. As part of registration of a deal, the data owner is also expected to appoint a data provider for the deal Data Providers: are servicers, trustees or other designated entities that upload performance data files on a periodic basis against the deals for which they are nominated as providers by the data owner. Note that in many cases Data Owners are also the Data Providers Data Users: are usually investors, rating agencies, the European Central Bank, National Central Banks, active market participants such as traders, researchers and other parties that access and analyse the underlying loan performance data by searching and downloading deals from Edwin All customers have to register and sign a customer agreement to upload and download ABS loan-level data. The ED Global Transaction ID number (or "ED-Code") is a unique electronic identification scheme for ABS which is required in order for Customers to interact with Edwin. The ED-Code identifies the entire ABS deal structure, encompassing all constituent liabilities (i.e. bonds/tranches) and assets

ECB ABS Templates and Taxonomies

October 2013 9 European DataWarehouse GmbH

• ECB ABS Asset classes

1. RMBS template - last update: 17 June 2013 2. CMBS template - last update: 17 January 2013 3. SME template - last update: 14 December 2012 4. Consumer and Finance template - last update: 20 September 2013 5. Leasing ABS template - last update: 20 September 2013 6. Auto ABS template - last update: 20 September 2013 7. Credit Card ABS template - last update: 19 September 2013 • ECB ABS Compiling manuals Dedicated manuals (taxonomies) are available on the ECB website for each template to assist market participants when they submit ABS loan-level performance information. ECB contact for specific eligible assets-related queries: [email protected] Source: ECB website at http://www.ecb.europa.eu/mopo/assets/loanlevel/transmission/html/index.en.html

ECB ABS SME template key characteristics

Asset level details including: Obligor information Loan characteristics Interest rate Financials Performance information Projected amortisation profile

Callateral information

Bond level information: Bond information Bond information by tranche Data format: Extensible Markup Language (XML) However, ED data can be transformed from Excel or CSV into XML and vice-versa with a toolkit.


Extraction of key ECB ABS SME mandatory fields

October 2013 European DataWarehouse GmbH 11

Field Number Priority TAG Field Name Field Definition & Criteria

AS37 Mandatory Dynamic Bank Internal Loss Given Default (LGD) Estimate

Loss Given Default in normal economic conditions.

AS54 Mandatory Static Original Loan Balance Original total loan balance.

AS55 Mandatory Dynamic Current Balance

Amount of loan outstanding as of pool cut off date, This should include any amounts that are classed as principal in the transaction. For example if fees have been added to the loan balance and are part of the principal in the transaction these should be added. Excluding any interest arrears or penalty amounts

AS56 Mandatory StaticSecuritised Loan

Amount Balance of the securitised loan as of the cut-off date

AS66 Mandatory Dynamic Balloon Amount The balloon payment amountAS80 Mandatory Dynamic Current Interest Rate Current interest rate (%)AS81 Mandatory Dynamic Interest Cap Rate Interest rate cap (%). If no IR Cap then enter NDAS82 Mandatory Static Interest Floor Rate Interest rate floor (%). If no IR Floor then enter ND

AS85 Mandatory DynamicCurrent Interest Rate

Margin

Current interest rate margin (as a percentage %, for fixed rate loans this is the same as the current interest rate, for floating rate loans this is the margin over or under if input as a negative) the index rate

AS115 Mandatory Dynamic Interest Arrears Amount

Current balance of interest arrears. Arrears defined as: Total interest payments due to date LESS Total interest payments received to date. This should not include any fees applied to the account. If not in arrears enter 0.

AS116 Mandatory Dynamic Number of Days in Interest Arrears

Number of days this loan is in arrears (at pool cut off date) according to the definition of the issuer. If not in arrears enter 0.

AS117 Mandatory Dynamic Principal Arrears Amount

Current balance of principal arrears. Arrears defined as: Total principal payments due to date LESS Total principal payments received to date LESS any amounts capitalised. This should not include any fees applied to the account. If not in arrears enter 0.

AS118 Mandatory Dynamic Number of Days in Principal Arrears

Number of days this loan is in arrears (at pool cut off date) according to the definition of the issuer. If not in arrears enter 0.

AS125 Mandatory Dynamic Default AmountTotal default amount (per the transaction default definition) before the application of sale proceeds and recoveries. If not in default, enter 0.

AS128 Mandatory Dynamic Cumulative RecoveriesTotal recoveries including all sale proceeds. Only relevant for loans that have defaulted/foreclosed. If No Data available enter ND

AS132 Mandatory Dynamic Allocated Losses The allocated losses to date. If no losses to date, enter 0.

AS150 Mandatory Dynamic Outstanding Balance Period 1

Amortisation Profile with 0% prepayments

AS[152-388] (even numbers) Mandatory Dynamic Outstanding Balance

Period [2-120]Amortisation Profile with 0% prepayments

CS10 Mandatory StaticOriginal Valuation

AmountProperty value as of date of latest loan advance prior to a securitisation

CS28 Mandatory Dynamic Number of Collateral Items Securing The Loan

The total number of collateral pieces securing the loan. The number should reflect the number of collateral reports submitted for the loan in the current file.

Number of fields in ECB loan-level templates including bond information


ECB Template

RMBS CMBS SME Auto ABS Consumer Finance ABS

Leasing ABS Credit Card ABS

Type of field Mandatory Optional Mandatory Optional Mandatory Optional Mandatory Optional Mandatory Optional Mandatory Optional Mandatory Optional

Dynamic 37 46 209 39 39 58 39 12 40 12 53 33 42 21

Static

32 67 145 40 42 38 36 15 27 9 44 33 25 21

Total 182 433 177 102 88 126 108

Source: ED calculations based on ECB ABS templates

ECB ACC SME Template

Comparison with the ECB SME template

Counterparty details including contact information (not included in ECB ABS SME template)

Asset level details including: Obligor information Loan characteristics Interest rate Financials Performance information Projected amortisation profile

Callateral information

Bond level information: Bond information Bond information by tranche



Deal overview at one glance • overall information about deal

characteristics • scoring (based on ECB scoring

calculation)

Loan-level data submission • loan and bond-specific information

combined • based on template and taxonomy

→ standardisation

Various functionalities • detailed search functionality • on-demand report generation

Edwin platform characteristics

Contact Details


Marco Angheben Director Business Development and Strategy T: +49 69 808 84303 E: [email protected]

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