European DataWarehouse...European DataWarehouse (ED) provides loan and bond level data as well as...

Corporate Presentation – October 2014

European DataWarehouseCorporate Presentation – July 2015

Legal Information

July 2015

By participating in this presentation you will be deemed to acknowledge and agree to the following terms andconditions:

The information to be disclosed during the presentation is of a confidential nature and should not be disclosed ortransmitted in any form to: (a) any other person within your organisation except on a need to know basis; or (b)any person outside your organisation.

You are being invited to participate in the presentation as a potential future user of the European DataWarehouseand the information to be disclosed during the meeting should not be used by you for any other purpose.

European DataWarehouse GmbH is and shall remain the exclusive owner of the information to be disclosedduring the presentation and all patent, copyright, trade secret, trademark and other intellectual property rightstherein.

European DataWarehouse GmbH 2

Content

July 2015

Overview

ABS Market Coverage

Data Users Products and Services

Data Owners and Providers Products and Services


July 2015

Overview


ABS Data Utility

July 2015

Centralisation Standardisation

Unique data repository for European ABS and loan portfolios

Standardised definitions of reporting formats for quick

and efficient comparison

Transparency & Accessibility

Fast access to data

Disaggregated data: relevant information allows a high degree of ABS portfolio

transparency

European DataWarehouse (ED) provides loan and bond level data as well as documentation repository servicesfor the fixed income market. ED currently hosts data for almost 900 Asset-Backed Security (ABS) transactionsand private portfolios belonging to several different originators across Europe

More than 350 Data Owners (DO), Data Providers (DP) and Data Users (DU) are registered with ED. Originators,issuers, sponsors and servicers upload ABS data to ED, while DU including investors, data vendors, ratingagencies and public institutions use ED data for monitoring and risk assessment purposes

ED key characteristics are as follows:


Corporate Structure

July 2015

ED was created in 2012 as part of the implementation of the European Central Bank ABS Loan Level Initiative. EDbecame fully operational in January 2013 and is funded and owned by a mix of market participants. In addition, theEuropean Central Bank (ECB) and the National Central Banks (NCB) participate as observers to the ED Board.ED operates as a utility to respond to the need for improved transparency to investors and other marketparticipants in ABS

Supervisory Board: Consists of currently 18 members (mainlyshareholder representatives with the ECB/NCB as observers) and isresponsible for the strategy and monitoring ED’s operations as amarket initiative

Pricing Committee: Consists of currently 8 members from the ABSindustry and is responsible for setting the fee structure for EDclients. The fees are set in line with ED’s utility approach

José Manuel González- Páramo

ED Management

Shareholder Meeting

Supervisory Board Pricing Committee

Chairman

ED Management

Shareholder Meeting

Supervisory Board Pricing Committee

with ECB and NCB as observers

with ECB and NCB as observers

17 shareholders

CEO: Markus Schaber

José Manuel González- Páramo


17 Shareholders as of July 2015

July 2015 European DataWarehouse GmbH 7

July 2015

ABS Market Coverage


New ABS Deals in Edwin as of July 2015


Source: European DataWarehouse

European DataWarehouse update:

As of 30th June, a total of 897 ABS deals are stored in Edwin

• RMBS: a new publicly placed Spanish RMBS uploaded in JunePrado 1 together with the first Swedish non-conforming RMBSBluestep Mortgage Securities No. 3

• SME: Banif uploaded the first publicly placed Portuguese SMEpost-crisis Atlantes SME Nº 5

• Auto ABS: Germany has the lion’s share of Auto ABS transactionvolumes (86.2%) followed by France (12.4%)

• Consumer Finance ABS: three Italian transactions Sunrise2015-1 and 2 and IBL Finance Srl are the latest Consumer ABSuploaded to Edwin

• CMBS is starting to gain traction: three new CMBS transactionswere uploaded in Q2 and more are expected later in 2015 asmarket activity picks up

In Q2 2015 various newly launched ABS transactions have beenusing the marketing flag (for more details see slide 31)

To view the full list of new ABS deals in Edwin please refer to thefollowing link: https://eurodw.eu/news-and-events/

Deal Name Originator Amount (in EUR Million) Description

CFHL-2 2015 Credit Foncier de France 1361.00 French RMBS

Atlantes SME Nº 5Banif – Banco InternacionalFunchal S.A

640.00 Portuguese SME

Sunrise 2015-2 Agos SpA 1100.00 Italian Consumer

VCL 21Volkswagen

Financial Services AG

1028.80 German AUTOABS

Emilia SPV S.r.l.Credito Emiliano SpA - Credem

Banca3900.00 Italian RMBS

Sunrise 2015-1 Agos SpA 347.00 Italian Consumer

Bluestep Mortgage Securities No. 3

LimitedBluestep Finans AB 358.00 Swedish NCF

RMBS

IBL Finance Srl IBL Banca SpA 2233.02 Italian Consumer

Asset-Backed European

SecuritisationTransaction Eleven

UG

FCA Bank Deutschland GmbH 523.00 German AUTO

ABS

Orange Lion 2015-11 RMBS B.V. ING Belgium SA/NV 1190.00 Dutch RMBS

Table 1 Latest ABS Deals Uploaded to Edwin with Loan Level Data

https://eurodw.eu/news-and-events/

0

50

100

150

200

250

300

ED Loan Outstanding Volume2 (Bn) as of 26 June 2015

CMBS

Credit Card

Leasing

Consumer

Auto ABS

SME

RMBS

Dataset Composition as of July 2015

July 2015

0

20

40

60

80

100

120

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

Breakdown by Vintages (no. of deals)

CMBS

Credit Card

Leasing

Consumer

Auto ABS

SME

RMBS


Asset Class Active Redeemed or Amortised1 Total

RMBS 462 84 546

SME 99 40 139

Auto ABS 103 24 127

Consumer 40 8 48

Leasing 19 9 28

Credit Card 5 - 5

CMBS 3 1 4

Total 731 166 897

“The advances made by the ED in the coverage of transactions and countries are quite impressive, in our view. As far as we can tell ED is covering a substantial part of the European securitisation market, well above the representative sample mark in statistical terms.”Bank of America Merrill Lynch Research ReportJune 2015

1 Upload of loan level data has discontinued, typically given bond redemptionsSource: European DataWarehouse

Source: European DataWarehouse2 Sum of current balances. The currency depends on the relevant underlying assets.Austria, Sweden, Norway and Finland are not included in the chart

Table 2 Active and Inactive deals in Edwin, breakdown by asset class

Number of Deals and Loans as of July 2015

July 2015

RMBS SME Auto

897

ABS

Dea

ls41

mn

loan

s or

loan

par

ts *

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

185

121

116

36

2522

20 14

6 1

Total 546

Spain

Netherlands

Italy

Portugal

Ireland

France

UK

Belgium

Germany

Sweden

7936

7

64 3 3

Total 139

Spain

Italy

Portugal

France

Netherlands

Germany

Belgium

72

18

10

8

74 4

21

1

Total 127

Germany

France

Spain

Italy

UK

Norway

Netherlands

Finland

Austria

Portugal

4,029

1,920

670

571

482

82 82 60 54 23

Total 8.0 mn

Germany

France

UK

Italy

Spain

Norway

Netherlands

Portugal

Finland

Austria

459

251

233

199

84

36 23

Total 1.3 mn

Spain

Italy

Belgium

France

Portugal

Netherlands

Germany

3,365

2,041

1,555

1,533

1,443

1,289

578

445 284 5

Total 12.5 mn

Netherlands

France

Spain

Italy

UK

Belgium

Portugal

Germany

Ireland

Sweden


3

1

1

Total 5

France

UK

Spain

July 2015

Number of Deals and Loans as of July 2015

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

897

ABS

Dea

ls41

mn

loan

s or

loan

par

ts *

21

4

2 1

Total 28

Italy

Germany

Spain

Portugal

Consumer Leasing Credit Card CMBS

2,9952,334

536

Total 5.9 mn

UK

France

Spain

6,972 3,932

1,608

422 102

51

Total 13.1 mn

Italy

Spain

France

Germany

Netherlands

Portugal

246

3213

4

Total 295 k

Italy

Germany

Spain

Portugal


23

10

9

3 21

Total 48

Italy

France

Spain

Germany

Netherlands

Portugal

1

11

1

Total 4

Italy

Ireland

France

Germany

3

3

2

1

Total 9

Italy

Ireland

France

Germany

ECB Scoring Matrix Transition Table


Scoring as of June 2015

Scor

ing

asof

Jun

e 20

14

A1 A2 B1 B2 B3 Total 2014

A1 68.2% 0.5% 0.5% - - 69.1%

A2 7.4% 20.4% - 0.1% - 27.9%

B1 0.5% - 0.1% - - 0.6%

B2 0.8% 0.9% - 0.5% - 2.2%

B3 - 0.2% - - - 0.2%

Total 2015 76.9% 21.9% 0.6% 0.6% - 100.0%

ECBScoring matrix

ND 1 fields

0 ≤ 10% ≤ 30% > 30%

ND 2, ND 3 or ND 4

0 A1 B1 C1 D1

≤ 20% A2 B2 C2 D2

≤ 40% A3 B3 C3 D3

> 40% A4 B4 C4 D4

No Data Option Explanation

ND 1 Data not collected as not required by the underwriting criteria

ND 2 Data collected at application but not loaded in the reporting system at completion

ND 3 Data collected at application but loaded in a separate system from the reporting one

ND 4 Data collected but will only be available from YYYY-MM

ABS loan level data uploaded into ED is automaticallyvalidated for compliance with the ECB taxonomy. A datacompleteness score is generated and assigned to each ABSloan level data submission according to the ECB ScoringMatrix (see below). The score is based on the first four NoData Options

Table 3 No Data Option Descriptions

Table 5 ECB Scoring Transition Table for Deals Created until H1 2014 (649 ABS)

Table 4 ECB Scoring Matrix

Source: European DataWarehouse Calculations

Table 5 exhibits the transition of the ECB scoring for the ABS activetransactions between June 2014 and June 2015

An overall improvement has been observed in the datacompleteness in Edwin across asset classes and jurisdictions

The percentage of transactions with A1 score increased from69.1% to 76.9% during the one year period review. Also A2 scoringABS deals decreased from 27.9% to 21.9%

Source: ECB website

Source: ECB website

UK 35%

US 23%Germany 12%

Netherlands 10%

Ireland 4%

France 4%

Italy 4%

Luxembourg 1%Spain 2%

Lithuania 1%Portugal 1%

Greece 1% Belgium 1%Finland 1%

Data User Customer Base

Italy 35%

France 13%Germany 9%

Netherlands 9%

UK 9%

Portugal 8%

Spain 8%

Ireland 4%

Belgium 4%Luxembourg 1% Norway 0%

Austria 0%Sweden 0%

Data Owner and Provider Customer Base

Data Users: are typically ABS marketparticipants that access and analyse theunderlying data for relative value, duediligence and monitoring purposes. EDcurrently has almost 150 data userinstitutions including more than 110investors across Europe and the US

Data Owners: are issuers/originators whoregister the deals in Edwin and receive aunique global transaction identifier, or EDCode. As part of registration of a deal, thedata owner is also expected to appoint adata provider for the deal

Data Providers: are servicers, trustees orother designated entities that upload theloan level data files and relevant documentson a periodic basis against the deals forwhich they are nominated as providers bythe data owner. Note that in many casesData Owners are also the Data Providers.ED currently has more than 220 data ownersand data providers

Current Customer Distribution


Investors66%

Others15%

Investment Banks / Brokers

10%

Market Data and Analytical

Vendors4%

Rating Agencies

3%Consultants

2%

Edwin Data User Institutions

Fund Managers63%

Banks 22%

Hedge Funds 9%

Insurers 6%

Investors by Category

July 2015

Data Users Products and Services



Basic

Advanced

Edwin

ED Cloud EDplusAPI

User Interfaces

Access to individual loan level data files, portfolio stratsand documentation

Data download in Excel, CSV or XML formats

Access to the universe of loan level data stored in Edwin across submissions

Download of loan level data to a local database using a desktop software by one deal at a time

Programmaticdownload of loan level data into internal database one deal at a time

ED Cloud

Database of loan level data accessible through an Excel Front End or via direct SQL queries

Edwin

Secure website to access the European ABS database including loan level data and documentation

API

Application Programming Interface (API) to integrate seamlessly Edwin into internal applications

Loan level data usage options based on activity level

EDplus

Software application to download ABS loan level data in database format based on specific queries across assetclasses and jurisdictions

July 2015


• Excel Front End template allows users to instantly view the relevant information

• No installation of software needed

Simplicity

The ED Cloud solution enables direct access to the universe of loan level data using standard database queries and enhances the analysis in three ways:

Transparency

Comparability• Standardised parameters based on

common RMBS template• Ability to compare deal statistics with

other deals and benchmarks

New Access Interface: ED Cloud Solution

• Direct aggregation and visualisation of loan level data across time series and transactions

TransparencyTransparency

Fast comparison

ED Cloud Capabilities


Additional portfolio information complementing in many cases investor report stratifications

Drill down (individual slice and dice of the relevant information)

Deal information on aggregated basis with stratification tables

Benchmarking transactions

Comparison of underlying pools with the market across jurisdictions and vintages

Loan performance transition matrix

Comparison of the loan level data with external portfolios

Ongoing monitoring of transactions with integration possibilities with internal tools

ED Cloud helps in the due diligence, monitoring and internal analysis of ABS

ED Cloud Access Options


Version 1.0

* Excel Front End supports Microsoft Excel versions 2010 and above on PCs (Windows)

*

Option 1: Excel Front End


The ED Cloud Front End Excel template is divided into the following 6 worksheets

1. Deals Sheet – Displays all the deals in Edwin2. Summary Sheet – Shows detailed deal information and transaction history 3. Benchmarks Sheet – Provides Issuer / Vintage / Country level benchmarks 4. Strats Sheet – Displays various stratification tables with ability to slice and dice based on several parameters5. Transition Sheet – Shows Account Status transition matrix between 2 selected submissions6. Compare Sheet - Displays strats for up to any 4 selections (deal/data owner/vintage/country) from the cloud and 1 imported LLD file

Excel Front End – Summary Sheet


View detailed deal information per submission• Deal Level Information• Bond Level Information• Loan Size, Current Balance, Original Balance• Borrower Concentration• OLTV• CLTV• Seasoning• Primary Income statistics

Performance statistics across all the submissions of the chosen deal (No. of loans, % Current Balance by account status –Performing, Arrears, Defaults, etc.)

Arrears information by months in arrears (No. of loans, % Current Balance, Arrears Balance)

Ability to navigate between different submissions(Pool Cut-Off Dates)

Toggle switch to include / exclude outlier values from averages and weighted averages


Excel Front End – Benchmarks Sheet

View benchmarks by Data Owner, Vintage and Country for the selected deal

Key benchmark statistics at a glanceo W.A. OLTVo W.A. CLTVo W.A. Interest Rateo W.A. Seasoning & Maturityo Loans with LTV > 90%o Loans in Arrears & Default

Toggle switch to include / exclude outliers

Navigate between Pool Cut-Off Dates to see benchmarks over time

Excel Front End – Strats Sheet


Dynamic tables displaying various portfolio stratifications (distribution tables)

Performance status Arrears Balance Current Balance Original Balance Interest Rate Type Payment Frequency Repayment Method Interest Rate Origination Year Maturity Year Loan Term Employment Type Property Type Postal Code Primary Income CLTV OLTV

Ability to slice any tables by several parameters

Excel Front End – Transition Sheet


View Account Status Transitions between any two submissions for the selected deal

Excel Front End – Deal Comparison Sheet


View aggregates and stratification tables for up to 4 selections from the cloud and 1 imported loan data file.

Selections from the cloud can be either a deal or a issuer, country + vintage or country.

Imported loan data file format needs to be consistent with the ECB RMBS taxonomy

Use standard SQL or BI tools to connect to the Cloud Database:• SQL Server Management Studio for direct SQL Queries• BI Tools like Microsoft Excel, Tableau, QlikView,

DataWatch, etc. for integration with the ED Cloud database

Option 2: Direct Access to the ED Cloud Database


ED Cloud Future Developments

Upcoming asset classes• Excel front end will be further enhanced with the inclusion of other asset classes starting with SME ABS and

then expanded to Auto Loan ABS, Consumer Finance and Leasing in the second half of 2015

New Cloud versions• Please note that all Excel Front End software enhancements for the RMBS interface will be carried out

automatically with a simple notification on your current RMBS Excel Front End version

Feedback and suggestions• We welcome any feedback and suggestions that you may have on the Cloud Excel Front End functionalities.

Please send your comments to [email protected]


mailto:[email protected]

EDplus Premium Service

July 2015

EDplus Premium Service is a desktop software application designed to download loan and bondlevel data in a database, enabling complex query based analysis

Data Users can create a local copy of the Edwin database on their desktop and view multiple datafiles in Excel or write standard SQL queries to perform further analysis


Local database Postgre

SQL

Configurator to

select LLD for

download

GraphicalUser

InterfaceFlexibility UsabilityConnectivity

PerformanceSynchronisation

Edwin Database System User Interface

July 2015

Edwin, ED software application, is a bespoke, fully integrated software platform designed and developed specifically to collate ABS deal,loan and bond level information into a single, centralised database

Deal Listing table• Asset country, vintage, interest payment date

and pool cut-off date information• Total assets and current balance for each deal• Default sorting by latest submission• View up to 100 deals in one page

Advanced Search page• Ability to save frequent searches• Easily operated interface• Search at once by multiple ED Codes and

ISINs comma separated, Data Owners, DataProviders

Deal Information page• Separate portfolio summary section• Grouping of key fields to enhance the visual

appeal• Prominent download button directs user to a

separate download page where data can bedownloaded in xlsx and CSV formats


[email protected]

Portfolio Stratification Templates

July 2015

Portfolio Stratification is an Excel based template which can be linked to data files and display aggregated information for the entire poolas well as for sub portfolios (using the filtering option on the data file)

• Sum of Original and Current Balance, Loan concentration, Performance Overview

• Loan characteristics - e.g. payment frequency, repayment method, interest rate type• Rates & Dates - breakdown of loans based on interest rate and vintage statistics of the portfolio• Borrower information - e.g. employment status, primary income, Loss Given Default statistics• Property information - e.g. property value, property type• Collateral information - e.g. security and collateral type

Portfolio summary

Loan information

RMBS - Portfolio Stratification

Ins tructions to use this template are at the bottom of the page.REPORTING DATA Note: You can apply fi lters on the loan level data to view strats on the fi ltered data setPool Identifier (AR2)Latest Interest Payment Date(BR27) TRANSACTION DATAPool Cut-off Date (AR1) Avg Constant Pre-payment Rate (BR13)Report Date (BR1) Trigger Measurements/Ratios (BR12)Bond issue date (BR39) Drawings under Liquidity Facil ity (BR5)PARTICIPANTS Excess Spread Amount (BR11)Issuer (BR2) Ending Reserve Account Balance (BR3)Originator (AR5) Target Reserve Account Balance (BR4)

SUMMARY LOAN SIZE OLTV (AR135) CLTV (AR141)Curr.Balance Avg Cur. Balance Weighted Avg OLTV Weighted Avg CLTVOrig.Balance Avg Cur. Bal / Borrower Min OLTV Min CLTVNumber of Borrowers Max Current Balance Max OLTV Max CLTVNo. of Loans / Loan Parts Avg Original BalanceWeighted Avg Interest Rate Max Original Balance

SEASONING / MATURITY PRIMARY INCOME (AR26)Weighted Avg Seasoning (Months) Avg IncomeWeighted Avg Original Term to Maturity (Months) Min IncomeMax Original Term to Maturity (Months) Max IncomeWeighted Avg Remaining Term to Maturity (Months) LOAN / LOAN PART CONCENTRATION (BY CURRENT BALANCE)Max Remaining Term to Maturity (Months) Largest LoanMax Maturity Date Top 10 Loans ##Min Origination Date Top 20 Loans ##Max Origination Date Top 50 Loans ##

PORTFOLIO SUMMARY

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SME - Portfolio Stratification

REPORTING DATA TRANSACTION DATAPool Identifier (AS2) Average Constant Pre-payment Rate (BS13)Latest Interest Payment Date(BS27) Trigger Measurements/Ratios (BS12)Pool Cut-off Date (AS1) Drawings under Liquidity Facil ity (BS5)Report Date (BS1) Excess Spread Amount (BS11)Bond issue date (BS39) Ending Reserve Account Balance (BS3)PARTICIPANTS Target Reserve Account Balance (BS4)Issuer (BS2)Originator (AS4)

SUMMARY LOAN SIZE SEASONING / MATURITYCurr.Balance (AS55) Avg Cur. Balance Weighted Avg Seasoning (Months)Orig.Balance (AS56) Avg Cur. Bal / Borrower Weighted Avg Original Term to Maturity (Months)Number of Borrowers Max Current Balance Max Original Term to Maturity (Months)No. of Loans / Loan Parts Avg Original Balance Weighted Avg Remaining Term to Maturity (Months)Weighted Avg Int. Rate Max Original Balance Max Remaining Term to Maturity (Months)

Largest Loan Max Maturity DateTop 10 Loans Min Origination DateTop 20 Loans Max Origination DateTop 50 Loans

PORTFOLIO SUMMARY

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Auto ABS - Portfolio Stratification

REPORTING DATA Instructions to use this template are at the bottom of the page.Pool Identifier (AA2)Latest Interest Payment Date (BAA27) Note : You can apply fi lters on the Loans worksheet to calculate strats on the fi ltered data.Latest Principal Payment Date (BAA28) Any fi lters on the other sheets (Bonds, Collateral, etc) are ignored.Pool Cut-Off Date (AA1)Report Date (BAA1) TRANSACTION DATABond Issue Date (BAA39) Annualised Constant Prepayment Rate (BAA13)

PARTICIPANTS Trigger Measurements/Ratios (BAA12)Issuer (BAA2) Drawings under Liquidity Facil ity (BAA5)Originator (AA6) Excess Spread Amount (BAA11)

SUMMARY LOAN SIZE ORIGINAL LOAN TO VALUE (AA35) PRIMARY INCOME (AA17)Current Principal Outstanding Balance (AA27) Avg Orig Principal Outstanding Bal Weighted Average OLTV Avg IncomeOriginal Principal Balance (AA26) Max Orig Principal Outstanding Bal Min OLTV Min IncomeNumber of Borrowers Avg Curr Principal Outstanding Bal Max OLTV Max IncomeNumber of Loans Max Curr Principal Outstanding BalWA Interest Rate (AA40) Avg Curr. Prin. Out. Bal. per BorrowerWA Discount Rate (AA43) Avg Orig. Prin. Out. Bal. per Borrower

SEASONING / MATURITY (AA22 - 24) LOAN CONCENTRATION (BY CURRENT BALANCE)Weighted Avg Seasoning (Months) Max Maturity Date Largest LoanWeighted Avg Original Term to Maturity (Months) Min Origination Date Top 10 LoansMax Original Term to Maturity (Months) Max Origination Date Top 20 LoansWeighted Avg Remaining Term to Maturity (Months) Top 50 LoansMax Remaining Term to Maturity (Months)

PORTFOLIO SUMMARY

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Consumer ABS - Portfolio Stratification

REPORTING DATA Instructions to use this template are at the bottom of the page.Pool Identifier (AN2)Latest Interest Payment Date (BN27) Note : You can apply fi lters on the Loans worksheet to calculate strats on the fi ltered data.Latest Principal Payment Date (BN28) Any fi lters on the other sheets (Bonds, Collateral, etc) are ignored.Pool Cut-Off Date (AN1)Report Date (BN1) TRANSACTION DATABond issue date (BN39) Annualised Constant Prepayment Rate (BN13)

PARTICIPANTS Trigger Measurements/Ratios (BN12)Issuer (BN2) Drawings under Liquidity Facil ity (BN5)Originator (AN6) Excess Spread Amount (BN11)

SUMMARY LOAN SIZE PRIMARY INCOME (AN17)Current Principal Outstanding Balance (AN26) Avg Orig Principal Outstanding Bal Avg IncomeOriginal Principal Balance (AN25) Max Orig Principal Outstanding Bal Min IncomeNumber of Borrowers Avg Curr Principal Outstanding Bal Max IncomeNumber of Loans Max Curr Principal Outstanding BalWeighted Avg Interest Rate (AN32) Avg Curr. Prin. Out. Bal. per Borrower

Avg Orig. Prin. Out. Bal. per Borrower

SEASONING / MATURITY (AN21-23) LOAN CONCENTRATION (BY CURRENT BALANCE)Weighted Avg Seasoning (Months) Max Maturity Date Largest LoanWeighted Avg Original Term to Maturity (Months) Min Maturity Date Top 10 LoansMax Original Term to Maturity (Months) Max Origination Date Top 20 LoansWeighted Avg Remaining Term to Maturity (Months) Min Origination Date Top 50 LoansMax Remaining Term to Maturity (Months)

PORTFOLIO SUMMARY

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Leasing ABS - Portfolio Stratification

REPORTING DATA Instructions to use this template are at the bottom of the page.Pool Identifier (AL2) Note : You can apply fi lters on the Leases worksheet to calculate strats on the fi ltered data.Latest Interest Payment Date (BL27) Any fi lters on the other sheets (Bonds, Collateral, etc) are ignored.Latest Principal Payment Date (BL28)Pool Cut-Off Date (AL1) TRANSACTION DATAReport Date (BL1) Annualised Constant Prepayment Rate (BL13)Bond issue date (BL39) Trigger Measurements/Ratios (BL12)

PARTICIPANTS Drawings under Liquidity Facil ity (BL5) Issuer (BL2) Total Receivables Sold to SPV (BL15)Servicer Name (AL3) Cumulative Gross Defaults - Pool (BL16)Originator (AL6) Cumulative Recoveries - Pool (BL17)

SUMMARY LEASE SIZE SEASONING / MATURITY (AL50-51, AL53) Current Principal Outstanding Balance (AL56) Avg Orig. Princ. Balance Weighted Avg Seasoning (Months)Original Principal Balance (AL55) Max Orig. Princ. Balance Weighted Avg Original Term to Maturity (Months)Securitised Residual Value (AL57) Avg Cur. Princ. Outs. Balance Max Original Term to Maturity (Months)Number of Lessees Max Cur. Princ. Outs. Balance Weighted Avg Remaining Term to Maturity (Months)Number of Leases Avg Cur. Princ. Outs. Bal. per Lessee Max Remaining Term to Maturity (Months)Weighted Avg Int. Rate (AL75) Avg Orig. Princ. Bal. per Lessee LEASE CONCENTRATION (BY CURRENT BALANCE)Weighted Avg Discount. Rate (AL78) Max Maturity Date Largest Lease

Min Maturity Date Top 10 LeasesMax Origination Date Top 20 LeasesMin Origination Date Top 50 Leases

PORTFOLIO SUMMARY

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July 2015

Data Owners and Providers Products and Services



XML

Format

Act

ivity

Lev

el

CSV / Excel

• Upload of data in XML with file signing

• Quick upload of data converting the files from xlsx or CSV into XML for each ECB template

• Convert Bank of England RMBS November 2010 template into ECB RMBS template v28

• Programmatic data upload• Integration to internal systems

Constantmultiple files per month

Toolkit API

Occasional Toolkit Edwin

Alternative channels for Data Upload into Edwin

Data Owner or Provider Product Matrix

ED Marketing Flag


The Marketing Flag is a feature recently implemented in Edwin in order to meet the market demand for uploading provisional data filesand other relevant documents into the platform for all public ABS deals during their marketing period

Features

• This feature offers a marketing area to all ABS deals allowing Data Owners (DO) to upload Provisional data in Edwin, prior to finalamendments and its launch in the primary market

• Data Users (DU), such as investors, rating agencies and other interested parties are enabled to access the relevant information

• All deals in the marketing period are clearly identified by an orange flag

• Once the deal is successfully launched in the primary market, the DO will be able to easily remove the flag and therefore theprovisional status

• Issuer-specific terms and conditions can be uploaded which have to be accepted by DU

July 2015

ED Quality Checker for RMBS and SME

ED Quality Checker (EDQC) is a stand-alone executable application developed by ED to ensure the submission of high quality data toEdwin. EDQC allows the DO/DP to run the existing ED validation rules in the data files prior to providing the information to Edwin

What is ED Quality Checker (EDQC)?

Why use EDQC?

Who uses EDQC? EDQC is designed to meet the requirements of DO/DP

As a pre-screening tool of the data files based on predefined logical checks developed and applied by ED data quality management,EDQC contains a set of rules and clusters that allow a quick overview of the potential inconsistencies in the submitted data files. Resultsfor each validation check are displayed in a “Pass/Fail” logic with only the number of loans which fail a particular data quality check beingshown. Results are indications of potential data quality issues that need to be further investigated.The tool is currently implemented for RMBS and SME LLD files

How to get EDQC?EDQC is an application which requires a one-time-installation of the Matlab plug-in. It is available todownload online from Matlab official website free ofcharge.

EDQC RMBS and SME is available in Edwin at noadditional cost for DO/DP


Document Repository

July 2015

A document repository is now available for all transactions with thefollowing features:

• The documentation section is in compliance with the EuropeanSecurities and Markets Authority (ESMA) Regulatory TechnicalStandards under the Credit Rating Agency III Regulation (Article3) and the Bank of England reporting requirements for ABSeligibility criteria

• Categories of documents displayed include:o Closing Transaction Documentso Prospectus / Offering Circularso Transaction Summaryo Investor Reportso Cash Flowo Deal Notificationso Deal Commentaryo Other

• Documents can be static or periodically updated by Data Ownersand Data Providers. Edwin supports multiple formats: PDF, Word,.txt and Excel

• Data Owners and Data Providers can enable Data Users to viewthe specific documents subject to the respective terms andconditions (upload of T&C is available at deal level in PDFformat). If no issuer-specific T&C exists for a deal, the default EDT&C will be displayed for user acceptance


Contact Details

July 2015

Corporate Address:European DataWarehouse GmbH Walther-von-Cronberg Platz 260594 Frankfurt am MainGermany

Main Reception: +49 (0) 69 8088 4300

General Enquiries: [email protected]

Website: http://www.eurodw.eu


European DataWarehouse...European DataWarehouse (ED) provides loan and bond level data as well as...

Documents

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