European DataWarehouse · European DataWarehouse Webinar for Data Users –September 2015 ....

Corporate Presentation – October 2014

European DataWarehouse

Webinar for Data Users – September 2015

Important Legal Information

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conditions:

The information to be disclosed during the presentation is of a confidential nature and should not be disclosed or

transmitted 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 DataWarehouse

and 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 disclosed

during the presentation and all patent, copyright, trade secret, trademark and other intellectual property rights

therein.

September 2015 European DataWarehouse GmbH 2

Content

September 2015

ABS Market Coverage for RMBS and SME

ED Cloud

SME v1.0

Future developments

European DataWarehouse GmbH 3

September 2015

ABS Market Coverage


Key Edwin Figures as of September 2015


Number of ABS transactions and loan or loan parts

922 deals are stored in Edwin

736 are outstanding

186 have been redeemed or amortised

almost 43 millions of loan or loan parts are stored in Edwin

Asset Class ActiveRedeemed or

Amortised1 Total

RMBS 465 89 554

SME 94 49 143

Auto ABS 107 28 135

Consumer 41 10 51

Leasing 20 9 29

Credit Card 5 - 5

CMBS 4 1 5

Total 736 186 922

Table 1 Active and Inactive deals in Edwin, breakdown by asset class

1 Upload of loan level data has discontinued, typically given bond redemptionsAsset Class

Number of

loans2

Number of

borrowers2

Number of

properties2

RMBS 12.92 9.78 8.69

SME 1.31 0.96 1.25

Auto ABS 8.57 7.78 N/A

Consumer 13,74 12.16 N/A

Leasing 0.29 0.23 N/A

Credit Card 5.94 5.24 N/A

CMBS 12 123 169

Total 42.77 36.15 9.94

Table 2 Additional statistics of Edwin database, breakdown by asset class

2 All amounts in mn with the exception of CMBS figures3 Number of loan sponsors

Number of loan level data (LLD) submissions

there are 10,021 LLD submissions stored in Edwin with 10 LLD

submissions per transaction on average

for transactions issued in 2013 with an average number of 13

LLD submissions

for vintages 2014 and 2015, the average number of LLD

submissions is equal to 8 and 2 respectively

Average daily uploads:

for the first eight months of 2015 with an average of 18 LLD

files uploaded on a daily basis

0

50

100

150

200

250

300

ED Loan Outstanding Volume2 (Bn)

CMBS

Credit Card

Leasing

Consumer

Auto ABS

SME

RMBS


Dataset Composition as of September 2015

2 Sum of current balances. The currency depends on the relevant underlying assets.

Austria, Sweden, Norway, Finland and Luxembourg are not included in the chartSource: European DataWarehouse

0

20

40

60

80

100

120

19

99

20

00

20

01

20

02

20

03

20

04

20

05

20

06

20

07

20

08

20

09

20

10

20

11

20

12

20

13

20

14

20

15

Breakdown by Vintages (no. of deals)

CMBS

Credit Card

Leasing

Consumer

Auto ABS

SME

RMBS

0

20

40

60

80

Jan Feb Mar Apr May Jun Jul Aug

2015 Deal Creation Trend (no. of deals)

CMBS

Credit Card

Leasing

Consumer

Auto ABS

SME

RMBS

Source: European DataWarehouse

Source: European DataWarehouse

0

50

100

150

200

250

300

ED ABS Transactions (no. of deals)

CMBS

Credit Card

Leasing

Consumer

Auto ABS

SME

RMBS

1 Austria, Sweden, Norway, Finland and Luxembourg are not included in the chartSource: European DataWarehouse

186

123

118

36

25

22

22

14

7

1

Spain

Netherlands

Italy

Portugal

Ireland

UK

France

Belgium

Germany

Sweden

Total Deals 554

922 ABS Deals and 43 mn Loans as of September 2015


RMBS

A total of 554 RMBS Deals & 13 mn loans or loan parts

Deal Name Data Owner

Amount

(in EUR

Million)

Description

Storm 2015-II B.V Obvion N.V 1405.50Dutch

RMBS

Gosforth Funding

2015-1 plcVirgin Money plc 1970.85 UK RMBS

Asti Group RMBS Srl

Banca Cassa di

Risparmio di Asti

SpA

553.40Italian

RMBS

Paragon Mortgages

(No.23) PLC

Paragon Finance

PLC430

United

Kingdom

RMBS

IM EVO RMBS 1

InterMoney

Titulización SGFT

SA

500.00Spanish

RMBS

Berica ABS 4 S.r.l.Banca Popolare di

Vicenza S.c.p.A.946.61

Italian

RMBS

Kingswood Mortgages

2015-1 PLC

Kingswood

Mortgages plc186.58

Dutch

RMBS

The loan count calculation is based on the total number of loans reported for each transaction in Edwin to date.

All amounts in 000s (k)

3,463

2,0271,579 1,548 1,457 1,302

679 577 284 5

Total Loans 13 mn

New RMBS Deals in Edwin

79

37

8

7

4

4

3

1

Spain

Italy

Portugal

France

Germany

Netherlands

Belgium

Luxembourg

Total Deals 143

922 ABS Deals and 43 mn Loans as of September 2015


SME

A total of 143 SME Deals & 1.3 mn loans or loan parts

Deal Name Data Owner

Amount

(in EUR

Million)

Description

KMU Portfolio S.A.,

Compartment 2015-1

akf bank GmbH &

Co KG250.00

German

SME

Siena PMI 2015 SrlBanca Monte dei

Paschi di Siena2876.47 Italian SME

Geldilux-TS-2015 S.A UniCredit Bank AG 2000.00German

SME

480

268223 193

84 35 262

Total Loans 1.3 mn

The loan count calculation is based on the total number of loans reported for each transaction in Edwin to date.

All amounts in 000s (k)

New SME Deals in Edwin

September 2015

ED Cloud



• 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 SME & RMBS universe of loan level data using

standard 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

Access Interface: ED Cloud Solution

• Direct aggregation and visualisation

of loan level data across time series

and transactionsTransparencyTransparency

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 1.1

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

*

Option 1: Excel Front End


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

1. Deals Sheet – Displays all the deals in Edwin

2. 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 parameters

5. Transition Sheet – Shows Account Status transition matrix between 2 selected submissions

6. Compare Sheet - Displays strats for up to any 4 selections (deal/data owner/vintage/country) from the cloud and 1 imported LLD file

September 2015

Demo


Excel Front End – Deals Sheet


Quick search for deals by

Deal Name, ED Code or

ISIN

Select any row / cell and

click on ‘View Deal’ button

to view the selected deal’s

summary

Table displays all SME deals in

Edwin

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

• Seniority

• WA LGD

• WA PD

• WA Seasoning

Performance statistics

across all the

submissions of the

chosen deal (No. of loans,

% Current Balance by

Arrears, Defaults, etc.)

Arrears information by

days 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

Deal Name

ISIN_1Data Owner

Data Provider

EDCode


Excel Front End – Benchmarks Sheet

View benchmarks by Data Owner, Vintage

and Country for the selected deal

Key benchmark statistics at a glance

o WA Interest Rate

o WA Seasoning & Maturity

o WA LGD

o Loans in Arrears & Default

Toggle switch to include / exclude outliers

Navigate between Pool Cut-Off Dates to

see benchmarks over time

Deal Name

Data Owner

Data Owner Data Provider

ISIN_1

EDCode

Excel Front End – Strats Sheet


Deal NameEDCode

Dynamic tables displaying various

portfolio stratifications

(distribution tables)

Performance status

Arrears Balance (Princ. / Int.)

Current Balance

Original Balance

Amortisation Type

Payment Frequency (Princ. / Int.)

Interest Rate Type

Interest Rate

Origination Year

Maturity Year

Seniority

LGD

Ability to slice any tables by several

parameters

Excel Front End – Transition Sheet


Deal name

View Account Status

Transitions between any

two submissions for the

selected deal

View by both Loans and

% Current Balance

Excel Front End – Deal Comparison Sheet


View aggregates and

stratification tables for up

to 4 selections from the

cloud

Selections from the cloud

can be either on a deal or

issuer, country + vintage

or country basis

Visualisation of

Current balance

Arrears

Defaults

Amortisation type

Seniority

Interest rate

Origination year

Option 2: Direct Access to the ED Cloud Database


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

ED Cloud Future Developments

Upcoming asset classes

• Excel Front End will be further enhanced with the inclusion of other asset classes starting with Auto Loan ABS and then expanded to Consumer Finance and Leasing in October 2015

New Cloud versions

• Please note that all Excel Front End software enhancements for the RMBS and SME interfaces will be carried out automatically with a simple notification on your current RMBS and SME Excel Front End versions

Current version for RMBS v1.1

Current version for SME v1.0

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]

Contact Details

September 2015

Corporate Address:

European DataWarehouse GmbH

Walther-von-Cronberg Platz 2

60594 Frankfurt am Main

Germany

Main Reception: +49 (0) 69 8088 4300

General Enquiries: [email protected]

Website: http://www.eurodw.eu


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