European DataWarehouse ED Corporate Webinar Presentation 9 December October 20152014
Legal Information By participating in this presentation you will be deemed to acknowledge and agree to the following terms and 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. December 2015 European DataWarehouse GmbH 2
Content ABS Market Coverage ED Cloud Data Quality Management December 2015 European DataWarehouse GmbH 3
ABS Market Coverage December 2015 European DataWarehouse GmbH 4
Key Edwin Figures as of December 2015 Number of ABS transactions, loan or loan parts and properties 953 deals are stored in Edwin 724 are outstanding and 229 have been redeemed or amortised more than 44 millions of loan or loan parts and 10 million data points for properties are stored in Edwin Number of loan level data (LLD) submissions there are more than ten thousand LLD submissions stored in Edwin with 10 LLD submissions per transaction on average for transactions issued in 2014 and 2015, the average number of LLD submissions is equal to 8 and 3 respectively Average daily updates during the first ten months of 2015, an average of 16 LLD files have been uploaded on a daily basis Table 1 Basic statistics of Edwin database, breakdown by asset class Asset Class Active Redeemed or Amortised 1 Total RMBS 460 101 561 SME 86 65 151 Auto ABS 112 35 147 Consumer 41 13 54 Leasing 17 12 29 Credit Card 6-6 CMBS 2 3 5 Total 724 229 953 Number of loans 2 Number of borrowers 3 13.19 9.78 1.41 0.96 9.16 7.78 13.91 12.16 0.37 0.23 6.24 5.24 12 12 4 44.28 36.15 1 Upload of loan level data has discontinued, typically given bond redemptions 2 All amounts in mn with the exception of CMBS figures 3 All amounts in mn with the exception of CMBS figures, as of 1 st September 2015 4 Number of loan sponsors December 2015 European DataWarehouse GmbH 5
Dataset Composition as of December 2015 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 300 250 200 150 100 50 0 ED ABS Transactions 1 (no. of deals) CMBS Credit Card Leasing Consumer Auto ABS SME 120 100 80 60 40 20 Deal Creation Trend (no. of deals) CMBS Credit Card Leasing Consumer Auto ABS SME RMBS 0 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov RMBS 1 Austria, Sweden, Norway, Finland and Luxembourg are not included in the chart Source: European DataWarehouse Source: European DataWarehouse 300 250 200 150 100 50 0 ED Loan Outstanding Volume 2 (Bn) CMBS Credit Card Leasing Consumer Auto ABS SME 120 100 80 60 40 20 0 Breakdown by Vintages (no. of deals) CMBS Credit Card Leasing Consumer Auto ABS SME RMBS RMBS 2 Sum of current balances. The currency depends on the relevant underlying assets. Austria, Sweden, Norway, Finland and Luxembourg are not included in the chart Source: European DataWarehouse Source: European DataWarehouse December 2015 European DataWarehouse GmbH 6
953 ABS Deals and 44 mn Loans as of December 2015 A total of 151 SME Deals & 1.4 mn loans or loan parts New SME Deals in Edwin & Updates SME Deal Name Data Owner Amount (in EUR Million) Description Spain Italy 39 80 CLARIS SME 2015 S.R.L. VENETO BANCA S.C.P.A. 1962.56 Italian SME France 11 Portugal Germany Netherlands 8 5 4 Total Deals 151 Rosenkavalier 2015 UG UniCredit Bank AG 2500.00 German SME Belgium Luxembourg 3 1 FONCAIXA PYMES 6, F.T. GESTICAIXA S.G.F.T. S.A. 1120.00 Spanish SME 472 283 273 223 Total Loans 1.4 mn 82 39 35 2 Updates The SME ED Cloud Excel Front End (v.1.0) was released in September 2015 YTD SME CLO total issuance stands at EUR 17.4 bn (EUR 15.5 bn retained), according to JPM. More than 75% of the new issuance have Spanish (46%) and Italian (31%) collateral and the remaining equally split between Germany and Portugal 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) December 2015 European DataWarehouse GmbH 7
953 ABS Deals and 44 mn Loans as of December 2015 A total of 147 Auto ABS & 9.2 mn loans or loan parts New Auto ABS in Edwin & Updates Auto ABS Deal Name Data Owner Amount (in EUR Million) Description Germany France Spain Italy UK Norway Netherlands Finland Portugal Austria 4 4 3 3 1 11 10 9 20 82 Total Deals 147 Silk Finance No.4 Titrisocram 2015-01 SCF Rahoituspalvelut I DAC E-Carat S.A., acting for and on behalf of its Compartment 8 Banco Santander Consumer Portugal, S.A. 614.60 SOCRAM BANQUE 510.00 Santander Consumer Bank AS 389.40 GMAC Bank GmbH 474.40 Portuguese Auto ABS French Auto ABS Finish Auto ABS German Auto ABS 4,385 2,118 Total Loans 9.2 mn DRIVER UK THREE VCL 22 Volkswagen Financial Services AG Volkswagen Financial Services AG 453.00 750.00 German Auto ABS German Auto ABS 808 807 539 210 126 72 71 23 Updates The Auto ABS Cloud Excel Front End (v.1.0) was released in October 2015 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) December 2015 European DataWarehouse GmbH 8
953 ABS Deals and 44 mn Loans as of December 2015 A total of 54 Consumer Deals & 13.9 mn loans or loan parts New Consumer Deals in Edwin & Updates Consumer Deal Name Data Owner Amount (in EUR Million) Description Italy France Spain Germany 3 10 11 27 Total Deals 54 SUNRISE SRL SUNRISE SRL 950.00 GB 2015-1 Golden Bar (Securitisation) S.r.l Santander Consumer Bank S.p.A 700.00 Italian Consumer Italian Consumer Netherlands 2 Portugal 1 Updates The Consumer Finance ABS Cloud Excel Front End (v.1.0) will be released in December 2015 7,755 Total Loans 13.9 mn In Q3 2015 EUR 4.3 bn of Consumer Finance ABS deals were issued in Europe and uploaded to Edwin 4,074 1,639 294 95 50 Considering the entire Edwin dataset, Italian transactions maintain the lion s share with 27 transactions, followed by France (11) and Spain (10) Italy Spain France Germany Netherlands Portugal 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) December 2015 European DataWarehouse GmbH 9
953 ABS Deals and 44 mn Loans as of December 2015 Leasing Credit Card CMBS Italy Germany 5 21 France Spain 1 3 Italy France Multi Country 1 1 1 Spain 2 Total Deals 29 UK 1 Total Deals 6 Germany Ireland 1 1 Portugal 1 Ireland 1 Total Deals 5 289 Total Loans 365 k 2,970 Total Loans 6.2 mn 2,743 3 2 3 Total Loans 12 2 1 1 60 12 4 522 Italy Germany Spain Portugal UK France Spain 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) with the exception of CMBS figures December 2015 European DataWarehouse GmbH 10
ED Cloud December 2015 European DataWarehouse GmbH 11
New Access Interface: ED Cloud Solution The ED Cloud solution enables direct access to the universe of loan level data for RMBS, SME, Auto ABS and Consumer Finance ABS using standard database queries and enhances the analysis in three ways: Simplicity Excel Front End template allows users to instantly view the relevant information No installation of software needed Transparency Transparency Transparency Direct aggregation and visualisation of loan level data across time series and transactions Comparability Standardised parameters based on common RMBS,SME, Auto ABS and Consumer Finance ABS templates Ability to compare deal statistics with other deals and benchmarks December 2015 European DataWarehouse GmbH 12
ED Cloud Capabilities for ABS ED Cloud helps in the due diligence, monitoring and internal analysis Comparison of the loan level data with external portfolios Drill down (individual slice and dice of the relevant information) Deal information on aggregated basis with stratification tables Additional portfolio information complementing in many cases investor report stratifications Comparison of underlying pools with the market across jurisdictions and vintages Ongoing monitoring of transactions with integration possibilities with internal tools Loan performance transition matrix Benchmarking transactions Fast comparison December 2015 European DataWarehouse GmbH 13
ED Cloud Access Options * Version 1.0 * Excel Front End supports Microsoft Excel versions 2010 and above on PCs (Windows) December 2015 European DataWarehouse GmbH 14
Option 1: Excel Front End The ED Cloud Front End Excel template is divided into the following 5 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. Compare Sheet - Displays strats for up to any 4 selections (deal/data owner/vintage/country) from the cloud and 1 imported LLD file December 2015 European DataWarehouse GmbH 15
Demo December 2015 European DataWarehouse GmbH 16
Excel Front End Summary Sheet EDCode Ability to navigate between different submissions (Pool Cut-Off Dates) Toggle switch to include / exclude outlier values from averages and weighted averages View detailed deal information per submission Deal Level Information Bond Level Information Loan Size, Current Balance, Original Balance Borrower Concentration WA Interest Rate / WA Discount Rate WA OTM 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) December 2015 European DataWarehouse GmbH 17
Excel Front End Benchmarks Sheet View benchmarks by Data Owner, Vintage and Country for the selected deal Key benchmark statistics at a glance o W.A. OTM o W.A. RTM o W.A. Interest Rate o Average Current Balance o % Current Balance in Default o % Current Balance in Arrears Toggle switch to include / exclude outliers December 2015 European DataWarehouse GmbH 18
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 Primary Income Ability to slice any tables by several parameters December 2015 European DataWarehouse GmbH 19
Excel Front End Deal Comparison Sheet and Visualisation Deal Name 1 Deal Name 1 Deal Name 2 Country 1 Country 2 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, SME, Auto ABS or Consumer Finance taxonomy December 2015 European DataWarehouse GmbH 20
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 December 2015 European DataWarehouse GmbH 21
ED Cloud Future Developments Upcoming asset classes Excel Front End will be further enhanced with the inclusion of Leasing ABS in Q1 2016 Current Cloud versions Please note that all Excel Front End software enhancements for the RMBS, SME, Auto ABS and Consumer Finance interfaces will be carried out automatically with a simple notification on your current Excel Front End versions The latest versions are as follows: RMBS v.1.1 as of September 2015 SME v.1.0 as of September 2015 Auto ABS v.1.0 as of October 2015 Consumer Finance ABS v. 1.0 as of December 2015 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 enquiries@eurodw.eu December 2015 European DataWarehouse GmbH 22
Data Quality Management December 2015 European DataWarehouse GmbH 23
Data Quality Management (DQM) Timeline 2015 Q 4 Development of ED SQL rules database for RMBS, SME, Auto, Consumer Finance and Leasing ABS RMBS and SME LLD rules based analysis. Findings communicated to the DO/DP Q 1 RMBS, SME, Auto, Consumer Finance and Leasing ABS LLD combined rules based, manual and cluster based analysis. Findings communicated to the DO/DP Q 3 Matlab based DQM tool, ED Quality Checker (EDQC), for RMBS and SME developed and beta version deployed to Data Providers Development of DQM repository with DQ findings, SQL descriptions, and customer feedback Q 2 Q 4 Investor report reconciliation. Gradual migration of all outstanding DQ findings into the Tracking System Q 3 Loan ID and cash flow consistency checks (Loan ID, CBAL and performance status consistency across submissions) Follow up RMBS and SME LLD combined analysis and investor report reconciliation Q 1 Q 4 Launch of ED Data Quality Tracking System Q 2 EDQC for Auto ABS to be developed and deployed to Data Providers Follow up Auto, Consumer Finance and Leasing ABS combined analysis and investor report reconciliation Launch of EDQC for RMBS & SME December 2015 European DataWarehouse GmbH 24
DQM Data consistency and accuracy checks are regularly run across the LLD files of the ABS transactions and potential issues are identified. The findings are then classified into high, medium, low priority and clarification based on the urgency for these issues to be addressed by the DO/DP High priority refers to issues that would require amendment in the next submission Medium priority refers to issues that generally would require amendment in the next submission, but after the high priority issues (if relevant) have been addressed Low refers to issues that need to be improved once any high or medium priority issues (if relevant) have been resolved Clarification refers to issues which seem to be potential inconsistencies but require further investigation Types of Data Quality Findings Completeness issues Unavailability of data (ND1-4) => ECB score Inappropriate use of ND5 Use of Other in list fields Use of dummy or zero values Accuracy issues Data errors (e.g. decimal point issue, negative values) Incorrect reporting (e.g. interest rate revision information wrong inputs) Interfield inconsistency (e.g. defaulted loans without default amount / date or delinquent loans without arrears / months in arrears) Comparability issues Data correct but not in line with the ECB taxonomy, more complex manual adjustments needed Data as such in line with the taxonomy but interfield inconsistencies (e.g. LTV on a borrower basis with non-securitised loan parts) Transaction definitions issues (e.g. lack of standardised definitions for default; no arrears status for loans less than 90 days past due) Template clarifications for certain product and interest type fields December 2015 European DataWarehouse GmbH 25
ED Quality Checker for RMBS and SME What is ED Quality Checker (EDQC)? ED Quality Checker (EDQC) is a stand-alone executable application developed by ED to ensure the submission of high quality data to Edwin. EDQC allows the DO/DP to run the existing ED validation rules in the data files prior to providing the information to Edwin Why use EDQC? 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. Results for each validation check are displayed in a Pass/Fail logic with only the number of loans which fail a particular data quality check being shown. 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 Who uses EDQC? EDQC is designed to meet the requirements of DO/DP. Almost 140 ED DO/DP are actively using this application How to get EDQC? EDQC is an application which requires a one-timeinstallation of the Matlab plug-in. It is available to download online from Matlab official website free of charge EDQC RMBS and SME is available in Edwin at no additional cost for DO/DP December 2015 European DataWarehouse GmbH 26
ED DQ Tracking System ED developed a user-friendly Data Quality (DQ) Tracking System to optimise the DQ fixing process This new system is replacing the existing campaign -style communication of data quality findings It allows for a more direct communication and feedback with the Data Owners/Providers (DO/DP) on a data quality finding basis affecting one or more deals Data Provider Data Owner The relevant data owner/provider defined in the system is notified by an email After the logging-into the system all the relevant tickets are displayed Relevant data owner/provider replies to the addressed data quality issues directly in the system ED deal analyst can then decide to close the ticket or analyse the issue further with the customer EDCode December 2015 European DataWarehouse GmbH 27
Contact Details Corporate Address: European DataWarehouse GmbH Walther-von-Cronberg Platz 2 60594 Frankfurt am Main Germany Main Reception: +49 (0) 69 8088 4300 General Enquiries: enquiries@eurodw.eu Website: http://www.eurodw.eu December 2015 European DataWarehouse GmbH 28