European DataWarehouse European Commission Workshop Brussels, 27 November 2013 November 2013 European DataWarehouse GmbH 1
Agenda Corporate governance General update on SME ABS transactions onboarded so far Key characteristics of the ECB ABS SME template Platform characteristics November 2013 European DataWarehouse GmbH 2
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 November 2013 European DataWarehouse GmbH 3
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 November 2013 European DataWarehouse GmbH 4
Organisational Structure Pricing Committee with ECB and NCBs as observers Shareholder Meeting José Manuel González-Páramo Chairman Supervisory Board with ECB and NCBs as observers ED Management 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. November 2013 European DataWarehouse GmbH 5
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 Ireland 22 Belgium 17 UK 10 Germany 6 France 23 Portugal 39 Spain 242 Netherlands 104 Source: ED data Italy 133 November 2013 European DataWarehouse GmbH 6
Onboarding status as of H2 2013 for ABS SME deals 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. 115 SME deals by country France 5 Belgium 3 Portugal 4 Netherlands 3 Germany 2 1.17MM of SME loans or loan parts by country* Netherlands Germany 17 28 Portugal 44 France 136 Spain 412 Belgium 246 Italy 28 Spain 70 Source: ED data Italy 286 *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. November 2013 European DataWarehouse GmbH 7
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 November 2013 European DataWarehouse GmbH 8
ECB ABS Templates and Taxonomies 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: Eligible-Assets.hotline@ecb.europa.eu Source: ECB website at http://www.ecb.europa.eu/mopo/assets/loanlevel/transmission/html/index.en.html October 2013 European DataWarehouse GmbH 9
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. November 2013 European DataWarehouse GmbH 10
Extraction of key ECB ABS SME mandatory fields 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 Static Securitised Loan Amount Balance of the securitised loan as of the cut-off date AS66 Mandatory Dynamic Balloon Amount The balloon payment amount AS80 Mandatory Dynamic Current Interest Rate Current interest rate (%) AS81 Mandatory Dynamic Interest Cap Rate Interest rate cap (%). If no IR Cap then enter ND AS82 Mandatory Static Interest Floor Rate Interest rate floor (%). If no IR Floor then enter ND Current interest rate margin (as a percentage %, for fixed AS85 Mandatory Dynamic a negative) the index rate Current Interest Rate rate loans this is the same as the current interest rate, for Margin floating rate loans this is the margin over or under if input as Current balance of interest arrears. Arrears defined as: Total interest payments due to date LESS Total interest AS115 Mandatory Dynamic Interest Arrears Amount 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 AS117 Mandatory Dynamic Principal Arrears Amount AS118 Mandatory Dynamic Number of Days in Principal Arrears AS125 Mandatory Dynamic Default Amount AS128 Mandatory Dynamic Cumulative Recoveries 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. 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. 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. Total default amount (per the transaction default definition) before the application of sale proceeds and recoveries. If not in default, enter 0. Total 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 Static CS28 Mandatory Dynamic Original Valuation Amount Property value as of date of latest loan advance prior to a securitisation The total number of collateral pieces securing the loan. The Number of Collateral number should reflect the number of collateral reports Items Securing The Loan submitted for the loan in the current file. October 2013 European DataWarehouse GmbH 11
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 November 2013 European DataWarehouse GmbH 12
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 November 2013 European DataWarehouse GmbH 13
Edwin platform characteristics Loan-level data submission loan and bond-specific information combined based on template and taxonomy standardisation Deal overview at one glance overall information about deal characteristics scoring (based on ECB scoring calculation) Various functionalities detailed search functionality on-demand report generation November 2013 European DataWarehouse GmbH 14
Contact Details Marco Angheben Director Business Development and Strategy T: +49 69 808 84303 E: marco.angheben@eurodw.eu November 2013 European DataWarehouse GmbH 15