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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)
November 2013 European DataWarehouse GmbH 3
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
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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
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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
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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
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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
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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
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• 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
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.
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Extraction of key ECB ABS SME mandatory fields
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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
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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
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November 2013 European DataWarehouse GmbH 14
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
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