View
215
Download
1
Category
Preview:
Citation preview
Corporate Presentation – October 2014
European DataWarehouse
Due Diligence using ED Cloud Pro – Webinar November 2016
Draft European Framework for Simple, Transparent and Standardised Securitisation (STS)
Proposed Due Diligence Requirements for Institutional Investors under Article 3
Section 3: Institutional investors that are exposed to a securitisation shall at least:
a) establish written procedures commensurate with the risk profile of the securitisation position, and appropriate to their trading
and non-trading book where relevant, to monitor compliance with paragraphs 1 and 2 and the performance of the
securitisation position and the underlying exposures on an ongoing basis.. Where appropriate, those written procedures shall
include monitoring of the exposure type, the percentage of loans more than 30, 60 and 90 days past due, default rates,
prepayment rates, loans in foreclosure, recovery rates, repurchases, loan modifications, payment holidays, collateral type
and occupancy, and frequency distribution of credit scores or other measures of credit worthiness across underlying
exposures, industry and geographical diversification, frequency distribution of loan to value ratios with band widths that
facilitate adequate sensitivity analysis. Where the underlying exposures are themselves securitisations, institutional investors
shall also monitor the exposures underlying those securitisations;
b) regularly perform stress tests on the cash flows and collateral values supporting the underlying exposures that are
commensurate with the nature, scale and complexity of the risk of the securitisation position;
c) ensure that there is an adequate level of internal reporting to their management body so that they are aware of the material
risk arising from the securitisation positions and that the risks from those investments are adequately managed;
d) be able to demonstrate, upon request, to their competent authorities that for each of their securitisation positions they have a
comprehensive and thorough understanding of the position and its underlying exposures and that they have
implemented written policies and procedures for their risk management and recording of the relevant information
November 2016 European DataWarehouse GmbH 2
Mapping of Existing EU Provisions for ABS
Sector Legal text(s) Subject
Banking
Regulation 575/2013/EU (Capital Requirements Regulation)
Commission Delegated Regulation 2015/62 ("LCR“ Delegated Act)
Commission Delegated Regulation 625/2014
Commission Implementing Regulation 602/2014
Definitions
Disclosure
Due diligence
Liquidity
Prudential treatment
Risk retention
Insurance Directive 2009/138/EC (Solvency II)
Commission Delegated Regulation 2015/35 (Solvency II Delegated Act)
Definitions
Disclosure
Due diligence
Eligibility criteria
Prudential treatment
Risk retention
Asset
Management
Directive 2011/61/EU (AIFMD)
Commission Delegated Regulation 231/2013 (AIFM Regulation)
Due diligence
Risk retention
November 2016 European DataWarehouse GmbH 3
Article 53 on Qualitative Requirements Concerning AIFMs Exposed to Securitisations
Qualitative requirements concerning Alternative Investments Fund Managers (AIFMs) exposed to securitisations
1. Before becoming exposed to the credit risk of a securitisation on behalf of one or more AIFs, and as appropriate thereafter, AIFMs
shall be able to demonstrate to the competent authorities for each of their individual securitisation positions that they have a
comprehensive and thorough understanding of those positions and have implemented formal policies and procedures appropriate to
the risk profile of the relevant AIF’s investments in securitised positions for analysing and recording:
(b) the risk characteristics of the individual securitisation position;
(c) the risk characteristics of the exposures underlying the securitisation position;
2. Where an AIFM has assumed exposure to a material value of the credit risk of a securitisation on behalf of one or more AIFs, it shall regularly perform stress tests appropriate to such securitisation positions in accordance with point (b) of Article 15(3) of Directive 2011/61/EU. The stress test shall be commensurate with the nature, scale and complexity of the risk inherent in the securitisation positions
Alternative Investments Fund Managers (AIFMs) need to perform adequate due diligence before investing in securitisations. This includes the characteristics of the individual securitisation positions (Art. 53, 1b) together with the risk characteristics of the exposures underlying the securitisation position (Art. 53, 1b).
In terms of the information required for the investors to assess the risks for the securitisation positions, Article 52 (e)* and (f)** of the AIFMR , the AIFM needs to ensure before investing that the sponsor or originator grants ready access to all relevant information to manage the risks on an ongoing basis.
* (e) grant readily available access to all materially relevant data on the credit quality and performance of the individual underlying exposures, cash flows and collateral supporting a securitisation exposure and such information that is necessary to conduct comprehensive and well informed stress tests on the cash flows and collateral values supporting the underlying exposures. For that purpose, materially relevant data shall be determined as at the date of the securitisation and where appropriate due to the nature of the securitisation thereafter;
November 2016 European DataWarehouse GmbH 4
Before becoming exposed to the risks of a securitisation, and as appropriate thereafter, institutions shall be able to demonstrate to the
competent authorities for each of their individual securitisation positions, that they have a comprehensive and thorough understanding of
and have implemented formal policies and procedures appropriate to their trading book and non-trading book and commensurate with the
risk profile of their investments in securitised positions for analysing and recording:
the information disclosed under Article 405 CRR, by originators, sponsors or original lenders to specify the net economic
interest that they maintain, on an ongoing basis, in the securitisation;
the risk characteristics of the individual securitisation position;
the risk characteristics of the exposures underlying the securitisation position. Where relevant, these shall include:
a) the exposure type;
b) the percentage of loans more than 30, 60 and 90 days past due (arrears), default rates, prepayment rates, loans in
foreclosure;
c) collateral type and occupancy, and frequency distribution of credit scores or other measures of credit worthiness across
underlying exposures;
d) industry and geographical diversification;
e) frequency distribution of loan to value ratios with band widths that facilitate adequate sensitivity analysis;
f) where the underlying exposures are themselves securitisation positions, institutions shall have the information set out in
this subparagraph not only on the underlying securitisation tranches, such as the issuer name and credit quality, but also
on the characteristics and performance of the pools underlying those securitisation tranches.
Due Diligence Requirements under Article 406 of the Capital Requirements Regulation
November 2016 European DataWarehouse GmbH 5
Indicative Key Fields for Due Diligence in the ECB RMBS Template
CRR DUE DILIGENCE REQUIREMENTS RELATED TO ECB RMBS TEMPLATE FIELDS
CRR REQUIREMENT RMBS TAXONOMY RELATED FIELDS (examples)
Exposure type Purpose (AR59), Property type (AR131)
Percentage of loans in arrears Account Status (AR166), Arrears Balance (AR169), Number of Months in Arrears (AR170)
Default rates Account Status (AR166), Default or Foreclosure (AR177), Date of Default or Foreclosure (AR178)
Prepayment rates Average Constant Prepayment Rate (BR13)
Loans in foreclosureAccount Status (AR166), Default or Foreclosure (AR177), Date of Default or Foreclosure (AR178),
Sale Price Lower Limit (AR179), Loss on Sale (AR180), Cumulative Recoveries (AR181)
Collateral type and occupancyOccupancy Type (AR130), Property Type (AR131), Property Ranking (AR134), Original Valuation
Type (AR137), Current Valuation Type (AR144)
Measures of credit worthinessBorrower Type (AR15), Borrower Credit Quality (AR17), Borrower´s Employment Status (AR21),
Primary Income (AR26), Income Verification (AR27)
LTV ratioOriginal LTV (AR135), Current LTV (AR141), Valuation Amount (AR136), Valuation Date (AR138),
Current Valuation Amount (AR143), Current Valuation Date (AR145)
Industry and Geographical diversification Geographic Region List (AR128), Property Postcode (AR129)
November 2016 European DataWarehouse GmbH 6
Relevance of Loan Level Data Compared to Investor Reports
November 2016 European DataWarehouse GmbH 7
Completeness of IR information Data No Data
Number of loans 85% 15%
Current Balance of loans in Arrears 85% 15%
Number of loans in Arrears 75% 25%
WA Interest Rate 66% 34%
WA Current Loan to Value 63% 37%
WA Remaining Term to Maturity 61% 39%
Default Amount 59% 41%
Defaulted loans 54% 46%
Arrears Balance 53% 47%
WA Seasoning 41% 59%
Generally there are for most European deals two sources to analyse the risk characteristics of the exposures underlying the securitisation
position:
• Monthly/Quarterly investor reports
• Monthly/Quarterly loan level data
Analysis of 655 European transactions show that many
investor reports have vital information missing
Investor reports in Europe are not standardized, hence not all
investor reports might have all information readily available and not
easily comparable
Loan level data is standardized given Europe-wide ECB
templates
Mandatory data fields ensure a high level of coverage of
relevant fields
ED Cloud Pro can complement the analysis of relevant
parameters in a fast and efficient way
Draft STS Article 3: ..demonstrate a comprehensive and thorough
understanding of the position and its underlying exposures
Investor Reports Loan Level Data
Home Section
November 2016 European DataWarehouse GmbH 8
Quick search or filter for
deals by:
Deal Name
Asset Class
ISIN
Issuer
Bloomberg Ticker
ED Code
PCD
Vintage
Country
Document (IR, Prospectus)
Key statistics at a glance:
Total Deals in Edwin
• Total Loans in Edwin
New Deals (from 2016)
Select any row / cell and
click on ‘View Deal’ button to
view the selected deal’s
summary
displays the entire universe of ED Loan Level DataHome Section All major ABS deals at your
fingertips:
RMBS
SME
Auto
Consumer
Leasing
Deal Section
November 2016 European DataWarehouse GmbH 9
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
• Bond Level Information
• Bond Class
• Original Balance
• Legal Maturity
• Current Coupon
• Deal Level Information
• Loan Size / Current Balance / Original Balance
• Borrower Concentration
• OLTV / CLTV
• Seasoning
• Performance Information
• Performing, Arrears, Default, Redeemed
• Delinquency Information
• Months in Arrears
• Benchmarks (scatter plot of all deals)
• Deal History
shows detailed deal information and transaction historyDeal Section
Create alerts for key parameters
• Email notification when an alert is triggered
Ability to download the Bond Level Data (latest and
historical)
Data Owner
Data Provider
Deal Section - CPR Information
November 2016 European DataWarehouse GmbH 10
The period prepayment rate is shown
on the Bond information section
Prior period can be selected using the
navigation arrows
May 2013 Aug 2016
4.49 4.40
Toggle switch to include /
exclude outlier values from
averages and weighted averages
Deal Section – Benchmark Chart
November 2016 European DataWarehouse GmbH 11
Ability to benchmark between different parameters by:
Country
Vintage
Issuer
Deal Section - Loans in Defaults
November 2016 European DataWarehouse GmbH 12
Possibility of visualising the number of loans in
default per submission in terms of absolute
number and in % of current balance
History Section
November 2016 European DataWarehouse GmbH 13
provides a detailed transaction history of the deal History Section
View historical performance statistics
across all the submissions of the chosen deal
Ability to filter and select specific parameters
such as:
Account Status / Months in Arrears
Account Status
• Performing
• Arrears
• Default
• Redeemed
By Loans or % C. Balance
View Performance and Delinquency history
View historical information, across
submissions, for data fields of your choice,
such as
Primary Income
Original Loan to Value
Current Loan to Value
Interest Rate Type
Date of Loan Maturity
View Account Status Transition matrix
History Section – Transition Matrix
November 2016 European DataWarehouse GmbH 14
With the transition Matrix, you can see how the account status of the securitised
loans has changed between two submissions
The reference period of the submissions can be customised
The visualisation can be obtained by number of loans or % of current balance
Current submission
Previous submission
Strats Section
November 2016 European DataWarehouse GmbH 15
displays various stratification tables with ability to slice and dice based on several parametersStrats Section
Ability to view
aggregates and
stratification tables
for up to 10
selections
Comparison of
deals by series,
issuer, vintage and
country
Ability to slice any
table by several
parameters, such
as:
• Account Status
• Months in Arrears
• CLTV
Comparison of external loan level data
with ED data
Ability to visualise time series & evolution
of data fields
Quick visualisation of
stratification tables
using Excel charts
Strats Section – Comparison (1)
November 2016 European DataWarehouse GmbH 16
Comparison of deals by
Series
Issuer
Vintage
Country
Strats Section – Comparison (2)
November 2016 European DataWarehouse GmbH 17
Compare up to
10 selections
within the cloud
e.g
Country
Vintage
Issuer
Deal
Country Vintage Issuer Deal
Strats Section – Comparison with Filters (3)
November 2016 European DataWarehouse GmbH 18
Customisable parameters to
slice any table by:
• Account Status
• Months in Arrears
• Interest Rate Type
• Current Loan to Value
• Borrower’s Employment
Status
Solvency II High-Quality Securitisations General Requirements
Requirements DescriptionRMBS related fields
(example)
Homogeneous
eligible underlying
exposures
Homogeneity in the type of underlying exposures increases soundness, simplicity and
transparency. All underlying exposures must belong to only one of the following types:
- Residential loans: first-ranking mortgage and/or fully guaranteed residential loans
with on average a loan-to-value ratio lower than or equal to 80% or a maximum loan-
to-income ratio not higher than 45%;
- Loans, leases and credit facilities to undertakings, in particular SMEs, provided that
at least 80% of the borrowers in the pool in terms of amount are small and medium-sized
enterprises at the time of issuance of the securitisation;
- Auto loans or leases, with a first-ranking charge or security over the vehicle or an
appropriate guarantee in favour of the securitisation special purpose vehicle;
- Consumer loans and credit card receivables: loans and credit facilities to individuals for
personal, family or household consumption purposes.
Primary Income (AR26), Purpose (AR59),
Amount Guaranteed (AR63),
Lien (AR84),
Original LTV (AR135), Current LTV (AR141),
Valuation Amount (AR136),
Valuation Date (AR138),
Current Valuation Amount (AR143),
Current Valuation Date (AR145)
Absence of credit-
impaired obligors
The underlying exposures must not include exposures to credit-impaired obligors, both from a
backward-looking (e.g. the obligor has declared bankruptcy) and a forward-looking
perspective (e.g. the obligor has a credit assessment by an external credit assessment
institution or has a credit score indicating a significant risk that contractually agreed payments
will not be made).
Borrower Identifier (AR7), Borrower Type (AR15),
Borrower Credit Quality (AR17)
Borrower´s Employment Status (AR21)
Income Verification (AR27,AR29), Arrears Balance (AR169),
Number of Months in Arrears (AR170),
Arrears 1 and 2 Months Ago (AR171, AR172)
Absence of loans
in default
At the time of issuance of the securitisation or when incorporated in the pool of underlying
exposures at any time after issuance, the underlying exposures must not include exposures in
default.
Account Status (AR166),
Default or Foreclosure (AR177),
Date of Default or Foreclosure (AR178)
Solvency II FAQs and Loan Level Data Reconciliation
November 2016 European DataWarehouse GmbH 20
Indicative Key Fields for Due Diligence in the ECB Templates
CRR DUE DILIGENCE REQUIREMENTS AND RELATED RMBS/SME TEMPLATE FIELDS
CRR REQUIREMENT RMBS TAXONOMY RELATED FIELDS (examples) SME TAXONOMY RELATED FIELD (examples)
Exposure type Purpose (AR59), Property type (AR131) Asset Type (A25), Seniority (AS26)
Percentage of loans in arrears
Account Status (AR166), Arrears Balance (AR169), Number of
Months in Arrears (AR170)
Interest Arrears Amount (AS115), Number of Days in Interest Arrears
(AS116), Principal Arrears Amount (AS117), Number of Days in Principal
Arrears (AS118)
Default rates
Account Status (AR166), Default or Foreclosure (AR177), Date of
Default or Foreclosure (AR178)
Default or Foreclosure on the loan per the transaction definition (AS121),
Default or Foreclosure on the loan per Basel III definition (AS122), Default
Date (AS124), Default Amount (AS125)
Prepayment rates Average Constant Prepayment Rate (BR13) Average Constant Prepayment Rate (BS13)
Loans in foreclosure
Account Status (AR166), Default or Foreclosure (AR177), Date of
Default or Foreclosure (AR178), Sale Price Lower Limit (AR179),
Loss on Sale (AR180), Cumulative Recoveries (AR181)
Default or Foreclosure on the loan per the transaction definition (AS121),
Default or Foreclosure on the loan per Basel III definition (AS122), Default
Date (AS124), Default Amount (AS125)
Collateral type and occupancy
Occupancy Type (AR130), Property Type (AR131), Property
Ranking (AR134), Original Valuation Type (AR137), Current
Valuation Type (AR144)
Security Type (CS3), Collateral value (CS4), Collateralisation Ratio (CS5),
Collateral Type (CS6), Original Valuation Amount (CS10)
Measures of credit worthiness
Borrower Type (AR15), Borrower Credit Quality (AR17),
Borrower´s Employment Status (AR21), Primary Income (AR26)
Income Verification (AR27)
Bank Internal Rating (AS30), Other Public Rating (AS36), Bank Internal Loss
Given Default (LGD) Estimate (AS37)
LTV ratio
Original LTV (AR135), Current LTV (AR141), Valuation Amount
(AR136), Valuation Date (AR138), Current Valuation Amount
(AR143), Current Valuation Date (AR145)
Collateral value (CS4)
Industry and Geographical
diversification
Geographic Region List (AR128), Property Postcode (AR129) S&P Industry Code (AS39), Moody´s Industry Code (AS40), Fitch Industry
Code (AS41), NACE Industry Code (AS42), Other Industry Code (AS43),
Country (AS15), Postcode (AS16), Geographic Region (AS17)
November 2016 European DataWarehouse GmbH 21
Key Due Diligence Fields (1)
November 2016 European DataWarehouse GmbH 22
AR 166
Account Status
AR 170
Months in Arrears
AR 131
Property Type
November 2016 European DataWarehouse GmbH 23
Key Due Diligence Fields (2)
AR 21
Borrower’s
Employment Status
AR 26
Primary Income
Key Due Diligence Fields (3)
November 2016 European DataWarehouse GmbH 24
AR 129 - Post Code
AR141 - CLTV
AR135 - OLTV
Contact Details
November 2016 European DataWarehouse GmbH 25
Corporate Address:
European DataWarehouse GmbH
Walther-von-Cronberg Platz 2
60594 Frankfurt am Main
GermanyEuropean Transparency Register ID Number: 781559916266-15
+49 (0) 69 8088 4300
enquiries@eurodw.eu
www.eurodw.eu
This presentation (the “Presentation”) has been prepared by European DataWarehouse GmbH (the
“Company”) and is being made available for information purposes only.
The Presentation is strictly confidential and any disclosure, use, copying and circulation of this
Presentation is prohibited without the consent from the Company.
Information in this Presentation, including forecast financial information, should not be considered as
advice or a recommendation to investors or potential investors in relation to holding, purchasing or
selling securities or other financial products or instruments and does not take into account your
particular investment objectives, financial situation or needs. No representation, warranty or
undertaking, express or implied, is made as to the accuracy, completeness or appropriateness of the
information and opinions contained in this Presentation.
Under no circumstances shall the Company have any liability for any loss or damage that may arise
from the use of this Presentation or the information or opinions contained herein.
Certain of the information contained herein may include forward-looking statements relating to the
business, financial performance and results of the Company and/or the industry in which it operates.
Forward-looking statements concern future circumstances and results and other statements that are not
historical facts, sometimes identified by the words “believes”, expects”, “predicts”, “intends”, “projects”,
“plans”, “estimates”, “aims”, “foresees”, “anticipates”, “targets”, “may”, “will”, “should” and similar
expression.
The forward-looking looking statements, contained in this Presentation, including assumptions, opinions
and views of the Company or cited from third party sources are solely opinions and forecasts which are
uncertain and subject to risks.
Disclaimer
Recommended