European DataWarehouse. Corporate Presentation October September

Transcription

1 European DataWarehouse Corporate Presentation October September

2 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. September 2015 European DataWarehouse GmbH 2

3 Content Overview ABS Market Coverage New deals by asset class with number of loans and other relevant statistics Current Customer Distribution Legal and Regulatory Developments Data Users Products and Services Data Owners and Providers Products and Services September 2015 European DataWarehouse GmbH 3

4 Overview September 2015 European DataWarehouse GmbH 4

5 ABS Data Utility European DataWarehouse (ED) provides loan and bond level data as well as documentation repository services for the fixed income market. ED currently hosts data for over 900 Asset-Backed Security (ABS) transactions and private portfolios belonging to several different originators across Europe More than 350 Data Owners (DO), Data Providers (DP) and Data Users (DU) are registered with ED. Originators, issuers, sponsors and servicers upload ABS data to ED, while DU including investors, data vendors, rating agencies and public institutions use ED data for monitoring and risk assessment purposes ED key characteristics are as follows: Unique data repository for European ABS and loan portfolios Fast access to data Disaggregated data: relevant information allows a high degree of ABS portfolio transparency Standardised definitions of reporting formats for quick and efficient comparison September 2015 European DataWarehouse GmbH 5

6 Corporate Structure ED was created in 2012 as part of the implementation of the European Central Bank ABS Loan Level Initiative. ED became fully operational in January 2013 and is funded and owned by a mix of market participants. In addition, the European Central Bank (ECB) and the National Central Banks (NCB) participate as observers to the ED Board. ED operates as a utility to respond to the need for improved transparency to investors and other market participants in ABS Supervisory Board: Consists of currently 18 members (mainly shareholder representatives with the ECB/NCB as observers) and is responsible for the strategy and monitoring ED s operations as a market initiative José Manuel González- Páramo Supervisory Board with ECB and NCB as observers Shareholder Meeting 17 shareholders Chairman José Manuel González- Páramo Pricing Committee with ECB and NCB as observers Pricing Committee: Consists of currently 8 members from the ABS industry and is responsible for setting the fee structure for ED clients. The fees are set in line with ED s utility approach ED Management CEO: Markus Schaber ED Management September 2015 European DataWarehouse GmbH 6

7 17 Shareholders as of September 2015 September 2015 European DataWarehouse GmbH 7

8 ABS Market Coverage September 2015 European DataWarehouse GmbH 8

9 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 Table 2 Additional statistics of Edwin database, breakdown by asset class Asset Class Number of loans 2 Number of borrowers 2 Number of properties 2 RMBS SME Auto ABS N/A Consumer 13, N/A Leasing N/A Credit Card N/A CMBS Total All amounts in mn with the exception of CMBS figures 3 Number of loan sponsors Table 1 Active and Inactive deals in Edwin, breakdown by asset class Asset Class Active Redeemed or Amortised 1 Total RMBS SME Auto ABS Consumer Leasing Credit Card 5-5 CMBS Total Upload of loan level data has discontinued, typically given bond redemptions 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 September 2015 European DataWarehouse GmbH 9

10 Dataset Composition as of September ED ABS Transactions (no. of deals) CMBS Credit Card Leasing Consumer Auto ABS SME RMBS Deal Creation Trend (no. of deals) CMBS Credit Card Leasing Consumer Auto ABS SME Jan Feb Mar Apr May Jun Jul Aug RMBS 1 Austria, Sweden, Norway, Finland and Luxembourg are not included in the chart Source: European DataWarehouse Source: European DataWarehouse ED Loan Outstanding Volume 2 (Bn) CMBS Credit Card Leasing Consumer Auto ABS SME RMBS Breakdown by Vintages (no. of deals) CMBS Credit Card Leasing Consumer Auto ABS SME 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 September 2015 European DataWarehouse GmbH 10

11 922 ABS Deals and 43 mn Loans as of September 2015 A total of 554 RMBS Deals & 13 mn loans or loan parts New RMBS Deals in Edwin RMBS Deal Name Data Owner Amount (in EUR Million) Description Spain Netherlands Italy Portugal Ireland UK France Belgium Germany Sweden Total Deals 554 Storm 2015-II B.V Obvion N.V Gosforth Funding plc Asti Group RMBS Srl Paragon Mortgages (No.23) PLC Dutch RMBS Virgin Money plc UK RMBS Banca Cassa di Risparmio di Asti SpA Paragon Finance PLC Italian RMBS United Kingdom RMBS 3,463 2,027 1,579 1,548 1,457 1,302 Total Loans 13 mn IM EVO RMBS 1 InterMoney Titulización SGFT SA Spanish RMBS Berica ABS 4 S.r.l. Banca Popolare di Vicenza S.c.p.A Italian RMBS Kingswood Mortgages PLC Kingswood Mortgages plc 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) September 2015 European DataWarehouse GmbH 11

12 922 ABS Deals and 43 mn Loans as of September 2015 A total of 143 SME Deals & 1.3 mn loans or loan parts New SME Deals in Edwin & Updates SME Deal Name Data Owner Amount (in EUR Million) Description Spain Italy KMU Portfolio S.A., Compartment akf bank GmbH & Co KG German SME Portugal 8 France Germany Netherlands Total Deals 143 Siena PMI 2015 Srl Banca Monte dei Paschi di Siena Italian SME Belgium Luxembourg 3 1 Geldilux-TS-2015 S.A UniCredit Bank AG German SME Updates Total Loans 1.3 mn European DataWarehouse released on the 1 st of September 2015 the SME Cloud Excel Front End template 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) September 2015 European DataWarehouse GmbH 12

13 922 ABS Deals and 43 mn Loans as of September 2015 A total of 135 Auto ABS & 8.6 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 Austria Portugal Total Deals 135 Driver Master C3 Driver Master C2 Driver Master C1 A-Best Twelve S.R.L. Volkswagen Financial Services AG Volkswagen Financial Services AG Volkswagen Financial Services AG FCA Bank S.p.A German Auto ABS German Auto ABS German Auto ABS Italian Auto ABS Updates 4,239 2,061 Total Loans 8.6 mn DE: German Auto placed transactions increased from EUR 2.1 bn in Q to EUR 2.8 bn in Q 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) September 2015 European DataWarehouse GmbH 13

14 922 ABS Deals and 43 mn Loans as of September 2015 A total of 51 Consumer Deals & 13.7 mn loans or loan parts New Consumer Deals in Edwin & Updates Consumer Deal Name Data Owner Amount (in EUR Million) Description Italy France BBVA CONSUMO 7 FT EUROPEA DE TITULIZACION S.A. S.G.F.T Spanish Consumer Spain Germany 3 10 Total Deals 51 Ginkgo Conso Debt 2015 Credit Agricole Consumer Finance French Consumer Netherlands Portugal 1 2 Quarzo S.r.l Compass S.P.A Italian Consumer Updates 7,234 4,287 1,655 Total Loans 13.7 mn Italy Spain France Germany Netherlands Portugal In Q EUR 4.3 bn of Consumer Finance ABS deals were issued in Europe and uploaded to Edwin Considering the entire Edwin dataset, Italian transactions maintain the lion s share with 24 transactions, followed by France (11) and Spain (10) 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) September 2015 European DataWarehouse GmbH 14

15 922 ABS Deals and 43 mn Loans as of September 2015 Leasing Credit Card CMBS Italy Germany Spain Portugal Total Deals 29 France UK Spain Total Deals 5 Italy France Multi Country Germany Ireland Total Deals Total Loans 290 k 2,984 Total Loans 5.9 mn 2, Total Loans 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 September 2015 European DataWarehouse GmbH 15

16 Current Customer Distribution 35.0% Data User Customer Base 35.3% Data Owner and Provider Customer Base 22.8% 12.2% 10.6% 4.1% 4.1% 4.1% 1.6% 1.6% 0.8% 0.8% 0.8% 0.8% 0.8% 13.3% 9.2% 8.8% 8.4% 7.6% 7.6% 4.0% 3.6% 0.8% 0.4% 0.4% 0.4% Edwin Data User Institutions Market Data and Analytical Vendors 4.03% Investment Banks / Brokers 6.45% Others 14.52% Rating Agencies 3.23% Consultants 2.42% Investors 69.35% Investors by Category Hedge Funds 8.1% Banks 25.6% Insurers 5.8% Fund Managers 60.5% Data Users: are typically ABS market participants that access and analyse the underlying data for relative value, due diligence and monitoring purposes. ED currently has almost 150 data user institutions including more than 110 investors across Europe and the US Data Owners: are issuers/originators who register the deals in 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 the loan level data files and relevant documents 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. ED currently has more than 220 data owners and data providers September 2015 European DataWarehouse GmbH 16

17 Legal and Regulatory Developments ECB Framework for Debt Instruments Backed by Eligible Credit Claims Guideline as of 27 August 2015 The European Central Bank (ECB) has published a new Guideline (ECB/2015/27) amending the General Documentation (GD) on the implementation of the Eurosystem s monetary policy. The new Guideline introduces some changes to the monetary policy implementation framework: A new class of eligible assets, namely the non-marketable debt instruments backed by eligible credit claims (DECCs), has been introduced in the Eurosystem collateral framework. DECCs are debt instruments that: (a) are backed by credit claims that are also eligible as collateral with the Eurosystem on an individual basis; and (b) that have a dual recourse feature, namely to: (i) (ii) the credit institution that is the originator of the underlying credit claims; and to the underlying credit claims themselves. It should be noted that, in the initial stage, only the domestic use of DECCs is envisaged. This restriction will remain in place until the Eurosystem fully develops the procedures for the cross-border use of DECCs. Guideline ECB/2015/27 is published on the ECB s website for information purposes. The Guideline in 23 official EU languages is expected to be published in October 2015 in the Official Journal of the European Union. DECCs will have to be reported according to the specific loan level data template on a monthly basis no later than one month after the cut-off date (the last day of the month, Article 107e). The new measures will take effect starting from Monday, 2 November 2015 (Article 2). The full document is available at September 2015 European DataWarehouse GmbH 17

18 Data Users Products and Services September 2015 European DataWarehouse GmbH 18

19 User Interfaces Edwin ED Cloud API EDplus Secure website to access the European ABS database including loan level data and documentation Database of loan level data accessible through an Excel Front End or via direct SQL queries Application Programming Interface (API) to integrate seamlessly Edwin into internal applications Software application to download ABS loan level data in database format based on specific queries across asset classes and jurisdictions Loan level data usage options based on activity level Basic Edwin Access to individual loan level data files, portfolio strats and documentation Data download in Excel, CSV or XML formats ED Cloud API EDplus Premium Service Access to the universe of loan level data stored in Edwin across submissions Programmatic download of loan level data into internal database one deal at a time Download of loan level data to a local database using a desktop software by one deal at a time September 2015 European DataWarehouse GmbH 19

20 New Access Interface: ED Cloud Solution for RMBS and SME The ED Cloud solution enables direct access to the universe of loan level data 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 and SME templates Ability to compare deal statistics with other deals and benchmarks September 2015 European DataWarehouse GmbH 20

21 ED Cloud Capabilities ED Cloud helps in the due diligence, monitoring and internal analysis of ABS Fast comparison Benchmarking transactions 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 Loan performance transition matrix Comparison of the loan level data with external portfolios Comparison of underlying pools with the market across jurisdictions and vintages Ongoing monitoring of transactions with integration possibilities with internal tools September 2015 European DataWarehouse GmbH 21

22 ED Cloud Access Options * Version 1.0 * Excel Front End supports Microsoft Excel versions 2010 and above on PCs (Windows) September 2015 European DataWarehouse GmbH 22

23 Option 1: Excel Front End The ED Cloud Front End Excel 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 European DataWarehouse GmbH 23

24 Excel Front End Summary Sheet 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 OLTV CLTV 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) September 2015 European DataWarehouse GmbH 24

25 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. OLTV o W.A. CLTV o W.A. Interest Rate o W.A. Seasoning & Maturity o Loans with LTV > 90% o Loans in Arrears & Default Toggle switch to include / exclude outliers Navigate between Pool Cut-Off Dates to see benchmarks over time September 2015 European DataWarehouse GmbH 25

26 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 Property Type Postal Code Primary Income CLTV OLTV Ability to slice any tables by several parameters September 2015 European DataWarehouse GmbH 26

27 Excel Front End Transition Sheet View Account Status Transitions between any two submissions for the selected deal September 2015 European DataWarehouse GmbH 27

28 Excel Front End Deal Comparison Sheet and Visualisation 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 or SME taxonomy September 2015 European DataWarehouse GmbH 28

29 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 September 2015 European DataWarehouse GmbH 29

30 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 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 September 2015 European DataWarehouse GmbH 30

31 EDplus EDplus is a desktop software application designed to download loan and bond level data in a database, enabling complex query based analysis Data Users can create a local copy of the Edwin database on their desktop and view multiple data files in Excel or write standard SQL queries to perform further analysis Connectivity Usability Flexibility Local database Postgre SQL Configurat or to select LLD for download Graphical User Interface Synchronisation Performance September 2015 European DataWarehouse GmbH 31

32 Edwin Database System User Interface Edwin, ED software application, is a bespoke, fully integrated software platform designed and developed specifically to collate ABS deal, loan and bond level information into a single, centralised database Deal Listing table Asset country, vintage, interest payment date and pool cut-off date information Total assets and current balance for each deal Default sorting by latest submission View up to 100 deals in one page Advanced Search page Ability to save frequent searches Easily operated interface Search at once by multiple ED Codes and ISINs comma separated, Data Owners, Data Providers Deal Information page Separate portfolio summary section Grouping of key fields to enhance the visual appeal Prominent download button directs user to a separate download page where data can be downloaded in xlsx and CSV formats enquiries@eurodw.eu September 2015 European DataWarehouse GmbH 32

33 Portfolio Stratification Templates Portfolio Stratification is an Excel based template which can be linked to data files and display aggregated information for the entire pool as well as for sub portfolios (using the filtering option on the data file) Portfolio summary Loan information Sum of Original and Current Balance, Loan concentration, Performance Overview Loan characteristics - e.g. payment frequency, repayment method, interest rate type Rates & Dates - breakdown of loans based on interest rate and vintage statistics of the portfolio Borrower information - e.g. employment status, primary income, Loss Given Default statistics Property information - e.g. property value, property type Collateral information - e.g. security and collateral type RMBS - Portfolio Stratification Refresh List Print Calculate Clear Consider Active Loans Only Instructions to use this template are at the bottom of the page. REPORTING DATA Note: You can apply filters on the loan level data to view strats on the filtered data set Pool Identifier (AR2) Refresh List Print Latest Interest Payment Date(BR27) TRANSACTION DATA Pool Cut-off Date (AR1) Avg Constant Pre-payment Rate (BR13) Report Date (BR1) SME - Portfolio Trigger Stratification Calculate Clear Measurements/Ratios (BR12) Bond issue date (BR39) Drawings under Liquidity Facility (BR5) Consider Active Loans Only PARTICIPANTS Excess Spread Amount (BR11) Issuer (BR2) Ending Reserve Account Balance (BR3) Originator (AR5) Target Reserve Account Balance (BR4) Refresh List Print REPORTING DATA TRANSACTION DATA Pool Identifier (AS2) PORTFOLIO SUMMARY Auto ABS - Average Portfolio Constant Stratification Calculate Clear Pre-payment Rate (BS13) Latest Interest Payment Date(BS27) Trigger Measurements/Ratios (BS12) Consider Active Loans Only SUMMARY LOAN SIZE OLTV (AR135) CLTV (AR141) Pool Cut-off Date (AS1) Drawings under Liquidity Facility (BS5) Curr.Balance Avg Cur. Balance Weighted Avg OLTV Weighted Avg CLTV Orig.Balance Report Date Avg (BS1) Cur. Bal / Borrower Min OLTV Min CLTVExcess Spread Amount (BS11) Number of Borrowers Bond issue Max date Current (BS39) REPORTING DATA Balance Max OLTV Max CLTVEnding Reserve Account Balance (BS3) Instructions to use this template are at the bottom of the page. Refresh List Print Pool Identifier (AA2) No. of Loans / Loan Parts PARTICIPANTS Avg Original Balance Target Reserve Account Balance (BS4) Weighted Avg Interest Rate Max Original Balance Latest Interest Payment Date (BAA27) Consumer ABS - Portfolio Note : You Stratification can apply filters the Loans worksheet to calculate strats on the filtered data. Calculate Clear Issuer (BS2) Latest Principal Payment Date (BAA28) Any filters on the other sheets (Bonds, Collateral, etc) are ignored. Consider Active Loans Only Originator (AS4) SEASONING / MATURITY Pool Cut-Off Date PRIMARY (AA1) INCOME (AR26) Weighted Avg Seasoning (Months) Report Date (BAA1) Avg Income TRANSACTION DATA Weighted Avg Original Term to Maturity (Months) Bond Issue Date (BAA39) Min Income REPORTING PORTFOLIO DATA SUMMARY Annualised Constant Prepayment Rate (BAA13) Instructions to use this template are at the bottom of the page. Refresh List Print Max Original Term to Maturity (Months) PARTICIPANTS Max Income Pool Identifier (AN2) Trigger Measurements/Ratios (BAA12) Weighted Avg Remaining Term to Maturity (Months) Issuer (BAA2) SUMMARY LOAN / LOAN SIZE PART CONCENTRATION Latest Interest (BY CURRENT Payment Date BALANCE) (BN27) Drawings under Liquidity Facility (BAA5) SEASONING / MATURITY Max Remaining Term to Maturity (Months) Originator (AA6) Curr.Balance (AS55) Largest Avg Loan Excess Spread Amount Leasing (BAA11) ABS - Portfolio Note : You can apply Stratification filters the Loans worksheet to calculate strats on the filtered data. Calculate Clear Cur. Balance Latest Principal Payment Date (BN28) Weighted Avg Seasoning (Months) Any filters on the other sheets (Bonds, Collateral, etc) are ignored. Max Maturity Date Top 10 Loans Pool Cut-Off Date (AN1) ## Consider Active Loans Only Orig.Balance (AS56) Avg Cur. Bal / Borrower Weighted Avg Original Term to Maturity (Months) Min Origination Date Top 20 Loans Report Date (BN1) PORTFOLIO SUMMARY ## TRANSACTION DATA Max Origination Date Number of Borrowers Top 50 Loans Max Current Balance Bond issue date (BN39) Max Original Term to Maturity (Months) ## Annualised Constant Prepayment Rate (BN13) No. of Loans / Loan Parts SUMMARY Avg Original BalancePARTICIPANTS LOAN SIZE Weighted Avg Remaining Term to Maturity ORIGINAL (Months) LOAN TO VALUE (AA35) PRIMARY INCOME (AA17) REPORTING DATA Trigger Measurements/Ratios (BN12) Instructions to use this template are at the bottom of the page. Weighted Avg Int. Rate Current Principal Outstanding Max Balance Original (AA27) BalanceIssuer (BN2) Avg Orig Principal Outstanding Max Remaining Bal Term to Maturity (Months) Weighted Average OLTV Avg Income Pool Identifier (AL2) Drawings under Liquidity Facility (BN5) Note : You can apply filters on the Leases worksheet to calculate strats on the filtered data. Original Principal Balance (AA26) Max Orig Principal Outstanding Bal Min OLTV Min Income Largest Loan Originator (AN6) Max Maturity Date Latest Interest Payment Date (BL27) Excess Spread Amount (BN11) Any filters on the other sheets (Bonds, Collateral, etc) are ignored. Number of Borrowers Avg Curr Principal Outstanding Bal Max OLTV Max Income Top 10 Loans Min Origination Date Number of Loans Max Curr Principal Outstanding Bal Latest Principal Payment Date (BL28) PORTFOLIO SUMMARY WA Interest Rate (AA40) Top 20 Loans Avg Curr. Prin. Out. Max Bal. per Origination BorrowerPool Date Cut-Off Date (AL1) TRANSACTION DATA WA Discount Rate (AA43) Top 50 Loans SUMMARY Avg Orig. Prin. Out. Bal. per Borrower Report Date (BL1) Annualised Constant Prepayment Rate (BL13) LOAN SIZE PRIMARY INCOME (AN17) Bond issue date (BL39) Trigger Measurements/Ratios (BL12) Current Principal Outstanding Balance (AN26) Avg Orig Principal Outstanding Bal Avg Income SEASONING / MATURITY (AA22-24) PARTICIPANTS Original Principal Balance (AN25) Max Orig Principal Outstanding Bal LOAN CONCENTRATION Min (BY Income CURRENT BALANCE) Drawings under Liquidity Facility (BL5) Weighted Avg Seasoning (Months) Number of Borrowers Max Maturity Date Issuer (BL2) Avg Curr Principal Outstanding Bal Largest Loan Max Income Total Receivables Sold to SPV (BL15) Weighted Avg Original Term to Maturity (Months) Number of Loans Min Origination Date Servicer Name Max (AL3) Curr Principal Outstanding Bal Top 10 Loans Cumulative Gross Defaults - Pool (BL16) Max Original Term to Maturity (Months) Weighted Avg Interest Rate Max (AN32) Origination Date Originator (AL6) Avg Curr. Prin. Out. Bal. per Borrower Top 20 Loans Cumulative Recoveries - Pool (BL17) Weighted Avg Remaining Term to Maturity (Months) Avg Orig. Prin. Out. Bal. per Borrower Top 50 Loans Max Remaining Term to Maturity (Months) PORTFOLIO SUMMARY SEASONING / MATURITY (AN21-23) LOAN CONCENTRATION (BY CURRENT BALANCE) Weighted Avg Seasoning (Months) Max Maturity Date LEASE SIZE Largest Loan SUMMARY SEASONING / MATURITY (AL50-51, AL53) Weighted Avg Original Term to Maturity (Months) Principal Min Outstanding Maturity Date Balance Orig. Top Princ. 10 Loans Balance Current (AL56) Avg Weighted Avg Seasoning (Months) Max Original Term to Maturity (Months) Principal Max Balance Origination (AL55) Date Orig. Top 20 Princ. Loans Balance Original Max Weighted Avg Original Term to Maturity (Months) Weighted Avg Remaining Term to Maturity (Months) Residual Min Origination Value (AL57) Date Cur. Top Princ. 50 Loans Outs. Securitised Avg Balance Max Original Term to Maturity (Months) Max Remaining Term to Maturity (Months) Number of Lessees Max Cur. Princ. Outs. Balance Weighted Avg Remaining Term to Maturity (Months) Number of Leases Avg Cur. Princ. Outs. Bal. per Lessee Max Remaining Term to Maturity (Months) Weighted Avg Int. Rate (AL75) Avg Orig. Princ. Bal. per Lessee LEASE CONCENTRATION (BY CURRENT BALANCE) Weighted Avg Discount. Rate (AL78) Max Maturity Date Largest Lease Min Maturity Date Top 10 Leases Max Origination Date Top 20 Leases Min Origination Date Top 50 Leases September 2015 European DataWarehouse GmbH 33

34 Data Owners and Providers Products and Services September 2015 European DataWarehouse GmbH 34

35 Data Owner or Provider Upload Channel Matrix Edwin Toolkit API Format XML CSV/Excel XML Usage Occasional Occasional Constant (multiple files per month) Constant Upload of data in XML with file signing Quick upload of data converting the files from xlsx or CSV into XML for each ECB template Convert Bank of England RMBS November 2010 template into ECB RMBS template v28 Programmatic data upload Integration to internal systems September 2015 European DataWarehouse GmbH 35

36 ED Marketing Flag The Marketing Flag is a feature recently implemented in Edwin in order to meet the market demand for uploading provisional data files and other relevant documents into the platform for all public ABS deals during their marketing period Features This feature offers a marketing area to all ABS deals allowing Data Owners (DO) to upload Provisional data in Edwin, prior to final amendments and its launch in the primary market Data Users (DU), such as investors, rating agencies and other interested parties are enabled to access the relevant information All deals in the marketing period are clearly identified by an orange flag Once the deal is successfully launched in the primary market, the DO will be able to easily remove the flag and therefore the provisional status Issuer-specific terms and conditions can be uploaded which have to be accepted by DU September 2015 European DataWarehouse GmbH 36

37 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 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 September 2015 European DataWarehouse GmbH 37

38 Document Repository A document repository is now available for all transactions with the following features: The documentation section is in compliance with the European Securities and Markets Authority (ESMA) Regulatory Technical Standards under the Credit Rating Agency III Regulation (Article 3) and the Bank of England reporting requirements for ABS eligibility criteria Categories of documents displayed include: o o o o o o o o Closing Transaction Documents Prospectus / Offering Circulars Transaction Summary Investor Reports Cash Flow Deal Notifications Deal Commentary Other Documents can be static or periodically updated by Data Owners and Data Providers. Edwin supports multiple formats: PDF, Word,.txt and Excel Data Owners and Data Providers can enable Data Users to view the specific documents subject to the respective terms and conditions (upload of T&C is available at deal level in PDF format). If no issuer-specific T&C exists for a deal, the default ED T&C will be displayed for user acceptance September 2015 European DataWarehouse GmbH 38

39 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 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 September 2015 European DataWarehouse GmbH 39

40 Contact Details Corporate Address: European DataWarehouse GmbH Walther-von-Cronberg Platz Frankfurt am Main Germany Main Reception: +49 (0) General Enquiries: enquiries@eurodw.eu Website: September 2015 European DataWarehouse GmbH 40