Asset Backed Securitization

Transcription

1 Asset Backed Securitization ABS by Aktif Bank 4 No.lu Emek Varlık Finansmanı Fonu Investor Presentation September 2012

2 Topics to be Covered Aktif Bank s Track Record in ABS Deals New Transaction & Rating Summary (September 2012) Legal Framework of Asset Backed Securities in Turkey Aktif Bank s Payroll-Deductible Loan Portfolio Aktif Bank Latest Facts & Figures 2

3 Aktif Bank s Track Record in ABS Deals A groundbreaking innovation for Turkish Capital Markets by Aktif Investment Bank On October 20th, 2011, Turkey s first domestic ABS, originated & structured by Aktif Bank, has been successfully issued and sold out in Istanbul Stock Exchange. Aktif successfully closed the second deal on January 27th, 2012 and the third deal on May 2nd, Becoming a Classic, Aktif Bank s pensioner loan portfolio with 0% NPL ratio will be securitized on September 28th, 2012 at the nominal amount of TRL 294,000,000. With this brand new instrument, Investors... Securities Maturity Nominal (TRL) VDMK_69 Days ,206,270 VDMK_160 Days ,593,890 3,890 VDMK_251 Days ,055,764 5,764 VDMK_342 Days ,665,920 VDMK_524 Days ,220,926 VDMK_615 Days ,990,286 VDMK_802 Days ,074,433 Total 191,807,489 Securities Maturity Nominal (TRL) VDMK_369 Days ,200,000 VDMK_548 Days ,350,000 VDMK_671 Days ,250,000 VDMK_820 Days ,750,000 VDMK_884 Days ,500,000 Total 197,650, Top Tier Asset Management Companies, Major Pension Funds and Leading Insurance Companies are among the investors... Securities Maturity Nominal (TRL) VDMK_93 Days ,800,000 VDMK_91 Days ,800,000 VDMK_183 Days ,000,000 VDMK_183 Days ,050,000 VDMK_273 Days ,800,000 VDMK_275 Days ,600,000 VDMK_365 Days ,750,000 VDMK_456 Days ,750,000 VDMK_610 Days ,650,000 VDMK_730 Days ,700,000 VDMK_882 Days ,950,000 VDMK_1.031 Days ,750,000 VDMK_1.153 Days ,000,000 Total 180,000, were introduced AAA rated fixed income securities, regulated by Capital Markets Boards of Turkey and audited by KPMG.... were offered a new capital market instrument at a risk profile equivalent to Turkish Treasury.... invested into high yielding pension loans portfolio with zero NPL ratio.... enjoyed tax advantage.... purchased a commercial paper which is traded at Istanbul Stock Exchange. 3

4 Topics to be Covered Aktif Bank s Track Record in ABS Deals New Transaction Details & Rating Summary (September 2012) Legal Framework of Asset Backed Securities in Turkey Aktif Bank s Payroll-Deductible Loan Portfolio Aktif Bank Latest Facts & Figures 4

5 Fact Sheet / New Transaction UNDERLYING ASSETS STRUCTURE SUMMARY Borrower Profile : State pensioners receiving their salaries from PTT Issuer Originator Underlying Assets Independent Auditor Rating Agency Market Custodian Guarantor Account Holder Bank Rating Date of Issuance Size of Issuance : Aktif Bank 4 No.lu Emek Varlık Finansmanı Fonu : Aktif Investment Bank : Payroll Deductible Loans Granted Through Turkish Post Offices (PTT) : KPMG : JCR (Japan Credit Rating Agency) : IMKB (Istanbul Stock Exchange) : MKK (Central Registry Agency) : Aktif Bank (2% of Nom. Value in the form of Gov t Bond) : State-owned Turkish Bank : AAA : 28/Sep/2012 : 294,000,000 TRL (~USD 160,000,000) Number of Clients/Loans : 36,476 / 39,832 Average Loan Amount : 5,870 TRL Average Age of Borrower : 52 years Initial Average Maturity : 37.9 Months Underlying Loans : Monthly Instalment Based General Purpose Loans Remaining Average : 17.7 Months Maturity NPL Ratio : 0% RISK MITIGATION TOOLS Loan repayment stream is secured by Social Security Institution (SSI), thus, Republic of Turkey. Acting as trustee, PTT automatically deducts the instalment at source, prior to crediting the account of the pensioner. Fund s liquidity is placed with a State-owned bank until ABS maturity. Life insurance is mandatory for all borrowers. The internal yield of the Fund s liquidity reaches at around 1% of the Fund s volume. At each tranche, t-bill is kept as additional collateral at an amount equal to 2% of the ABS s nominal value 5

6 Pricing Details... Asset Backed Securities will be issued on 28th of September, 2012 at a nominal value of 294,000,000 TRL. Securities Days to Maturity Nominal (TRL) Spread 1 VDMK_ ,450,000 Benchmark + 200bps VDMK_ ,000,000 Benchmark + 205bps VDMK_ ,450,000 Benchmark + 210bps VDMK_ ,050,000 Benchmark + 215bps VDMK_ ,950,000 Benchmark + 220bps VDMK_ ,000,000 Benchmark + 225bps VDMK_ ,750,000 Benchmark + 230bps VDMK_ ,350,000 Benchmark + 235bps VDMK_ ,850,000 Benchmark + 240bps VDMK_ ,650,000 Benchmark + 245bps VDMK_ ,008 15,750,000 Benchmark + 250bps VDMK_ ,099 9,900,000 Benchmark + 250bps VDMK_ ,193 8,100,000 Benchmark + 250bps VDMK_ ,284 7,200,000 Benchmark + 250bps VDMK_ ,369 4,550,000 Benchmark + 250bps Total 294,000,000 Floor Pricing: Investors who place their orders will be protected against unexpected decrease of benchmark rates between the order date and price fixing day. Regardless of the benchmark, the minimum offered yields are as follows: #90: 8.80% #370: 9.55% #643: 10.18% #917: 10.75% #1,193: 11.10% #180: 9.15% #462: 9.75% #734: 10.35% #1,008: 10.90% #1,284: 11.30% #278: 9.50% #552: 9.95% #826: 10.60% #1,099: 11.00% #1,369: 11.40% 1 Benchmark T-Bill / Government Bond with similar maturity. 6

7 Rating Summary 7

8 Topics to be Covered Aktif Bank s Track Record in ABS Deals New Transaction Details & Rating Summary (September 2012) Legal Framework of Asset Backed Securities in Turkey Aktif Bank s Payroll-Deductible Loan Portfolio Aktif Bank Latest Facts & Figures 8

9 Background Information on Asset Backed Securities Introduction to Asset Backed Securities (ABS) Asset Backed Securitization refers to the sale of assets, which generate cash flow, from the entity that owns them (Aktif Bank) to another entity (SPV) that has been specifically set up for the purpose, and the issuing of notes by this second entity. These notes, backed by cash flows from the original assets sold to the SPV, are referred to as asset-backed securities (ABS). Assets Subject to Securitization in European Markets (in order by tx size) Residential Mortgage Loans; Consumer/Auto Loans, Credit Cards; Project Finance, Whole-Business, Government Related Etc.; Commercial Mortgage Loans; and Collateralized Debt Obligations; Assets Subject to Securitization in Turkish Banking Sector International credit card receivables; Export receivables; Cheques and travellers cheques remittances; Electronic remittance payments; and Diversified payments in the international financial markets 9

10 Legal Framework of ABS Legal Framework in Turkey Communiqué on Principles Regarding Asset Finance Funds and Asset Backed Securities (Serial: III, No: 35) dated 27/08/2008 and issued by Capital Markets Board of Turkey 1 under the authority provided by Articles 38/C, 39 and the first paragraph of Article 22 of the Capital Market Law dated 28/7/1981, no Definitions in the Communiqué General Clauses Structural Mechanisms 1 Published in the Official Gazette dated 27/08/2008 No:

11 Legal Framework of ABS Definitions Asset Finance Fund (AFF) as the SPV...is a separate property which is formed with the proceeds of ABS issued, in accordance with the principle of fiduciary ownership. AFF must be established within the borders of Turkey. AFF does not have a legal entity and its assets are separate from those of the Founder, Servicer and other originators....relying on the nature of structure, Capital Markets Board of Turkey approved and declared that the ABS can be considered and booked by the investors as a «private sector bond»*. Founders...are banks, leasing and consumer finance institutions, mortgage finance corporations, intermediary institutions that meet the qualifications stated in the Communiqué. Servicers...are Founder or any other institution that possesses the qualifications of a Founder, responsible for the day to day management of the assets in the AFF portfolio. * CMB s official letter dated 23/01/2012 numbered B.02.6.SPK /54 11

12 Legal Framework of ABS General Clauses Independant Audit of AFF and the Servicers The financial statements of the AFF and the activities of the Servicer in accordance with the servicing agreement shall be audited annually by an independent audit company that is authorized by the CMB of Turkey. The independent audit company shall also prepare a semi-annual report, stating that the assets of the AFF remain existent. Custody Services Assets in the AFF portfolio other than receivables and loans shall be kept under custody (Central Registry Agency MKK or another institution defined by AFF Board) according to a custody agreement. Primary Market ABS can be issued at the Istanbul Stock Exchange upon application of the AFF board and approval of the ISE. Secondary Market ABS can be sold and traded at the Istanbul Stock Exchange upon application of the AFF board and approval of the ISE. Eligible Loan Portfolios AFF may comprise receivables arising from consumer loans other than residential mortgage loans, commercial mortgage loans, vehicle loans, project finance loans and business loans given by banks and finance companies. 12

13 Legal Framework of ABS Structural Mechanisms Payment Models to ABS Holders Pass-through: Transferring the cash inflows from the assets in the AFF, after making necessary deductions, to ABS holders. Schedule of payments to ABS holders are determined according to the payment schedule of the assets in the AFF portfolio. Pay-through: Keeping the cash inflows from the assets in the AFF and delaying the payment to ABS holders according to the principals stated in the AFF statue and prospectus. ABS shall be redeemed after all the payments have been made. In case of pay-through management, AFF Board determines the schedule of payments to ABS holders. Flexibility of Asset Classes and Issuances ABS allows for a broad band of flexibility in terms of asset classes being securitized and structures being applied. Maturity, payment schedule, interest type, credit risk profile of the assets, pricing and maturity of the notes issued may be determined by the AFF Board 13

14 Topics to be Covered Aktif Bank s Track Record in ABS Deals New Transaction Details & Rating Summary (September 2012) Legal Framework of Asset Backed Securities in Turkey Aktif Bank s Payroll-Deductible Loan Portfolio Aktif Bank Latest Facts & Figures 14

15 Nature of Payroll-Deductible Pensioner Loans Payroll Services by PTT According to the protocol between PTT and Social Security Institutions (SSI), people under the Republic of Turkey s state public payroll system, on their demand, can get their pensions from over 4,100 PTT workplaces. First pensions of people retired from SSI are paid by PTT. Around two million people are getting paid their payroll through PTT offices. PTT constantly increases its service quality and low cost product range, attracting more people to choose PTT as the payroll agent. By definition, the salary payment stream is under the guarantee of Turkish Government. Launched in July 2010, Aktif Bank extends general purpose loans to pensioners, branded as "Parantez" loan. ~1,200 M TRL loans granted through Post Offices to over 144,000 customers as of As the income stream of the borrowers is secured by the Government and the instalments are deducted at source; the NPL ratio of the loan portfolio is 0%. Basics of "Parantez" loans*: 25,000 TRL max. loan amount. Up to 20 times of the monthly net salary. Payment to Income PTI (Instalment to Salary) Ratio is maximum 70%. Max. tenor is 60 months. Average loan amount is ~6,100 TRL. Average life of the portfolio is 36.1 months. Average age of the borrower is 54. Life insurance is mandatory. Snapshots from Aktif s Loan Portfolio * Aktif Bank shall change the criteria from time to time depending on market conditions 15

16 Securitization Details... Asset Pool as of 16/08/2012 Redemption of Securitized Assets by Quarters / M TRL, (principal + interest) 68M TRL 122M TRL 134M TRL 215M TRL 234M TRL 294 Remaining Average Life: 17.7 months 21,5 32,0 31,5 29,1 27,9 27,0 24,8 19,4 17,9 17,7 15,8 9,9 8,1 7,2 4,2 12Ç413Ç113Ç213Ç313Ç414Ç114Ç214Ç314Ç415Ç115Ç215Ç315Ç416Ç116Ç2 Remaining Portfolio Securitization #3 Securitization #1 Selected Assets Securitization #2 Rated as AAA. Current NPL ratio is 0%. Expected NPL ratio: 0% (Lowest risk profile to be selected under State public payroll system) All loans are monthly equal instalment basis. Initial average life of the portfolio is 37.9 months whereas at the time of issuance, the average life will be 17.7 months only. Average age of borrower is 52. Distribution According to Last Installment Date / M TRL, (principal + interest) Initial Average Life: 37.9 months 0,2 16,5 64,9 107,7 104,

17 Transaction Diagram Pensioner Credit Application 1 3 SPV & ABS approval application Loan Disbursement Notification of loan instalments regarding SPV 7 Transfering funds to Aktif Bank and taking over the assets 4 Set Up of SPV Investors 11 Redemption of ABS 10 Transfer of Loan Instalments SPV 6 Transfer of ABS sales proceeds 9 Pensioner Payments 11 5 ABS Issuance

18 Risks & Risk Mitigants Risk Concerns 1 Commingling and Servicer Risk Delinquency and Liquidity Chargeoffs (default of the borrower) Prepayment & NPL Risk Mitigation Plan All payments from Social Security Institutions will be fall into Fund s Collection Account held at the counters of Post Office. Then the Collection will be transferred to Fund s Time Deposit Account held with State-owned Banks until the maturity date of the ABS. Hence, the liquidity of the Fund, at any time, will not be placed with Aktif Bank in order to remove the commingling risk. The underlying sub-national entity s (SSI) credit and liquidity risk profile is at the same level of Turkish Treasury risk. Thus, the asset quality of the AFF portfolio and the ABS structure have been rated AAA by Japanese Credit Rating Agency (JCR). Borrower default risk due to death is mitigated through compulsory life insurance policy. Employment termination risk is considered as null since the borrowers are at Turkish public payroll system. Aktif Bank extends a liquidity guarantee up to 2% of the total nominal value of the ABSs to be issued by AFF. The guaranteed amount will be deposited in a separate bank in the form of cash or Turkish government bonds and released subsequent to each redeemed tranche. Should a loan is prepaid, Aktif Bank will replenish the asset pool with a new loan having similar characteristics with the prepaid one. 1 Key risk concerns for payroll-deductible lending are received from Fitch review for Latin America cases. 18

19 In Summary "AAA" rated securities issued in accordance with CMB regulations and audited by KPMG. Underlying loan portfolio with 0% NPL ratio. Strong credit quality thanks to government-backed collection structure and instalment deduction at source. High Yield / Low Risk structure bringing the higher return of consumer loans in the form of a commercial paper. Risks attached to voluntary or obligatory (decease of the borrower) prepayments are mitigated through undertaking of loan replenishment and compulsary life insurance. Securities are over collateralized with the liquidity guarantee of Aktif Bank, placed in the form of cash or cash equivalent at the counters of a State-owned Bank in Turkey. Originator has no access to assets and/or collections. Securities are trade at both organized and OTC markets. Also suitable for repo and reverse-repo agreements. Bondholders receive tax advantage compared to term deposit product. 19

20 Topics to be Covered Aktif Bank s Track Record in ABS Deals New Transaction Details & Rating Summary (September 2012) Legal Framework of Asset Backed Securities in Turkey Aktif Bank s Payroll-Deductible Loan Portfolio Aktif Bank Latest Facts & Figures 20

21 An Innovative Bank Scoring "Firsts" in Turkey Within the concept of "New Generation Banking", Aktif Bank targets niches and the innovations in Turkish Banking sector through its three-pillar strategy as "direct banking", "city banking" and "regional banking". From 2007 to 2011, Aktif Bank climbed from 41 st rank to 24 th among Turkish Banks in terms of asset size and became the fastest growing Turkish bank over the last four years. First Direct Bank in Turkey. First Bank to issue Bank Bond. (Since 2009, ~4.8bn TRL worth Bank Bond has been issued and sold). First Bank to issue Asset Backed Securities. Aktif Bank is the first and only bank offering end to end online financial services and products through the Turkish Postal Office (PTT) Inventor of UPT; the cheap money transfer system. (~640,000 transaction amounting 238 M USD since 2010) Inventor of City Banking concept; reaching 10 million people and offering 4 million pre-paid cards in 16 cities/districts. I II III (II-I)/I (III-I)/I TRL Thousands H1 % % Total Assets 66,293 2, ,791, % 4110% Total Loans 45,290 1,677,786 1,622, % 3482% Total Equity 60, , , % 512% NPL % Aktif Bank s Innovations and Products Awarded Internationally in 2011 & 2012 Financial World Innovation Award Aktif Online Innovation in the Distribution of Financial Products Paybefore USA Best Youth/Student/campus Prepaid Program Best Consumer Value in Prepaid Paybefore Europe Most Innovative Prepaid Solution Cards and Payments International Awards - Aktif38 Best Third Party Prepaid Product Retailer Award Best Non-US Based Prepaid Program VRL Financial Awards Aktif38 Best Prepaid Card Product Business Initiative Directions (BID) International Quality Award Vision Awards by LACP MerComm ARC Galaxy Awards «Banking» MerComm ARC - «Annual Reports» Hermes Creative Avards «Annual Report» Payment System Magazine «Payment System» Europe Business Assembly - «Best Enterprise» TRL Thousands H H1 Net Profit 4,699 39,862 40,065 ROA % ** 2.87** ROE % ** 21.71** Rating JCR (*) A(Trk) A+(Trk) Outlook Positive Positive *Long Term Local Rating **Financials as of June have been calculated on annual basis. 21

22 Contacts THANK YOU! Financial Institutions Marketing Department +90 (212) Treasury Marketing Unit +90 (212) Disclaimer After redemption of whole ABS portfolio the remaining balance in the Fund accounts will be transferred to Aktif Bank. Since ABS are kept under record by Capital Markets Board, this does not indicate that the issued ABS is insured by CMB or the State. To re-issue the recorded ABS as a Public Offering, a prospectus and circular under «Communiqué on Principles Regarding Asset Finance Funds and Asset Backed Securities» (Serial: III, No: 35) should be formed and an application should be made to Capital Markets Board. 22