European DataWarehouse
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1 European DataWarehouse Corporate Presentation October 204 ABS Market Coverage July 207
2 Key ED Figures as of July 207 Number of ABS transactions, loans or loan parts and properties 6 deals are stored in ED database (EDwin) 720 are outstanding and 396 have been redeemed or amortised 57 million loans or loan parts and 4 million data points for properties are stored in EDwin Number of loan level data (LLD) submissions There are more than eighteen thousand LLD submissions stored in EDwin with 6 LLD submissions per transaction on average For transactions issued in 205 and 206, the average number of LLD submissions is equal to 4 and 7 respectively Average daily updates In 205, 206 and 207 an average of 7, 8 and 8 LLD files have been uploaded on a daily basis respectively Table Basic statistics of EDwin database, breakdown by asset class Asset Class Redeemed or Amortised Total Auto ABS SME Consumer Leasing Credit Card 7-7 CMBS Total Number of loans 2 Number of borrowers Upload of loan level data has discontinued, typically given bond redemptions 2 All amounts in mn with the exception of CMBS figures 3 All amounts in mn with the exception of CMBS figures 4 Number of loan sponsors July 207 European DataWarehouse GmbH 2
3 Dataset Composition as of July 207 ED ABS Transactions¹ (no. of deals) Monthly Deal Creation (no. of deals) CMBS CRE LES CMR SME AUTO Austria, Sweden, Norway, Finland and Luxembourg are not included in the chart Source: European DataWarehouse Source: European DataWarehouse ED Loan Outstanding Volume 2 (Bn) LES CRE CMR AUTO CMBS SME Breakdown by Vintages (no. of deals) SME LES CRE CMR CMBS AUTO Credit Card Leasing Consumer Auto ABS SME 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 July 207 European DataWarehouse GmbH 3
4 6 ABS Deals and 57 mn as of July 207 A total of 630 Deals & 4.5 mn loans or loan parts Spain 200 4,26 Total 4.5 mn Netherlands Italy Portugal ,406,847,680,467,347 France United Ireland Total Deals Belgium 20 Germany 7 Sweden 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) July 207 European DataWarehouse GmbH 4
5 6 ABS Deals and 57 mn as of July 207 New Deals in EDwin* & Updates Deal name Data Owner Country Pool Cutoff Date STORM Obvion N.V. Netherlands II B.V. & Interest Rate - CLTV (%) OLTV (%) Borrower AR09** Concentration (%) AR4** AR35** (%) Total 20,042 Min 0.68 Min 4.89 Largest 0.06 Min ,042 Max 33.6 Max 8.99 Top Max 6.5 9,494 W. 8.7 W Top W. / Maturity (months) RTM Bond Class Name Issue Date Currency ISIN Class A EUR XS Class B EUR XS Max RTM 48 Class C EUR XS Class D EUR XS Class E EUR XS Reference Rate BPCE HOME LOANS FCT 207_5 Total 99,658 Min 0.2 Min 0.54 Largest 0.0 Min ,658 Max 7.49 Max 23.7 Top 0 0. Max 2.35 BPCE France ,329 W W Top W Class A EUR FR Fixed Rate RTM Max RTM 332 Total 5,247 Min 0.95 Min 8.03 Largest 0. Min Class A EUR XS Essence VII B.V. NIBC Bank N.V. Netherlands ,247 Max Max 7.54 Top Max 6.95 RTM Class B EUR XS ,39 W W Top 20.6 W.A vg 3.27 Max RTM 360 Class C EUR XS *New deals in EDwin refers to the transactions created and uploaded within the last two months **Further information on AR09 (Current Interest Rate), AR35 (Original Loan to Value) and AR4 (Current Loan to Value) can be found on the European Central Bank website: ***: Weighted Average ****RTM: Remaining Term to Maturity July 207 European DataWarehouse GmbH 5
6 6 ABS Deals and 57 mn as of July 207 Deal name Data Owner Country Green STORM 207 B.V. Pool Cutoff Date Obvion N.V. Netherlands & New Deals in EDwin* & Updates Interest Rate - CLTV (%) OLTV (%) Borrower AR09** Concentration (%) AR4** AR35** (%) Total 5,689 Min 0.92 Min 5.83 Largest 0.5 Min 0.8 5,689 Max 30. Max 6.33 Top 0.3 Max 6.5 2,560 W Top W. / Maturity (months) RTM Bond Class Name Issue Date Currency ISIN Class A EUR XS Class B EUR XS Max RTM 45 Class C EUR XS Class D EUR XS Class E EUR XS Reference Rate PMF 207-B Charter Court Financial Services UK Total,23 Min 9 Min 9 Largest 0.57 Min 3.25,23 Max 82 Max 82 Top Max 5.29,23 W Top W.A vg RTM 7.8 Class A GBP XS LIBOR Class B GBP XS LIBOR 3.85 Max RTM 48 Class C GBP XS LIBOR Class D GBP XS LIBOR Class E GBP XS LIBOR Class Z GBP XS LIBOR Penates-6 Belfius Bank Belgium Total 74,83 Min 0.34 Min 3.57 Largest 0.03 Min ,83 Max 99.2 Max 20 Top Max ,887 W Top W. RTM 3.55 Class A EUR BE Class A EUR BE Max RTM 344 Class B EUR BE M M M *New deals in EDwin refers to the transactions created and uploaded within the last two months **Further information on AR09 (Current Interest Rate), AR35 (Original Loan to Value) and AR4 (Current Loan to Value) can be found on the European Central Bank website: ***: Weighted Average ****RTM: Remaining Term to Maturity July 207 European DataWarehouse GmbH 6
7 6 ABS Deals and 57 mn as of July 207 Auto ABS A total of 87 Auto ABS Deals & 2 mn loans or loan parts Germany France ,08 Total 2 mn Spain 7 United 3 Italy 3 2,54 Norway Netherla Finland Total Deals 87, Portugal 4 Austria 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) July 207 European DataWarehouse GmbH 7
8 6 ABS Deals and 57 mn as of July 207 Auto ABS Deal name Data Owner Silver Arrow S.A. Compartme nt 8 Mercedes- Benz Bank AG Country Pool Cut-off Date Germany New Deals in EDwin* & Updates Borrower Interest Rate - / Maturity Bond Class Reference Legal & Concentration AA40** Issue Date Currency ISIN (months) Name Rate (%) (%) Maturity Total 60,366 Largest 0.03 Min months Class A EUR AUTDE month Interest Payment Frequency Monthly 60,366 Top Max 0 RTM 34.4 months Class B EUR AUTDE Fixed Rate Monthly 56,692 Top W. OLTV 79.9% A-Best Fifteen S.R.L. FCA Bank S.p.A Italy Total 93,295 Largest 0.04 Min 0 7. months Class A EUR IT Fixed Rate Monthly 93,295 Top Max 7.5 RTM 48.7 months Class B EUR IT Fixed Rate Monthly 92,689 Top W. OLTV 82.9 % Class C EUR IT Fixed Rate Monthly Class D EUR IT Fixed Rate Monthly Class E EUR IT Fixed Rate Monthly Class M EUR IT Fixed Rate Monthly Class M EUR IT Fixed Rate Monthly Bavarian Sky S.A. 6 BMW Bank GmbH Germany Total 4,577 Largest 0.2 Min months Class A EUR XS month Monthly 4,577 Top Max 0.5 RTM 34.6 months Class B EUR XS Fixed Rate Monthly 40,848 Top W. OLTV 83.2 % SC SANTANDE Germany R Auto 207- CONSUMER UG BANK AG Germany Total 52,666 Largest 0.02 Min months Class A EUR XS month Monthly 52,666 Top Max RTM 48.7 months Class B EUR XS Fixed Rate Monthly 52,583 Top W. OLTV 94.0% *New deals in EDwin refers to the transactions created and uploaded within the last two months **Further information on AA40 (Current Interest or Discount Rate) can be found on the European Central Bank website: ***: Weighted Average ****RTM: Remaining Term to Maturity July 207 European DataWarehouse GmbH 8
9 6 ABS Deals and 57 mn as of July 207 SME A total of 68 SME Deals &.59 mn loans or loan parts Spain Italy Total.59 mn France Portugal Germany Belgium 4 6 Total Deals Netherlands 4 Luxembourg 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) July 207 European DataWarehouse GmbH 9
10 6 ABS Deals and 57 mn as of July 207 Consumer A total of 8 Consumer Deals & 2.87 mn loans or loan parts Italy France ,728 6,766 Total 2.87 mn Spain 6 3,548 Germany Netherlands 3 6 Total Deals Portugal 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) July 207 European DataWarehouse GmbH 0
11 6 ABS Deals and 57 mn as of July 207 Consumer New Deals in EDwin* & Updates Deal name Data Owner Country Pool Cut-off Date & Borrower Concentration (%) Interest Rate - AN32** (%) / Maturity (months) Bond Class Name Issue Date Currency ISIN Reference Rate Legal Maturity Interest Payment Frequency Ginkgo Sales Finances 207- Credit Agricole Consumer Finance France Total 26,380 Largest 0.02 Min Class A EUR FR ,380 Top Max 3.0 RTM 68.2 Class B EUR FR month month ,430 Top Max RTM 79 Class C EUR FR Fixed Rate Monthly Monthly Monthly *New deals in EDwin refers to the transactions created and uploaded within the last two months **Further information on AN32 (Current Interest Rate) can be found on the European Central Bank website: ***: Weighted Average ****RTM: Remaining Term to Maturity July 207 European DataWarehouse GmbH
12 6 ABS Deals and 57 mn as of July 207 Leasing 38 Deals & 484k Credit Card 7 Deals & 7 mn CMBS 5 Deals & 2 Italy 28 France 3 Italy Germany 6 Spain 2 France Multi Country Spain Portugal 3 Total Deals 38 United Kingdom Ireland Total Deals 7 Germany Ireland Total Deals Total 484k 3,460 Total 7 mn 3 3 Total 2 2, Italy Germany Spain Portugal France UK Spain Ireland 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 July 207 European DataWarehouse GmbH 2
13 6 ABS Deals and 57 mn as of July 207 Leasing New Deals in EDwin* & Updates Deal name Data Owner Asset Class Country Pool Cut-off Date Bond Class Name Issue Date Currency ISIN Reference Rate IM GBP LEASING 3 InterMoney Titulización SGFT SA Leasing Spain Legal Maturity Interest Payment Frequency Class A EUR ES M Monthly Class B EUR ES M Monthly *New deals in Edwin refers to the transactions created and uploaded within the last two months July 207 European DataWarehouse GmbH 3
14 NPLs present in the ABS Loan Level Data Cumulative defaulted loans for and SME as of 3 st March 207 SME Country ES 73,508 75,033 49,098 54,866 IT 66,323 64,355 26,762 3,76 PT 9,578 26,73 7,5 7,804 FR 6,087 6, IE,954, NL 25,756 40,093 2,673 3,566 BE 9,327 0,833 5,006 7,909 UK 3,745 4, Total 26, ,809 90,88 06,057 Country deals SME deals ES IT NL 42 4 PT 38 9 IE 28 - UK 3 - FR 3 2 BE 20 4 Total 68 6 Source: ED Data Note: A residential mortgage loan is defaulted according to the European Central Bank (ECB) template when Account Status (AR66) is indicated as Default or Foreclosure (3) in the relevant list. This should be consistent with the definition in the relevant transaction documentation. A loan to small and medium-sized enterprises is defaulted according to the ECB ABS SME template when the Default or Foreclosure on the loan per the transaction definition (AS2) is Yes. July 207 European DataWarehouse GmbH 4
15 Contact Details Corporate Address: European DataWarehouse GmbH Walther-von-Cronberg Platz Frankfurt am Main Germany European Transparency Register ID Number: (0) enquiries@eurodw.eu Disclaimer 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. July 207 European DataWarehouse GmbH 5
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