European DataWarehouse. Corporate Presentation October July

Transcription

1 European DataWarehouse Corporate Presentation October July

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. July 2015 European DataWarehouse GmbH 2

3 Content Overview ABS Market Coverage Data Users Products and Services Data Owners and Providers Products and Services July 2015 European DataWarehouse GmbH 3

4 Overview July 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 almost 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: Centralisation Unique data repository for European ABS and loan portfolios Transparency & Accessibility Fast access to data Disaggregated data: relevant information allows a high degree of ABS portfolio transparency Standardisation Standardised definitions of reporting formats for quick and efficient comparison July 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 with ECB and NCB as observers Shareholder Meeting José 17 shareholders Manuel González- Páramo Chairman José Manuel González- Páramo ED Management Pricing Committee with ECB and NCB as observers 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 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 CEO: Markus Schaber ED Management July 2015 European DataWarehouse GmbH 6

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

8 ABS Market Coverage July 2015 European DataWarehouse GmbH 8

9 New ABS Deals in Edwin as of July 2015 Table 1 Latest ABS Deals Uploaded to Edwin with Loan Level Data Deal Name CFHL Atlantes SME Nº 5 Originator Credit Foncier de France Banif Banco Internacional Funchal S.A Amount (in EUR Million) Description French RMBS Portuguese SME European DataWarehouse update: As of 30 th June, a total of 897 ABS deals are stored in Edwin RMBS: a new publicly placed Spanish RMBS uploaded in June Prado 1 together with the first Swedish non-conforming RMBS Bluestep Mortgage Securities No. 3 Sunrise Agos SpA Italian Consumer VCL 21 Emilia SPV S.r.l. Volkswagen Financial Services AG Credito Emiliano SpA - Credem Banca German AUTO ABS Italian RMBS Sunrise Agos SpA Italian Consumer Bluestep Mortgage Securities No. 3 Limited Bluestep Finans AB Swedish NCF RMBS IBL Finance Srl IBL Banca SpA Italian Consumer Asset-Backed European Securitisation Transaction Eleven UG FCA Bank Deutschland GmbH German AUTO ABS Orange Lion ING Belgium SA/NV Dutch RMBS RMBS B.V. Source: European DataWarehouse SME: Banif uploaded the first publicly placed Portuguese SME post-crisis Atlantes SME Nº 5 Auto ABS: Germany has the lion s share of Auto ABS transaction volumes (86.2%) followed by France (12.4%) Consumer Finance ABS: three Italian transactions Sunrise and 2 and IBL Finance Srl are the latest Consumer ABS uploaded to Edwin CMBS is starting to gain traction: three new CMBS transactions were uploaded in Q2 and more are expected later in 2015 as market activity picks up In Q various newly launched ABS transactions have been using the marketing flag (for more details see slide 31) To view the full list of new ABS deals in Edwin please refer to the following link: July 2015 European DataWarehouse GmbH 9

10 Dataset Composition as of July 2015 ED Loan Outstanding Volume 2 (Bn) as of 26 June 2015 The advances made by the ED in the coverage of transactions and countries are quite impressive, in our view. As far as we can tell ED is covering a substantial part of the European securitisation market, well above the representative sample mark in statistical terms. Bank of America Merrill Lynch Research Report June CMBS Credit Card Leasing Consumer Auto ABS SME RMBS Table 2 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 Breakdown by Vintages (no. of deals) CMBS Credit Card Leasing Consumer Auto ABS SME RMBS Source: European DataWarehouse 1 Upload of loan level data has discontinued, typically given bond redemptions Source: European DataWarehouse 2 Sum of current balances. The currency depends on the relevant underlying assets. Austria, Sweden, Norway and Finland are not included in the chart July 2015 European DataWarehouse GmbH 10

11 Number of Deals and Loans as of July 2015 RMBS SME Auto 897 ABS Deals Total Spain Netherlands Italy Portugal Ireland France UK Belgium Germany Sweden Total Spain Italy Portugal France Netherlands Germany Belgium Total Germany France Spain Italy UK Norway Netherlands Finland Austria Portugal 41 mn loans or loan parts * ,289 3,365 1,443 2,041 1,533 1,555 Total 12.5 mn Netherlands France Spain Italy UK Belgium Portugal Germany Ireland Sweden Total 1.3 mn Spain Italy Belgium France Portugal Netherlands Germany ,029 1,920 Total 8.0 mn Germany France UK Italy Spain Norway Netherlands Portugal Finland Austria *All amounts in 000s (k) with the exception of CMBS transactions. The loan count calculation is based on the total number of loans reported for each transaction in Edwin to date July 2015 European DataWarehouse GmbH 11

12 Number of Deals and Loans as of July 2015 Consumer Leasing Credit Card CMBS 897 ABS Deals Italy France Spain Germany Netherlands Italy Germany Spain Portugal France UK Spain Italy Ireland France Germany Portugal Total 48 Total 28 Total 5 Total 4 41 mn loans or loan parts * ,608 6,972 3,932 Total 13.1 mn Italy Spain France Germany Netherlands Portugal Total 295 k Italy Germany Spain Portugal 2, ,995 Total 5.9 mn UK France Spain Total 9 Italy Ireland France Germany *All amounts in 000s (k) with the exception of CMBS transactions. The loan count calculation is based on the total number of loans reported for each transaction in Edwin to date July 2015 European DataWarehouse GmbH 12

13 ECB Scoring Matrix Transition Table ABS loan level data uploaded into ED is automatically validated for compliance with the ECB taxonomy. A data completeness score is generated and assigned to each ABS loan level data submission according to the ECB Scoring Matrix (see below). The score is based on the first four No Data Options Table 4 ECB Scoring Matrix ECB Scoring matrix ND 2, ND 3 or ND 4 Source: ECB website ND 1 fields 0 10% 30% > 30% 0 A1 B1 C1 D1 20% A2 B2 C2 D2 40% A3 B3 C3 D3 > 40% A4 B4 C4 D4 Table 3 No Data Option Descriptions No Data Option ND 1 ND 2 ND 3 ND 4 Source: ECB website Explanation Data not collected as not required by the underwriting criteria Data collected at application but not loaded in the reporting system at completion Data collected at application but loaded in a separate system from the reporting one Data collected but will only be available from YYYY-MM Table 5 ECB Scoring Transition Table for Deals Created until H (649 ABS) Scoring as of June 2014 Scoring as of June 2015 A1 A2 B1 B2 B3 Total 2014 A1 68.2% 0.5% 0.5% % A2 7.4% 20.4% - 0.1% % B1 0.5% - 0.1% % B2 0.8% 0.9% - 0.5% - 2.2% B3-0.2% % Total 2015 Source: European DataWarehouse Calculations 76.9% 21.9% 0.6% 0.6% % Table 5 exhibits the transition of the ECB scoring for the ABS active transactions between June 2014 and June 2015 An overall improvement has been observed in the data completeness in Edwin across asset classes and jurisdictions The percentage of transactions with A1 score increased from 69.1% to 76.9% during the one year period review. Also A2 scoring ABS deals decreased from 27.9% to 21.9% July 2015 European DataWarehouse GmbH 13

14 Current Customer Distribution 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 Lithuania 1% Portugal 1% Spain 2% Greece 1% Belgium 1% Luxembourg 1% Finland 1% Italy 4% France 4% Ireland 4% Data User Customer Base UK 35% Investment Banks / Brokers 10% Edwin Data User Institutions Market Data and Analytical Vendors 4% Rating Agencies 3% Consultants 2% 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 Netherlands 10% Germany 12% Ireland 4% Spain 8% Portugal 8% Luxembourg 1% Belgium 4% UK 9% Norway 0% Austria 0% Sweden 0% US 23% Data Owner and Provider Customer Base Italy 35% Others 15% Hedge Funds 9% Banks 22% Investors by Category Insurers 6% Investors 66% Netherlands 9% Germany 9% France 13% Fund Managers 63% July 2015 European DataWarehouse GmbH 14

15 Data Users Products and Services July 2015 European DataWarehouse GmbH 15

16 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 Advanced 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 July 2015 European DataWarehouse GmbH 16

17 New Access Interface: ED Cloud Solution 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 template Ability to compare deal statistics with other deals and benchmarks July 2015 European DataWarehouse GmbH 17

18 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 July 2015 European DataWarehouse GmbH 18

19 ED Cloud Access Options * Version 1.0 * Excel Front End supports Microsoft Excel versions 2010 and above on PCs (Windows) July 2015 European DataWarehouse GmbH 19

20 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 July 2015 European DataWarehouse GmbH 20

21 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) July 2015 European DataWarehouse GmbH 21

22 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 July 2015 European DataWarehouse GmbH 22

23 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 July 2015 European DataWarehouse GmbH 23

24 Excel Front End Transition Sheet View Account Status Transitions between any two submissions for the selected deal July 2015 European DataWarehouse GmbH 24

25 Excel Front End Deal Comparison Sheet 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 taxonomy July 2015 European DataWarehouse GmbH 25

26 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 July 2015 European DataWarehouse GmbH 26

27 ED Cloud Future Developments Upcoming asset classes Excel front end will be further enhanced with the inclusion of other asset classes starting with SME ABS and then expanded to Auto Loan ABS, Consumer Finance and Leasing in the second half of 2015 New Cloud versions Please note that all Excel Front End software enhancements for the RMBS interface will be carried out automatically with a simple notification on your current RMBS Excel Front End version 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 July 2015 European DataWarehouse GmbH 27

28 EDplus Premium Service EDplus Premium Service 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 July 2015 European DataWarehouse GmbH 28

29 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 July 2015 European DataWarehouse GmbH 29

30 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 Calculate Clear 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 Refresh List Pool Identifier (AR2) Latest Interest Payment Date(BR27) TRANSACTION DATA Avg Constant Pre-payment Rate (BR13) SME - Portfolio Trigger Measurements/Ratios Stratification(BR12) Calculate Clear Pool Cut-off Date (AR1) Report Date (BR1) Bond issue date (BR39) Drawings under Liquidity Facility (BR5) PARTICIPANTS Excess Spread Amount (BR11) Issuer (BR2) Ending Reserve Account Balance (BR3) Refresh List Originator (AR5) Target Reserve Account Balance (BR4) REPORTING DATA TRANSACTION DATA Pool Identifier (AS2) PORTFOLIO SUMMARY Auto ABS - Average Portfolio Constant Stratification Pre-payment Rate (BS13) Calculate Clear Latest Interest Payment Date(BS27) Trigger Measurements/Ratios (BS12) SUMMARY Curr.Balance LOAN SIZE Pool Cut-off Date (AS1) Avg Cur. Balance OLTV (AR135) Weighted Avg OLTV CLTV (AR141) Drawings under Liquidity Facility (BS5) Weighted Avg CLTV Orig.Balance Report Date (BS1) Avg Cur. Bal / Borrower Min OLTV Excess Spread Amount (BS11) Min CLTV Refresh List Instructions to use this template are at the bottom of the page. Bond issue Max date Current (BS39) Balance Max OLTV Max CLTVEnding Reserve Account Balance (BS3) REPORTING DATA Number of Borrowers Avg Original Balance Pool Identifier (AA2) PARTICIPANTS Target Reserve Account Balance (BS4) 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 No. of Loans / Loan Parts Weighted Avg Interest Rate Issuer (BS2) Max Original Balance Latest Principal Payment Date (BAA28) Any filters on the other sheets (Bonds, Collateral, etc) are ignored. Originator (AS4) Pool Cut-Off Date (AA1) SEASONING / MATURITY PRIMARY INCOME (AR26) Report Date (BAA1) TRANSACTION DATA Weighted Avg Seasoning (Months) Avg Income Bond Issue Date (BAA39) Min Income REPORTING PORTFOLIO DATA SUMMARY Annualised Constant Prepayment Rate (BAA13) Instructions Weighted Avg Original Term to Maturity (Months) to use this template are at the bottom of the page. Refresh List PARTICIPANTS Trigger Measurements/Ratios (BAA12) Max Original Term to Maturity (Months) Max Income Pool Identifier (AN2) (Months) SUMMARY Issuer (BAA2) LOAN / LOAN SIZE PART CONCENTRATION Latest Interest (BY CURRENT Payment Date BALANCE) (BN27) Drawings under Liquidity Facility (BAA5) SEASONING / MATURITY Originator (AA6) 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 Weighted Avg Remaining Term to Maturity Max Remaining Term to Maturity (Months) Curr.Balance (AS55) Largest Avg Loan 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 Cut-Off Date (AN1) Orig.Balance (AS56) Top 10 Loans Pool Avg Cur. Bal / Borrower Top 20 Loans ## Weighted Avg Original PORTFOLIO Term to SUMMARY Maturity (Months) ## Date (BN1) Report Min Origination Date TRANSACTION DATA Number of Borrowers Loans Max Current Balance Max Original Term to Maturity (Months) Bond issue date (BN39) Max Origination Date Top 50 ## Annualised Constant Prepayment Rate (BN13) No. of Loans / Loan Parts SUMMARY Avg Original Balance LOAN SIZE Weighted Avg Remaining Term to Maturity ORIGINAL (Months) LOAN TO VALUE (AA35) PRIMARY INCOME (AA17) PARTICIPANTS REPORTING DATA Trigger Measurements/Ratios (BN12) Instructions to use this template are at the bottom of the page. Weighted Avg Int. Rate Current Principal Avg Orig Principal Average OLTV Avg Income Outstanding Max Balance Original (AA27) BalanceIssuer (BN2) Pool Identifier (AL2) Outstanding Max Remaining Bal Term to Maturity (Months) Weighted Drawings under Liquidity Facility (BN5) Note : You can apply filters on the Leases worksheet to calculate strats on the filtered data. 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. Original Principal Number of Borrowers Avg Curr Principal Max Income Loans Top 10 Date Outstanding Bal Latest Principal Payment Date (BL28) Outstanding Bal Min Origination Max OLTV Number of Loans Max Curr Principal Top 20 Loans Avg Curr. Prin. Out. Max Bal. per Origination BorrowerPool Date Cut-Off Date (AL1) TRANSACTION DATA PORTFOLIO SUMMARY WA Interest Rate (AA40) WA Discount Rate (AA43) Top 50 Loans Avg Orig. Prin. Out. Bal. per Borrower Report Date (BL1) LOAN Annualised Constant Prepayment Rate (BL13) SUMMARY 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) LOAN CONCENTRATION (BY CURRENT BALANCE) PARTICIPANTS Drawings under Liquidity Facility (BL5) Original Principal Balance (AN25) Max Orig Principal Outstanding Bal Min Income Issuer (BL2) Weighted Avg Seasoning (Months) Max Maturity Date Largest Loan Total Receivables Sold to SPV (BL15) Number of Borrowers Avg Curr Principal Outstanding Bal Max Income Servicer Name (AL3) Weighted Avg Original Term to Maturity (Months) Min Origination Date Top 10 Loans Cumulative Gross Defaults - Pool (BL16) Number of Loans Max Curr Principal Outstanding Bal Originator (AL6) Max Original Term to Maturity (Months) Max Origination Date Top 20 Loans Cumulative Recoveries - Pool (BL17) Weighted Avg Interest Rate (AN32) Avg Curr. Prin. Out. Bal. per Borrower Weighted Avg Remaining Term to Maturity (Months) Top 50 Loans Avg Orig. Prin. Out. Bal. per Borrower 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 July 2015 European DataWarehouse GmbH 30

31 Data Owners and Providers Products and Services July 2015 European DataWarehouse GmbH 31

32 Data Owner or Provider Product Matrix Alternative channels for Data Upload into Edwin Format CSV / Excel XML Activity Level Constant multiple files per month Toolkit API Occasional Toolkit Edwin 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 July 2015 European DataWarehouse GmbH 32

33 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 July 2015 European DataWarehouse GmbH 33

34 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 July 2015 European DataWarehouse GmbH 34

35 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 July 2015 European DataWarehouse GmbH 35

36 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: July 2015 European DataWarehouse GmbH 36