European DataWarehouse

Transcription

1 European DataWarehouse Due Corporate Diligence Presentation using ED Cloud October Pro 2014 Webinar November 2016

2 Draft European Framework for Simple, Transparent and Standardised Securitisation (STS) Proposed Due Diligence Requirements for Institutional Investors under Article 3 Section 3: Institutional investors that are exposed to a securitisation shall at least: a) establish written procedures commensurate with the risk profile of the securitisation position, and appropriate to their trading and non-trading book where relevant, to monitor compliance with paragraphs 1 and 2 and the performance of the securitisation position and the underlying exposures on an ongoing basis.. Where appropriate, those written procedures shall include monitoring of the exposure type, the percentage of loans more than 30, 60 and 90 days past due, default rates, prepayment rates, loans in foreclosure, recovery rates, repurchases, loan modifications, payment holidays, collateral type and occupancy, and frequency distribution of credit scores or other measures of credit worthiness across underlying exposures, industry and geographical diversification, frequency distribution of loan to value ratios with band widths that facilitate adequate sensitivity analysis. Where the underlying exposures are themselves securitisations, institutional investors shall also monitor the exposures underlying those securitisations; b) regularly perform stress tests on the cash flows and collateral values supporting the underlying exposures that are commensurate with the nature, scale and complexity of the risk of the securitisation position; c) ensure that there is an adequate level of internal reporting to their management body so that they are aware of the material risk arising from the securitisation positions and that the risks from those investments are adequately managed; d) be able to demonstrate, upon request, to their competent authorities that for each of their securitisation positions they have a comprehensive and thorough understanding of the position and its underlying exposures and that they have implemented written policies and procedures for their risk management and recording of the relevant information November 2016 European DataWarehouse GmbH 2

3 Mapping of Existing EU Provisions for ABS Sector Legal text(s) Subject Banking Regulation 575/2013/EU (Capital Requirements Regulation) Commission Delegated Regulation 2015/62 ("LCR Delegated Act) Commission Delegated Regulation 625/2014 Commission Implementing Regulation 602/2014 Definitions Disclosure Due diligence Liquidity Prudential treatment Risk retention Insurance Directive 2009/138/EC (Solvency II) Commission Delegated Regulation 2015/35 (Solvency II Delegated Act) Definitions Disclosure Due diligence Eligibility criteria Prudential treatment Risk retention Asset Management Directive 2011/61/EU (AIFMD) Commission Delegated Regulation 231/2013 (AIFM Regulation) Due diligence Risk retention November 2016 European DataWarehouse GmbH 3

4 Article 53 on Qualitative Requirements Concerning AIFMs Exposed to Securitisations Qualitative requirements concerning Alternative Investments Fund Managers (AIFMs) exposed to securitisations 1. Before becoming exposed to the credit risk of a securitisation on behalf of one or more AIFs, and as appropriate thereafter, AIFMs shall be able to demonstrate to the competent authorities for each of their individual securitisation positions that they have a comprehensive and thorough understanding of those positions and have implemented formal policies and procedures appropriate to the risk profile of the relevant AIF s investments in securitised positions for analysing and recording: (b) the risk characteristics of the individual securitisation position; (c) the risk characteristics of the exposures underlying the securitisation position; 2. Where an AIFM has assumed exposure to a material value of the credit risk of a securitisation on behalf of one or more AIFs, it shall regularly perform stress tests appropriate to such securitisation positions in accordance with point (b) of Article 15(3) of Directive 2011/61/EU. The stress test shall be commensurate with the nature, scale and complexity of the risk inherent in the securitisation positions Alternative Investments Fund Managers (AIFMs) need to perform adequate due diligence before investing in securitisations. This includes the characteristics of the individual securitisation positions (Art. 53, 1b) together with the risk characteristics of the exposures underlying the securitisation position (Art. 53, 1b). In terms of the information required for the investors to assess the risks for the securitisation positions, Article 52 (e)* and (f)** of the AIFMR, the AIFM needs to ensure before investing that the sponsor or originator grants ready access to all relevant information to manage the risks on an ongoing basis. * (e) grant readily available access to all materially relevant data on the credit quality and performance of the individual underlying exposures, cash flows and collateral supporting a securitisation exposure and such information that is necessary to conduct comprehensive and well informed stress tests on the cash flows and collateral values supporting the underlying exposures. For that purpose, materially relevant data shall be determined as at the date of the securitisation and where appropriate due to the nature of the securitisation thereafter; November 2016 European DataWarehouse GmbH 4

5 Due Diligence Requirements under Article 406 of the Capital Requirements Regulation Before becoming exposed to the risks of a securitisation, and as appropriate thereafter, institutions shall be able to demonstrate to the competent authorities for each of their individual securitisation positions, that they have a comprehensive and thorough understanding of and have implemented formal policies and procedures appropriate to their trading book and non-trading book and commensurate with the risk profile of their investments in securitised positions for analysing and recording: the information disclosed under Article 405 CRR, by originators, sponsors or original lenders to specify the net economic interest that they maintain, on an ongoing basis, in the securitisation; the risk characteristics of the individual securitisation position; the risk characteristics of the exposures underlying the securitisation position. Where relevant, these shall include: a) the exposure type; b) the percentage of loans more than 30, 60 and 90 days past due (arrears), default rates, prepayment rates, loans in foreclosure; c) collateral type and occupancy, and frequency distribution of credit scores or other measures of credit worthiness across underlying exposures; d) industry and geographical diversification; e) frequency distribution of loan to value ratios with band widths that facilitate adequate sensitivity analysis; f) where the underlying exposures are themselves securitisation positions, institutions shall have the information set out in this subparagraph not only on the underlying securitisation tranches, such as the issuer name and credit quality, but also on the characteristics and performance of the pools underlying those securitisation tranches. November 2016 European DataWarehouse GmbH 5

6 Indicative Key Fields for Due Diligence in the ECB RMBS Template CRR DUE DILIGENCE REQUIREMENTS RELATED TO ECB RMBS TEMPLATE FIELDS CRR REQUIREMENT RMBS TAXONOMY RELATED FIELDS (examples) Exposure type Purpose (AR59), Property type (AR131) Percentage of loans in arrears Account Status (AR166), Arrears Balance (AR169), Number of Months in Arrears (AR170) Default rates Account Status (AR166), Default or Foreclosure (AR177), Date of Default or Foreclosure (AR178) Prepayment rates Average Constant Prepayment Rate (BR13) Loans in foreclosure Account Status (AR166), Default or Foreclosure (AR177), Date of Default or Foreclosure (AR178), Sale Price Lower Limit (AR179), Loss on Sale (AR180), Cumulative Recoveries (AR181) Collateral type and occupancy Occupancy Type (AR130), Property Type (AR131), Property Ranking (AR134), Original Valuation Type (AR137), Current Valuation Type (AR144) Measures of credit worthiness LTV ratio Borrower Type (AR15), Borrower Credit Quality (AR17), Borrower s Employment Status (AR21), Primary Income (AR26), Income Verification (AR27) Original LTV (AR135), Current LTV (AR141), Valuation Amount (AR136), Valuation Date (AR138), Current Valuation Amount (AR143), Current Valuation Date (AR145) Industry and Geographical diversification Geographic Region List (AR128), Property Postcode (AR129) November 2016 European DataWarehouse GmbH 6

7 Relevance of Loan Level Data Compared to Investor Reports Generally there are for most European deals two sources to analyse the risk characteristics of the exposures underlying the securitisation position: Monthly/Quarterly investor reports Monthly/Quarterly loan level data Draft STS Article 3:..demonstrate a comprehensive and thorough understanding of the position and its underlying exposures Investor Reports Investor reports in Europe are not standardized, hence not all investor reports might have all information readily available and not easily comparable Completeness of IR information Data No Data Number of loans 85% 15% Current Balance of loans in Arrears 85% 15% Number of loans in Arrears 75% 25% WA Interest Rate 66% 34% WA Current Loan to Value 63% 37% WA Remaining Term to Maturity 61% 39% Default Amount 59% 41% Defaulted loans 54% 46% Arrears Balance 53% 47% WA Seasoning 41% 59% Loan level data is standardized given Europe-wide ECB templates Mandatory data fields ensure a high level of coverage of relevant fields Loan Level Data ED Cloud Pro can complement the analysis of relevant parameters in a fast and efficient way Analysis of 655 European transactions show that many investor reports have vital information missing November 2016 European DataWarehouse GmbH 7

8 Home Section Home Section displays the entire universe of ED Loan Level Data All major ABS deals at your fingertips: RMBS SME Auto Consumer Leasing Quick search or filter for deals by: Deal Name Asset Class ISIN Issuer Bloomberg Ticker ED Code PCD Vintage Country Document (IR, Prospectus) Select any row / cell and click on View Deal button to view the selected deal s summary Key statistics at a glance: Total Deals in Edwin Total Loans in Edwin New Deals (from 2016) November 2016 European DataWarehouse GmbH 8

9 Deal Section Deal Section shows detailed deal information and transaction history Data Owner Data Provider Ability to navigate between different submissions (Pool Cut-Off Dates) Toggle switch to include / exclude outlier values from averages and weighted averages Ability to download the Bond Level Data (latest and historical) View detailed deal information per submission Bond Level Information Bond Class Original Balance Legal Maturity Current Coupon Deal Level Information Loan Size / Current Balance / Original Balance Borrower Concentration OLTV / CLTV Seasoning Performance Information Performing, Arrears, Default, Redeemed Delinquency Information Months in Arrears Benchmarks (scatter plot of all deals) Deal History Create alerts for key parameters notification when an alert is triggered November 2016 European DataWarehouse GmbH 9

10 Deal Section - CPR Information The period prepayment rate is shown on the Bond information section Prior period can be selected using the navigation arrows Toggle switch to include / exclude outlier values from averages and weighted averages May 2013 Aug November 2016 European DataWarehouse GmbH 10

11 Deal Section Benchmark Chart Ability to benchmark between different parameters by: Country Vintage Issuer November 2016 European DataWarehouse GmbH 11

12 Deal Section - Loans in Defaults Possibility of visualising the number of loans in default per submission in terms of absolute number and in % of current balance November 2016 European DataWarehouse GmbH 12

13 History Section History Section provides a detailed transaction history of the deal View historical performance statistics across all the submissions of the chosen deal Ability to filter and select specific parameters such as: Account Status / Months in Arrears Account Status Performing Arrears Default Redeemed By Loans or % C. Balance View Performance and Delinquency history View historical information, across submissions, for data fields of your choice, such as Primary Income Original Loan to Value Current Loan to Value Interest Rate Type Date of Loan Maturity View Account Status Transition matrix November 2016 European DataWarehouse GmbH 13

14 History Section Transition Matrix Previous submission Current submission With the transition Matrix, you can see how the account status of the securitised loans has changed between two submissions The reference period of the submissions can be customised The visualisation can be obtained by number of loans or % of current balance November 2016 European DataWarehouse GmbH 14

15 Strats Section Strats Section displays various stratification tables with ability to slice and dice based on several parameters Ability to view aggregates and stratification tables for up to 10 selections Comparison of deals by series, issuer, vintage and country Comparison of external loan level data with ED data Ability to slice any table by several parameters, such as: Account Status Months in Arrears CLTV Ability to visualise time series & evolution of data fields Quick visualisation of stratification tables using Excel charts November 2016 European DataWarehouse GmbH 15

16 Strats Section Comparison (1) Comparison of deals by Series Issuer Vintage Country November 2016 European DataWarehouse GmbH 16

17 Strats Section Comparison (2) Country Vintage Issuer Deal Compare up to 10 selections within the cloud e.g Country Vintage Issuer Deal November 2016 European DataWarehouse GmbH 17

18 Strats Section Comparison with Filters (3) Customisable parameters to slice any table by: Account Status Months in Arrears Interest Rate Type Current Loan to Value Borrower s Employment Status November 2016 European DataWarehouse GmbH 18

19 APPENDIX November 2016 European DataWarehouse GmbH 19

20 Solvency II FAQs and Loan Level Data Reconciliation Requirements Homogeneous eligible underlying exposures Solvency II High-Quality Securitisations General Requirements Description Homogeneity in the type of underlying exposures increases soundness, simplicity and transparency. All underlying exposures must belong to only one of the following types: - Residential loans: first-ranking mortgage and/or fully guaranteed residential loans with on average a loan-to-value ratio lower than or equal to 80% or a maximum loanto-income ratio not higher than 45%; - Loans, leases and credit facilities to undertakings, in particular SMEs, provided that at least 80% of the borrowers in the pool in terms of amount are small and medium-sized enterprises at the time of issuance of the securitisation; - Auto loans or leases, with a first-ranking charge or security over the vehicle or an appropriate guarantee in favour of the securitisation special purpose vehicle; - Consumer loans and credit card receivables: loans and credit facilities to individuals for personal, family or household consumption purposes. RMBS related fields (example) Primary Income (AR26), Purpose (AR59), Amount Guaranteed (AR63), Lien (AR84), Original LTV (AR135), Current LTV (AR141), Valuation Amount (AR136), Valuation Date (AR138), Current Valuation Amount (AR143), Current Valuation Date (AR145) Absence of creditimpaired obligors The underlying exposures must not include exposures to credit-impaired obligors, both from a backward-looking (e.g. the obligor has declared bankruptcy) and a forward-looking perspective (e.g. the obligor has a credit assessment by an external credit assessment institution or has a credit score indicating a significant risk that contractually agreed payments will not be made). Borrower Identifier (AR7), Borrower Type (AR15), Borrower Credit Quality (AR17) Borrower s Employment Status (AR21) Income Verification (AR27,AR29), Arrears Balance (AR169), Number of Months in Arrears (AR170), Arrears 1 and 2 Months Ago (AR171, AR172) Absence of loans in default At the time of issuance of the securitisation or when incorporated in the pool of underlying exposures at any time after issuance, the underlying exposures must not include exposures in default. Account Status (AR166), Default or Foreclosure (AR177), Date of Default or Foreclosure (AR178) November 2016 European DataWarehouse GmbH 20

21 Indicative Key Fields for Due Diligence in the ECB Templates CRR DUE DILIGENCE REQUIREMENTS AND RELATED RMBS/SME TEMPLATE FIELDS CRR REQUIREMENT RMBS TAXONOMY RELATED FIELDS (examples) SME TAXONOMY RELATED FIELD (examples) Exposure type Purpose (AR59), Property type (AR131) Asset Type (A25), Seniority (AS26) Percentage of loans in arrears Default rates Account Status (AR166), Arrears Balance (AR169), Number of Months in Arrears (AR170) Account Status (AR166), Default or Foreclosure (AR177), Date of Default or Foreclosure (AR178) Interest Arrears Amount (AS115), Number of Days in Interest Arrears (AS116), Principal Arrears Amount (AS117), Number of Days in Principal Arrears (AS118) Default or Foreclosure on the loan per the transaction definition (AS121), Default or Foreclosure on the loan per Basel III definition (AS122), Default Date (AS124), Default Amount (AS125) Prepayment rates Average Constant Prepayment Rate (BR13) Average Constant Prepayment Rate (BS13) Loans in foreclosure Account Status (AR166), Default or Foreclosure (AR177), Date of Default or Foreclosure (AR178), Sale Price Lower Limit (AR179), Loss on Sale (AR180), Cumulative Recoveries (AR181) Default or Foreclosure on the loan per the transaction definition (AS121), Default or Foreclosure on the loan per Basel III definition (AS122), Default Date (AS124), Default Amount (AS125) Collateral type and occupancy Occupancy Type (AR130), Property Type (AR131), Property Ranking (AR134), Original Valuation Type (AR137), Current Valuation Type (AR144) Security Type (CS3), Collateral value (CS4), Collateralisation Ratio (CS5), Collateral Type (CS6), Original Valuation Amount (CS10) Measures of credit worthiness LTV ratio Industry and Geographical diversification Borrower Type (AR15), Borrower Credit Quality (AR17), Borrower s Employment Status (AR21), Primary Income (AR26) Income Verification (AR27) Original LTV (AR135), Current LTV (AR141), Valuation Amount (AR136), Valuation Date (AR138), Current Valuation Amount (AR143), Current Valuation Date (AR145) Geographic Region List (AR128), Property Postcode (AR129) Bank Internal Rating (AS30), Other Public Rating (AS36), Bank Internal Loss Given Default (LGD) Estimate (AS37) Collateral value (CS4) S&P Industry Code (AS39), Moody s Industry Code (AS40), Fitch Industry Code (AS41), NACE Industry Code (AS42), Other Industry Code (AS43), Country (AS15), Postcode (AS16), Geographic Region (AS17) November 2016 European DataWarehouse GmbH 21

22 Key Due Diligence Fields (1) AR 166 Account Status AR 170 Months in Arrears AR 131 Property Type November 2016 European DataWarehouse GmbH 22

23 Key Due Diligence Fields (2) AR 21 Borrower s Employment Status AR 26 Primary Income November 2016 European DataWarehouse GmbH 23

24 Key Due Diligence Fields (3) AR Post Code AR135 - OLTV AR141 - CLTV November 2016 European DataWarehouse GmbH 24

25 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. November 2016 European DataWarehouse GmbH 25