Upload
phamtu
View
216
Download
0
Embed Size (px)
Citation preview
▪ In 2015, 2016 and 2017 an average of 17, 18 and 18 LLD files
have been uploaded on a daily basis respectively
▪ 1125 deals are stored in ED database (EDwin)
• 715 are outstanding and 410 have been redeemed or
amortised
▪ 59 million loans or loan parts and 14 million data points for
properties are stored in EDwin
Key ED Figures as of September 2017
September 2017 European DataWarehouse GmbH 2
Number of ABS transactions, loans or loan parts and properties
Average daily updates
▪ There are more than eighteen thousand LLD
submissions stored in EDwin with 16 LLD submissions per
transaction on average
▪ For transactions issued in 2015 and 2016, the average
number of LLD submissions is equal to 14 and 7 respectively
Asset Class ActiveRedeemed or
Amortised1 Total
RMBS 458 176 634
Auto ABS 107 81 188
SME 69 99 168
Consumer 55 27 82
Leasing 17 22 39
Credit Card 9 - 9
CMBS - 5 5
Total 715 410 1125
Table 1 Basic statistics of EDwin database, breakdown by asset class
Number of
loans2
Number of
borrowers3
14.48 10.75
12.03 11.08
1.64 1.17
22.54 20.11
0.50 0.34
7.62 5.67
12 124
58.81 49.12
1 Upload of loan level data has
discontinued, typically given bond
redemptions2 All amounts in mn with the exception of
CMBS figures3 All amounts in mn with the exception of
CMBS figures4 Number of loan sponsors
Number of loan level data (LLD) submissions
0
50
100
150
200
250
300
350
ED Loan Outstanding Volume2 (Bn)LES
CRE
CMR
AUTO
CMBS
SME
RMBS
September 2017 European DataWarehouse GmbH 3
Dataset Composition as of September 2017
2 Sum of Current Balances. The currency depends on the relevant underlying assets. Austria,
Sweden, Norway, Finland and Luxembourg are not included in the chartSource: European DataWarehouse
0
20
40
60
80
100
120
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
Breakdown by Vintages (no. of deals)
SME
RMBS
LES
CRE
CMR
CMBS
AUTO
Source: European DataWarehouse1 Austria, Sweden, Norway, Finland and Luxembourg are not included in the chartSource: European DataWarehouse
Source: European DataWarehouse
02468
1012141618
2016
2017
2016
2017
2016
2017
2016
2017
2016
2017
2016
2017
2016
2017
2016
2017
2016
2016
2016
2016
1 2 3 4 5 6 7 8 9 10 11 12
Monthly Deal Creation (no. of deals)
Credit Card
Leasing
Consumer
Auto ABS
SME
RMBS0
50
100
150
200
250
300
ED ABS Transactions¹ (no. of deals)CMBS
CRE
LES
CMR
SME
AUTO
RMBS
1125 ABS Deals and 59 mn Loans as of September 2017
September 2017 European DataWarehouse GmbH 4
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)
A total of 634 RMBS Deals & 14.5 mn loans or loan parts RMBS
200
145
130
38
32
32
29
20
7
1
Spain
Netherlands
Italy
Portugal
France
UK
Ireland
Belgium
Germany
Sweden
Total Deals 634
4,077
2,421
1,8381,692 1,469 1,339
714597
328
5
Total Loans 14.5 mn
1125 ABS Deals and 59 mn Loans as of September 2017
September 2017 European DataWarehouse GmbH 5
New Deals in EDwin* & Updates RMBS
Deal name Data Owner CountryPool Cut-
off DateLoans & Borrowers
CLTV (%) OLTV (%) Borrower
Concentration
(%)
Interest Rate -
AR109** Seasoning / Maturity
(months)
Bond Class
NameIssue Date Currency ISIN
Reference
RateAR141** AR135** (%)
CIVITAS
SPV SRL
BPC
CIVITAS 3 -
RMBS
BANCA
POPOLARE
DI CIVIDALE
S.C.P.A.
Italy 2017-07-12
Total Loans 3,059 Min 1.15 Min 4.27 Largest 0.72 Min 0.17W.Avg
Seasoning38.08 Series 2017-1-A1 2017-07-19 EUR IT0005276529
3M
EURIBOR
Active Loans 3,059 W.Avg 63.15 W.Avg 71.83 Top 10 3.44 Max 7W.Avg
RTM231.29 Series 2017-1-A2 2017-07-19 EUR IT0005276537
3M
EURIBOR
Distinct
Borrowers3,003 Top 20 4.75 W.Avg 2.42 Max RTM 375 Series 2017-1-B 2017-07-19 EUR IT0005276545 Other
Series 2017-1-C 2017-07-19 EUR IT0005276552 Other
2017
Popolare
Bari RMBS
Srl
BANCA
POPOLARE
DI BARI
S.C.P.A.
Italy 2017-04-30
Total Loans 9,506 Min 0.11 Min 1.09 Largest 0.28 Min 0W.Avg
Seasoning44.94 Classe A 2017-07-31 EUR IT0005276958
3M
EURIBOR
Active Loans 9,506 Max Max 100 Top 10 1.34 Max 7.3W.Avg
RTM 211.58Classe B 2017-07-31 EUR IT0005276966
3M
EURIBOR
Distinct
Borrowers9,353 W.Avg 52.01 W.Avg 58.8 Top 20 2.2 W.Avg 2.73
Max RTM 368
Classe J1 2017-07-31 EUR IT00052769743M
EURIBOR
Charter
Mortgage
Funding
2017-1
Charter
Court
Financial
Services
UK 2017-07-31
Total Loans 1,724 Min 5.8 Min 7 Largest 0.32 Min 2.69W.Avg
Seasoning11.32 A 2017-07-31 EUR XS1639772224 3M LIBOR
Active Loans 1,713 Max 84.84 Max 86 Top 10 2.4 Max 6.54W.Avg
RTM 296.88B 2017-07-31 EUR XS1639772570 3M LIBOR
Distinct
Borrowers1,713 W.Avg 69.47 W.Avg 70.95 Top 20 4.04 W.Avg 4.3
Max RTM 418C 2017-07-31 EUR XS1639773115 3M LIBOR
****RTM: Remaining Term to Maturity
*New deals in EDwin refers to the transactions created and uploaded within the last two months
**Further information on AR109 (Current Interest Rate), AR135 (Original Loan to Value) and AR141 (Current Loan to Value) can be found on the European Central Bank website:
https://www.ecb.europa.eu/paym/coll/loanlevel/transmission/html/index.en.html
***W.Avg: Weighted Average
1125 ABS Deals and 59 mn Loans as of September 2017
September 2017 European DataWarehouse GmbH 6
A total of 188 Auto ABS Deals & 12 mn loans or loan parts Auto ABS
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)
6,108
2,514
1,058 920 911226
128 7664 23
Total Loans 12 mn104
22
17
13
13
5
5
4
4
1
Germany
France
Spain
UK
Italy
Norway
Netherla…
Finland
Portugal
Austria
Total Deals 188
1125 ABS Deals and 59 mn Loans as of September 2017
September 2017 European DataWarehouse GmbH 7
A total of 168 SME Deals & 1.64 mn loans or loan parts SME
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)
546
372315
248
8345 31
2
Total Loans 1.64 mn
87
45
12
9
6
4
4
1
Spain
Italy
France
Portugal
Germany
Belgium
Netherlands
Luxembourg
Total Deals 168
1125 ABS Deals and 59 mn Loans as of September 2017
September 2017 European DataWarehouse GmbH 8
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)
A total of 82 Consumer Deals & 22.54 mn loans or loan parts
10,879
7,116
3,656
650197 47
Total Loans 22.54 mn
38
17
16
6
4
1
Italy
France
Spain
Germany
Netherlands
Portugal
Total Deals 82
Consumer
1125 ABS Deals and 59 mn Loans as of September 2017
September 2017 European DataWarehouse GmbH 9
*New deals in EDwin refers to the transactions created and uploaded within the last two months
New Deals in EDwin* & Updates
***W.Avg: Weighted Average
****RTM: Remaining Term to Maturity
**Further information on AN32 (Current Interest Rate) can be found on the European Central Bank website: https://www.ecb.europa.eu/paym/coll/loanlevel/transmission/html/index.en.html
Consumer
Deal nameData
OwnerCountry
Pool Cut-off
DateLoans & Borrowers
Borrower
Concentration (%)
Interest Rate - AN32**
(%)
Seasoning / Maturity
(months)
Bond Class
NameIssue Date Currency ISIN
Reference
Rate
Legal
Maturity
Interest
Payment
Frequency
Aurorus
2017 B.V.
Qander
Consumer
Finance
B.V.
Netherlands 2017-06-30
Total Loans 83,596 Largest 0.02 Min 0W.Avg
Seasoning69.55
Class A
notes2017-08-14 EUR XS1648457700
1M
EURIBOR2077-08-14 Monthly
Active
Loans83,350 Top 10 0.23 Max 16 W.Avg RTM 128.4
Class B
notes2017-08-14 EUR XS1648457882
1M
EURIBOR2077-08-14 Monthly
Distinct
Borrowers76,419 Top 20 0.46 W.Avg 8.83
Class C
notes2017-08-14 EUR XS1648457965
1M
EURIBOR2077-08-14 Monthly
Class D
notes2017-08-14 EUR XS1648458005
1M
EURIBOR2077-08-14 Monthly
Class E
notes2017-08-14 EUR XS1648458260
1M
EURIBOR2077-08-14 Monthly
Class F
notes2017-08-14 EUR XS1648458427
1M
EURIBOR2077-08-14 Monthly
Class G
notes2017-08-14 EUR XS1648458773
1M
EURIBOR2077-08-14 Monthly
1125 ABS Deals and 59 mn Loans as of September 2017
September 2017 European DataWarehouse GmbH 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) with the exception of CMBS figures
1
1
1
1
1
Italy
France
Multi Country
Germany
Ireland
Total Deals 5
3
2
3
2
1 1
Total Loans 12364
8642
4
Italy Germany Spain Portugal
Total Loans 496k
3,967
2,361
1,166
124
France UK Spain Ireland
Total Loans 7.6 mn
28
7
3
1
Italy
Germany
Spain
Portugal
Total Deals 39
39 Deals & 497k Loans 9 Deals & 7.6 mn Loans 5 Deals & 12 LoansLeasing CMBS
4
3
1
1
France
Spain
UK
Ireland Total Deals 9
Credit Card
NPLs present in the RMBS Loan Level Data
Cumulative number of loans Defaulted and 90 Days in Arrears for RMBS up to the Pool Cut Off Date of 31st March 2017
September 2017 European DataWarehouse GmbH 11
Source: ED DataNote:
▪ Account Status of Default is according to the European Central Bank (ECB) taxonomy:
- when “Account Status” (AR166) is indicated as “Default or Foreclosure (3)”
▪ 90 Days in Arrears is according to the European Central Bank (ECB) taxonomy:
- when “Number Months in Arrears” (AR170) is greater than or equal to 3
RMBS
TotalAccount Status
of Default or 90 Days in Arrears
Account Status
of Default
Country Deals Loans Borrowers Loans Borrowers Loans
ES 200 1,837,730 127,876 130,743 73,534 75,079
NL 143 4,077,054 46,650 82,579 25,858 40,161
IT 127 1,691,961 129,775 126,942 66,315 64,347
PT 38 597,094 34,297 48,199 19,548 26,682
FR 30 2,420,952 30,382 31,619 6,057 6,526
UK 30 1,338,966 48,276 55,737 3,727 4,147
IE 28 328,115 54,218 57,658 11,933 11,049
BE 20 1,468,762 18,295 22,181 9,307 10,818
Total 616 13,760,634 489,769 555,658 216,279 238,809
NPLs present in the SME Loan Level Data
Cumulative number of loans Defaulted and 90 Days in Arrears for SME up to the Pool Cut Off Date of 31st March 2017
September 2017 European DataWarehouse GmbH 12
Source: ED Data
Note:
▪ Account Status of Default is according to the European Central Bank (ECB) taxonomy:
- when "Default or Foreclosure on the loan per the transaction definition" (AS121) is indicated as "Y"
▪ 90 Days in Arrears is according to the European Central Bank (ECB) taxonomy:
- when "Number of Days in Interest Arrears" (AS116) or "Number of Days in Principal Arrears" (AS118) is greater than or equal to 90
SME
TotalAccount Status
of Default or 90 Days in Arrears
Account Status
of Default
Country Deals Loans Borrowers Loans Borrowers Loans
ES 87 545,924 62,930 69,531 50,021 55,870
IT 46 314,700 47,054 55,354 27,250 32,258
FR 12 372,070 2,784 5,525 165 274
PT 9 83,310 8,719 9,569 7,270 8,060
BE 5 247,848 7,384 11,213 5,200 8,215
NL 4 31,436 2,736 3,650 2,691 3,591
Total 163 1,595,288 131,607 154,842 92,597 108,268
Contact Details
September 2017 European DataWarehouse GmbH 13
Corporate Address:
European DataWarehouse GmbH
Walther-von-Cronberg Platz 2
60594 Frankfurt am Main
GermanyEuropean Transparency Register ID Number: 781559916266-15
+49 (0) 69 50986 9017
www.eurodw.eu
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.
Disclaimer