european datawarehouse - eurodw.eu · 10.50 requisitos para titulizaciones sts bajo el reglamento...

Corporate Presentation – October 2014

European DataWarehouse

Madrid Workshop | Tuesday, 24th April 2018

Agenda

10.00 Registro y desayuno

10.30 Javier Agudo, Jefe de Gabinete de Presidencia, Instituto de Crédito Oficial (ICO)

“Titulizaciones como instrumento de apoyo financiero del ICO a la Pyme”

10.50 Requisitos para titulizaciones STS bajo el Reglamento 2017/2402 – José Manuel Cuenca, Partner, Clifford Chance

11.15 European DataWarehouse

Actualidad del mercado de titulización español y europeo

Data Quality Score

ESMA Draft STS Templates

Data Usability

12.05 Panel de discusión: Nuevo marco regulatorio de titulización (STS)

José Manuel Cuenca, Partner, Clifford Chance (Moderador)

Javier Eiriz, General Manager, Europea de Titulización

Julio Soto, Director – Structured Finance, Banco Caminos

Sergio Sierra, Head of Securitisation and Investor Relations, ICO

12.55 Christian Thun, CEO, European DataWarehouse

13.10 Clausura y cierre

April 2018 2European DataWarehouse GmbH

April 2018 European DataWarehouse GmbH 3

Javier Agudo

Jefe de Gabinete de Presidencia

Instituto de Crédito Oficial


José Manuel Cuenca

Partner

Clifford Chance

JOSÉ MANUEL CUENCA

24 DE ABRIL DE 2018

el Reglamento 2017/2402 sobre titulizaciones simples, transparentes y normalizadas (STS) y otras normas generales

EUROPEAN DATAWAREHOUSE - WORKSHOP

Historia

• Marco general para la titulización

• Marco específico para titulizaciones STS

Contenidos

Desarrollo normativo posterior

EL REGLAMENTO 2017/2040 ("RSTS")

6EL REGLAMENTO 2017/2402 SOBRE TITULIZACIONES SIMPLES, TRANSPARENTES Y NORMALIZADAS (STS) Y OTRAS NORMAS GENERALES

Definiciones

Localización de SSPEs fuera de la UE

Prohibición de retitulización

Obligación de retención

Prohibición de selección adversa

RSTS: MARCO GENERAL PARA LA TITULIZACIÓN (I)


Requisitos de venta a minoristas

Due diligence por inversores institucionales

Deberes de información de originadores/sponsors

Registros de Titulización

RSTS: MARCO GENERAL PARA LA TITULIZACIÓN (II)


• requisitos de simplicidad

• requisitos de transparencia

• requisitos de estandarización

Titulizaciones no ABCP

Operaciones ABCP

Notificacion STS

RSTS: MARCO ESPECÍFICO PARA TITULIZACIÓN STS


Clifford Chance, Paseo de la Castellana 110, 28046 Madrid, Spain

© Clifford Chance 2018

Clifford Chance S.L.P.

WWW.CLIFFORDCHANCE.COM



Actualidad del mercado de titulización español y europeo

▪ 1,182 deals are stored in ED database (EDwin)

• 681 are outstanding and 501 have been redeemed or

amortised

▪ 112 million loans or loan parts including data for 18 million

properties are stored in EDwin

Key ED Figures as of April 2018


Number of ABS transactions, loans or loan parts and properties

Asset

ClassActive Inactive1 Total

RMB 437 222 659

AUT 96 105 201

SME 63 111 174

CMR 59 32 91

LES 16 25 41

CRE 10 1 11

CMB - 5 5

Total 681 501 1,182

Table 1 Basic statistics of EDwin database, breakdown by asset class

Total number of

loans2

Spanish number

of loans3

22.27 2.31

6.55 1.18

24.78 1.81

40.31 16.41

0.64 0.06

17.6 3.59

124 -

112.15 25.35

1 Upload of loan level data has stopped, typically due to bond redemptions2 based on all LLD submissions (numbers in Millions)3 based on all LLD submissions (numbers in Millions)4 Number of loan sponsors in whole numbers

▪ 338 deals are stored in ED database (EDwin)

• 204 are outstanding and 134 have been redeemed or

amortised

▪ 25 million loans or loan parts including data for 3 million

properties are stored in EDwin

Number of ABS transactions, loans or loan parts and properties

Active SpainInactive

Spain1 Total Spain

152 54 206

10 8 16

26 64 90

11 6 17

2 1 3

3 1 4

- - -

204 134 338

Deal Creation 2015 - 2018


-

5,000

10,000

15,000

20,000

25,000

30,000

35,000

40,000

45,000

50,000

0

5

10

15

20

25

30

35

Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1

2015 2016 2017 2018

Other Jurisdictions - Number of deals Spain - Number of deals

Other Jurisdictions - Original deal size (EUR mn) Spain - Original deal size (EUR mn)


Data Quality Score


Data Quality Scores (DQS): Concept Recap

DQS1

✓ Automated score based on hard failed rules – subset of all our rules

✓ Objective and common approach for all deals, jurisdictions and asset classes

✓ Based on the following formula: σ(𝐹𝑓)

𝑛×𝑀𝐹

Where:

𝑛 is the total number of loans for each relevant field (loans & collateral for SME)

𝐹𝑓 represents a field that failed a rule

𝑀𝐹 represents number of mandatory fields per each asset class

DQS2

✓ Score based on the open findings flagged in the Data Quality Tracking System (DQTS)

✓ High, medium and low priority findings

✓ Clarifications are excluded

✓ Optional fields are excluded

✓ Investor Report findings are excluded (except for PCD mismatch)

DQS2 ScoreMax. number of

findings

A 0

B 2

C 5

D 8

E 11

F ∞

DQS1

ScoreMin. Fail Ratio

Max. Fail

RatioRatio

A 0.0000% 0.0001% Up until 1 in a million

B 0.0001% 0.005% Up until 5 in 100k

C 0.005% 0.1% Up until 1 in a thousand

D 0.1% 1% Up until 1 in a hundred

E 1% 4% Up until 4 in a hundred

F 4% 100% > 4 in a hundred

DQS1 Score Distribution


The scale matrix which translates fail ratios into scores is the same for all jurisdictions and asset classes.

0%

5%

10%

15%

20%

25%

30%

35%

40%

A B C D E F

Spain vs. Other Jurisdictions

Spain Other Jurisdictions

DQS1 Score SpainOther

Jurisdictions

A 31% 26%

B 36% 31%

C 24% 23%

D 9% 11%

E 0% 9%

F 0% 1%

Total 100% 100%

DQS1 Score History


0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

0.70%

0.80%

0.90%

0

50

100

150

200

250

2014-Q1 2014-Q2 2014-Q3 2014-Q4 2015-Q1 2015-Q2 2015-Q3 2015-Q4 2016-Q1 2016-Q2 2016-Q3 2016-Q4 2017-Q1 2017-Q2 2017-Q3 2017-Q4 2018-Q1

Fail

Rat

io

Nu

mb

er o

f D

eals

Fail Ratio Evolution - Spain Number of Deals AverageFail Ratio

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

2014-Q1 2014-Q2 2014-Q3 2014-Q4 2015-Q1 2015-Q2 2015-Q3 2015-Q4 2016-Q1 2016-Q2 2016-Q3 2016-Q4 2017-Q1 2017-Q2 2017-Q3 2017-Q4 2018-Q1

DQS1 Score Distribution F E D C B A

DQS2 Score Distribution


The scale matrix which translates fail ratios into scores is the same for all jurisdictions and asset classes.

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

A B C D E F

Spain vs. Other Jurisdictions

Spain Other Jurisdictions

DQS2

ScoreSpain

Other

Jurisdictions

A 15% 25%

B 36% 33%

C 39% 23%

D 9% 13%

E 0% 3%

F 1% 3%

Total 100% 100%

DQ Development October 2017 – April 2018


0

50

100

150

200

250

300

Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18

Spain

Tickets Created Tickets closed Cumulative Tickets Created Cumulative Tickets Closed

0

200

400

600

800

1000

1200

1400

1600

Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18

Other Jurisdictions

Tickets Created Tickets closed Cumulative Tickets Created Cumulative Tickets Closed


ESMA Consultation Technical Standards –Feedback

ED Survey DO-DPs

ESMA Consultation Technical Standards - Feedback


- Consultation on disclosure and operational standards published by ESMA (19 December 2017)

- 21 entities provided feedback by 19 March 2018

- Aggregated below levels of agreement / disagreement with the enquired topics

ED Survey (I) – Data Owners / Data Providers (Mar ‘18)


ED Survey (II) – Data Owners / Data Providers (Mar ‘18)


ED Survey (III) – Data Owners / Data Providers (Mar ‘18)


ED Survey (IV) – Data Owners / Data Providers (Mar ‘18)



ESMA Draft STS Templates

Regulation Timeline: Where Are We Now?

April 2018 27

European Commission legislative proposal

November 26th

2014

Political deal on new Regulation

May 30th 2017

Publication in the Official

Journal

December 28th

2017

Entry into force of the

Regulation

January 17th

2018

ESMA Consultation on Securitisation

Repository

1st semester 2018

Application of the STS

Regulation

January 2019

Technical Standards shall be submitted to

the Commission

Before January 18th

2019

We are here

Level 1 of the ProcessLevel 2 of the Process

A new Securitisation Regulation (EU) 2017/2402 was published on 28th December 2017 in the European Union Official

Journal. It will apply in January 2019.

The Simple, Transparent and Standardised (STS) securitisation Regulation introduces new reporting requirements. The

following disclosure obligations must be made available in a securitisation repository:

• Loan Level Data templates across ABS asset classes

• Standardised Investor Reports for all ABS

• Additional ABS documentation

European DataWarehouse GmbH

April 2018 28

DISCLOSURE

REQUIREMENTS

under

Securitisation

Regulation EU

2017/2402*

TRANSACTION DOCUMENTATIONSTANDARDISED INVESTOR

REPORTS

UNDERLYING EXPOSURES

TEMPLATES

ESMA has published a consultation paper on a new set of disclosure requirements as part of the Level 2 of the Securitisation

Regulation. The consultation includes the elements summarised below:

* The full text of Level 1 of the regulation is available at http://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32017R2401

Information to be Reported


ESMA Proposed Originator Reporting Requirements

April 2018 29

* Asset-Backed Commercial Paper

Source: Consultation Paper on page 16 – Draft technical standards on disclosure requirements, operational standards, and access conditions under the

Securitisation Regulation, December 2017

Loan and borrower details

Collateral details

Tenant details (CMBS only)

Loan and borrower details

Collateral details

Securitisation details

Tranche/bond details

Counterparty details

Account details

Tests/Events/Triggers details

Cash-flow details

Issuer collateral details (synthetic

only)

Protection details (synthetic only)

Other details

Programme details

Tranche/bond details

Counterparty details

Account details

Tests/Events/Triggers details

Other details

Non-ABCP securitisation

(ABS)

ABCP* securitisationCategory

Underlying

exposures

information

Investor report

information


Gap Analysis of the ECB vs. draft ESMA Templates


Comparison between the ECB RMBS Template and the draft ESMA RMBS Template


ECB RMBS TEMPLATE DRAFT ESMA RMBS TEMPLATE

55 Mandatory fields

97 Mandatory fields

23 optional become mandatory

50 mandatory fields remain

▪ 18 fields have changed

definition

▪ 2 old fields merged into 1

new field

• 5 fields have changed

definition

Including 24 New

fields

5 mandatory eliminated

79 optional eliminated

102 Optional fields

ED Internal calculations excluding bond fields

Analysis for other asset classes can be found under Annexes 4.1 to 4.4

Examples of New Fields and Optional Fields Becoming Mandatory


• Primary Income Type (RESL7)

• Geographic Region Classification (RESL53)

New technically required fields

• Loss Given Default Estimate (RESL92)

• Energy Performance Information (RESL59 & RESL60)

• Originator‘s Legal Entity Identifier (RESL55)

New additional content fields

• Additional Guarantee Information (AR80, AR81, AR82 and AR84)

• Prepayment Fields (AR98 to AR101)

• Payment Holiday (AR92)

Optional Fields Becoming Mandatory

Examples of Eliminated Mandatory Fields and Changes of Definitions


• Repayment Method (AR69)

• Arrears 1 and 2 Months Ago (AR171 & AR172)

• Property Postcode (AR129)

Eliminated Mandatory Fields

• Current Interest Rate Index (AR108 & RESL38)

• Current Loan to Value (AR141 & RESL65)

• Account Status (AR166 & RESL73)

Mandatory Fields Changing Definition

• Prior Balances (AR80, AR81 & RESL32)

• Length of Payment Holiday (AR92 & RESL36)

Optional Fields Changing Definition

Gap Analysis of the ECB vs. draft ESMA Templates

• ED can provide a gap analysis based on the current ECB ABS templates in comparison with the draft ESMA templates published during the recent consultation in December 2017

• The gap analysis has been carried out on an asset class by asset class basis (RMBS, SME, Auto ABS, Consumer ABS, Leasing ABS, etc.)

• The analysis highlights among other things:

New fields proposed from ESMA

Amended fields in terms of definitions and lists

Fields eliminated from the ECB ABS templates

• For any requests, please contact ED at [email protected]


mailto:[email protected]

No Data Options

April 2018 35

New ESMA draft no data proposed options:

Current ECB no data options:

Source: Consultation Paper on page 41 – Draft technical standards on disclosure requirements, operational standards, and access conditions under the Securitisation Regulation, December 2017


Legal Entity Identifier (LEI) Reporting

• As part of the new proposed ESMA disclosure requirements under the Securitisation Regulation, the Legal Entity Identifier (LEI) is used to identify all legal entities specified in the securitisation.

• Therefore, as per the new draft ESMA Investor Report template the LEI of all the relevant counterparties involved in a transaction should be reported.



Data Usability

Comprehensive Data Just One Click Away


Analysts | Investors | Researchers

✓ Web application that provides users access to rich, seamless loan &

bond level data, in an easy, convenient and interactive way

✓ Designed specifically for:

Analysts:

Make smart and accurate data driven decisions. Create a

compelling story based on in-depth analysis backed by interactive

visualisations. Gain a comprehensive 360-degree view

Investors:

Instantly look up information from both Investor Report Data &

Loan Level Data side-by-side. Always stay on top of your portfolio

and generate monitoring reports with a click of a button

Researchers:

Gain unparalleled Insights into the European Credit Market.

Harness the power of ~ 1 billion loan data records across Europe

edvance.eurodw.eu

https://edvance.eurodw.eu/

EDvance & EDvance Premium


EDvance Premium

Loan Level Data

(EDvance Basic functions)

Investor Reports (IR) library

ED Adjusted Values

Constant Default Rate (CDR) Calculations

Deal Summary with IR extracted

information

IR vs LLD Reconciliation

EDvance

Loan Level Data (LLD)

✓ Deal Search

✓ Deal Summary

✓ Deal History

✓ Deal Benchmarks

✓ Strats tables & multi-comparisons

✓ Monitoring Reports

✓ My portfolio

✓ LLD Analyser

✓ Download LLD files

✓ Deal Commentaries

✓ Geo strats

✓ Contact Analyst


Panel de discusión: Nuevo marco regulatorio de titulización (STS)

▪ José Manuel Cuenca, Partner, Clifford Chance (Moderador)

▪ Javier Eiriz, General Manager, Europea de Titulización

▪ Julio Soto, Director – Structured Finance, Banco Caminos

▪ Sergio Sierra, Head of Securitisation and Investor Relations, ICO


Christian Thun

CEO


Documentation Repository


Inclusion of the documents (in various formats such as PDF, CSV, Excel) related to:

➢ Prospectus / Offering Circular including supplements

➢ Transaction summary

➢ Investor reports and ECBC Harmonised Transparency Template

➢ Terms for the various emissions

➢ Cover pool details

Data User Access


➢ By creating a covered bond and updating the relevant information, an issuer can guarantee access to the following

users:

• 6 Rating agencies

• 160 Investors

• 13 Consultants

• 10 Investment banks

• 4 Data vendors

➢ Alternatively, the issuer has the option to enable access only to selected users in the European DataWarehouse private

area

➢ The information related to the Covered Bond transaction can be updated on a regular basis

ED Aims to Become the First Securitisation Repository under the Regulation

April 2018 44

▪ According to Article 7 (2) of Regulation (EU) 2017/2402,

“the originator, sponsor and securitisation special purpose

entity (SSPE) shall make the information for a securitisation

transaction available by means of a securitisation repository”

▪ All securitisation repositories seeking to be designated will be

supervised by ESMA


ANNEXES


Annex 1: Overview of EBA and ESMA Consultations

Current Consultations:

ESMA draft RTS on the application for registration as a securitisation repository under the Securitisation Regulation (Deadline 23rd May

2018) – draft RTS on the contents of the application to be submitted to ESMA by firms seeking to provide repository services to originators,

sponsors, and/or SSPEs. It also outlines the format of this application.

ESMA technical advice to the Commission on fees for securitisation repositories under the Securitisation Regulation (Deadline 23rd May

2018) – proposed technical advice on supervisory fees for securitisation repositories that will be registered and supervised by ESMA

Past Consultations:

ESMA draft RTS third-party firms providing STS verification services (Deadline 19th March 2018) – ESMA follows its mandate to develop draft

RTS specifying the information to be provided to the competent authorities by companies applying for the authorisation to become a third party

securitisation verification service.

ESMA draft RTS/ITS on disclosure requirements, operational standards, and access conditions (article 7, 10, and 17 mandate) (Deadline

19th March 2018) – consultation covers the securitisation disclosure requirements, operational standards for handling disclosures, and the terms and

conditions of access for users of securitisation disclosures.

ESMA draft RTS/ITS technical standards on content and format of the STS notification (Deadline 19th March 2018) – technical standards set

to specify the information that the originator, sponsor and SSPE are required to provide in order to comply with their STS notification requirements.

EBA draft RTS on risk retention for securitisation transactions (Deadline 15th March 2018) –draft RTS specify the requirements for originators,

sponsors and original lenders related to risk retention. As a reminder the RTS were included in the legal text in order to help provide clarity on the

requirements relating to risk retention with the intent to reduce risk of moral hazard and aligning interests. The draft RTS will replace the current

Commission Delegated Regulation on risk retention - though providing transition provisions regarding the application of the existing Delegated

Regulation to securitisations whose securities were issued before its application date .

EBA draft RTS on the homogeneity of underlying exposures in securitisation (Deadline 15th March 2018) – the RTS outline the criteria for the

underlying exposures in securitisation in order to be deemed homogeneous. The RTS are applicable to both STS asset-backed commercial paper

(ABCP) and STS securitisations.


https://www.esma.europa.eu/press-news/consultations/consultation-draft-rts-application-registration-securitisation-repository

https://www.esma.europa.eu/press-news/consultations/consultation-technical-advice-fees-securitisation-repositories

https://www.esma.europa.eu/sites/default/files/library/esma33-128-108_consultation_paper_third-party_firm_sts_verification_application_0.pdf

https://www.esma.europa.eu/sites/default/files/library/esma33-128-107_consultation_paper_disclosure_and_operational_standards_0.pdf

https://www.esma.europa.eu/sites/default/files/library/esma33-128-33_consultation_paper_sts_notification_1.pdf

http://www.eba.europa.eu/documents/10180/2063496/Consultation+Paper+on+RTS+on+risk+retention+(EBA-CP-2017-22).pdf

https://www.eba.europa.eu/documents/10180/2063262/Consultation+Paper+on+RTS+on+homogeneity+of+underlying+exposures+in+securitisation+(EBA-CP-2017-21).pdf

Annex 2: Securitisation Item Types and Codes

April 2018 47

Source: of ESMA Consultation Paper – Draft technical

standards on disclosure requirements, operational standards, and

access conditions under the Securitisation Regulation, December 2017


Annex 3.1. Comparison between the ECB SME Template and the draft ESMA SME/Corp Template


ECB SME TEMPLATE DRAFT ESMA CORPORATE TEMPLATE

61 Mandatory fields48 asset & 13 collateral

87 Mandatory fields

22 Optional become mandatory

45 Mandatory fields remain

6 old fields merged under 3 new

▪ 16 fields changed

definition

▪ 5 have changed definition

Including 23 New fields


80 Optional fields65 asset & 15 collateral



Annex 3.2. Comparison between the ECB Consumer Template and the draft ESMA Consumer Template


ECB CONSUMER TEMPLATE ESMA CONSUMER DRAFT TEMPLATE

46 Mandatory fields

64 Mandatory fields

3 optional fields become mandatory


▪ 7 fields have changed definition




6 Optional fields▪ 1 field has changed definition


Annex 3.3. Comparison between the ECB Leasing Template and the draft ESMA Leasing Template


ECB LEASING TEMPLATE DRAFT ESMA LEASING TEMPLATE

76 Mandatory fields

79 Mandatory fields







51 Optional fields▪ 3 fields have changed definition


Annex 3.4. Comparison between the ECB Auto Template and the draft ESMA Auto Template


ECB AUTO TEMPLATE DRAFT ESMA AUTO TEMPLATE

54 Mandatory fields

80 Mandatory fields







12 Optional fields


Thank You


Contact Details

April 2018 53

Corporate Address:


Walther-von-Cronberg Platz 2

60594 Frankfurt am Main

GermanyEuropean Transparency Register ID Number: 781559916266-15

+49 (0) 69 50986 9326

[email protected]

www.eurodw.eu

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“Company”) and is being made available for information purposes only.

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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

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undertaking, express or implied, is made as to the accuracy, completeness or appropriateness of the

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Under no circumstances shall the Company have any liability for any loss or damage that may arise

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Certain of the information contained herein may include forward-looking statements relating to the

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