european datawarehouse · corporate presentation – october 2014 european datawarehouse abs market...

Corporate Presentation – October 2014

European DataWarehouseABS Market Coverage – December 2017

In 2014, 2015, 2016 and 2017 an average of 17,17, 18 and 18LLD files have been uploaded on a daily basis respectively

1150 deals are stored in ED database (EDwin)

• 695 are outstanding and 455 have been redeemed or

amortised

105 million loans or loan parts and 17 million data points for

properties are stored in EDwin

Key ED Figures as of December 2017

December 2017 European DataWarehouse GmbH 2

Number of ABS transactions, loans or loan parts and properties

Average daily updates

There are more than twenty thousand LLD submissions stored in EDwin with 17 LLD submissions per transaction on average

For transactions issued in 2014, 2015, 2016 and 2017, the average number of LLD submissions is 23, 17, 10 and 3 respectively

Asset Class Active Redeemed or Amortised1 Total

RMBS 444 200 644

Auto ABS 102 91 193

SME 63 108 171

Consumer 59 27 86

Leasing 18 23 41

Credit Card 9 1 10

CMBS - 5 5

Total 695 455 1150

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

Number ofloans2

Number of borrowers3

14.67 10.98

12.41 11.51

1.70 1.25

23.26 21.41

0.53 0.37

8.83 7.30

124 124

61.40 52.82

1 Upload of loan level data has discontinued, typically given bond redemptions2 based on only the latest LLD submissions3 based on only the latest LLD submissions4 Number of loan sponsors in whole numbers

Number of loan level data (LLD) submissions

050

100150200250300350

ED Loan Outstanding Volume2 (Bn)LES

CRE

CMR

AUTO

CMBS

SME

RMBS


Dataset Composition as of December 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 chart

Source: 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

2017

2016

2017

2016

2017

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

RMBS050

100150200250300

ED ABS Transactions¹ (no. of deals)CMBS

CRE

LES

CMR

SME

AUTO

RMBS

1150 ABS Deals and 61mn Loans as of December 2017


The loan count calculation is based on the total number of loans reported in the latest submission only for each transaction. All amounts in 000s (k)

A total of 644 RMBS Deals & 14.7 mn loans or loan parts RMBS

203146

1313836

3229

208

1

Spain

Netherlands

Italy

Portugal

UK

France

Ireland

Belgium

Germany

Sweden

Total Deals 644

4,122

2,4161,862 1,700 1,460 1,453

734596 326

5

Total Loans 14.7 mn



New Deals in EDwin* & Updates RMBS

****RTM: Remaining Term to Maturity

*New deals in EDwin refers to the transactions created and uploaded within the last month

**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

Deal name Data Owner Country Pool Cut- Loans & Borrowers CLTV (%) OLTV (%) Borrower Concentration (%)

Interest Rate -AR109**

Seasoning / Maturity

Bond Class Name

Issue Date Currency ISIN Reference Rateoff Date AR141** AR135** (%) (months)

Pontormo RMBS

2017 s.r.l.

Cabel Industry Spa Italy 2017-09-30

Total Loans 8,087 Min 0.15 Min 0.66 Largest 0.16 Min 0.20 W.Avg

Seasoning 54.97 Class A1 2017-11-27 EUR IT0005315210 1 month EURIBOR

Active Loans 8,087 Max 113.97 Max 112.43 Top 10 1.26 Max 6.30 W.Avg

RTM 212.57 Class A2 2017-11-27 EUR IT0005315228 1 month EURIBOR

Distinct Borrowers 7,812 W.Avg 53.69 W.Avg 62.62 Top 20 2.04 W.Avg 2.11 Max RTM 358.00 Class B2 2017-11-27 EUR IT0005315244

Class B1 2017-11-27 EUR IT0005315236

BBVA RMBS 18

FT

EUROPEA DE

TITULIZACION S.A.

S.G.F.T.

Spain 2017-11-20


Seasoning 84.21 Serie 2017-11-23 EUR ES0305295000 3M EURIBOR


RTM 328.93

Distinct Borrowers 12,064 W.Avg 93.85 W.Avg 81.83 Top 20 0.68 W.Avg 1.02 Max RTM 513.00

RMBS PRADO V

Unión de Créditos

InmobiliariosSpain 2017-11-06


Seasoning 91.35 BONOS SERIE A 2017-11-13 EUR ES0305288005 3M

EURIBOR


RTM 312.31 BONOS SERIE B 2017-11-13 EUR ES0305288013 3M

EURIBOR

https://www.ecb.europa.eu/paym/coll/loanlevel/transmission/html/index.en.html









Interest Rate -AR109** Seasoning / Maturity Bond

Class Name


Gosforth Funding

2017-1 plc

Virgin Money plc

United Kingdom 2017-09-30


Seasoning 24.61 A1a 2017-09-25 USD XS1679333432 3 month LIBOR


RTM 259.85 A1b 2017-09-25 GBP XS1679333945 3 month LIBOR

Distinct Borrowers 7,577 W.Avg 61.12 W.Avg 65.96 Top 20 0.87 W.Avg 2.20 Max RTM 415.00 A2 2017-09-25 GBP XS1679335486 3 month

LIBOR

M 2017-09-25 GBP XS1679337185 3 month LIBOR

Wendelstein 2017-1

(uG)

Deutsche Bank Privat-

und Geschäftsku

nden AG

Germany 2017-10-31


Seasoning 35.01 A 2017-11-15 EUR DE000A2G87A0 Other


RTM 109.55 B 2017-11-15 EUR DE000A2G87B8 Other

Distinct Borrowers 19,085 W.Avg 101.66 W.Avg 101.66 Top 20 1.62 W.Avg 2.30 Max RTM 231.00












Bond Class Name


Ripon Mortgages

Plc

Topaz Finance Limited

United Kingdom 2017-09-30


Seasoning 140.89 A1 2017-04-25 GBP XS1593588103, XS1593589689

3 month LIBOR


RTM 130.81 A2 2017-04-25 GBP XS1593590182, XS1593590265

3 month LIBOR

Distinct Borrowers 47,550 W.Avg 86.18 W.Avg 85.92 Top 20 2.03 W.Avg 2.00 Max RTM 429.00 B1 2017-04-25 GBP XS1593590695,

XS15935908513 month LIBOR

B2 2017-04-25 GBP XS1593591073, XS1593591230

3 month LIBOR

C1 2017-04-25 GBP XS1593591404, XS1593591669

3 month LIBOR

C2 2017-04-25 GBP XS1593591826, XS1593592121

3 month LIBOR

D1 2017-04-25 GBP XS1593592477, XS1593592550

3 month LIBOR

D2 2017-04-25 GBP XS1593592808, XS1593592980

3 month LIBOR

E 2017-04-25 GBP XS1593593012, XS1593593285

3 month LIBOR

F 2017-04-25 GBP XS1593593368, XS1593593442

3 month LIBOR

G 2017-04-25 GBP XS1593593525, XS1593593798

R 2017-04-25 GBP XS1593593871, XS1593593954

X Certificates 2017-04-25 GBP XS1593594846

Y Certificates 2017-04-25 GBP XS1593594507,

XS1593594762

Z 2017-04-25 GBP XS1593594093, XS1593588285












Bond Class Name


Harben Finance

2017-1 Plc

Topaz Finance Limited

United Kingdom

2017-09-30 Total Loans 17,651 Min 0.00 Min 7.50 Largest 0.62 Min 0.79 W.Avg

Seasoning 140.37 A 2017-11-20 GBP XS1593589333, XS1593589416

3 month LIBOR


RTM 130.74 B 2017-11-20 GBP XS1593589507, XS1593589762

3 month LIBOR

Distinct Borrowers 9,467 W.Avg 85.64 W.Avg 85.80 Top 20 5.07 W.Avg 2.00 Max RTM 419.00 C 2017-11-20 GBP XS1593589846,

XS15935899293 month LIBOR

D 2017-11-20 GBP XS1593590000, XS1593590349

3 month LIBOR

E 2017-11-20 GBP XS1593590422, XS1593590935

3 month LIBOR

F 2017-11-20 GBP XS1593591156, XS1593591313

3 month LIBOR

G 2017-11-20 GBP XS1593591586, XS1593591743

R 2017-11-20 GBP XS1593592048, XS1593592394

Z 2017-11-20 GBP XS1593592634, XS1593592717

Certificates 2017-11-20 GBP XS1593595223, XS1593595579




A total of 193 Auto ABS Deals & 12.4 mn loans or loan parts Auto ABS


6,323

2,697

1,076 898 878226 124 109 58 23

Total Loans 12.4 mn107

2217

1413

5554

1

GermanyFranceSpain

UKItaly

FinlandNorway

Netherla…Portugal

Austria

Total Deals 193



*New deals in EDwin refers to the transactions created and uploaded within the last two months

New Deals in EDwin* & Updates Auto ABS



**Further information on AA40 (Current Interest or Discount Rate) can be found on the European Central Bank website: https://www.ecb.europa.eu/paym/coll/loanlevel/transmission/html/index.en.html

Deal name Data Owner Country Pool Cut-off Date Loans & Borrowers

Borrower Concentration Interest Rate - AA40** Seasoning / Maturity

(months)

Bond Class Name

Issue Date Currency ISIN Reference Rate

Legal Interest Payment

Frequency(%) (%) Maturity

DRIVER UK SIX

Volkswagen Bank GmbH UK 2017-09-30

Total Loans 25,024 Largest 0.05 Min 0 W.Avg Seasoning 5.8 Class A 2017-09-25 GBP XS1662097

655 1M LIBOR 2026-02-25 Monthly

Active Loans 24,822 Top 10 0.42 Max 15 W.Avg

RTM 40.07 Class B 2017-09-25 GBP XS1662098117 1M LIBOR 2026-02-25 Monthly

Distinct Borrowers 24,784 Top 20 0.76 W.Avg 6.29 Max RTM 58




A total of 171 SME Deals & 1.70 mn loans or loan parts SME


570

356316

247

101 8131

2


46

12

9

7

4

4

1

Spain

Italy

France

Portugal

Germany

Belgium

Netherlands

Luxembourg

Total Deals 171




New Deals in EDwin* & Updates SME



**Top Industries based on NACE Industry codes. **Further information on AS42 (NACE Industry Code) and AS80 (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

Deal name Data Owner Country Pool Cut-off Date Loans & Borrowers

Borrower Concentration Interest Rate - AA40** Seasoning / Maturity (months)

Bond Class Name Issue Date Currency ISIN Reference

RateLegal

(%) (%) Maturity

CAIXABANK PYMES

9, F.T.

CaixaBankTitulización,

S.G.F.T., S.A.

Spain 2017-11-22

Total Loans 33,745 Largest 1.8 Min 0 W.Avg Seasoning 13.88 Class A 2017-11-22 EUR ES0305292007 3M

EURIBOR 2049-08-01

Active Loans 33,745 Top 10 5.73 Max 18 W.Avg RTM 79.99 Class B 2017-11-22 EUR ES0305292015 3M EURIBOR 2049-08-01

Distinct Borrowers 30,417 Top 20 8.55 W.Avg 2.42 Max RTM 361

Sme Grecale 2017 Srl

UNIPOL BANCA SPA Italy 2017-09-30

Total Loans 6,729 Largest 1.3 Min 0 W.Avg Seasoning 49.95 Class A 2017-10-25 EUR IT0005285207 3M

EURIBOR 2056-03-22

Active Loans 6,622 Top 10 9.71 Max 12.6 W.Avg RTM 113.57 Class B 2017-10-25 EUR IT0005285215 3M EURIBOR 2056-03-22

Distinct Borrowers 5,778 Top 20 15.22 W.Avg 2.97 Max RTM 358 Class J 2017-10-25 EUR IT0005285223 3M

EURIBOR 2056-03-22





A total of 86 Consumer Deals & 23.3 mn loans or loan parts

11,198

7,392

3,790

630 199 48


17

17

6

4

1

Italy

Spain

France

Germany

Netherlands

Portugal

Total Deals 86

Consumer




New Deals in EDwin* & Updates



**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 name Data Owner Country Pool Cut-off Date Loans & Borrowers Borrower

Concentration (%)Interest Rate - AN32**

(%)Seasoning / Maturity

(months)Bond Class

Name Issue Date Currency ISIN Reference Rate

Legal Maturity

Interest Payment

Frequency

SUNRISE SPV 20

SUNRISE SPV 20 SRL Italy 2017-08-31

Total Loans 124,768 Largest 0.01 Min 0 W.Avg Seasoning 5.46 CLASS A 2017-10-16 EUR IT0005283509 1M

EURIBOR 2041-11-27 Monthly

Active Loans 124,768 Top 10 0.07 Max 16.61 W.Avg RTM 77.5 CLASS B 2017-10-16 EUR IT0005283525 Fixed 2041-11-27 Monthly

Distinct Borrowers 123,911 Top 20 0.14 W.Avg 7.16 Max RTM 178 CLASS C 2017-10-16 EUR IT0005283533 Fixed 2041-11-27 Monthly

CLASS D 2017-10-16 EUR IT0005283541 Fixed 2041-11-27 Monthly

CLASS E 2017-10-16 EUR IT0005283558 Fixed 2041-11-27 Monthly

CLASS M1 2017-10-16 EUR IT0005283566 Fixed 2041-11-27 Monthly

CLASS M2 2017-10-16 EUR IT0005283574 Fixed 2041-11-27 Monthly

IM EVO FINANCE 1

InterMoney Titulización SGFT SA

Spain 2017-11-08

Total Loans 225,289 Largest 0.01 Min 0 W.Avg Seasoning 10.97 A2017-01 2017-11-14 EUR ES0305291009 12 month

LIBOR 2050-09-26 Monthly

Active Loans 225,289 Top 10 0.07 Max 36.85 W.Avg RTM 26.35 B2017-01 2017-11-14 EUR ES0305291017 12 month


Distinct Borrowers 218,968 Top 20 0.13 W.Avg 8.79 Max RTM 94 C2017-01 2017-11-14 EUR ES0305291025 12 month





The loan count calculation is based on the total number of loans reported in the latest submission only for each transaction. 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

32

3

21 1

Total Loans 12403

83 42 4

Italy Germany Spain Portugal

Total Loans 532k4,131

2,318 2,255

123

France UK Spain Ireland

Total Loans 8.8 mn

30

7

3

1

Italy

Germany

Spain

Portugal

Total Deals 41

41 Deals & 532k Loans 5 Deals & 12 LoansLeasing CMBS

4

4

1

1

Spain

France

UK

Ireland Total Deals 10

10 Deals & 8.8mn LoansCreditCards




New Deals in EDwin* & Updates Leasing

Deal name Data Owner Country Pool Cut-off Date Bond Class Name Issue Date Currency ISIN Reference RateLegal Interest Payment

FrequencyMaturity

Alba 9 Alba Leasing SpA Italy 2017-10-12

Class A1 2017-10-30 EUR IT0005285231 3M EURIBOR 2038-03-27 Quarterly

Class A2 2017-10-30 EUR IT0005285249 3M EURIBOR 2038-03-27 Quarterly

Class B 2017-10-30 EUR IT0005285256 3M EURIBOR 2038-03-27 Quarterly

Class C 2017-10-30 EUR IT0005285264 3M EURIBOR 2038-03-27 Quarterly

Class J 2017-10-30 EUR IT0005285272 3M EURIBOR 2038-03-27 Quarterly

Adriano Lease Sec S.r.l. op 2017

Mediocredito Italiano S.p.A. Italy 2017-10-31

Class A Notes 2017-08-17 EUR IT0005314569 3M EURIBOR 2049-01-27 Quarterly

Class B Notes 2017-08-17 EUR IT0005314593 3M EURIBOR 2049-01-27 Quarterly

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 30th September 2017


Source: ED Data

Note: 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

Total Account Status ever in Default or Arrears ever 90 days or above Account Status ever in Default

Country Deals Loans Borrowers Loans Borrowers LoansES 200 2,154,857 131,248 134,356 75,843 77,491NL 147 5,008,404 50,076 85,354 28,484 41,417IT 130 1,963,102 133,750 130,998 69,135 67,190PT 38 775,884 36,248 50,929 21,524 29,484FR 32 5,592,886 32,867 34,564 7,927 8,683UK 34 2,471,389 49,392 56,983 3,835 4,270IE 30 353,689 55,090 58,346 12,380 11,510BE 20 1,897,452 19,030 23,048 9,801 11,340

Total 631 20,217,663 507,701 574,578 228,929 251,385

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 30th September 2017


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

Total Account Status ever in Default or Arrears ever 90 days or above

Account Status ever in Default

Country Deals Loans Borrowers Loans Borrowers LoansES 87 1,060,597 64,314 71,016 50,722 56,643IT 47 586,577 47,709 56,079 27,517 32,603FR 12 3,321,994 2,784 5,525 185 2887PT 9 162,723 8,864 9,788 7,412 8,280BE 5 575,303 7,438 11,282 5,213 8,235NL 4 51,252 2,736 3,650 2,691 3,591

Total 164 5,758,446 133,845 157,340 93,740 112,239

Contact Details


Corporate Address:European DataWarehouse GmbH Walther-von-Cronberg Platz 260594 Frankfurt am MainGermanyEuropean Transparency Register ID Number: 781559916266-15

+49 (0) 69 50986 9017

[email protected]

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 asadvice or a recommendation to investors or potential investors in relation to holding, purchasing orselling securities or other financial products or instruments and does not take into account yourparticular investment objectives, financial situation or needs. No representation, warranty orundertaking, express or implied, is made as to the accuracy, completeness or appropriateness of theinformation and opinions contained in this Presentation.Under no circumstances shall the Company have any liability for any loss or damage that may arisefrom 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 thebusiness, 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 nothistorical facts, sometimes identified by the words “believes”, expects”, “predicts”, “intends”, “projects”,“plans”, “estimates”, “aims”, “foresees”, “anticipates”, “targets”, “may”, “will”, “should” and similarexpression.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

https://twitter.com/EuroDW

https://www.linkedin.com/company/european-datawarehouse

https://www.youtube.com/channel/UCJSjU9oHv_60BTkX4YXmQug

https://eurodw.eu/blog/

european datawarehouse · corporate presentation – october 2014 european datawarehouse abs market...

Documents