European DataWarehouse · September 2017 European DataWarehouse GmbH 9 *New deals in EDwin refers...

Corporate Presentation – October 2014

European DataWarehouseABS Market Coverage – September 2017

▪ 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


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


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



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




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



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



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



*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


Distinct

Borrowers76,419 Top 20 0.46 W.Avg 8.83

Class C

notes2017-08-14 EUR XS1648457965

1M


Class D

notes2017-08-14 EUR XS1648458005

1M


Class E

notes2017-08-14 EUR XS1648458260

1M


Class F

notes2017-08-14 EUR XS1648458427

1M


Class G

notes2017-08-14 EUR XS1648458773

1M





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


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


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


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

[email protected]

www.eurodw.eu

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