EDITOR CASH FLOW MODEL SOLUTIONS 25 APRIL 2019 REQUIREMENTS - PowerPoint PPT Presentation

EDITOR CASH FLOW MODEL SOLUTIONS 25 APRIL 2019

REQUIREMENTS RELATING TO TRANSPARENCY Article 22 of the Securitisation Regulation outlines requirements relating to transparency “3. The originator or the sponsor shall, before the pricing of the securitisation, make available to potential investors a liability cash flow model which precisely represents the contractual relationship between the underlying exposures and the payments flowing between the originator, sponsor, investors, other third parties and the SSPE, and shall, after pricing, make that model available to investors on an ongoing basis and to potential investors upon request. ” 2

MOODY’S ANALYTICS AND EUROPEAN DATAWAREHOUSE COLLABORATE TO HELP ABS ORIGINATORS AND SPONSORS MANAGE STS DISCLOSURE REQUIREMENTS 15 April 2019 “Our collaboration with European DataWarehouse is a part of our ongoing commitment to support structured finance issuers, sponsors, and originators in their funding execution and ongoing administration requirements. One of our top priorities is to help them address the obligations introduced by STS,” said Marc Levine, Managing Director at Moody’s Analytics.“ https://www.moodysanalytics.com/about-us/press- releases/2019-04-15-moodys-analytics-and-european- datawarehouse-collaborate 3

WHO WE ARE COMPANY European DataWarehouse (ED) provides loan and bond level data as well as documentation repository services for the fixed income market ED currently hosts data for over 1300 Asset-Backed Transparency & Security (ABS) transactions and private portfolios Accessibility: belonging to numerous originators across Europe Centralisation: Fast access to Unique and central data disaggregated data: repository for European relevant information CLIENTS ABS and loan portfolios allows a high degree of ABS portfolio transparency More than 500 data owners, data providers and data users are registered with ED Originators, issuers, sponsors and servicers upload ABS Standardisation: data to ED, while data users including investors, data Standardised vendors, rating agencies and public institutions use ED data for monitoring and risk assessment purposes definitions and reporting formats for quick and efficient comparison 4

CORPORATE GOVERNANCE ED was created in 2012 as part of the implementation of the European Central Bank ABS Loan Level Initiative. ED became fully operational in January and is funded and owned by a mix of market participants. ED operates as a utility to respond to the need for improved transparency to investors and other market participants in ABS. SHAREHOLDER MEETING SUPERVISORY BOARD: Consists of currently 18 17 SHAREHOLDERS representatives and is responsible for the strategy and monitoring ED’s operations as a market initiative. PRICING COMMITTEE SUPERVISORY BOARD 18 MEMBERS 18 MEMBERS PRICING COMMITTEE : Consists of currently 8 members from the ABS industry and is responsible for setting the fee CHAIRMAN structure for ED clients. The fees are set in line with ED’s PROFESSOR JOSÉ MANUEL GONZÁLEZ-PÁRAMO utility approach ED MANAGEMENT CEO – CHRISTIAN THUN 17 SHAREHOLDERS 5

WHAT WE DO ED DATABASE CHANNELS CHANNELS EDitor EDitor API EDvance UPLOAD DOWNLOAD SFTP API DATA TOOL KIT SFTP ED Cloud 6

at-a-glance We cover 45,000+ deals Confidential

EDITOR 8

EDITOR An integrated web application for the analysis and upload of loan level data (LLD) and documentation Key Features: • Allows Data Providers to pre- screen and analyse LLD and upload it in compliance with the ESMA No Data system • In-depth data quality checks using over 2,500 rules • Centralised rule repository with automatic updates • Comparability with previous submissions for stratifications • Integrated Data Quality Tracking System (DQTS) 9

REPORTING REGIMES Fulfil regulatory and eligibility reporting requirements under different regimes • ECB repository for issuers to fulfil their Eurosystem eligibility requirements for ABS and ACC • Dedicated website fulfilling the ESMA reporting criteria during the interim period under the CRA III reporting regime • Plan to be a ESMA securitisation repository once the application process begins • Intend to become a securitisation reporitory in the UK under the Financial Conduct Authority • In discussions with the BOE to provide eligibility services 10

CASH FLOW MODELS – GLOBAL PORTAL RICK VEERMAN, MOODY‘S ANALYTICS 11

at-a-glance EDW/Moody’s Analytics Modelling Workflow 1. Initial deal docs (Reds and/or term sheet) sent to Moody’s Analytics (MA) for modelling 2. MA models deal 3. Model validated by Issuer/Sponsor/Arranger 4. Model released 5. User accesses the model via direct link in EDW Editor 6. Model is accessible via MA’s Global Portal or Structured Finance Portal Confidential

at-a-glance Confidential

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THANK YOU // CONTACT US EUROPEAN DATAWAREHOUSE GMBH Walther-von-Cronberg-Platz 2 60594 Frankfurt am Main www.eurodw.eu enquiries@eurodw.eu +49 (0) 69 50986 9017 15