European DataWarehouse Securitisation Regulation Update/CLO Webinar - PowerPoint PPT Presentation

European DataWarehouse Securitisation Regulation Update/CLO Webinar

Agenda Part 1 • Introduction • Important Regulatory Update • Status of Level 2 of the Securitisation Regulation • Where should information be reported? Part 2 • Information to be reported – CLO example • ED Regulatory Reporting Solution – EDitor • Live Demo of Editor • Q&A • Annex December 2018 European DataWarehouse GmbH 2

Introduction December 2018 European DataWarehouse GmbH 3

Who We Are Company … Our core principles 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 1250 Asset- Backed Security (ABS) transactions and private portfolios belonging to several different Transparency Centralisation Standardisation originators across Europe & Accessibility Clients More than 500 data owners, data providers and data users are registered with ED Unique and central Standardised definitions C S Originators, issuers, sponsors and servicers Fast access to data T data repository for and reporting formats upload ABS data to ED, while data users Disaggregated European ABS and for quick and efficient including investors, data vendors, rating data: relevant loan portfolios comparison agencies and public institutions use ED data information allows a for monitoring and risk assessment purposes high degree of ABS portfolio transparency December 2018 European DataWarehouse GmbH 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 Shareholder Meeting Supervisory Board: Currently consists of 18 representatives and is responsible 17 shareholders for the strategy and monitoring ED’s operations as a market initiative Supervisory Board Pricing Committee 18 representatives 8 members Pricing Committee : Currently consists of 8 members from the ABS industry and is responsible for setting the fee structure for ED clients. The fees are set in line Chairman with ED’s utility approach José Manuel González-Páramo ED Management CEO: Christian Thun COO- Christian Thun ED Management 17 Shareholders COO: Christian Thun December 2018 European DataWarehouse GmbH 5

What We Do Accessing Data Channels  API Data Users (DU)  Data Toolkit ED  EDitor Database  Institutional Investors  EDwin  Investment Banks  Rating Agencies  Central Banks  Data Vendors DOs are issuers or originators who register the  Consultants deals in EDwin. Data Owners (DOs) & Data Providers (DPs) DPs are servicers, trustees or other entities that Channels LLD files for the respective deals  EDvance  ED Direct Access  EDplus Data Owners (DO) & Data Providers (DP)  EDwin  API Providing Data December 2018 European DataWarehouse GmbH 6

Status of Level 2 of the Securitisation Regulation December 2018 European DataWarehouse GmbH 7

Regulation Timeline: Where Are We Now? A new Securitisation Regulation (EU) 2017/2402 was published on 28 December 2017 in the European Union Official Journal. It will apply from 1 January 2019. The regulation has two parts : • The first part of the regulation provides a common set of rules that apply to all securitisations (including non-STS) • The second part of the regulation defines the criteria that qualify for Simple Transparent and Standardised (STS) securitisation regulatory treatment According to the regulation all securitisations should comply with the following disclosure requirements and all public securitisations should make this information available to a securitisation repository: • Loan Level Data templates for the most prominent asset classes • Standardised Investor Reports for all securitisations • Additional documentation (incl. new standardised templates for inside information and significant events) We are here ESAs ESMA ESMA European Statement on Publication in Consultation submitted Application of Commission Political deal Application of the Disclosure the the Official on RTS/ITS on legislative on new the Regulation requirements Securitisation Journal Securitisation disclosure proposal Regulation for EU 1 January Regulation Repository requirements 28 December securitisations 26 November 30 May 2017 2019 to EC on 22 1 st semester 2017 January 2019 on 20 2014 August 2018 2018 November 2018 Level 1 of the Process Level 2 of the Process December 2018 European DataWarehouse GmbH 8

Tentative Timeline* base on the Potential Rejection of the European Commission (EC) Transition period 6 weeks 3 months 2-3 months 3 months ESMA ESMA submits 20 submitted EC reviewed draft RTS EC reviews draft RTS EP reviews draft RTS OJ new RTS days draft RTS End of 22 August 2018 3 January 2019 End of Summer March June 2019 2019 2019 EP: European Parliament ESMA: European Securities and Markets Authority OJ: Official Journal of the European Union – potential publication of the Level 2 of the RTS following the translation into the national languages of the European Union RTS: Regulatory Technical Standards * This timeline is based on ED calculations based on the information publicly available as December 2018 and it is potentially subject to change December 2018 European DataWarehouse GmbH 9

Joint European Supervisory Authorities Statement as of 30 Nov. 2018 December 2018 European DataWarehouse GmbH 10

What does the Statement from 30 November 2018 mean? (Part 1) Until the final RTS published by ESMA have been adopted by the Commission, the transitional provisions set out in Article 43(8) will apply from 1 st January 2019 Transitional Provisions Disclosure Requirements (EU) 2017/2402* Format Article 43(8) Annexes I-VII (EU) 2015/3 Residential mortgages – Annex I Commercial mortgages – Annex II Structured/ Underlying Exposures Templates Art.7(1)(a) SME loans – Annex III Unstructured Auto loans – Annex IV Consumer loans – Annex V Credit cards loans – Annex VI Leases to individuals and business – Annex VII Annex VIII Investor Report Template Art.7(1)(e) Unstructured (EU) 2015/3 Art.7(1)(b)/Art.7(1)(c) 1 Art.7(1)(d) Transaction Documentation Unstructured - Art.7(1)(f) Art.7(1)(g) These templates are referring to the mandatory fields of the existing European Central Bank (ECB) ABS loan level data templates 1 Relevant for securitisations where a prospectus has not been drawn up in compliance with Directive 2003/71/EC of the European Parliament and of the Council December 2018 European DataWarehouse GmbH 11

What does the Statement of 30 November 2018 mean? (Part 2) • For the reporting entities that already use the ECB templates that means practically no change . Only additional documentation is required to be provided as per Article 7 • For those underlying exposures for which there is no dedicated template, ED understands that as per the Securitisation Regulation the disclosure of information on the underlying exposures and investor reports (in line with the current reporting practices) is still expected but as per the latest ESAs statement the ultimate decision remains with the relevant National Competent Authority (NCA) • Examples of NCAs* across Europe are as follows: • France: Autorité des marchés financiers (AMF) • Germany: Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) • Italy: Commissione Nazionale per le Società e la Borsa (CONSOB) • Netherlands: Autoriteit Financiële Markten (AFM) • Spain: Comisión Nacional del Mercado de Valores (CNMV) • Portugal: Comissão do Mercado de Valores Mobiliários (CMVM) • United Kingdom: Financial Conduct Authority (FCA) December 2018 European DataWarehouse GmbH 12

Where Should the Information be Reported? December 2018 European DataWarehouse GmbH 13

ED Aims to Become the First Securitisation Repository Under the Regulation December 2018 European DataWarehouse GmbH 14