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
Securitisation Regulation Update/CLO Webinar
Agenda
Part 1
Part 2
December 2018 European DataWarehouse GmbH 2
December 2018 European DataWarehouse GmbH 3
December 2018 European DataWarehouse GmbH 4
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
Who We Are
More than 500 data owners, data providers and data users are registered with ED Originators, issuers, sponsors and servicers upload ABS data to ED, while data users including investors, data vendors, rating agencies and public institutions use ED data for monitoring and risk assessment purposes
Company Clients
Centralisation Standardisation Transparency & Accessibility
Unique and central data repository for European ABS and loan portfolios Fast access to data Disaggregated data: relevant information allows a high degree of ABS portfolio transparency Standardised definitions and reporting formats for quick and efficient comparison
…Our core principles C
T
S
Corporate Governance
December 2018
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.
Supervisory Board: Currently consists of 18 representatives and is responsible for the strategy and monitoring ED’s operations as a market initiative 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 with ED’s utility approach
European DataWarehouse GmbH 5 COO: Christian Thun
17 Shareholders
COO- Christian Thun
ED Management Shareholder Meeting Supervisory Board Pricing Committee ED Management Shareholder Meeting
8 members
Chairman
17 shareholders
José Manuel González-Páramo
CEO: Christian Thun 18 representatives
What We Do
December 2018 European DataWarehouse GmbH 6
Data Owners (DOs) & Data Providers (DPs) DOs are issuers or originators who register the deals in EDwin. DPs are servicers, trustees or other entities that LLD files for the respective deals Data Owners (DO) & Data Providers (DP) Data Users (DU)
ED Database Channels Channels
December 2018 European DataWarehouse GmbH 7
Regulation Timeline: Where Are We Now?
December 2018 8
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:
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:
European DataWarehouse GmbH
European Commission legislative proposal 26 November 2014 Political deal
Regulation 30 May 2017 Publication in the Official Journal 28 December 2017 Application of the Regulation 1 January 2019 ESMA Consultation
Securitisation Repository 1st semester 2018 ESMA submitted RTS/ITS on disclosure requirements to EC on 22 August 2018 ESAs Statement on the Disclosure requirements for EU securitisations
November 2018
We are here
Level 1 of the Process Level 2 of the Process
Application of the Securitisation Regulation January 2019
December 2018 European DataWarehouse GmbH 9
Tentative Timeline* base on the Potential Rejection of the European Commission (EC)
ESMA submitted draft RTS EC reviewed draft RTS EP reviews draft RTS OJ 20 days ESMA submits new RTS EC reviews draft RTS
22 August 2018 3 January 2019 End of March 2019 End of June 2019 Summer 2019 3 months 2-3 months 3 months 6 weeks
Transition period
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 10
Joint European Supervisory Authorities Statement as of 30 Nov. 2018
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 1st January 2019
December 2018 European DataWarehouse GmbH 11
Disclosure Requirements (EU) 2017/2402* Transitional Provisions Article 43(8) Format
Underlying Exposures Templates Art.7(1)(a) Annexes I-VII (EU) 2015/3
Residential mortgages – Annex I Commercial mortgages – Annex II SME loans – Annex III Auto loans – Annex IV Consumer loans – Annex V Credit cards loans – Annex VI Leases to individuals and business – Annex VII
Structured/ Unstructured Investor Report Template Art.7(1)(e) Annex VIII (EU) 2015/3 Unstructured Transaction Documentation Art.7(1)(b)/Art.7(1)(c)1 Art.7(1)(d) Art.7(1)(f) Art.7(1)(g)
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
These templates are referring to the mandatory fields of the existing European Central Bank (ECB) ABS loan level data templates
What does the Statement of 30 November 2018 mean? (Part 2)
December 2018 European DataWarehouse GmbH 12
additional documentation is required to be provided as per Article 7
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)
December 2018 European DataWarehouse GmbH 13
December 2018 European DataWarehouse GmbH 14
ED Aims to Become the First Securitisation Repository Under the Regulation
December 2018 European DataWarehouse GmbH 15
Securitisation Repository – Hypothetical Roadmap in 2019
The timeline* outlines our interpretation of how repositories could be operational in 2019 based on the current legislative text and the political decision making process. Considering that ESMA has to submit to the EC by 18 January 2019 the draft RTS specifying the application procedures for repositories to be registered by ESMA the application process could
June 2019 May 2019 April 2019 March 2019
Date for application for registration as securitisation repository 01/03/19 20 business days 29/03/2019 40 business days from notification as complete 29/05/2019 5 business days 06/06/2019
* Based on German business calendar
According to Article 7 (2) of the (EU) 2017/2402, in the absence of an ESMA registered securitisation repository the information should be made available to a website which meets the following requirements:
Based on this, the reporting entities may use ED in order to fulfill their regulatory reporting requirements prior to the ESMA registration.
December 2018 European DataWarehouse GmbH 16
European DataWarehouse Offers Website Which Adheres to Standards Outlined in the Securitisation Regulation
“(a) includes a well-functioning data quality control system”: For more than five years European DataWarehouse has established a rigorous multi-stage data quality screening, reporting and tracking system to ensure data provided to ED is of the highest quality. “(b) is subject to appropriate governance standards and to maintenance and operation of an adequate organisational structure that ensures the continuity and orderly functioning of the website”: European DataWarehouse is governed by a board of 17 shareholders. It has an independent pricing committee and its organisational and technical adequacy is evidenced by the trust the Eurosystem has instilled in ED since its inception as the only designated loan-level data repository. “(c) is subject to appropriate systems, controls and procedures that identify all relevant sources of operational risk”: As the only designated securitisation repository in Europe, European DataWarehouse has developed and embedded a series of systems, controls and procedures to identify and mitigate sources of operational risk (such as disaster recovery systems and procedures). “(d) includes systems that ensure the protection and integrity of the information received and the prompt recording of the information”: As a current designated repository for reporting loan-level data, European DataWarehouse has pre-existing security measures in place to ensure the integrity of the data and protect both issuers as well as recipients of the underlying loans. “(e) makes it possible to keep record of the information for at least five years after the maturity date of the securitisation”: European DataWarehouse has the infrastructure in place to store information on securitisations for the foreseeable future, which the organisation has already done for more 1,200 ABS transactions and more than 24,000 individual loan-level LLD submissions since the firm’s inception in 2012.
December 2018 European DataWarehouse GmbH 17
European DataWarehouse Establishes UK Subsidiary
December 2018 European DataWarehouse GmbH 18
December 2018 19
On 22nd August 2018, ESMA published the final draft technical standards on disclosure requirements as part of the Level 2 of the Securitisation Regulation that are submitted to the European Commission for endorsement. The disclosure requirements are summarised below:
Information to be Reported
European DataWarehouse GmbH
DISCLOSURE REQUIREMENTS under Securitisation Regulation (EU) 2017/2402*
TRANSACTION DOCUMENTATION
STANDARDISED INVESTOR REPORTS UNDERLYING EXPOSURES TEMPLATES The Securitisation Regulation (EU) 2017/2402 is available at https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32017R2402&from=EN and the ESMA final report on the technical standards on disclosure requirements is available at https://www.esma.europa.eu/sites/default/files/library/esma33-128-474_final_report_securitisation_disclosure_technical_standards.pdf
ESMA Templates
December 2018 European DataWarehouse GmbH 20
In the final report, ESMA has specified the technical standards that would apply to all securitisations. According to ESMA the final technical standards for the underlying exposures and investor reports apply to both public and private securitisations. Securitisation Regulation (EU) 2017/2402 ESMA Templates Public securitisations Private securitisations Article 7(1)(a) Underlying exposures Article 7(1)(e) Investor Report Article 7(1)(g) Inside Information Article 7(1)(f) Significant Event
Item Types and Codes (only relevant for public deals)
December 2018 European DataWarehouse GmbH 21
The new Securitisation Regulation introduces new reporting requirements. The following disclosure obligations must be made available to a securitisation repository – covering 12 item types As per the final RTS on disclosure requirements and the RTS on operational standards and access conditions, the Item codes 1,2,10, 11 and 12 are in structured data format (templates). ESMA is yet to publish the XML format in which these item codes need to be reported.
Item Types & Codes required as part of the STS regulation 1 – Loan Level Data (Underlying Exposures) 2 – Investor Report 3 – Prospectus 4 – Asset sale agreement; any relevant declaration of trust 5 – Derivatives and guarantees agreements 6 – Servicing; backup servicing; cash management agreements 7 – Trust deed; security deed 8 – Inter-creditor agreements; derivatives documentation 9 – Any other underlying documentation essential for understanding of the transaction 10 – STS Notification 11 – Inside Information 12 – Significant Event
ESMA Underlying Exposures (UE) Templates
December 2018 European DataWarehouse GmbH 22
RRE: Residential real estate mortgages (Annex 2) COM: Commercial real estate loans (Annex 3) COR: Corporate loans (incl. loans to SME and corporate loans – suitable also for CLO) (Annex 4) AUT: Auto loans and leases (Annex 5) CMR: Consumer loans (Annex 6) CRE: Credit card receivables (Annex 7) LES: Leasing (incl. leases to natural and legal persons) (Annex 8) OTH: Esoteric. All other underlying exposures that do not fall in any of the aforementioned categories (Annex 9) NPE: Non-performing exposures securitisation (Annex 10 – to be used as an add-on to any of the aforementioned templates depending on the asset type) Source: ESMA
RRE COM COR OTH CRE LES CMR AUT NPE
add-on
ABCP Non-ABCP ABCP
ESMA Reporting Templates for CLOs under the Securitisation Regulation - Level 1 & 2
December 2018 European DataWarehouse GmbH 23
Item Codes Disclosure Requirements (EU) 2017/2402* ESMA Final Report* Format 1 Underlying Exposures Template for Corporate Art.7(1)(a) Annex 4 Structured 2 Investor Report Template Art.7(1)(e) Annex 12 Structured 11 Inside Information Template Art.7(1)(f) Annex 14 Structured 12 Significant Event Template (incl. 2 CLO specific sections: CLO securitisation and CLO manager information) Art.7(1)(g) Annex 16 Structured 3-10 Other relevant documentation
Reporting templates for public CLO securitisations
* The Securitisation Regulation (EU) 2017/2402 is available at: https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32017R2402&from=EN and the ESMA final reports on the technical standards on disclosure requirements and operational standards are available at the following links: https://www.esma.europa.eu/sites/default/files/library/esma33-128-474_final_report_securitisation_disclosure_technical_standards.pdf https://www.esma.europa.eu/sites/default/files/library/esma33-128-488_final_report_repositories_technical_standards.pdf
Transitional Period - Reporting Requirements for All Securitisations
December 2018 European DataWarehouse GmbH 24
Item Codes Disclosure Requirements (EU) 2017/2402* Transitional Provisions Article 43(8) Format 1 Underlying Exposures Templates Art.7(1)(a) Annexes I-VII (EU)2015/3 Structured/ Unstructured 2 Investor Report Template Art.7(1)(e) Annex VIII (EU)2015/3 Unstructured 3-12 Transaction Documentation Art.7(1)(b)/Art.7(1)(c)1 Art.7(1)(d) Art.7(1)(f) Art.7(1)(g)
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
*The Securitisation Regulation (EU) 2017/2402 is available at: https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32017R2402&from=EN The CRA 3 templates set out in Annexes I-VIII of the (EU)2015/3 can be found at the the following link: https://eur-lex.europa.eu/legal- content/EN/TXT/PDF/?uri=CELEX:32015R0003&from=EN
Until the final RTS on disclosure requirements have been adopted by the Commission, the transitional provisions set out in Article 43(8) of the Securitisation Regulation will apply.
December 2018 European DataWarehouse GmbH 25
Solutions
December 2018 European DataWarehouse GmbH 26
EDitor
EDitor is an integrated web application for the seamless analysis and upload of the loan level data (LLD) Key Features:
file and upload it directly to EDwin
through EDitor
New ED Regulatory Solution in EDitor
December 2018 European DataWarehouse GmbH 27
December 2018 European DataWarehouse GmbH 28
Upload Channels and File Format for Documents & Unstructured Data
3 Upload Channels EDITOR API SFTP Multiple file formats – PDF, Excel, Word, etc.
Item Types & Codes required as part of the STS regulation 1 – Loan Level Data (Underlying Exposures) 2 – Investor Report 3 – Prospectus 4 – Asset sale agreement; any relevant declaration of trust 5 – Derivatives and guarantees agreements 6 – Servicing; backup servicing; cash management agreements 7 – Trust deed; security deed 8 – Inter-creditor agreements; derivatives documentation 9 – Any other underlying documentation essential for understanding of the transaction 10 – STS Notification 11 – Inside Information 12 – Significant Event NOTE : Item codes 1, 2, 10, 11 and 12 are structured data templates. Once the final templates with XML schema are published by ESMA and comes into force, issuers are required to submit these item codes in the template format, unless a transition period is introduced.
December 2018 European DataWarehouse GmbH 29
Upload Channels and File Format for Structured Data
ITEM Codes 1, 2,10,11 and 12 (i.e. Loan Level Data,
Notification, Inside Information and Significant Event)
3 Upload Channels EDITOR API SFTP 2 File Formats CSV XML (ESMA) ED’s own CSV format with all information required, to be able to convert to ESMA’s XML format ESMA published XML file format and schema
Workflow
CSV XML CSV <-> XML bidirectional Converter Data Quality Checks ESMA Score Quick Statistics Schema Validations CSV used for XML used for Publish Ok ? Or Upload Y N Verify
December 2018 European DataWarehouse GmbH 30
How can ED Help your Organisation During the Transition Period
to fulfill their reporting obligations under Article 7 of the Securitisation Regulation. Private Area with controlled access to cater for Private transactions. Dedicated Website
templates for more than 5 years. ED also offers a detailed Gap analysis between the latest ESMA templates and the ECB data templates Advanced Expertise of the CRA 3 Templates
loan level template to the ECB RMBS loan level template Data Conversion Toolkit
access the data and transaction documentation and fulfill their due diligence
Investor Access
December 2018 European DataWarehouse GmbH 31
December 2018 European DataWarehouse GmbH 32
December 2018 European DataWarehouse GmbH 33
December 2018 European DataWarehouse GmbH 34
What does the Statement of 30 November 2018 mean? (Part 1)
the Securitisation Regulation) beyond the application date on 1st January 2019
Article 43 (8) of the Securitisation Regulation (EU) 2017/2402 will apply
regarding the ESMA Final Report issued on 22 August 2018 on “Technical standards on disclosure requirements under the Securitisation Regulation”
December 2018 European DataWarehouse GmbH 35
What does the Statement of 30 November 2018 mean? (Part 2)
Europe (AFME), who outlined the specific operational challenges in complying with the ESMA Final RTS on disclosure requirements:
reporting templates 1) ABCP; 2) CLOs. 3) NPEs (Non-performing exposures) 4) Other – a generic template for all other asset classes
thresholds for data completeness
December 2018 European DataWarehouse GmbH 36
What does the Statement of 30 November 2018 mean? (Part 3)
recommendations
“proportionate and risk-based manner”
* Please note that some of the European Competent authorities have not been yet officially appointed for the implementation of the Securitisation Regulation
December 2018 European DataWarehouse GmbH 37
Data Quality Tracking System
Data Quality Ticketing System
4
Data Quality Overview Tickets Findings Dashboard Communication between ED and you for better data quality ED Analyst
Ticket with
more findings
DO / DP
Checks
analysts
December 2018 European DataWarehouse GmbH 38 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 as advice or a recommendation to investors or potential investors in relation to holding, purchasing or selling securities or other financial products or instruments and does not take into account your particular investment objectives, financial situation or needs. No representation, warranty or undertaking, express or implied, is made as to the accuracy, completeness or appropriateness of the information and opinions contained in this Presentation. Under no circumstances shall the Company have any liability for any loss or damage that may arise from the use
Certain of the information contained herein may include forward-looking statements relating to the business, 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 not historical facts, sometimes identified by the words “believes”, expects”, “predicts”, “intends”, “projects”, “plans”, “estimates”, “aims”, “foresees”, “anticipates”, “targets”, “may”, “will”, “should” and similar expression. 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
Contact Details
Corporate Address: European DataWarehouse GmbH Walther-von-Cronberg Platz 2 60594 Frankfurt am Main Germany
European Transparency Register ID Number: 781559916266-15
+49 (0) 69 50986 9017 enquiries@eurodw.eu www.eurodw.eu