SEMINAIRE PARIS - European DataWarehouse · 2019-07-17 · 2 PROGRAMME 14:00 ENREGISTREMENT 14:05 DISCOURS D’OUVERTURE • Anne de Tricornot Aubouin, Head of Asset Valuation DIvision,

SEMINAIRE PARIS25 JUIN 2019

2

PROGRAMME

14:00 ENREGISTREMENT

14:05 DISCOURS D’OUVERTURE

• Anne de Tricornot Aubouin, Head of Asset Valuation DIvision, Banque de France

• Christian Thun, CEO, European DataWarehouse

14:10 LES ENJEUX REGLEMENTAIRES MAJEURS DU MARCHE DE LA TITRISATION

• Alexandre Linden, Credit Portfolio Manager, BNP Paribas

14:30 LES NOUVELLES OBLIGATIONS DE REPORTING

• David Benkemoun, Senior Associate, European DataWarehouse

15:00 ACPR

• Enda Palazzeschi, Banking Supervision Policy Expert, ACPR

15:30 PAUSE CAFE

15:45 STS ET TIERS CERTIFICATEURS

• Ian Bell, Chief Executive, PCS

16:15 DISCUSSION: LES ENJEUX DES DONNEES: ENTRE TRANSPARENCE ET UTILITE

• Joachim Edery, Senior Risk Manager, Younited Credit

• Dylan Cissou, Vice-President, DBRS


• Ludovic Thebault, Director, European DataWarehouse - Moderator

16:55 CLOSING REMARKS

3

DISCOURS D‘OUVERTUREANNE DE TRICORNOT AUBOUIN, BANQUE DE FRANCE

CHRISTIAN THUN, EUROPEAN DATAWAREHOUSE

4

LES ENJEUX REGLEMENTAIRES MAJEURS DU MARCHE DE LA TITRISATIONALEXANDRE LINDEN, BNP PARIBAS

SÉMINAIRE EUROPEAN DATAWAREHOUSE

SECURITISED PRODUCTS GROUP

Paris, 25th June 2019

ALEXANDRE LINDEN

ENJEUX RÉGLEMENTAIRES MAJEURSDU MARCHÉ DE LA TITRISATION

European and US Primary IssuanceRevival of US market not happening in Europe

€Billion

Source:AFME Q1 2019 Securitisation Data Snapshot, SIFMA

European Placed Securitisation 2019 YTD Activity in Q2 is picking up as issuers grow comfortable with new regulations

* placed refers to both public and private placement

Date Country Issuer ABS OriginatorPricing (bps)

Size (€mm)

28 Jun UK Paragon No 26 Resi Paragon Marketing

28 Jun IR Shamrock 2019-1 Resi Multiple Marketing

18 Jun IT Golden Bar 2019-1 Auto ABSSantander Consumer

3mE+67 600

18 Jun NL Green Apple 2019-1 Resi Argenta 3mE+25 945

7 Jun UK Mortimer BTL 2019-1 Resi LendInvest S+130 304

5 Jun UK Bowbell No.2 ResiBank of Ireland

S+83 2,346

4 Jun UK Newday Funding 2019-1 Credit Card

ABSNewDay S+128 322

29 May UK Lanark 2019-2 RMBS ClydesdaleS+77; IntS+67 563

29 May ITSilver Arrow Merfina

2019-1Auto

Mercedes-Benz

1mE+53 559

29 May NL Domi 2019-1 Resi Domivest 3mE+85 250

24 May UK Precise 2019-1B Resi Precise S+93 84

23 May UK Shawbrook 2019-1 Resi Shawbrook S+112 331

16 May UK Bumper UK 2019-1 Auto LeasePlan S+60 633

16 May IT Sunrise 2019-1 Consumer Agos 1mE+74 1,111

10 May FR Youni 2019-1 Consumer Younited 1mE+38 156

10 May UK Twin Bridges 2019-1 Resi Paratus 3mL+95 389

30 Apr DEFCT Cars Alliance Germany 2019-1

AutoRCI

Banque1mE+23 1,027

18 Apr UK Chester A plc ResiNorthern Rock

3mL+80 2,316

18 Apr DE Revocar 2019 Auto Bank11 1mE+49 400

Snapshot of the supply (ex-CLO and CMBS)

By month: Placed* volume

838 1,180 1,427 1,192 601

686

5,695

7,212

2,375 3,600

1267

178 322

0

1,500

3,000

4,500

6,000

7,500

9,000

10,500

12,000

Jan Feb Mar Apr May Jun

Auto ABS RMBS Consumer ABS Credit Card ABS

€mm eq.

Source: Concept ABS as of 20th of June 2019

Market trends

� Owing to uncertainty caused by Securitisation Regulation, effective from1 January 2019, we have seen a historically poor first quarter for primaryABS market

� As issuers grew comfortable with regulatory expectations, there hasbeen a noticeable pick up in activity setting the positive tone for thecoming quarters

� Since VW led the way with the inaugural public STS deal via VCL 28,dormant primary awakened with a variety of offerings from Irish BTL toFrench marketplace consumer loans. A number of EUR STS dealsfollowed, including Storm 2019-1, Cartesian Blue and Cars Alliance2019-1 and debut Italian auto deals from Mercedes Benz and SantanderConsumer

� Supply-starved investors have been very receptive with minimal dropsdespite sizable spread tightening as orderbooks kept growing. AroundBarcelona conference window, markets went slightly softer with busyissuance anticipated ahead

STS deals

Legacy UK RMBS

Towd Point and Chester

in March and April (6.7bn)

� Final EBA guidelines on interpretation and content of STS criteria were published in December 2018 which clarified areas of concern on creditimpaired borrowers / guarantors and change in underwriting standards

� Final ESMA templates still not approved even though issuers need to commit to STS and those templates at closing

� Homogeneity requirement was clarified by EBA to cover same asset category, origination and servicing criteria as well as one homogeneityfactor

� About 15 STS deals so far in 2019, many more in the pipeline

� Most issuers have gone for third-party STS verification

� TSI has already received its license to verify ABS deals under SVI name. PCS can verify both ABS and RMBS

STS Criteria and Label

STS and LCR Update

LCR Eligibility

� In October 2018, Commission Delegated Regulation (EU) 2018/1620 was officially published which introduces amendments to the liquiditycoverage requirements for credit institutions, the detailed rules of which were initially set in the CRR and the Delegated Regulation (EU)2015/61 (the “LCR Delegate Act”)

� In particular, it introduces changes to the eligibility rules for securitisation exposures

� The main takeaways for securitisation are as follows:

• To be LCR eligible in the future, securitisations will need to be STS compliant

• Rating and most senior position requirements remain, as well as other liquidity criteria such as minimum tranche issue size of EUR100mand WAL of the tranche less than 5 years

• Such deals will still fall under the Level 2B category

� The new rules apply from 30 April 2020 and there is no grandfathering for existing deals

Credit Granting Standards (Article 9)

Adverse Selection (Article 6.2)

Risk Retention (Article 6)

Transparency (Article 7)

STS (Articles 18-28 )

Key Regulatory Considerations For IssuersTransparency requirements and STS (optional) in sharp focus

Application

� Transparency requirements follow closely and replace the requirements of Art. 8b of the Credit Rating Agencies Regulation. In addition to the Originator, the Sponsor and the SSPE are required to provide the relevant information to:

� Securitisation repositories

� noteholders

� competent authorities, and

� potential investors (upon request)

Reporting Entity

� The Originator, the Sponsor and the SSPE must designate amongst themselves one entity (the Reporting Entity) to fulfil the reporting requirements

� The Reporting Entity must be expressly indicated in the Transaction Documents and in public deals make the relevant information available by filing such information with a Securitisation Repository (European Data Warehouse and EuroABSare acting as data repositories in latest deals)

Obligations on the Reporting Entity before

Pricing

� Reporting Entity must provide the documentation that is essential for the understanding of the transaction: i.e. the Transaction Documents.

� In case of STS securitisation, the STS notification.

Periodic Reporting

Obligations

� During the securitisation's lifetime, the Reporting Entity must make available at least on a quarterly basis:

� information on securitisation positions; and

� an investor report including:

� performance of the underlying exposures;

� data on trigger events entailing any changes in the priority of payments or substitution of any party of the transaction;

� data on the cash flows generated by underlying exposures and by the liabilities of the securitisation; and

� data on the risk retention (e.g. which retention modality has been applied thereto)

SecuritisationRegulation: Transparency Requirements (Art. 7)

Reporting Templates

� ESMA has developed forms of loan level and investor report templates

� To be used on all transactions – public and private – but not expected to be publicly available before end of 2019

� The CRA3 template (ECB/BoE templates) or other ad-hoc templates are being used in the interim

Periodic Reporting of

Inside Information

� Promptly:

� any inside information relating to the securitisation shall be made available to the repository (the requirement to make it available to the public remains under the Market Abuse Regulation ("MAR")); and

� If MAR is not applicable to the notes, the following further information (even it is not inside information in accordance with the MAR):

� any material breach of the obligations provided for in Transaction Documents;

� any structural change of the deal that can materially impact the performance of the securitisation;

� any change in the risk characteristics of the securitisation or of the underlying exposures that can materially impact the performance of the securitisation;

� any material amendment to Transaction Documents; and

� in the case of STS securitisations, the loss of STS eligibility

SecuritisationRegulation: Transparency Requirements (Art. 7) (cont..)

Securitisation Regulation: Transparency Requirements (Art. 7) (cont..)Article 7 of Securitisation Regulation on reporting has been causing most uncertainty

No Data Option Explanation

ND1Data not collected as not required by the lending or underwriting criteria

ND2Data collected on underlying exposure application but not loaded into the originator’s reporting system

ND3Data collected on underlying exposure application but loaded onto a separate system from the originator’s reporting system

ND4 – YYYY-MM-DD

Data collected but will only be available from YYYY-MM-DD (YYYY-MM-DD shall be completed)

ND5 Not applicable

Required Templates

Options for No Data

Public Private

Non-ABCP

Annexes 2-10 Underlying exposure (depending on the type of underlying)

Annex 12 – Investor report

Annex 14 – Inside information

N.A.

ABCP

Annex 11 – Underlying exposureAnnex 13 – Investor report

Loan level information in free format

Annex 15 – Inside information

N.A.

Unique Identifiers

� The reporting entity shall assign to thesecuritisation a unique identifier composed of thefollowing elements, in sequential order:

� (a) The Legal Entity Identifier of the reportingentity;

� (b) The letter ‘A’ if the securitisation is an ABCPsecuritisation or the letter ‘N’ if the securitisation isa non-ABCP securitisation;

� (c) The four-digit year corresponding to:

� i. The four-digit year that the first securitiesof the securitisation were issued, wherethe securitisation is a non-ABCPsecuritisation;

� ii. The four-digit year that the firstsecurities within the ABCP programmewere issued, where the securitisation is anABCP securitisation;

� (d) The number 01 or, where there is more thanone securitisation with the same identifier createdaccording to points (a) to (c) of this sub-paragraph,a two-digit sequential number corresponding to theorder in which the reporting entity made availableinformation on each securitisation according to thisRegulation. In the event of multiple simultaneoussecuritisations, the reporting entity shall define theorder of each such securitisation at its discretion.

� Unique identifiers cannot be amended

GenerallySatisfied?

EU origin

� The originator, sponsor and SPPE to be established in the EU �

Simple – Structuring transactions with less complex features => Facilitate easier credit analysis and understanding by investors

� SSPE with a true sale or assignment, no severe clawback risk and perfection triggers; satisfactory legal opinions on these points �

� No portfolio management and clearly defined eligibility criteria �

� The repayment of the securitisation shall not depend predominantly on sale of assets securing the underlying exposures �

� Originator expertise, similar underwriting criteria �

� Homogeneous pool in terms of asset type (clarified in EBA Regulatory Technical Standards) �

� The underlying exposures shall not include securities or securitisations �

� Exposures shall be originated in the ordinary course of the originator's business �

� No exposures to credit-impaired debtors or guarantors �

� At least one payment made by the borrower �

Standardised – Transaction documents, structural features, definition of performance => Facilitate comparability between transaction issues

� Risk retention requirements to be satisfied in accordance with Article 6 �

� Interest rate and currency risks shall be mitigated and the underlying exposures shall not include derivatives unless for thehedging currency and interest rate risks �

� Interest payments in the securitisation shall be based on generally used market interest rates�

� Early amortisation events or triggers for termination of the revolving period�

� During the amortisation phase, sequential principal waterfall�

Simple, Transparent and Standardised Securitisation Criteria (1/2)Brief overview

Servicer termination events

Generally Satisfied?

Standardised (cont.) - Transaction documents, structural features, definition of performance => facilitate comparability between transaction issues

� No provisions requiring automatic liquidation of the underlying exposures at market value �

� The transaction documents shall set out definitions, remedies and actions relating to delinquency and defaults of debtors and other type of non performance

�

� The transaction documents shall clearly specify the contractual obligations, the processes and responsibilities and the provisions that ensure the replacement of counterparties upon certain events

�

� The transaction documents shall include clear provisions facilitating the timely resolution of the conflicts�

� The servicer shall have expertise in servicing exposures of a similar nature and shall have well-documented and adequate policies, procedures and risk-management controls �

Transparent – Increased disclosure of information => More informed decision-making by investors

� The originator shall provide access to data on static and dynamic historical default and loss performance; the data shall cover a period no shorter than 5 years for substantially similar exposures to those being securitised

�

� An audit shall be performed on a sample of the underlying exposure �

� The originator shall provide a liability cash flow model to investors �

� The originator and the SSPE shall make all information (loan by loan, draft docs,..) required under Article 7 (1) available to potential investors before pricing and make the final documentation available to investors at the latest 15 days after closing

�

� Environmental performance of the sale of assets (for residential loans and auto loans and leases)�

Simple, Transparent and Standardised Securitisation Criteria (2/2)Brief overview

EBA RTS on Homogeneity Asset category, origination & servicing criteria and one homogeneity factor

Similar underwriting standards with similar approaches to assessment of

credit risk

Similar servicing procedures with respect to monitoring, collection and administration of cash receivables

Exposures falling within the same asset category

Non-exhaustive list of asset categories

Exposure reflecting (at least one) homogeneity factor

Closed list of homogeneity factors

Type of

obligor

Ranking of security

on collateral

Type of immovable

property

Jurisdiction of property/

obligor

Residential loans ��

Commercial loans secured with mortgages ��

Credit facilities to individuals for personal, family orhousehold consumption purposes

��

Credit facilities to enterprises (incl. SMEs) and corporates

��

Auto loans and leases ��

Credit card receivables ��

Trade receivables ��

Underlying exposures that all do not fall under the asset categories listed

��

Mapping asset categories / homogeneity factors

This document (“Document”) has been prepared by BNP Paribas, London Branch and/or one of its

affiliates or subsidiaries (“BNP Paribas”) for information purposes only.

This Document is CONFIDENTIAL AND FOR DISCUSSION PURPOSES ONLY; it constitutes a

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The information contained in this Document (“Information”) is current as at the date of this

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Disclaimer

17

LES NOUVELLES OBLIGATIONS DE REPORTINGDAVID BENKEMOUN, EUROPEAN DATAWAREHOUSE

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SECURITISATION REGULATION UPDATE

19

ESMA PUBLISHED OPINION ON DISCLOSURE RTS/ITS

On 31 January 2019, ESMA published an Opinioncontaining the revised set of draft RTS/ITS on disclosurerequirements under the Securitisation Regulation

In response to the European Commission’s request tomake some amendments to the disclosurerequirements of 22 August 2018, ESMA has performeda number of adjustments to the reporting templates:

• Calibration of the ‘No Data’ options. ESMA hasbroadened the ability for reporting entities to use the‘No Data’ options in the respective templates.

• Adjustments to data fields. ESMA has made certainadjustments to the ‘Content To Report’ of some datafields and restructured the collateral sections of theresidential and commercial real estate templates.

• Adjustment to the templates. ESMA has mergedthe Inside Information (II) and Significant Event (SE)templates to cover both the inside information orsignificant event for non-ABCP and ABCPsecuritisations respectively. According to ESMA, theseadjustments have resulted in a more efficient set ofdisclosures.

https://www.esma.europa.eu/sites/default/files/library/esma33-128-600_securitisation_disclosure_technical_standards-esma_opinion.pdf


SUMMARY OF CHANGES TO ‘NO DATA’ ALLOWANCE BY ESMA TEMPLATE


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SUMMARY OF CHANGES TO ‘NO DATA’ ALLOWANCE BY ESMA TEMPLATE


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EC: European Commission

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 available as of June 2019 and it is potentially subject to change

22

Application process

EC adopts draft RTS

EC adopts draft RTS

EP endorses repository RTS

OJ20

days

Oct

ED as a website pursuant to Art 7(2)

2019 2020

June/July

Repository & disclosure regime

Nov15 Apr

TENTATIVE TIMELINE* BASED ON THE DRAFT ESMA RTS

23-26 MayEU

elections

EP endorses disclosure RTS

OJ20

days

Dec

Disclosure enters

into force

ED is designated

as a repository

Transitional period pursuant to Art 43(8)

On 27th June 2019, ESMA published an updated set ofQ&A which is based on the stakeholders feedback andquestions on the disclosure technical standards dated22 August 2018

The Q&A cover technical issues on how to report certaininformation and provide further clarification ontemplate fields to market participants on how to complywith the RTS/ITS

ESMA intends to continue to update this document on aregular basis.

Examples of updated Q&A• No requirement to re-report previously reported

information using the new templates to therepositories once registered

• Quarterly frequency provision of UE and IR for NABCPbut monthly reporting is also permitted

• II/SE should be reported alongside with the UE and IRand also without delay in case of any other II/SE

• Pro rata reporting certain fields such as LTV, DSCR,DTI in case of multiple loan parts

• Default Amount and Default Date fields shouldremain unchanged after they have been reportedonce (at the point of the ‘first’ default)

23

ESMA PUBLISHED Q&A ON THE SECURITISATION REGULATION

https://www.esma.europa.eu/press-news/esma-news/esma-updates-its-questions-and-answers-securitisation-regulation

https://www.esma.europa.eu/press-news/esma-news/esma-updates-its-questions-and-answers-securitisation-regulation

24

• On March 22, 2019 the European Central Bank issued a press release explaining that the transparency

requirements of EU Securitisation Regulation will be incorporated into the Eurosystem collateral

framework.

• The change comprises three major changes:

➢ Eligibility requirements for loan-level data reporting in collateral framework will be adjusted to

reflect EU Securitisation Regulation’s disclosure requirements

➢ Eligibility criteria for asset-backed securities will change at a future date, dependent on fulfilment

of certain conditions

➢ Phasing-in of new loan-level data requirements will be gradual and will facilitate continued

eligibility of transactions fulfilling current reporting standards

25

TENTATIVE TIMELINE* OF THE EUROSYSTEM PHASING-IN OF THE NEW LOAN-LEVEL DATA REQUIREMENTS

Reporting in ECB templatesReporting in

ESMA templates

Sep/Oct

2020

Eurosystem transparency regime for 2019+ deals

June/July

2019

Three months transitional

period

ESMA templates in force

Repository registered

Reporting in ECB templates Reporting in ESMA templates

Sep/Oct

2021

Eurosystem transparency regime for < 2019 deals

Sep/Oct

2020

Three years transitional period

2022 2023

* This timeline is based on ED calculations with the information publicly available as of June 2019 and it is potentially subject to change

26

STATUS OF THE SECURITISATION REPOSITORIES REGISTRATION

27

ED AIMS TO BECOME THE FIRST SECURITISATION REPOSITORY UNDER THE NEW REGULATION

28

REPOSITORY SOLUTIONS FOR THE UK AND EUROPE

29

ED LAUNCHED THE NEW ESMA APPLICATION IN EDITOR

30

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.

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.

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).

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.

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.

SOLUTIONS FOR REGULATORY TRANSITIONAL PERIODHow European DataWarehouse meets the requirements for an interim website

31

EDITOR

32

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)

EDITORAn integrated web application for the analysis and upload of loan level data (LLD) and documentation

33

• This feature ensures the controlled transmission of the document or hyperlink to a selected subset of data users

• Access to the relevant document or hyperlink is fully managed by the originator, sponsor or SSPE who is responsible for authorising access to third parties. The authorisation can be modified regularly

• The same upload and download channels can be used as for the rest of the documents

• This feature is available for both public and private transactions

PRIVATE DOCUMENTS OR LINKSNew feature in EDITOR available for both public and private transactions

34

• Users wishing to access uploaded private documents must agree to specific terms and conditions

• Data owners can leverage ED’s standard terms and conditions, or upload their own

WHAT’S NEXT: LEGAL CONSIDERATIONS FOR TERMS AND CONDITIONSPersonalised terms and conditions for access to private deals

DEAL NAME

35

• Includes features for the controlled transmission of the information to third parties

• Access to the relevant data is fully managed by the sponsor, originator or special securitisation purpose entity (SSPE) called Data Owner (DO) who is responsible for authorising access to Data Users (DU). The authorisation can be modified regularly

• The same upload and download channels that are used in the public area can also be used in the private area

PRIVATE DEAL SOLUTIONEDITOR offers a dedicated website which allows private transactions to comply with the disclosure requirements under Article 7(1) of the Securitisation Regulation

ACCESSIBILITY: EASY AND USER-FRIENDLY WEB-BASED ACCESS

FUNCTIONALITY: CONTINUOUS SOFTWARE

ENHANCEMENTS AND DEVELOPMENTS

INTEGRITY: LEGAL FRAMEWORK FOR

ACCESSING, UPLOADING AND DOWNLOADING

INFORMATION

RELIABILITY: ROBUST SOFTWARE WITH

ONGOING SUPPORT

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Data User access

Access to the private area is fully managed by the originator, sponsor or SSPE who is responsible for authorising access to third parties. The authorisation can be modified regularly

Access can be managed at different levels:

• Organisation level: all users of a registered organisation with ED will have access to the private deal and/or documents

• User level: only selected users will have access to the private deal and/or documents

ACCESS RIGHTS FOR THIRD PARTIES

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Deal Name DataOwner Asset Class Country of Securitised Assets

Loan Invest NV/SA, compartment Home Loan Invest 2019 KBC Bank NV RMBS Belgium

Auto ABS French Leases 2018 Credipar AUTO France

FCT Crédit Agricole Habitat 2019 Crédit Agricole S.A. RMBS France

Youni 2019-1 Younited Credit CMR France

Cars Alliance Auto Loans Germany V 2019-1 RCI Banque SA, Niederlassung Deutschland AUTO Germany

RevoCar 2019 Bank11 für Privatkunden und Handel GmbH AUTO Germany

VCL 28 VOLKSWAGEN FINANCIAL SERVICES AKTIENGESELLSCHAFT AUTO Germany

Dilosk RMBS No.3 Dilosk DAC RMBS Ireland

Mulcair Securities DAC The Governor & Company of the Bank of Ireland RMBS Ireland

AUTO ABS ITALIAN BALLOON 2019-1 SRL Banca PSA ITALIA S.p.A. AUTO Italy

FUCINO RMBS Banca del Fucino RMBS Italy

GB 2019-1 Golden Bar (Securitisation) S.r.l Santander Consumer Bank S.p.A AUTO Italy

Marzio Finance Srl - Serie 5 IBL Banca Spa CMR Italy

Media Finance S.r.l. (2019 Securitisation) Banca Popolare di Puglia e Basilicata S.c.p.A. RMBS Italy

Silver Arrow Merfina 2019-1 S.r.l. Mercedes-Benz Financial Services S.p.A. AUTO Italy

SUNRISE SPV Z70 - series 2019-1 AGOS-DUCATO S.P.A. CMR Italy

VALSABBINA SME SPV SRL Banca Valsabbina SCPA SME Italy

Cartesian Residential Mortgages 4 S.A. Ember VRM S.a.r.l RMBS Netherlands

Cartesian Residential Mortgages Blue S.A. Ember VRM S.a.r.l RMBS Netherlands

Domi 2019-1 B.V. Domivest B.V. RMBS Netherlands

Dutch Property Finance 2017-1 B.V. RNHB B.V. RMBS Netherlands

Green Apple 2019 - I NHG ARGENTA SPAARBANK N.V. RMBS Netherlands

SAECURE 17 B.V. AEGON Levensverzekering N.V. RMBS Netherlands

STORM 2019-I B.V. Obvion N.V. RMBS Netherlands

GAIA FINANCE Ares Lusitani STC S.A. RMBS Portugal

Syntotta 1 (Synthetic Deal) Banco Santander Totta S. A. SME Portugal

Bowbell No. 2 plc Bank of Ireland (UK) plc RMBS United Kingdom

Bumper UK 2019 LeasePlan UK Limited AUTO United Kingdom

DLL Equipment Finance 2019-1 plc De Lage Landen Leasing Limited LES United Kingdom

DRIVER UK MASTER C5 VOLKSWAGEN FINANCIAL SERVICES AKTIENGESELLSCHAFT AUTO United Kingdom

Precise Mortgage Funding 2019-1B PLC (PMF 2019-1B) Charter Court Financial Services RMBS United Kingdom

Trinity Square 2015-1 plc Kensington Mortgage Company Ltd RMBS United Kingdom

38

▪ Preliminary Verification Report in respect of the first STS Transaction in European DataWarehouse: VCL 28 (Volkswagen Leasing GmbH)

FIRST STS TRANSACTION – VCL 28

39

Key Features:

• Upload unlimited test files and create test deals

• Frequently updated to reflect regulatory developments

Testing Includes:

• Free Access to Editor for a limited period

• Data quality support, including access to Data quality rules and processes

• The testing began with Auto and RMBS, with further asset classes due when final XMLs are published by ESMA

Please send an email to [email protected] for any requests

FREE SANDBOX ENVIROMENTUsers can test their new CRA III or ESMA templates and processes in a dedicated testing facility

40

GAP ANALYSIS

41

GAP ANALYSIS 3.0

European DataWarehouse GmbH (ED) has performed a comprehensive analysis of the draft European Securities and Markets Authority (ESMA) reporting templates published on 31 January 2019 as an Annex to the Opinion report on the Amendments to ESMA’s draft technical standards on disclosure requirements under the Securitisation Regulation (EU) 2017/24021.

A field-by-field analysis can be found in the annexes of this document and are also available as separate Microsoft Excel files. Version 3.0 of the Gap Analysis, as of March 2019, has been performed with the information available on the ESMA website as of 1 February 2019.

A comprehensive comparison between the ESMA draft disclosure templates released in Aug 2018 and Jan 2019

42

KEY DIFFERENCES

According to the ESMA Final Report on Disclosure Requirements under the Securitisation Regulation *, the ESMA proposed underlying exposures templates are built on the existing ECB ABS loan-level data templates.

The key differences are highlighted below:

Format changes

Addition/Removal of fields

Regulatory fields

Risk-related fields

Arrears information

Energy Performance

Change in the structure

No Data Allowance

Static vs. dynamic

43

Key points highlighted in the ED Gap Analysis v. 3.0 between the ECB ABS loan-level data templates and the proposed ESMA templates as of 31 January 2019

• Dropped fields

• New fields

• Changes to existing fields

• Changes in definition

• No changes

• Format changes

• Changes in definition but same input

Source: ED Calculations*The calculations exclude the bond section of the ECB ABS templates and the Amortisation Profile section of the ECB SME ABS template.

ED GAP ANALYSIS V3.0 AND METHODOLOGY

FIELD TYPEECB RMB template

ESMA RMB UE

template

ECB CORPtemplate

ESMA CORP UE template

ECB AUT template

ESMA AUT UE

template

ECB CMR template

ESMA CMR UE

template

ECB LES template

ESMA LES UE

template

ECB CRE template

ESMA CRE UE

template

Mandatory 55 108 65 123 54 84 46 69 76 84 32 47

Optional 102 - 84 - 12 - 6 - 51 - 19 -

ECB mandatory fields that exist also in ESMA template

45 45 41 41 46 46 33 33 49 49 21 21

ECB optional fields that have changed to mandatory in ESMA template

20 20 21 21 6 6 3 3 7 7 3 3

Dropped fields 92 - 87 - 14 - 16 - 71 - 27 -

New fields - 43 - 61 - 32 - 33 - 28 - 23

TOTAL 157 108 149 123 66 84 52 69 127 84 51 47

44

DATA QUALITY

45

DATA QUALITY SCORES (DQS): DQS1 & DQS2

• Automated score based on hard failed rules – subset of all our rules

• Objective and common approach for all deals, jurisdictions and asset classes

• Based on the following formula: σ1𝑛(𝐹𝑓)

𝑛×𝑀𝐹where:

• 𝑛 is the total number of loans for each relevant field (loans & collateral for SME)

• 𝐹𝑓 represents a field that failed a rule

• 𝑀𝐹 represents number of relevant mandatory fields per each asset class

Qualitative and quantitative scoring for full transparency

• Score based on the open findings flagged in the Data Quality Tracking System (DQTS)

• High, medium and low findings

• Clarifications are excluded

• Optional fields are excluded

• Investor Report findings are excluded (except for PCD mismatch)

A 0.0000% 0.0001% Up until 1 in a million

B 0.0001% 0.005% Up until 5 in 100k

C 0.005% 0.1% Up until 1 in a thousand

D 0.1% 1% Up until 1 in a hundred

E 1% 4% Up until 4 in a hundred

F 4% 100% > 4 in a hundred

A 0

B 2

C 5

D 8

E 11

F ∞

46

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

A B C D E F

DQS1 Distribution France vs. Other Jurisdictions

France Other Jurisdictions

DQS1 France Other Jurisdictions

A 24.6% 29.3%

B 20.0% 32.8%

C 27.7% 24.0%

D 15.4% 8.3%

E 12.3% 5.4%

F 0.0% 0.3%

47

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

A B C D E F

DQS2 Distribution France vs. Other Jurisdictions

France Other Jurisdictions

DQS2 France Other Jurisdictions

A 10.7% 30.4%

B 21.4% 34.0%

C 33.9% 23.3%

D 19.6% 8.3%

E 7.1% 2.7%

F 7.1% 1.2%

48

SPEAKER DIVIDER SLIDE ENDA PALAZZESCHI, ACPR

LE RÔLE DE L’ACPR DANS LA MISE EN ŒUVRE DES RÈGLEMENTS « TITRISATION »

49

INTRODUCTION

50

• Un projet qui s’inscrit dans le cadre de l’initiative Capital Markets Union

• Promouvoir un marché de la titrisation sain et dynamique et rétablir la confiance dans la titrisation

Objectifs:

• Périmètre d’application transsectoriel

• Définit le cadre général pour la titrisation :

• transparence, due diligence, rétention du risque, sanctions, prohibition de la re-titrisation…

• Établit les critères STS:

• Simplicité, transparence et standardisation

Le Règlement transverse 2017/2402:

• Il introduit une nouvelle hiérarchie des méthodes (SEC-IRBA, SEC-SA, SEC-ERBA)

• Il définit le traitement prudentiel des titrisation pour les établissements de crédit et les entreprises d’investissements

• Ainsi que Traitement prudentiel préférentiel pour les titrisations STS

Le règlement amendant CRR 2017/2401:

• Ne s’applique qu’aux titrisations traditionnelles et aux titrisations de court terme (ABCP)

• Les titrisations synthétiques sont exclues du périmètre STS (à l’exception des positions seniors de titrisations de SME)

• Entrée en application depuis le 1er janvier 2019

Périmètre et calendrier:



52

❑ L’ACPR supervise, dans le cadre du MSU, les entités de son périmètre, en

fonction de leur rôle

❑ Au titre de l’article 29-1 2017/2402, l’ACPR s’assure que les investisseurs aient réalisé les diligences appropriées prévues à l’article 5

❑ L’AMF est l’autorité compétente pour veiller à l’application des critères STS

❑ L’ACPR doit s’assurer pour sa part, que ses assujettis (LSI, assureurs, sociétés de financement…) investissant dans des titrisations déclarées STS effectuent des diligences appropriées et ne s’appuient pas mécaniquement sur la notification STS effectuée par l’originateur. auprès de l’ESMA.


❑ Au titre du règlement 2017/2401, l’ACPR s’assure que les investisseurs

appliquent la hiérarchie des méthodes prévue

53

* SEC-ERBA au lieu de SEC-SA, pour les positions notées, si: ✓ STS: RW SEC-SA > 25%, Non STS: RW SEC-SA > 25% or RW SEC-ERBA > 75% ✓ paniers de prêts automobiles et contrats de crédit-bail automobiles et d’équipements✓ Utilisation optionnelle pour les établissements pour l’ensemble de leurs positions notées pendant

une durée d’un an sous réserve de notification• Cas particulier de l’utilisation de l’approche par évaluation interne pour les ABCP non notés (Art 265)

SEC-ERBA

1250% RWA

SEC-IRBA

SEC-SA*


❑ Au titre du règlement 2017/2401, l’ACPR s’assure que les investisseurs

appliquent les calculs des montants d’expositions pondérés par les risques

conformément aux articles

❑ Pour les titrisations non-STS : ▪ 258-259 (SEC-IRBA) ;

▪ 261 (SEC-SA) ;

▪ 263 (SEC-ERBA)

❑ Pour les titrisations STS :

▪ 260 (SEC-IRBA) ;

▪ 262 (SEC-SA)

▪ 264 (SEC-ERBA)

Cas particulier de l’utilisation de l’approche par évaluation interne pour les ABCP non

notés (Art. 265)

54


❑ Au titre du règlement 2017/2402, l’ACPR s’assure que les initiateurs,

prêteurs initiaux, SSPE et les sponsors respectent les obligations des

articles 6 à 9 (art. 29-2 et 29-3)

❑ Article 6 : Rétention ▪ D’au moins 5%, un règlement délégué précisant les modalités applicables devrait être

publié prochainement

❑ Article 7 : Transparence

▪ Le superviseur doit essentiellement vérifier que l’originateur lui fournit au moment de

l’émission (et au long de la vie de l’opération) une information exhaustive et montrant qu’il

respecte les critères du règlement

❑ Article 8 : Interdiction de la retitrisation▪ Cette interdiction générale peut faire l’objet de dérogation accordée par le superviseur

lorsque celui-ci considère que l’utilisation d’une retitrisation poursuit des fins légitimes

(faciliter la liquidation d’un établissement, assurer la viabilité d’un établissement,

préserver les intérêts des investisseurs lorsque les expositions sous-jacentes sont non

performantes)

❑ Article 9 : Critères d’octroi de crédit❑ Le superviseur s’assure que les établissements ont mis en place des systèmes efficaces pour

veiller à ce que les procédures d’octroi de crédit ne dépendent pas d’une intention de les

titriser et soient fondées sur une évaluation approfondie de la solvabilité du débiteur

55


❑ L’AMF est l’autorité compétente pour les critères STS

❑ Une liste de critères à remplir intégralement,

❑ Distincts pour les ABCP ou non ABCP

❑ D’application trans-sectorielle

❑ Auto-certification, mais certification externe indépendante possible

❑ Responsabilité conjointe initiateur, sponsor et véhicule pour fournir

l’information adéquate

❑ Sanctions si une titrisation déclarée STS ne remplit pas un ou plusieurs

critères

❑ Publication de guidelines pour permettre une interprétation homogène

56


❑ La pondération des positions de titrisation détenues par les initiateurs ou

sponsors dépend de la reconnaissance d’un transfert de risque significatif

(SRT)

❑ Pour reconnaitre le SRT, l’ACPR applique les dispositions prévues aux

articles 244 pour les titrisations classiques et 245 pour les titrisations

synthétiques

❑ Elle applique les orientations de l’EBA sur le transfert significatif de risque,

et tient compte de la publication fin 2017 du rapport de l’EBA sur le

transfert de risque significatif

57


❑ L’article 30 prévoit que les autorités compétentes disposent des

pouvoirs leur permettant de veiller au respect des obligations

prévues par le règlement.

❑ L’ACPR est compétente, en cas de négligence ou d’infraction

intentionnelle, pour imposer les sanctions et mesures correctrices

prévues à l’article 32

❑ Elle tient également compte de la mesure dans laquelle l’infraction

est intentionnelle ou résulte d’une négligence ainsi que de toutes

autres circonstances pertinentes

58

QUESTIONS

59

60

PAUSE CAFE

61

STS ET TIERS CERTIFICATEURSIAN BELL, PCS

STS ET TIERS CERTIFICATEURS

I. EDW Workshop – Paris

II. 25 Juin 2019

• Qui sommes nous?

• Introduction au système des tiers certificateurs

• Qui bénéficie de l’existence de tiers certificateurs?

• Comment cela fonctionne-t-il?

Ordre du jourSTS et les verificateurs

tiers

EDW Workshop

Paris

63

• PCS a été formée en 2012 par l’industrie de la titrisationcomme initiative indépendante et sans but lucratif avec l’objetde renflouer le marché de la titrisation européenne sur unebase saine

• PCS demeure une initiative sans but lucratif

• PCS a été agrée comme tiers certificateur en mars 2109

• PCS est basée à Paris et à Londres mais opère dansl’integralité de l’Union Européenne

• PCS a déjà certifié 15 titrisations

Qui sommes nous?STS et les verificateurs

tiers

EDW Workshop

Paris

64

• Le Règlement STS est voté en decembre 2107 et entre envigueur le 1e Janvier 2019

• Le Règlement crée une nouvelle categorie d’instrumentsfinanciers – les titrisations STS (art.18)

• Un aspect insolite et probablement unique des titrisations STSest qu’elles n’ont pas – de facto – leur statut automatiquementet pour des raisons objectives. Elles doivent être “déclarées”STS par leur initiateur.

• Afin d’assister les investisseurs et de renforcer la securité de cenouveau marché, les législateurs créent un nouveau typed’acteur de marché: le tiers certificateur (art. 27)

• Mais les tiers certificateurs doivent être indépendants et soumisà une autorité de tutelle (art. 28)

Introduction STS et les verificateurs

tiers

EDW Workshop

Paris

65

• Les tiers certificateurs bénéficient à trois types d’acteurs de marché:

• Investisseurs

• Initiateurs

• Autorités règlementaires

Qui beneficie?STS et les verificateurs

tiers

EDW Workshop

Paris

66

• Le système des tiers certificateurs bénéficie aux initiateurs:

• Comme “rapport d’expertise”

• Réduisant le risque d’une recharacterisation des titres

• Comme ajout aux mécanismes de “compliance” interne

• Apportant une expertise sur multiples classes d’actifs, multiplesjuridictions et multiples autorités réglementaires

• Comme outil pour gérer le risque de sanctions

• 10% du revenue mondial

• €5,000,000 d’amende à titre personnel

• Mais exigence d’un acte délibéré ou négligent

Qui beneficie?

Initiateurs

STS et les verificateurs

tiers

EDW Workshop

Paris

67

• Le système des tiers certificateurs bénéficie aux investisseurs:

• En mutualisant les coûts de la vérification (art.5.3.c)

• En étant le point d’ancrage entre “relying to an appropriate extent”et “not solely or mechanistically” (art. 5.3.c)

• Apportant une expertise sur multiples classes d’actifs, multiplesjuridictions et multiples autorités réglementaires

• En publiant des rapports qui permettent aux investisseurs devérifier des point précis (de fait ou d’interprétations)

• Ces rapports sont rendus publics avant le pricing et demeurentpublics après l’émission soutenant le marché secondaire.

Qui beneficie?

Investisseurs


tiers

EDW Workshop

Paris

68

• Le système des tiers certificateurs bénéficie aux régulateurs:

• L’interpretations des critères est du ressort des ANCs

• Les tiers certificateurs en tant qu’acteurs indépendants peuventinitier et tenir des discussions sur les critères sur une base deconfiance

• Atténuation du risque d’une fragmentation dans la définition deSTS et du danger que cela poserait à la création d’un “benchmark”

• Les tiers certificateurs, opérant dans diverses jurisdictions, peuventsonner l’alarme en cas d’interprétations divergentes des critèresSTS avant que cela ne pose un problème systèmique

Qui beneficie?

Autorités Réglementaires


tiers

EDW Workshop

Paris

69

• PCS comme tiers certficateur agit comme le ferait un investisseur très bieninformé et de grande experience

• PCS ne fait pas une due diligence plus poussée que celle qui seraitthéoriquement disponible aux investisseurs (à l’exception de l’opinion juridique etdu “pool audit”)

• PCS analyse individuellement chaque critère STS demandant de voir la preuvequ’il sont remplis (il en existe 102!).

• La preuve peut-être découverte dans le prospectus, les documents, la “poolaudit”, l’opinion juridique ou les documents de marketing

• PCS utilise son experience approfondie des critères STS (dont certains sontcopies de critères du label PCS) et de la règlementation afin d’emettre sesinterpretations

• PCS publie son rapport provisoire avant le pricing et définitif à la cloture del’opération

• Les équipes PCS sont disponibles aux investisseurs dans les années quisuivent une émission pour discuter de toute question ayant trait aux critèresSTS

Comment cela fonctionne-t-il?STS et les verificateurs

tiers

EDW Workshop

Paris

70

Ian Bell, PCS Président

Tel: +44 (0) 20 3440 3721

Mob:+44 (0) 7500 558 040

[email protected]

Rob Koning, Liaison Initiateurs

Tel: +44 (0) 20 3440 3720

Mob: +31 6 142 298 42E:

[email protected]

Max Bronzwaer, Liaison Investisseurs

Tel: +44 (0) 20 3440 3720

Mob: +31 6 551 513 73

[email protected]

Site web: www.pcsmarket.org

Contacts PCSSTS et les verificateurs

tiers

EDW Workshop

Paris

71

mailto:[email protected]



72

DISCUSSION:• Joachim Edery, Senior Risk Manager, Younited Credit

• Dylan Cissou, Vice-President, DBRS


• Ludovic Thebault, Director, European DataWarehouse

EUROPEAN DATAWAREHOUSE GMBH

Walther-von-Cronberg-Platz 2

60594 Frankfurt am Main

www.eurodw.eu

[email protected]

+49 (0) 69 50986 9017

THANK YOU//CONTACT US

73