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Michał Pielasa, PhD DCM mBank SA PowerPoint Presentation
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Michał Pielasa, PhD DCM mBank SA

Michał Pielasa, PhD DCM mBank SA

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Michał Pielasa, PhD DCM mBank SA

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  1. Efficient Cover Pool Management. Reporting for Covered Bonds and Securitization Warsaw, March 2014 Securitization market development and selected reporting issues Michał Pielasa, PhD DCM mBank SA 1

  2. Securitization market development in Poland: period 2006-2012 • January 2006 , program ROOF Poland: • Originator - Raiffeisen Leasing Polska • Securtized assets – vehicle leasing receivables • Issued bonds – 7years maturity, purchased by foreign entities • Limit of the programu – 640 Mio PLN • Ratings: private/non-dislosed • ca. 13,000 leasing contracts • March 2006, program „ROOF CEE 2006-1”, • Synthetic securitization of SMEs loans • Program of 450 mln EUR • Raiffeisen Bank Polska (and Raiffeisen Czech Republic)as Originators • KfW involved in the transaction, fully unfunded form (i.e. no PROMISE platform)

  3. Securitization market development in Poland: period 2006-2012 • June 2006: • Auto-loans securitization, program of 600 Mio PLN • Dominet Bank as Originator • The UK based SPV and the UK investors • December 2007: • vehicle leasing receivables of 850 Mio PLN • Millenium Leasing as Originator • December 2012: • Auto-loans securitization, program of over 1,000 Mio PLN • Getin Nobel Bank as Originator So, no RMBS deals !

  4. RMBS vsCoveredBonds as fundingtool Source: mBank’s reaserch

  5. RMBS vsCoveredBonds as fundingtool Source: mBank’s reaserch

  6. GNB Auto Plan • Securitization of autoloansoriginated by Getin Noble Bank • Value of thesecurtizedpool: over 1 mld PLN • Number of debtorsinpool: 33.812 • Floatingrateloans, monthlyamortization, 22 monts „seasoned”, averageremaingmaturity 49 months • Purpose: raisingfundingon Polish market • First lossposition - ca. 50% of thesecurtizedpool • Issued ABS in PLN, based on PolishAct on bonds • Rating of the ABS much higherthantheOriginatorrating, i.e. Aa3(sf) vs. Ba2 • Interestrate of issued ABS: WIBOR 3M + 2,00% • ABS arelisted on Catalyst market

  7. GNB Auto Plan Source: Moody’s new issue report

  8. GNB Auto Plan Source: Moody’s new issue report

  9. GNB Auto Plan Source: Moody’s new issue report

  10. GNB Auto Plan Source: Moody’s new issue report

  11. Selectedreportingissues • When subprime crises started in2007, investors were unable to obtain information to assess the performancecharacteristics of loans that had been securitized. Consequently, valuation of CDOs based on sub-prime RMBS was also not possible. In the absence of loan-level data, it was impossible to distinguish „good” loans from „bad” loans and value RMBS and CDOs • In 2007, there was no common requirements/formats forreporting. The improvement of the transparency in the ABS market was required. • In 2009, in Europe the concept of a transparent data handling infrastructure was created – to facilitate the disclosure and access to ABS information for investors, originators, rating agencies and other interested parties. • In 2010, ECB announced its intentions to establish loan-by-loan data requirements for ABS in the Eurosystem collateral framework

  12. Selectedreportingissues • A central data repository platform called the European DataWarehouse GmbH (ED) has been established on 30 June 2012 • Loan-by-loan information regarding the cash flow-generating assets in ABS pool must be provided in order for the ABS to become/remain ECB eligible • ED data warehouse makes available the download of detailed and standardised Loan-Level Performance Data (LLPD) for Asset-Backed Securities • ED stores more than 640 deals (RMBS, CMBS, SME, Auto, Consumer Finance and Leasing, ABS) and data on 13 million loans from Europe