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Access Proxy Data to comply with Securitisation Regulation

With over 1300 transactions in its database, EDW offers solutions for issuers, originators and SSPEs to comply with performance requirements relating to STS Transactions.
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Santander Crédit Foncier Sapient BBVA Moody's

Comply with Article 22 of the Securitisation Regulation 2017/2402 (EU)

According to Article 22 of the Securitisation Regulation 2017/2402 (EU), “the originator and the sponsor shall make available data on static and dynamic historical default and loss performance, such as delinquency and default data, for substantially similar exposures to those being securitised, and the sources of those data and the basis for claiming similarity, to potential investors before pricing. Those data shall cover a period of at least five years.”
Comply

Secure your sample of the underlying exposures required for verification

In order to comply with the transparency requirements for STS transactions under Article 22 of the Securitisation Regulation 2017/2402 (EU), “a sample of the underlying exposures shall be subject to external verification prior to issuance of the securities resulting from the securitisation by an appropriate and independent party, including verification that the data disclosed in respect of the underlying exposures is accurate.”
Performance-Tables

Benefit from our Five Stage Dataset Optimisation Process

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Initial Communication

EDW and the client identify and discuss the characteristics of the desired pool to be securitised.
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Deals Selection

EDW selects a list of deals based on completeness of data, results of data quality checks, and pool characteristics discussed.
The list of deals is then shared and modified based on client feedback.
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Proxy Loans Selection

A subset of the underlying loans (based on the characteristics portfolio to be securitised) from the selected deals are taken as proxy loans. Their historical performance data is compiled.
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Data Adjustments

A Dataset from each selected deal is scrutinised further for quality.
Any idiosyncratic reporting practices in a deal are adjusted to one standard, and any outlying results are investigated and discussed with the relevant EDW analyst.
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Final Performance Dataset

The final performance dataset is delivered including static Default/Loss and Dynamic Arrears information.
Static pools are based on the year of securitisation. Since each portfolio has a unique set of characteristics, EDW applies principles of good judgement.
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RESULT: Proxy Data Sample

Originators & sponsors can provide static and dynamic historical default and loss performance data for substantially similar exposures to those being securitised for a period of at least five years.
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