Securitization market development and selected reporting issues 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

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)

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 !

RMBS vs Covered Bonds as funding tool Source: mBank’s reaserch

RMBS vs Covered Bonds as funding tool Source: mBank’s reaserch

GNB Auto Plan Securitization of autoloans originated by Getin Noble Bank Value of the securtized pool: over 1 mld PLN Number of debtors in pool: 33.812 Floating rate loans, monthly amortization, 22 monts „seasoned”, average remaing maturity 49 months Purpose: raising funding on Polish market First loss position - ca. 50% of the securtized pool Issued ABS in PLN, based on Polish Act on bonds Rating of the ABS much higher than the Originator rating, i.e. Aa3(sf) vs. Ba2 Interest rate of issued ABS: WIBOR 3M + 2,00% ABS are listed on Catalyst market

GNB Auto Plan Source: Moody’s new issue report

GNB Auto Plan Source: Moody’s new issue report

GNB Auto Plan Source: Moody’s new issue report

GNB Auto Plan Source: Moody’s new issue report

Selected reporting issues When subprime crises started in 2007, investors were unable to obtain information to assess the performance characteristics 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 for reporting. 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

Selected reporting issues 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