1. 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

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

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

6. 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:
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

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. 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

12. 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