Moody's Corporation · NYSE:MCO
Moody's — Moody's Analytics — STS Securitisations: a User Guide webinar (June 2020)
22 slides from Moody's's conference presentation, Jun 22, 2020
Slide 1: STS Securitisations: a User Guide
STS Securitisations: a User Guide A Joint Webinar presented by Moody’s Analytics and European DataWarehouse 22 June 2020
Slide 2: Speakers
Christian Thun Carlos Castro CEO Director European DataWarehouse Moody’s Analytics Joel Penn Vlad Zlotnikovs Assistant Director Manager Moody’s Analytics European DataWarehouse STS Securitisations: A User Guide 2
Slide 3: STS Securitisations: a User Guide
STS Securitisations: a User Guide A Joint Webinar presented by Moody’s Analytics and European Datawarehouse Target Audience Originators, Investors, Structuring Desks Purpose Demonstrate STS capabilities Key Objectives Provide Solutions for Market Participants STS Securitisations: A User Guide 3
Slide 4: Agenda
Agenda 1. European Structured Finance Update 2. Global Portal & Structured Finance Portal Demonstration 3. EDITOR Demonstration 4. Q&A STS Securitisations: A User Guide 4
Slide 5: European Structured Finance Update
1 European Structured Finance Update
Slide 6: European Securitisation Regulation
European Securitisation Regulation Securitisation Regulation (EU 2017/2402) STS – Simple, Transparent and Standardised » Risk Retention, Transparency and Due Diligence (requirements on issuers and investors) » Third party certification of compliance » STS labelling notification to regulators » STS p
Slide 7: Deal Issuance 2020
Deal Issuance 2020 Q1 slightly below 2019 Issuance levels » Estimated range €55-75 bil. » Retained deals percentage lower » 5 STS deals current in the pipeline » 160 STS deals issued since 2019 STS Securitisations: A User Guide 7
Slide 8: Sector Performance to date
Sector Performance to date Stable » Delinquencies remain historically low » Slight increase in Q2 2020 » Payment moratorium take up rates increasing » Impact on deals at junior tranche level STS Securitisations: A User Guide 8
Slide 9: Moody's Analytics Response to Regulatory Changes
Moody’s Analytics Response to Regulatory Changes Over 40 STS deals modelled on behalf of issuers » Provide a web platform that allows transaction parties to look at the cashflow model pre-closing » Provide data and analytics to investors to comply with due diligence requirement » Host and regularly
Slide 10: Global Portal Structured Finance Portal
2 Global Portal Structured Finance Portal
Slide 11: Article 22 – Requirements relating to transparency
Article 22 – Requirements relating to transparency “The originator or the sponsor shall: • before the pricing of the securitisation, make available to • STS Cash Flow Model Engine potential investors a liability cash flow model which precisely represents the contractual relationship between the unde
Slide 12: STS Cash Flow Model – A Typical Process
STS Cash Flow Model – A Typical Process • Initial discussions with • The deal is announced originator and/or arranger • The model is made available to • The model is updated in line • Draft deal documentation & potential investors and any third with final deal documentation loan tape provided partie
Slide 13: Global Portal & SF Portal Demonstration
Global Portal & SF Portal Demonstration STS Securitisations: A User Guide 13
Slide 14: EDITOR
3 EDITOR
Slide 15: STS Securitisations: A User Guide
STS Securitisations: A User Guide 15
Slide 16: STS Securitisations: A User Guide
STS Securitisations: A User Guide 16
Slide 17: STS Securitisations: A User Guide
STS Securitisations: A User Guide 17
Slide 18: EDITOR Demonstration
EDITOR Demonstration STS Securitisations: A User Guide 18
Slide 19: Questions & Answers
Questions & Answers STS Securitisations: A User Guide 19
Slide 20: We Want to Hear From You!
We Want to Hear From You! Please complete our survey A survey will appear on your screen at the end of our presentation. Please take a few moments to complete it and let us know how we can continue to improve. STS Securitisations: A User Guide 20
Slide 21: Contact us
Contact us Dr. Christian Thun Joel Penn Carlos Castro Vlad Zlotnikovs Chief Executive Officer Manager – Sales & Customer Relations Director – Solutions Specialist Assistant Director – Sales christian.thun@eurodw.eu joel.penn@eurodw.eu carlos.castro@moodys.com vladimirs.zlotnikovs@moodys.com +49 69 5
Slide 22: Moody's legal disclaimer
© 2020 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All To the extent permitted by law, MOODY’S and its directors, officers, employees, agents, representatives, licensors and suppliers disclaim liabilit
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