first synthetic securitization of sme loans in...
TRANSCRIPT
Page
1M
ay 2
008
Firs
t Syn
thet
ic S
ecur
itiza
tion
of
SM
E L
oans
in C
EE
Less
ons
Lear
ned
Wor
ldba
nk C
onfe
renc
eB
ratis
lava
, May
16
2008
Page
2M
ay 2
008
The
prof
itabi
lity
of C
EE b
anki
ng b
usin
ess f
requ
ently
supp
orts
a
risk
trans
fer t
hrou
gh se
curit
isatio
ns–
Secu
ritisa
tion
is an
alte
rnat
ive
to c
onve
ntio
nal e
quity
.
–Th
e tra
nsac
tion
signi
fican
tly in
crea
ses t
he R
OE
Giv
en th
e d
ynam
ic g
row
th ra
tes,
the
freed
-up
regu
lato
ry a
nd
econ
omic
cap
ital is
re-e
mpl
oyed
ver
y qu
ickl
y.
Why
secu
ritisa
tion?
Page
3M
ay 2
008
Fund
ing
was
not
an
issue
than
ks to
acc
ess t
o liq
uid
ity
Com
bini
ng th
e po
rtfol
ios o
f tw
o or
igin
ator
s onl
y ap
pear
ed
poss
ible
with
a sy
nthe
tic st
ruct
ure
–A
true
-sal
e se
curit
isatio
nfo
r tw
o co
untri
es w
ould
hav
e be
en p
ossib
le o
nly
with
an
exce
ssiv
e st
ruct
urin
g w
ork
–W
e us
e a
varie
ty o
f und
erly
ing
prod
ucts
whi
ch a
re p
artly
al
so se
cure
d. T
his w
ould
hav
e cr
eate
d n
umer
ous
add
ition
al le
gal is
sues
.
A sy
nthe
tic st
ruct
ure
allo
wed
us t
o re
ach
Aaa
-ratin
g le
vels
and
ther
efor
e pr
ovid
ed a
n at
tract
ive
pric
ing.
Why
Syn
thet
ic S
ecur
itisa
tion?
Page
4M
ay 2
008
KfW
as m
ain
cou
nter
party
in th
e tra
nsa
ctio
n
Stro
ng c
ount
erpa
rty b
ecau
se o
f Ger
man
Sta
te
Gua
rant
ee
Stro
ng su
ppor
t with
kno
w-h
ow tr
ans
fer –
not o
nly
inte
rmed
iary
but
also
ad
viso
r rol
e.
Cle
ar a
dva
nta
ge o
f usin
g m
ain
fea
ture
s of K
fW´s
Prom
ise P
latfo
rm
KfW
Invo
lvem
ent
Page
5M
ay 2
008
Stre
ngth
s of P
rom
ise P
latfo
rm
The
mai
n fe
atur
es o
f sta
ndar
dise
d se
curit
isatio
n in
frast
ruct
ure
are:
-Tr
ansa
ctio
n st
ruct
ure
(syn
thet
ic w
ith fu
nded
mez
zani
ne tr
anc
he)
-St
and
ard
Doc
umen
tatio
n (t
o a
larg
e ex
tent
)-
Swap
auc
tion
proc
ess f
or su
per-s
enio
r sw
ap (n
ot re
quire
d in
RO
OF
CEE
200
6-1)
-Un
iform
col
late
ral (
KfW
pap
er)
-Un
iform
cal
l fea
ture
s-
Unifo
rm lo
ss a
lloca
tion
prin
cipl
es (r
ealis
ed lo
sses
)-
Sim
ilarc
red
it ev
ent d
efin
ition
(fai
lure
to p
ay, i
nsol
venc
y,
rest
ruct
urin
g)
Page
6M
ay 2
008
Diff
eren
ces t
o Pr
omise
?
PRO
MIS
E “l
ight
”-s
imila
r to
PRO
MIS
E pl
atfo
rm, b
ut so
me
dist
inct
ive
diffe
renc
es-
Two
ind
epen
den
t ban
k sw
aps w
ith o
rigin
ator
s-
Sub-
pool
s are
not
ind
ivid
ually
tran
ched
and
rate
d-
KfW
com
bine
s the
sub-
pool
s of P
olish
and
Cze
ch S
ME
risks
-N
o SP
V, i
.e. t
rans
actio
n is
unfu
nded
(ful
ly sy
nthe
tic)
-O
ne ra
ting
agen
cy o
nly
(Moo
dy’
s)-
Priv
ate
plac
emen
t –bu
t pub
lic ra
ting
CDS
are
den
omin
ate
d in
EUR
(des
pite
thre
e cu
rrenc
ies i
n po
ol)
Repl
enish
men
t per
iod
of u
p to
5 y
ears
per
mits
orig
inat
ors
-to
real
ize e
cono
mie
s of s
cale
(ie
amor
tisat
ion
of u
p fro
nt c
ost)
-pr
ovid
es fo
r con
tinui
ng su
ppor
t of n
ew b
usin
ess
Page
7M
ay 2
008
Cas
e st
udy:
RO
OF
CEE
200
6-1
-the
orig
inat
ors
-Fou
nded
in 1
991
-Tot
al a
sset
s 200
6: E
UR 4
bl
n-N
et p
rofit
200
6: E
UR 6
5 m
ln-2
,194
em
ploy
ees
-Mar
ket s
hare
in P
olan
d
5,2
%
Raiff
eise
n Ba
nk P
olsk
a S.
A. (
RBPL
)
-Fo
und
ed in
199
3-
Tota
l ass
ets 2
007:
EUR
4,6
bln
-N
et p
rofit
200
7: E
UR 3
6 m
ln-
2,50
0 em
ploy
ees
-Fi
fth b
igge
st b
ank
in C
zech
Re
publ
ic-
SMEs
are
one
of t
he m
ost
impo
rtant
gro
up o
f clie
nts (
mak
e up
36
% o
f all l
oans
), m
arke
t sh
are:
7,8
%
Raiff
eise
nban
k a.
s. (R
BCZ)
Page
8M
ay 2
008
Dev
elop
men
t SM
E Po
rtfol
ios
-C
ompo
und
ed y
oygr
owth
of
SME
busin
ess 9
%-
Ma
jorit
y of
loa
n te
nor i
n th
e ar
ea o
f bel
ow y
ear,
incr
ease
in
the
1 to
3 y
ears
buc
ket
-St
rong
ly re
pres
ente
d in
dus
tries
: tra
de
and
man
ufac
turin
g
Raiff
eise
n Ba
nk P
olsk
a S.
A. (
RBPL
)
-St
rong
gro
wth
in S
ME
lend
ing:
av
erag
e ye
arly
gro
wth
+20
%
dur
ing
last
7 y
ears
-Te
nden
cies
to in
vest
men
t loa
ns
with
long
er m
atu
ritie
s esp
ecia
lly
with
teno
rs a
bove
5 y
ears
-W
orki
ng c
apita
l fin
ance
with
shor
t te
rm-
Stro
ngly
repr
esen
ted
ind
ustri
es
Food
and
Rea
l est
ate
-cu
stom
ers r
egio
nal c
once
ntra
tion
in th
e Pr
ague
(app
rox
50%
)
Raiff
eise
nban
k a.
s. (R
BCZ)
Page
9M
ay 2
008
-A
vera
ge q
ualit
y of
poo
l: BB
+ (B
a1) o
r bet
ter
-M
axim
al W
eigh
ted
Ave
rage
Life
time
(WA
L) o
f poo
l: 4,
5 ye
ars
-Re
plen
ishin
g po
ols p
ossib
le-
Max
imum
sing
le o
blig
or c
once
ntra
tion
of p
ool u
p to
1%
-M
axim
um si
ngle
ind
ustri
al se
ctor
con
cent
ratio
n up
to 1
5% o
f tot
al p
ool;
furth
erm
ore,
up
to 3
ind
ustri
al se
ctor
s cou
ld h
ave
a sh
are
of m
ore
than
10%
ea
ch o
f the
poo
l -a
s lon
g as
thei
r com
bine
d sh
are
wou
ld n
ot e
xcee
d 3
5%
of th
e po
ol (a
ccor
din
g to
indu
stria
l sec
tor c
odifi
catio
n of
ratin
g ag
enci
es)
-M
axim
um a
ggre
gate
“To
p 10
”ob
ligor
con
cent
ratio
n”up
to 7
% o
f tot
al
pool
-M
inim
um c
olla
tera
l req
uire
men
t for
poo
l not
less
than
50%
KfW
Refe
renc
e Po
ol R
equi
rem
ents
Page
10
May
200
8
-C
laim
s are
SM
Es a
ccor
din
g to
KfW
-def
initi
onof
“M
ittel
stan
dsk
red
it”(i.
e.
loan
s to
ent
erpr
ises w
ith y
early
reve
nues
not
exc
eed
ing
EUR
500m
)-
SME
ass
ets a
ccor
din
g to
EIF
def
initi
on*
(i.e.
EU
def
initi
on a
s of J
anua
ry 1
, 20
05);
larg
er o
blig
ors (
i.e. c
ompa
nies
with
up
to 3
,000
em
ploy
ees)
may
a
lso b
e in
clud
ed b
ut sh
ould
not
repr
esen
t mor
e th
an [e
.g. 2
5%] o
f the
po
ol-
Elig
ible
refe
renc
e cl
aim
s are
SM
E as
sets
like
loan
s and
gua
rant
ees
-Re
fere
nce
clai
ms a
re p
erfo
rmin
g SM
E as
sets
as o
f the
cut
-off
dat
e-
Each
ind
ivid
ual r
efer
ence
cla
im c
arrie
s a m
inim
um ra
ting
equi
vale
nt to
"B
" (B2
)-
Refe
renc
e cl
aim
s are
free
of T
hird
Par
ty R
ight
s
Elig
ibilit
y cr
iteria
Page
11
May
200
8
Ref.
Obl
igat
ions
: –
EUR,
CZK
and
PLN
den
omin
ated
co
rpor
ate
loan
s to
Cze
ch a
nd
Polis
h SM
E bo
rrow
ers (
incl
udin
g bo
rrow
ers w
hich
are
cla
ssifi
ed a
s co
rpor
ate
borro
wer
s)N
umbe
r of R
ef. O
blig
atio
ns:
–1,
256
Num
ber o
f Bor
row
ers:
–94
2G
eogr
aphi
c D
iver
sity:
–Po
land
59.
41%
,C
zech
Rep
ublic
40.
59%
Rem
aini
ng T
erm
:–
Ave
rage
14.
11 m
onth
s, m
in 0
mon
ths,
max
59
mon
ths
Portf
olio
Cha
ract
erist
ics
WA
Inte
rnal
Rat
ing:
–2.
49M
ax. S
ingl
e Bo
rrow
er:
–0.
70%
Max
. Sin
gle
Ind
ustry
:–
appr
ox. 1
5%C
losin
g –
Mar
ch 2
006
Vol
ume
–EU
R 45
0 m
lnA
sset
s–
SME
Loan
sRe
plen
ishm
ent
–5
year
sA
vera
ge T
enor
–
appr
ox. 7
yea
rs
Page
12
May
200
8
RBC
Z
RBPL
Supe
r Sen
ior
83.9
%
Aa
a6%
Aa
2 1.
7%
A2
2.8%
Ba2
2.8%
Com
bine
d
Refe
renc
e Po
ol
EUR
450
mln
Risk
Sel
ler
KfW
-Pla
tform
Risk
Tak
er
P ort f
olio
CD
SEU
R 18
3 m
ln
Firs
t Los
sPie
ce2.
8%
P ort f
olio
CD
SEU
R 26
7 m
ln
RI
ROO
F C
EE 2
006-
1Fi
nal S
truct
ure
app
lied
Page
13
May
200
8
ROO
F C
EE 2
006-
1 D
elin
quen
cies
0%1%2%3%4%5%6%7%8%9%10% Ju
n.06Ju
l.06 Aug.06
Sep.06
Okt.06 Nov.0
6 Dez.06 Jä
n.07Fe
b.07 Mär.07 Apr.07 Mai.07 Ju
n.07Ju
l.07 Aug.07
Sep.07
Okt.07 Nov.0
7 Dez.07 Jä
n.08Fe
b.08 Mär.08
1 - 3
0 d
ays
31 -
60 d
ays
61 -
90 d
ays
Page
14
May
200
8
ROO
F C
EE 2
006-
1 Re
plen
ishm
ent
0
100
200
300
400
500
600
700
800
900
1.00
0Jun.06Jul.06
Aug.06Sep.06Okt.06
Nov.06Dez.06Jän.07Feb.07Mär.07Apr.07Mai.07Jun.07Jul.07
Aug.07Sep.07Okt.07
Nov.07Dez.07Jän.08Feb.08Mär.08
Volume in EUR mln
1.20
0
1.25
0
1.30
0
1.35
0
1.40
0
1.45
0
Mon
thly
Rep
leni
shm
ent
Out
stan
ding
vol
ume
EUR
450
mln
Num
ber
of S
ecur
itise
d Lo
ans
Page
15
May
200
8
The
Con
vent
iona
l way
to c
ope
with
ass
et g
row
th
RI G
roup
Loan
sN
et M
argi
n2%
p.a
.EU
R 1
00 m
lnLo
ans
Net
Mar
gin
EUR
2 m
lnp.
a.
Shar
e-ho
lder
s
EUR
10
mln
Equi
ty*
RO
SCC
20%
Mor
eSh
are-
hold
ers
New
Loa
nsN
et M
argi
n1%
p.a
.
Net
Mar
gin
EUR
3 m
lnp.
a.
Mor
eEq
uity
EUR
20
mln
Equi
ty*
EUR
200
mln
Loan
s
15%
*Ass
umin
ga
10%
Eco
nom
icEq
uity
Req
uire
men
t
Page
16
May
200
8
The
bene
fit o
f sec
uriti
satio
n
RI G
roup
Loan
sN
et M
argi
n2%
p.a
.Sh
are-
hold
ers
EUR
10
Equi
ty*
New
Loa
nsN
et M
argi
n1%
p.a
.
Net
Mar
gin
EUR
3 m
lnp.
a.
Secu
ritis
atio
nIn
vest
ors
RO
E23
.75%
EUR
125
mln
Se
curit
isat
ion
0,5%
Cos
t(i.
e.
EUR
0,6
25 m
ln)
EUR
2.37
5mln
Ret
urn
on E
quity
impr
oves
to 2
3.75
%
rath
erth
ande
crea
ses
to 1
5%
*Ass
umin
ga
10%
Eco
nom
icEq
uity
Req
uire
men
t
EUR
125
mln
Se
curit
isat
ion
EUR
200
mln
Page
17
May
200
8
Som
eco
nsid
erat
ions
rega
rdin
gBa
sel 2
Base
l 2 re
duc
es th
e ris
k w
eigh
t for
cer
tain
hig
h-qu
ality
reta
il po
rtfol
ios a
nd th
us re
duc
e th
e eq
uity
-relie
f effe
ct o
f sec
uriti
satio
nsfo
r the
se a
sset
s–
Secu
ritisa
tion
will
beco
me
inte
rest
ing
for m
id-c
ap c
orpo
rate
and
SM
E po
rtfol
ios b
ut a
lso fo
r hig
h yi
eld
con
sum
er lo
an p
ortfo
lios
–Se
curit
isatio
nw
ill br
ing
little
ben
efit
for h
igh-
qual
ity m
ortg
age
loan
po
rtfol
ios.
–Fo
r hig
h qu
ality
loan
s fun
din
g is
mor
e pr
evai
ling
–Se
lling
low
er ra
ted
and
eve
n fir
st-lo
ss tr
anc
hes w
ill be
com
e in
crea
singl
y a
n iss
ueSe
curit
isatio
nis
an e
ffici
ent t
ool t
o re
duc
e th
e ca
pita
l vol
atilit
y ot
herw
ise o
ccur
ring
und
er B
ase
l 2W
ith c
erta
in sh
ifts o
f foc
us, B
asel
2 w
ill fu
el se
curit
isatio
nsfu
rther
Page
18
May
200
8
The
pote
ntia
l for
the
futu
re
Tra
nsa
ctio
n a
llow
ed R
BPL
and
RBC
Z to
div
ersif
y th
eirc
apita
l sou
rces
-r
isk tr
ansf
er a
s alte
rnat
ive
stra
tegy
to a
cces
s eq
uity
at c
ompe
titiv
e co
stSt
ruct
ure
help
s orig
inat
ors t
o su
stai
n gr
owth
pro
cess
and
furth
er
lend
ing
to S
MEs
–at
com
petit
ive
mar
gins
We
cons
ider
app
lyin
g sy
nthe
tic st
ruct
ures
also
in th
e fu
ture
–w
hen
our f
und
ing
cost
are
bel
ow a
cer
tain
thre
shol
d–
whe
n w
e lo
ok a
t non
-sta
ndar
dize
d p
rod
ucts
–w
hen
we
wan
t por
tfolio
s of s
ever
al u
nits
Con
sider
ing
the
abov
e, sy
nthe
tic st
ruct
ures
may
be
the
obvi
ous
choi
ce fo
r–
Pola
nd, t
he C
zech
and
Slo
vak
Repu
blic
s, H
unga
ry a
nd S
love
nia
–in
gen
eral
for m
id-c
ap a
nd S
ME
portf
olio
s –w
hich
is o
ptim
al a
lso
for B
asel
2 p
urpo
ses