CREDIT PERFORMANCE REVIEW · DELOITTE. [email protected]. RECENT REGULATORY DEVELOPMENTS. MARCO ANGHEBEN. 3. EDW is designated as a repository. Dec ‘19. REGULATORY TIMELINE

CREDIT PERFORMANCE REVIEW8 SEPTEMBER 2020

2

CONTENT

• RECENT REGULATORY DEVELOPMENTS

• IMPACT ON CREDIT PERFORMANCE

• EVIDENCE FROM LOAN LEVEL DATA

[email protected]

MARCO ANGHEBENEUROPEAN DATAWAREHOUSE

[email protected]

USMAN JAMILEUROPEAN DATAWAREHOUSE

STEVE WEBBERDELOITTE

[email protected]

RECENT REGULATORY DEVELOPMENTSMARCO ANGHEBEN

3

EDW is designated

as a repository

Dec ‘19

REGULATORY TIMELINE IN 2019-2021

EC: European CommissionEP: European ParliamentESMA: European Securities and Markets AuthorityOJ: Official Journal of the European Union – publication of the Level 2 of the RTS following the translation into the national languages of the European UnionRTS: Regulatory Technical Standards

EP endorses repository RTS OJ

Oct ‘19

EDW as a website pursuant to Art 7(2)

Q3 ‘21

Repository & disclosure regime

Nov ‘19

EP endorses disclosure RTS

Transitional period pursuant to Art 43(8)

Dual/Triple reporting for 2019+ dealsDisclosure regime

Repository

Jan ‘20 03 September

2020

Key Dates

20 days

EC Published

draft Disclosure

RTS

EC Published

draft Repository

RTS

Disclosure regime enters

into force

ESMA Application process

20 days

4

23 September

2020

OJ

5

PUBLICATION OF THE PENDING RTS/ITS IN THE OFFICIAL JOURNAL OF THE EU

https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=OJ:L:2020:289:FULL&from=EN

• On 3 September 2020, the pending Regulatory and Implementing Technical Standards (RTS/ITS) of the Securitisation Regulation (EU) 2017/2402 were published in the Official Journal (OJ)

• These include:• RTS/ITS on disclosure requirements• RTS/ITS on the Securitisation

Repository (SR) registration• RTS on SR operations standards• RTS/ITS on STS Notifications

• The date of entry into force for the published RTS/ITS under the Securitisation Regulation is 23 September 2020

https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=OJ:L:2020:289:FULL&from=EN

6

ENTRY INTO FORCE OF THE SECURITISATION REGULATION REQUIREMENTS

https://www.esma.europa.eu/press-news/esma-news/esma-confirms-securitisation-regulation-requirements-entry-force-23-september

• ESMA has confirmed that the date of entry into force for the published RTS/ITS under the Securitisation Regulation is 23 September 2020

• European DataWarehouse (EDW) intends to submit its application to ESMA on the date the RTS will enter into force.

• In the meantime, EDW already serves the securitisation market as a website compliant with the requirements set out in Article 7 (2) of the Securitisation Regulation (EU) 2017/2402.

7

FCA QUARTERLY CONSULTATION NO 29 - CP20/18

https://www.fca.org.uk/publication/consultation/cp2018-quarterly-consultation-paper-no-29.pdf

• On 4 September 2020, FCA published the Quarterly Consultation No 29 which includes proposals in a number of Binding Technical Standards (BTS) to address the deficiencies which arise as a result of the UK’s withdrawal from the EU

• The amendments, which are mostly either consequential on the Securitisation (Amendment) (EU Exit) Regulations 2019 or minor, relate to:

• transparency requirements; • registration of securitisation repositories;• STS notification requirements; and• risk retention

• The deadlines for comments are:• 5 October 2020 for Chapter 3 and the

Fees (Credit Rating Agencies, Trade Repositories and Securitisation Repositories) Instrument 2020

• 4 November 2020 for Chapters 2 and 4

IMPACT ON CREDIT PERFORMANCESTEVE WEBBER

8

9

CONSUMER CREDIT PERFORMANCE

Social and humanitarian crisis unlike any other

Massive government intervention

Unprecedented impact on financial markets

Economic Impacto Double digit falls in GDP

Impact on Credito Cushioned by policy responseo Spreads have stabilised

Transaction / Ratings Performanceo Better positioned to withstand stresso Downgrades focused on lower rated tranches, deal

specifico Ratings approach adapting

Deal Pipelineo Trickle of dealso Improved pipeline for September

10

THE SECURITISATION REGULATION

Significant Event Reportingo Responsibility of issuers to investorso Relevant across transaction (assets & liabilities)

Payment Holidayso Different levels seen across jurisdictions &

transactionso Nature of forbearance necessitates detailed

reportingo EBA & AFME guidance

Defaults & Delinquencieso Delayed impacto Loan level data analysis & roll rateso Potential impact on triggers

Prepaymentso Significant falls already seeno Potential wave of refinancingo Pent-up demand

Regular update and review of data and information

Availability and quality of data and reporting

Stress Testing

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FAST FORWARD 6 MONTHS…

Continued volatility

Greater differentiation across dealso Arrears & defaults – servicing and collectionso STS and central bank eligibilityo Commitment from issuers

Risks – Second wave, Brexit

Emphasis on due diligence

Emerging themeso Credit quality v. yield, trade offo Government /Regulatory support (e.g. NPLs and synthetic deals) o Green assets

EVIDENCE FROM LOAN LEVEL DATAUSMAN JAMIL

12

13

RMBS INSIGHTS – EU LEVEL

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

Maturity Date Extension Loan Balance Stagnant Payment Due Reduction by 50% Any of 3

Implied Payment Holidays

March April May June July

Source: European DataWarehouse data & calculations

14

RMBS INSIGHTS – EU LEVEL

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1.6%

1.8%

2.0%

Arrears Default Redeemed Repuchased Other

Account Status



15

RMBS INSIGHTS - PER JURISDICTION

0%

5%

10%

15%

20%

25%

BE DE ES FR IE IT NL PT UK EU

Implied Payment Holiday Flags



16

AUTO ABS INSIGHTS - PER JURISDICTION

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

DE ES FR IT PT UK EU

Implied Payment Holiday Flags



17

AUTO ABS INSIGHTS – EU LEVEL

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

Arrears Defaulted Redeemed Repuchased Others

Account Status

Before March April May June July


18

RMBS INSIGHTS - EU LEVEL

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

Employed or full loan isguaranteed

Protected life-time employment(Civil/government servant)

Unemployed Self-employed Pensioner

NEW DELINQUENCIES BY EMPLOYMENT STATUS

Average over previous 6 periods 2020 Q1 2020 Q2


19

CONSUMER ABS INSIGHTS - ITALY

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%


Protected life-timeemployment

(Civil/government servant)

Unemployed Self-employed Student Pensioner


Average over last 6 periods 31st March 2020 30th April 2020


20

CONSUMER ABS INSIGHTS - FRANCE

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

1.60%

1.80%

2.00%



(Civil/governmentservant)

Unemployed Self-employed No employment,borrower is legal entity

Student Pensioner




21

CREDIT CARDS ABS INSIGHTS - SPAIN

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

Employed Protected life-timeemployment

(civil/governmentservant)

Unemployed Self-employed Pensioner Other Total




22

AUTO ABS INSIGHTS - GERMANY

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%

Employed or full loan / leaseis guaranteed


(Civil/government servant)

Unemployed Self-employed No employment, borrower islegal entity

Student Pensioner

IMPLIED HOLIDAYS BY EMPLOYMENT STATUS

Average Before March 2020 Average After March 2020


23

DIGGING DEEPER – AUTO ABS GERMANY

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

IMPLIED HOLIDAYS BY CAR MODEL

Average Before March 2020 Average After March 2020


24

SME ABS INSIGHTS - ITALY

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

NEW DELINQUENCIES BY INDUSTRY

Average over last 6 periods 2020 H1


25

SME ABS INSIGHTS - BELGIUM

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%




26

LEASING ABS INSIGHTS - GERMANY

0.00%

2.00%

4.00%

6.00%

8.00%

10.00%

12.00%

14.00%

16.00%




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14 September Regulatory Update

15-17 September Global ABS Online

1-2 October TSI Online and in Berlin

13 October UK Virtual Workshop

15 October Italian Virtual Workshop

20 October German Virtual Workshop

22 October Spanish Virtual Workshop

03 November Dutch Virtual Workshop

05 November French Virtual Workshop

10 November Portuguese Virtual Workshop

12 November Irish Virtual Workshop

UPCOMING WEBINARS AND EVENTSRegistration links available at https://eurodw.eu/news-events-and-multimedia/events/

https://eurodw.eu/news-events-and-multimedia/events/

EUROPEAN DATAWAREHOUSE GMBH

Walther-von-Cronberg-Platz 2 60594 Frankfurt am [email protected]+49 (0) 69 50986 9017

THANK YOU//CONTACT US

28

Documents

CREDIT PERFORMANCE REVIEW · DELOITTE. [email protected]. RECENT REGULATORY DEVELOPMENTS. MARCO ANGHEBEN. 3. EDW is designated as a repository. Dec ‘19. REGULATORY TIMELINE