Information Classification: Restricted GERMAN WEBINAR MAY 2020
Information Classification: Restricted ON TODAY’S CALL DR. CHRISTIAN THUN +49 69 50986 9305 christian.thun@eurodw.eu MARTIN KUHN +49 69 50986 9307 martin.kuhn@eurodw.eu IRA-MARIA PARALLOJ +49 69 50986 9313 ira.paralloj@eurodw.eu 2
Information Classification: Restricted AGENDA • WELCOME AND INTRODUCTION • COVID-19 UPDATES • STATE FUNDED ECONOMIC SUPPORT AND EUROSYSTEM UPDATES • COVID-19 IN OUR DATA • ECB REPORTING GUIDELINES DURING COVID-19 • REGULATORY UPDATE • EDITOR LATEST RELEASE • Q&A 3
Information Classification: Restricted STATE FUNDED ECONOMIC SUPPORT EUROSYSTEM UPDATES DR. CHRISTIAN THUN
Information Classification: Restricted GOVERNMENTS MEASURES Measure/ Rent support Mortgage/ Wage support to furloughed employees SMEs Country Debt forebearance Germany No lease termination in Consumer credit agreements 1. Short term allowance covering 60% of 1. Programs to ensure liquidity case of non payment April- finalised before 15° Mar and shortfall in working hours/compensation availability (covering working June payment falling in Apr-Jun can of impacted workers paid to firms; 2. capital, syndicated loans) for firms be deferred by 3m Financial support for micro via KfW, guarantee banks backed by enterprises/self-employed not covered state guarantees. 2. Moratorium on under the short term allowance. EUR 900- tax payments 3. Small businesses 15k for up to 5/10 employees and EUR 5k can defer payment on contractual for freelancers obligation if affected Source: Deutsche Bank Research 5
Information Classification: Restricted ECB PRESS RELEASE AS OF 7 APRIL 2020 The emergency collateral package contains various features, the ones for affecting ABS are as follows: Governing Council (GC) decided to temporarily increase its risk • tolerance level in credit operations through a general reduction of collateral valuation haircuts by a fixed factor of 20%. GC decided on a set of collateral measures to facilitate an increase in • bank funding against loans to corporates and households. GC decided to temporarily extend the additional credit claims (ACC) frameworks further by: Accommodating the requirements on guarantees to include o government and public sector guaranteed loans to corporates, SMEs and self-employed individuals and households Full release is available here. • 6
Information Classification: Restricted INCREASE OF THE EUROSYSTEM’S RISK TOLERANCE 7
Information Classification: Restricted ECB PRESS RELEASE AS OF 22 APRIL 2020 The following decisions have been taken: Marketable assets and issuers of these assets that met • the minimum credit quality requirements for collateral eligibility on 7 April 2020 (BBB- for all assets, except asset-backed securities (ABSs)) will continue to be eligible in case of rating downgrades, as long as their rating remains at or above credit quality step 5 (CQS5, equivalent to a rating of BB) on the Eurosystem harmonised rating scale. This ensures that assets and issuers that were investment grade at the time the Governing Council adopted the package of collateral easing measures remain eligible even if their rating falls two notches below the current minimum credit quality requirement of the Eurosystem. To be grandfathered, the assets need to continue to fulfil • all other existing collateral eligibility criteria. Future issuances from grandfathered issuers will also be • eligible provided they fulfil all other collateral eligibility criteria. Currently eligible covered bond programmes will also be • grandfathered, under the same conditions. Currently eligible ABSs to which a rating threshold in the • general framework of CQS2 applies (equivalent to a rating of A-) will be grandfathered as long as their rating remains at or above CQS4 (equivalent to a rating of BB+). Assets that fall below the minimum credit quality • requirements will be subject to haircuts based on their actual ratings. Full release is available here. 8
Information Classification: Restricted COVID-19 IN OUR DATA IRA-MARIA PARALLOJ
Information Classification: Restricted COVID-19 IN OUR DATA We’re already starting to see the impacts of COVID -19 in our data Not all deals have reported LLDs yet 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% RMB AUT CMR SME LES CRE Total 31st March'2020 data available Data not yet available 10
Information Classification: Restricted COVID-19 IN OUR DATA AUTO - Periodic New Delinquencies across European loans Periodic New Delinquencies 0.60% 0.50% 0.40% 0.30% 0.20% 0.10% 0.00% Employed or full loan is No employment, borrower Self-employed Pensioner Protected life-time Student Unemployed Total guaranteed is legal entity employment (Civil/government servant) Average over last 6 periods 31st March 2020 11
Information Classification: Restricted COVID-19 IN OUR DATA AUTO - Periodic New Delinquencies across European loans New delinquency rate, average before 31 March 2020 vs after 1.4% 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% Before After Before After Before After Before After Before After Before After DE ES FR IT PT UK Employed or full loan is guaranteed Self-employed 12
Information Classification: Restricted COVID-19 IN OUR DATA RMBS - Periodic New Delinquencies across European loans Periodic New Delinquencies 0.70% 0.60% 0.50% 0.40% 0.30% 0.20% 0.10% 0.00% Employed or full loan is Self-employed Pensioner Protected life-time employment Unemployed Total guaranteed (Civil/government servant) Average over last 6 periods 31st March 2020 13
Information Classification: Restricted COVID-19 IN OUR DATA RMBS - Periodic New Delinquencies across European loans New delinquency rate, average before 31 March 2020 vs after 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% Before After Before After Before After Before After Before After Before After Before After Before After Before After BE DE ES FR IT NL PT UK IE Employed or full loan is guaranteed Self-employed 14
Information Classification: Restricted COVID-19 IN OUR DATA CMR - Periodic New Delinquencies across European loans Periodic New Delinquencies 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% Employed or full loan is Self-employed Pensioner Protected life-time employment Unemployed Total guaranteed (Civil/government servant) Average over last 6 periods 31st March 2020 15
Information Classification: Restricted COVID-19 IN OUR DATA CMR - Periodic New Delinquencies across European loans New delinquency rate, average before 31 March 2020 vs after 6.0% 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% Before After Before After Before After Before After ES FR IT NL Employed or full loan is guaranteed Self-employed 16
Information Classification: Restricted COVID-19 IN OUR DATA AUTO, RMBS - Periodic New Delinquencies across German loans AUTO RMBS 0.35% 0.14% 0.30% 0.12% 0.25% 0.10% 0.20% 0.08% 0.15% 0.06% 0.10% 0.04% 0.05% 0.02% 0.00% 0.00% Employed or full Self-employed Protected life-time No employment, Total Employed or full loan is Self-employed Protected life-time Total loan is guaranteed employment borrower is legal guaranteed employment (Civil/government entity (Civil/government servant) servant) Average over last 6 periods 31st March 2020 Average over last 6 periods 31st March 2020 17
Information Classification: Restricted COVID-19 IN OUR DATA LEASING- Periodic New Delinquencies across German Leasings Sub industries with the highest increase in New Delinquencies 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% Other personal Restaurants and Renting and Other human Retail sale of Wholesale of Hotels and Wholesale on a Other passenger Gambling and Printing and Retail sale of Manufacture of service activities mobile food operating of own health activities other goods in household goods similar fee or contract land transport betting activities service activities other household cutlery, tools service activities or leased real specialised accommodation basis related to equipment in and general estate stores printing specialised hardware stores Average over last 6 periods 31st March 2020 18
Information Classification: Restricted ECB REPORTING GUIDELINES DURING COVID-19 IRA-MARIA PARALLOJ
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