Market Coverage Analysis for ABS Deals 2022
This analysis provides insights into the dataset composition, breakdown by vintages, and active ABS transactions for May 2022. It includes information on RMBS, AUTO, and SME deals, along with the loan count calculations based on the total number of loans reported in the latest submissions for each transaction.
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Information Classification: Internal Use ABS MARKET COVERAGE 2022
31 M A Y 2022 DATASET COMPOSITION AS OF M onthly D eal C reation* (no. of deals) 25 SME 20 RMB 15 LES 10 CRE 5 CMR 0 01 2021 01 2022 02 2021 02 2022 03 2021 03 2022 04 2021 04 2022 05 2021 05 2022 06 2021 06 2022 07 2021 07 2022 08 2021 08 2022 09 2021 09 2022 10 2021 10 2022 11 2021 11 2022 12 2021 12 2022 AUT B reakdown by V intages* (no. of deals) 140 SME 120 100 RMB 80 LES 60 CRE 40 CMR 20 0 AUT 99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 Source: European DataWarehouse
31 M A Y 2022 DATASET COMPOSITION AS OF E D A B S T ransactions (no. of deals) 0 50 100 150 200 250 300 350 400 450 ES IT NL DE FR UK PT IE BE SE AUT CMR CRE LES RMB SME E D A ctive A B S T ransactions 0 50 100 150 200 250 ES IT NL DE FR UK PT IE BE GR AUT CMR CRE LES RMB SME 1 Austria, Sweden, Norway, Finland and Luxembourg are not included in the chart
RMBS A total of RMBS Deals & mn loans or loan parts 785 16.62 LOANS OR LOAN PARTS DEALS SPAIN NETHERLANDS NETHERLANDS FRANCE ITALY SPAIN UK ITALY PORTUGAL UK IRELAND BELGIUM FRANCE GERMANY BELGIUM PORTUGAL GERMANY IRELAND GREECE SWEDEN SWEDEN NORWAY GREECE 0 50 100 150 200 0 1000 2000 3000 4000 The loan count calculation is based on the total number of loans reported in the latest submission only for each transaction. All amounts in 000s (k)
AUTO A total of AUTO Deals & mn loans or loan parts 304 18.82 DEALS LOANS OR LOAN PARTS GERMANY GERMANY FRANCE FRANCE ITALY SPAIN UK UK ITALY SPAIN FINLAND PORTUGAL NORWAY NETHERLANDS NETHERLANDS FINLAND PORTUGAL NORWAY AUSTRIA AUSTRIA IRELAND IRELAND BELGIUM MULTICOUNTRY MULTICOUNTRY BELGIUM 0 50 100 150 0 2000 4000 6000 8000 The loan count calculation is based on the total number of loans reported in the latest submission only for each transaction. All amounts in 000s (k)
SME A total of SME Deals & mn loans or loan parts 209 2.36 DEALS LOANS OR LOAN PARTS SPAIN SPAIN ITALY ITALY FRANCE FRANCE BELGIUM PORTUGAL GERMANY GERMANY PORTUGAL MULTICOUNTRY NETHERLANDS BELGIUM LUXEMBOURG NETHERLANDS MULTICOUNTRY LUXEMBOURG 0 200 400 600 800 0 20 40 60 80 100 The loan count calculation is based on the total number of loans reported in the latest submission only for each transaction. All amounts in 000s (k)
CONSUMER A total of Consumer Deals & mn loans or loan parts 150 33.89 DEALS LOANS OR LOAN PARTS ITALY ITALY SPAIN SPAIN FRANCE FRANCE GERMANY GERMANY NETHERLANDS NETHERLANDS PORTUGAL PORTUGAL MULTICOUNTRY MULTICOUNTRY 0 5000 10000 15000 0 10 20 30 40 50 60 70 The loan count calculation is based on the total number of loans reported in the latest submission only for each transaction. All amounts in 000s (k)
LEASING A total of Leasing Deals & mn loans or loan parts 0.66 54 LOANS OR LOAN PARTS DEALS ITALY ITALY GERMANY GERMANY SPAIN SPAIN UK UK PORTUGAL PORTUGAL SWEDEN SWEDEN 0 10 20 30 40 0 100 200 300 400 500 The loan count calculation is based on the total number of loans reported in the latest submission only for each transaction. All amounts in 000s (k)
CREDIT CARD A total of Credit Card Deals & mn loans or loan parts 14 19.21 DEALS LOANS OR LOAN PARTS UK FRANCE FRANCE SPAIN SPAIN UK BELGIUM IRELAND IRELAND BELGIUM PORTUGAL PORTUGAL 0 2000 4000 6000 8000 10000 12000 0 1 2 3 4 5 The loan count calculation is based on the total number of loans reported in the latest submission only for each transaction. All amounts in 000s (k)
CMBS A total of CMBS Deals & Loans or loan parts 5 12 DEALS LOANS Italy Ireland Ireland Germany Netherlands Multicountry France France Germany Italy Belgium 0 1 2 3 4 5 0 0.5 1 The loan count calculation is based on the total number of loans reported in the latest submission only for each transaction. All amounts in 000s (k)
LATEST DEALS The below list includes some of the latest public deals available in our database as of 25 MARCH Country of Securitised Assets Asset Class Deal Size (in M) Deal Name Data Owner France ELIDE II 2021-01 RMB BRED BANQUE POPULAIRE 2920 Germany Globaldrive Auto Receivables 2021-A B.V. AUT Ford Bank GmbH 546.5 Italy IHC 1908 S.R.L. OTH IHC 1908 S.R.L. 197 Netherlands Dutch Property Finance 2021-1 B.V. RMB RNHB B.V. 523 Netherlands Green STORM 2021 B.V. RMB Obvion N.V. 526.4 Spain BBVA CONSUMO 11 FT CMR EUROPEA DE TITULIZACION S.A. S.G.F.T. 2500 United Kingdom Wilmington Cards 2021-1 plc CRE UniCredit Bank AG 4300 (GBP) Retiro Mortgage Securities Designated Activity Company Phoenix Funding 7 Designated Activity Company Retiro Mortgage Securities Designated Activity Company Spain MIX 500 Ireland RMB KBC Bank Ireland plc 5880 Multi Country BL Consumer Credit 2021 CMR Buy Way Personal Finance 338 United Kingdom Bumper UK 2021-1 AUT LeasePlan Corporation N.V. 500 (GBP) France FCT LAFAYETTE 2021 SME BNP Paribas 2000
COVERED BONDS A total of 4 Covered Bonds have been uploaded to European DataWarehouse BPER OBG1 BPER OBG2 UNICREDIT OBG S.R.L. UNICREDIT BPC MORTGAGE S.R.L. Data Owner: BPER Banca S.p.A. Data Owner: BPER Banca S.p.A. Data Owner: UniCredit S.p.a. Data Owner: UniCredit S.p.a. EDW Code: EDW Code: EDW Code: EDW Code: CBOMIT000103100420115 CBOSIT000061101420129 CBOSIT000061101520084 CBOMIT000103100620151 Vintage: 2011 Vintage: 2012 Vintage: 2008 Vintage: 2015 Country: Italy Country: Italy Country: Italy Country: Italy Original Deal Size (in millions): 7000.0 Original Deal Size (in millions): 25000.0 Original Deal Size (in millions): 35000.0 Original Deal Size (in millions): 5000.0
NPLS PRESENT IN RMBS LOAN-LEVEL DATA DATE OF 31 MARCH 2022 CUMULATIVE NUMBER OF LOANS DEFAULTED AND 90 DAYS IN ARREARS FOR RMBS UP TO THE POOL CUT OFF Account Status ever in Default or Arrears ever 90 days or above Total Account Status ever in Default Country Deals Loans Borrowers Loans Borrowers Loans 218 200 145 42 54 44 52 21 776 2,652,867 7,135,507 2,496,299 861,648 3,486,040 6,647,552 612,196 2,130,112 26,022,221 159,129 59,838 138,146 45,795 58,420 52,229 60,041 22,799 596,397 167,033 101,392 163,242 56,428 70,239 55,573 63,098 27,735 704,740 88,160 33,207 74,933 29,614 6,277 24,197 11,023 11,851 279,262 92,750 48,016 86,312 33,387 8,508 26,277 12,697 13,724 321,671 ES NL IT PT UK FR IE BE Total Note: Account Status of Default is according to the European Central Bank (ECB) taxonomy when "Default or Foreclosure on the loan per the transaction definition" (AS121) is indicated as "Y" 90 Days in Arrears is according to the European Central Bank (ECB) taxonomy when "Number of Days in Interest Arrears" (AS116) or "Number of Days in Principal Arrears" (AS118) is greater than or equal to 90
NPLS PRESENT IN SME LOAN-LEVEL DATA CUMULATIVE NUMBER OF LOANS DEFAULTED AND 90 DAYS IN ARREARS FOR SME UP TO THE POOL CUT OFF DATE OF 31 MARCH 2022 Account Status ever in Default or Arrears ever 90 days or above Total Account Status ever in Default 98 65 16 10 6 1,534,611 1,123,134 5,936,281 199,355 914,400 86,270 63,552 5,156 9,886 11,461 95,658 73,369 5,968 11,180 17,409 65,340 35,824 2,741 8,386 7,846 72,897 41,307 3,193 9,605 12,467 ES IT FR PT BE 4 51,252 2,752 3,680 2,707 3,621 NL Total 199 9,759,033 179,077 207,264 122,844 143,090 Note: Account Status of Default is according to the European Central Bank (ECB) taxonomy: when "Default or Foreclosure on the loan per the transaction definition" (AS121) is indicated as "Y" 90 Days in Arrears is according to the European Central Bank (ECB) taxonomy when "Number of Days in Interest Arrears" (AS116) or "Number of Days in Principal Arrears" (AS118) is greater than or equal to 90
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