From mid-March 2020, most European countries enacted social distancing measures to control the COVID-19 pandemic.

Despite the severity of the crisis, mortgage delinquencies generally increased only moderately in Q2 2020, and receded to pre-COVID-19 levels in most markets afterwards. In such circumstances, loan moratoria/payment holidays, are a fairer indicator of performance than arrear levels.

Given the lack of reporting homogeneity for moratoria/payment holidays, in this Q1 2021 RMBS Report, we have therefore identified three types of loan modifications likely to indicate a payment holiday or moratorium.

We find that periodic loan modifications peaked in March/April/May 2020 and decreased over the summer. From September 2020, loan modifications were trending back towards their pre-pandemic levels. Additionally, payment holiday observations differ widely across European countries, likely reflecting the varying severity levels of the crisis and the measures implemented to counter its effects.

Loan modifications due to COVID-19 are, for example, lowest in the Netherlands and highest in the UK. We also find that the kind of maturity extension observed has changed during the crisis, with most extensions concentrated in the 4 to 12-month range.

In most countries, loan amortisation patterns have not substantially changed as a result of the crisis, except in the most affected countries, such as Portugal and Italy, where principal amortisation has visibly slowed down.

Looking into borrower characteristics, we find that those with higher loan-to-value (LTV) loans are most likely to have had an extension, reflecting their higher risk. As found in other markets, the self-employed appear to have benefitted more from loan modifications compared to civil servants and pensioners.


Please download the full PDF report here or refer to our COVID-19 RMBS Tracker Excel for more details.


PLEASE NOTE: The December 2020 results published in this report were calculated with the data available as of mid-February 2021 and these are thus based on an incomplete data set, due to the reporting lag (please refer to our Data Timing & Timeliness Report).  Our results are also based on securitisation data, which does not fully represent lenders’ assets:

  • Securitised loans tend to be of better quality than non-securitised loans.
  • Securitisation is not equally important in all countries and to all lenders.
  • Large securitisations may disproportionately affect the overall statistics (Refer to our Data Availability Report).

European DataWarehouse GmbH’s research team produces a number of annual indices and special research reports to highlight current trends in European the asset-backed security (ABS) market. The data set includes more than 2.5 billion loan-level data points from commercial mortgage-backed securities (CMBS), residential mortgage-backed securities (RMBS), small business loans, auto loans, consumer finance, credit cards and other ABS transactions.

Users can access the data on the ABS platform with European DataWarehouse’s cloud-based solutions EDITOR and EDVANCE, or a standard API interface, and analyse and compare underlying portfolios.

Data used in this research is uploaded by ABS issuers to comply with European Securities and Markets Authority (ESMA) and European Central Bank (ECB) regulatory requirements for asset-backed securitisation transactions, as well as Bank of England loan level data requirements.

For custom research reports or information on how to access the loan-level data yourself, please contact us at Furthermore, if you have conducted research with our ABS data and would like us to feature it, please email us.