Indeed, in the EU securitised products by and large far outperformed their US counterparts: by one estimate the default rate of ABSs in the EU was just 1.4% from mid-2007 to the first quarter of 2013, compared 17.4% in the US.3 For senior tranches of European SME ABS, there have been no defaults.
The NGFS is exploring additional scenarios and looking at options for introducing shortterm scenarios. Moreover, the NGFS aims to further expand and improve the sectoral granularity and the geographic coverage as well. Other factors to consider going forward are geopolitical shifts and changes in global energy markets.