Data Deep Dive: EDW’s Public Securitisations Data Now Totals Nearly €835 Billion

As of Q2 2024, the outstanding amount of loans uploaded to EDW totalled almost €835 billion from 12 European countries. This value is down from a historical high of nearly €1 trillion in 2014-Q3, and has consistently been at around €835 billion since 2018-Q4 whereas the number of outstanding public securitisations is at a historical low (Exhibit 1).

Exhibit 1: Number of Outstanding Securitisations vs Outstanding Amounts

Source: European DataWarehouse

The lesser number of outstanding deals was partly offset by the increasing size of some securitisations. The largest outstanding securitisation is now the French RMBS deal “BPCE Master Home Loans” with a €94 billion outstanding balance, which represents more than 10% of the EUR835 billion now on our platform. The largest ten securitisations on our platform account for €273 billion, almost one third of the total. These very large securitisations can typically be traced back to the largest lenders in their respective markets. That being said, not all lenders use securitisations, so that the securitised data may not always be representative of the market. Exhibit 2 shows that even in the largest markets (asset class / country), the share of the largest securitisation can be substantial. In France, BPCE MASTER HOME LOANS alone accounts for almost two thirds of the French RMBS universe.

Exhibit 2: Share of the Various Markets in our Database

Source: European DataWarehouse

The presence of a country in our database is partially influenced by the size of its economy, but securitisation is not used in all countries to the same extent. Data origin by country (Exhibit 3) reflects the relative importance of each country in our database. France has the largest securitisation market with an outstanding of €209 billion, Germany is second with €131 billion, and Italy third with €113 billion, ahead of the Netherlands at €108 billion and Spain with €103 billion.

Exhibit 3: Share of the Various Countries in our Database

Source: European DataWarehouse

Securitisation does not matter equally in all countries overtime either. While mortgage securitisations are found in most countries, not all countries are equally represented. Germany accounts for 40%+ of all auto loan amounts, and Italy for a substantial share of the consumer loans and leases (45% and 50%, respectively). For a long time, the Dutch RMBS segment was the most important (in outstanding amount), but now the French RMBS market has become the largest (Exhibit 4).

Exhibit 4: Relative Importance of Key Securitisation Markets

Source: European DataWarehouse

In September 2024, the last data in ECB format was uploaded to our database. Going forward, we will only receive data in ESMA / FCA format. Exhibit 5 shows the type of reporting used for the uploading of data to our database. During a transition phase, many deals reported to both the ECB and ESMA databases, which makes comparisons possible between both, as the ESMA and ECB formats differ on some points.

Exhibit 5: Outstanding Volume of ECB vs ESMA vs FCA Data on our Platform

Source: European DataWarehouse

The data used for this report reflects the data transferred to our upcoming All-in-One Database (AIO), which in one database contains all the ECB, ESMA and FCA data. In AIO, we endeavoured to correct the errors we found (dummy values, decimal point, inconsistencies), and the values in our report reflect these corrections. In our data availability report, currencies are also converted when loan amounts have been reported in a currency other than the Euro. It focuses on loan-level data that is usable for research and omits some uploads whose quality we deemed insufficient (hence many pre 2013-Q3 uploads were not taken in consideration). Given that some data is uploaded either monthly or quarterly, the datasets upon which this report is based include the last available data upload for a given deal as of the end of a natural quarter (March, June, September, December).

Our new Data Availability Report gives a detailed picture of eleven years’ worth of publicly available loan-level securitisation data uploaded to our databases. The key findings were discussed during our Q4 Research Update Webinar, the slides and recording can be viewed on our events page.