DATA AVAILABILITY REPORT Q4 2020
European DataWarehouse’s (EDW) database contains more than seven years of data representing most of Europe’s public securitisations.
The latest EDW Data Availability Report Q4 2020 provides quarterly statistics on the outstanding number of active securitisations, loan amounts, number of loans, borrowers, as well as loan-level data (LLD) uploads to our database. We also drill down to show the outstanding amounts over time for each of the 1436 securitisations, as well as illustrating deal concentration for some of the main markets we cover.
The excel appendix features detailed information for all the deals hosted on our platform. As of Q4 2020, the number of active deals in our database totalled 643 vs 655 in Q4 2013 (Exhibit 1).
The outstanding loan value reduced to €0.8 trillion from €1 trillion in Q4 2013 (Exhibit 2). This decrease is mostly attributed to the decrease in mortgage securitisations (RMBS), from €0.8 trillion to €0.5 trillion over the last 7 years. The reduction has, however, been partly compensated by increases in other asset classes such as consumer loans (CMR). The RMBS asset class currently represents 64% of the outstanding loan amounts in our database compared to 85% in Q4 2013.
The European DataWarehouse platform hosts data from 14 European countries (Exhibit 3).
Whilst the RMBS asset class is common in most countries, some are more prevalent in some countries than in others. For example:
- 60% of the €95 billion of auto loans in our database are from Germany;
- 50% of the €72 billion of consumer loans are from Italy;
- 70% of the €15 billion leases are also from Italy.
The “concentration” section of this report shows the amounts outstanding for every securitisation/market over time, as well as the concentration effects in the main markets (county/asset class). It is important to note that even in well diversified markets, one deal often accounts for a sizeable portion of the total, and such concentration effects should be kept in mind when using the database for research purposes. This is, for example observed in the Dutch RMBS class where one large deal accounts for roughly one third of the total outstanding amount of €150 billion (Exhibit 4).
The loan values in the report are adjusted in some circumstances, particularly in Q4 2013 and Q1 2014 due to some submissions being reported in cents. We also converted the amounts reported in a currency other than the Euro to make the amounts comparable. Given that some LLD (poolcuts) are uploaded monthly and others quarterly, we selected the last available upload for a given deal at the end of a natural quarter (March, June, September, December).
European DataWarehouse GmbH’s research team produces a number of annual indices and special research reports to highlight current trends in the European ABS market. The data set includes more than 3 billion loan-level data points from commercial mortgage-backed securities, residential mortgage-backed securities, 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 EDITOR Insights, 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 firstname.lastname@example.org. Furthermore, if you have conducted research with our ABS data and would like us to feature it, please email us.