ABS SME Data: The Big Picture
In this report, we provide a general overview of the SME data available in our database1, which includes the loan level data (LLD) of all the public securitisations used for ECB repo collateral from 2013-Q3 to 2018-Q4.2 Our various exhibits show the most salient features of the data and should give a good starting point to research users. Please note that we do not systematically provide explanations for all the observations highlighted in the various exhibits, as this would involve more in-depth work, beyond the scope of this essentially descriptive paper. Nevertheless, we encourage our data users to be curious and “dig deeper”, or eventually contact us if they have questions.
We see that the total outstanding amount of SME loans decreased from a maximum of ca. EUR 85 billion in 2013-Q3 down to less than EUR 60 billion in 2018-Q4, while the number of active loans fluctuated around 750,000. Deal diversification decreased since 2013-Q2, reflecting the termination of legacy deals and the increasing bank concentration in Europe (particularly in Spain). The borrowers are mostly small or very small SMEs, and our database includes few large CLO-type loans. The loans are sometimes securitised long after origination, so we have loans originated in the years before the crisis. As expected, we see that performance data shows a substantial improvement since the end of 2013, particularly in southern Europe. The decrease of interest rates in most countries is also visible in our data.
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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 enquiries@eurodw.eu. Furthermore, if you have conducted research with our ABS data and would like us to feature it, please email us.