Index for Spanish ABS SME / 2018-Q1

Published:  31 July 2018

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The Excel-based Index is intended to provide detailed information on the performance of the Spanish SME loans stored in EDwin. The Index differs from other existing structured finance indices in that it shows performance in an entirely new light, by taking full advantage of loan level data, compared to indices based on investor reports.

The Index was designed to be as transparent as possible and both pool and delinquency data are shown on a deal by deal basis, allowing data users to better understand how each data point was calculated. The index allows data users to sub-select a portfolio of deals and compare it to the relevant index.

Since April 2018, the CDRs featured in our index are also available in EDvance, along with the CDRs for almost 220 RMBS securitisations.

Our Index includes:

  • A delinquency Index of 90-360 days, which shows that performance has improved substantially over the last three years with a decrease from 4.3% in 2013-Q4 to about 1% as of 2018-Q1. Performance is thus slowly reverting to pre-crisis levels. This improvement can be observed for almost all industries, regions and vintages.
  • A “Deal Statistics” tab, which shows detailed stratification tables and performance indicators for all the active deals.
  • Data by loan vintage, industry, region and at the deal level. In order to aggregate the data by regions, we used region names (Geo_1 and Geo_2 fields) as described in our Explanatory Report.
  • Volume charts which show that although the breakdown of loans by originator/servicer has changed over the last three years, the breakdown by region and industry has remained remarkably stable at
  • Constant Default Rates (CDR) that are provided at the deal level for a sample of deals, including both active and terminated deals. The CDR tab includes the quarterly defaults and pool balance at the deal level, making it possible for the user to trace the calculations.