Italian SME Index

Our new Index, “European DataWarehouse INDEX ABS SME ITALY 2019-Q2”, provides a unique overview of the performance of securitised Italian SME (Small and Medium-Sized Enterprise) loans. With time series starting in Q1 2013, it now covers more than six years of securitised Italian SME loan performance. Much like our other indices,1 it differs from existing indices in that it uses loan-level data (LLD) rather than investor report data. Performance can therefore be shown for a subset of loans sharing a set of characteristics (e.g. loans of a specific region, industry or vintage), which is not feasible when using investor report data. The Excel version of the index also contains standardised stratification tables and performance measures for all active deals, making benchmarking and performance analysis easier.

Performance is shown using two performance trend indicators, delinquency 60-90 days and delinquency 90-360 days, which are calculated as a percentage of the total active loans amount. Our 90-360 days delinquency index shows that performance was worst in Q3 2013 and has improved considerably since then. We also note that although the 60-90 days delinquencies are in the same range in Italy and Spain, delinquency levels in Italy have been higher than in Spain overall.

Given the size of European DataWarehouse’s Italian ABS SME universe, some of the conclusions drawn from this index should be applicable beyond the field of securitisation as far as relative performance and trends are concerned. We encourage you nevertheless to refer to Appendix 3 about data limitations and bias. In particular, we note that relatively large or strongly underperforming deals can have a visible effect on the overall index (see Exhibit 6 in Appendix 2).

To read the complete report, please click the “Download Complete Report” button below or email for more information.

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 Furthermore, if you have conducted research with our ABS data and would like us to feature it, please email us.