Standardised geographic information for European Loan Level Data (LLD),  23 March 2017

Fields Geo_1 and Geo_2 display the actual name of the region of origin of the loans, and are calculated from the postcode and NUTS information available in ED. For RMBS and SME loans, deriving the region name from the mandatory postcode information can be time and work intensive. This work is now automated at the ED level. The report explains how Geo_1 and Geo_2 are calculated as well as how to obtain them.

Geo fields are calculated using a mapping and a market-specific logic and are being regularly updated.  This effort is part of the ongoing data quality management improvements.

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ED will publish Constant Default Rate (CDRs) and lists of defaulted loans for Spanish SME deals6 December 2016

The CDR is an important measure of performance representing the annualised default rate on a pool of loans. Like other default rates, the CDR typically compares the amounts of defaulted loans that occurred over a given period, to the amount of the non-defaulted loans at the beginning of that period. Although crucial for modelling purposes, CDRs are not always shown in investor reports. ED intends to publish CDRs on a regular basis, starting with Spanish SME deals as part of the upcoming updated Spanish SME Index

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ED introduces standardised geographic information for Italian Loan Level Data (LLD), 14 July 2016

The third of a series, this report is intended to provide detailed explanations regarding the geographic origin of the loans stored in Edwin for Italian deals. Soon, European DataWarehouse (ED) will also show the actual names of the Italian regions and provinces, to make the identification of the geographic origin of the loans more user friendly. Thus, a loan identified by a postcode starting with 200 and/or NUTS code ITC45 will also be identifiable by the region name “Lombardia” and the province name “Milano”. The report explains how

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Cover page for Spanish LLD - Explanatory Report

ED introduces standardised geographic information for French Loan Level Data (LLD), 21 June 2016

The second of a series, this report is intended to provide detailed explanations regarding the geographic origin of the loans stored in Edwin for French deals. Soon, ED will also show the actual names of the french “régions” and “départements”, to make the identification of the geographic origin of the loans more user friendly. Thus, a loan identified by a postcode starting with 75 and/or NUTS code FR101 will also be identifiable by the region name “Ile-de-France” and the département name “Paris”. The report explains how

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Cover page for Spanish LLD - Explanatory Report

ED introduces standardised geographic information for Spanish Loan Level Data (LLD), 26 April 2016

The geographic origin of the loans in EDWIN can be determined based on either the postcode or the Nomenclature of Territorial Units for Statistics (NUTS).1 European DataWarehouse (ED) has decided to produce two levels of regional identifiers (autonomous communities and provinces) to make the database more user friendly. This effort will increase the level of data standardisation and improve the overall comparability.2 The geographical names will be initially introduced only for Spanish transactions and

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ED Excel-based Index Report for Spanish ABS SMEs – 2017/Q1, 18 May 2017

The 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 performance is shown by deal, by industry, by region and by loan vintage.

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ED introduces new ED Index for Spanish SMEs based on Loan Level Data, 11 May 2016

ED takes advantage of its extensive understanding of Loan Level Data (LLD) to produce an industry-leading Index Commentary that provides a unique overview of Spanish ABS SME performance. This commentary refers to the upcoming Excel-based ED Index (publication expected in June 2016), which will also provide in depth information on a deal by deal basis, and make benchmarking more user friendly. ED Index will be renewed on a quarterly basis and will group the data based on loan-specific rather than deal-specific characteristics (i.e. by loan vintage, industry and region).

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ABS Investor Reports: Standardisation and Digitisation, 22 December 2016

This report is intended to improve awareness of issues such as a lack of transparency, insufficient data coverage and poor data quality that can arise in the absence of standardised investor report templates.

Efforts are currently being made by regulators, industry associations and central banks to address transparency and data quality issues that can arise in the absence of predefined investor reporting guidelines.The lack of standardisation can lead to significant differences between the information that is reported at loan level and the corresponding investor report. This, in turn, can sometimes lead to confusion surrounding the true performance indicators of underlying assets.

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Quality of loan level data – lessons learned for the AnaCredit project, September 2016

The centralised collection of granular credit data and credit risk information at the individual loan level is not a very recent innovation in Europe. At national level this information has already been gathered for decades by several national central banks. What is new, though, is that with the Analytical Credit Dataset (AnaCredit) project, the European Central Bank (ECB) will create a pan-European collection of loan level data for exposures above €25,000 in a standardised format from 2018 onward that will enable comparability across European loan portfolios.

One of the main challenges that this exercise – like any other data collection effort – will face is to achieve and maintain good and consistent data quality delivered by the financial institutions (also called reporting agents).

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More is better: optional loan level data fields provide valuable complementary information, 29 September 2016

This commentary on the reporting of optional fields in the European Central Bank’s (ECB) reporting templates for RMBS transactions presents the results and conclusions of a study conducted in Q1/Q2 2016 on ED’s portfolio of active RMBS deals.Data Owners (DO) and Data Providers (DP) upload Loan Level Data (LLD) using the ECB reporting template that comprises both optional and mandatory input fields. 113 of 182 fields of the RMBS reporting template are considered to be optional by the ECB, while the other 69 are considered to be mandatory.

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European DataWarehouse Commentary on  Spanish RMBS Loan Level Data, 19 January 2016

This first Commentary on Loan Level Data presents the results and conclusions of a study on data quality and comparability issues focused on the Spanish RMBS market, one of the largest covered by European DataWarehouse (ED). Besides providing additional clarity on the different practices of reporting entities (Data Owners and Data Providers), the intelligence gathered in this process will also enable ED to produce more standardised data for its securitised portfolios, including performance statistics.

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European Loan Level Data: Smart usage beyond Asset-Backed Securities, October 2016

This white paper discusses how financial institutions can overcome the challenge of non-standardised data and will look at various organisational data quality issues. It further explores how to make large quantities of data usable and easy to analyse.

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RMBS PRADO IV (PCD: 02.03.2017 & 27.03.2017), originated and serviced by Unión de Créditos Inmobiliarios, April 2017

The Deal Spotlight aims to provide in-depth information of a selected deal at a glance and gives an insight on both the bond and loan level information.

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FCT Crédit Agricole Habitat 2017 (PCD: 30.11.2016 & 31.01.2017), originated and serviced by Crédit Agricole S.A.,  March 2017

The Deal Spotlight aims to provide in-depth information of a selected deal at a glance and gives an insight on both the bond and loan level information.

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Caixabank Pymes 8, F.T. (PCD: 23.11.2016), originated and serviced by CaixaBank, S.A,  February 2017

The Deal Spotlight aims to provide in-depth information of a selected deal at a glance and gives an insight on both the bond and loan level information.

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Below is a number of research papers based on European DataWarehouse (ED) data and other relevant publications:

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