DATA AVAILABILITY REPORT Q4 2024

European DataWarehouse’s (EDW) Q4 2024 Data Availability Report provides quarterly statistics on the outstanding number of active securitisations, loan amounts, and number of loans.

The latest report also includes a list of deal identifiers and dates for which the data was uploaded, both in ECB and ESMA format. This enables data users to easily identify cases where an ECB upload can be directly compared with an ESMA upload for a given deal. The report also includes most of the data for Q1 2025.

As of Q4 2024, the outstanding amount of loans uploaded to EDW’s platform totalled almost €842 billion from 12+ European countries. This value is down from a historical high of nearly €1 trillion in Q3 2014 and has consistently been at around €800 billion+ since Q4 2018, whereas the number of outstanding public securitisations is at a historical low (555 vs a maximum of 704 in Q4 2014).

Exhibit 1: Outstanding Number and Amounts of Deals

Source: European DataWarehouse; 2025-Q1 data is preliminary

The values for these loan amounts are adjusted for errors (dummy values, decimal point inconsistencies) observed in the oldest uploads. Currencies have been converted when loan amounts were reported in a currency other than the Euro.

The lesser number of outstanding deals was partly offset by the increasing size of certain securitisations. The largest outstanding securitisation is now the French RMBS deal “BPCE Master Home Loans” with a €94 billion outstanding balance, which represents more than 10% of the €842 billion now on our platform. The largest ten securitisations on our platform account for €260 billion, almost one-third of the total. These very large securitisations can typically be traced back to the largest lenders in their respective markets. That being said, not all lenders use securitisations, so the securitised data may not always be representative of the market. Even in the largest markets (asset class/country), the share of the largest securitisation can be substantial. In France, “BPCE Master Home Loans” alone accounts for almost two-thirds of the French RMBS universe.

Data origin by country only partially reflects the relative importance of each country in our database, as securitisation is not used in all countries to the same extent. France has the largest securitisation market with an outstanding of €216 billion, Germany is second with €145 billion, and Italy third with €109 billion, ahead of the Netherlands at €105 billion and Spain with €91 billion.

Securitisation does not matter equally in all countries over time either. While mortgage securitisations are found in most countries, not all countries are equally represented. For example, Germany accounts for 40%+ of all auto loan amounts, and Italy for a substantial share of the consumer loans and leases (40% and 50%, respectively).

In September 2024, the last data submissions in ECB format were uploaded to our platform and are now only received in ESMA / FCA format. When referring to the Q4 2024 Data Inventory Excel file, the “Data Input” tab shows which reporting template has been used for the upload. During the transition from the ECB to the ESMA regime, many deals submitted both templates, enabling comparisons between the two formats, which differ on some points. We thus added an “Overlaps” tab, which lists the cases when the same data was uploaded to both the ECB and ESMA databases. The matching score compares the outstanding amount value for an ECB upload to that of the ESMA upload for the same period. Only the last ECB/ESMA overlap was taken into consideration.

EXHIBIT 2 shows the frequency and matching of these overlapping uploads. We note that:

• Most overlaps followed the introduction of the new templates, with a peak in Q3 2021
• There were further overlaps in Q2 and Q3 2024
• In most cases, the matching is 100%

Exhibit 2: Timing and Matching of Overlaps

Source: European DataWarehouse

The data used for this report reflects that which has been transferred to the EDW All-in-One Database (AIO), currently under development, which contains all ECB, ESMA, and FCA data in one database.

The data in the AIO Database is processed for consistency, and we have endeavoured to correct the errors observed in the oldest uploads (dummy values, decimal point inconsistencies). In the Q4 2024 Data Inventory file, currencies are also converted when loan amounts have been reported in a currency other than the Euro.

The data inventory focuses on loan-level data that is usable for research and omits some uploads whose quality we deemed insufficient (hence many pre-Q3 2013 uploads were not taken in consideration). Given that some data is uploaded either monthly or quarterly, the datasets upon which this report is based include the last available data upload for a given deal as of the end of a natural quarter (March, June, September, December).

EDW’s Q4 2024 Data Inventory highlights both the depth and evolution of Europe’s securitisation landscape over the past eleven years. While the number of active securitisations has declined from its 2014 peak, overall loan amounts have remained relatively stable due to the increasing size of individual deals. The transition from ECB to ESMA reporting formats, now fully implemented, enhances data comparability and transparency—further supported by the development of EDW’s All-in-One Database. As securitisation practices continue to vary by country and asset class, EDW’s comprehensive, standardised dataset remains a vital resource for market participants, regulators, and researchers alike.

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 4 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 European DataWarehouse’s EDITOR platform to analyse and compare underlying portfolios.

Data used in this research is uploaded by ABS issuers to comply with European Securities and Markets Authority (ESMA), European Central Bank (ECB), and Financial Conduct Authority (FCA) regulatory requirements for asset-backed securitisation transactions.

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.