Unlocking the Value in EDW’s All-in-One (AIO) Database for European Securitisation Data

Earlier this year, European DataWarehouse (EDW) published the methodology for its All-in-One (AIO) Database, describing how it integrates and standardises European securitisation data from ECB, ESMA, and FCA databases.

The methodology, which includes data to Q4 2025 and is subject to possible future updates, explains how the AIO preserves long-term time series across six main asset classes, despite the regulatory transition from ECB to ESMA and FCA reporting. By merging datasets, correcting historical inconsistencies, and adding calculated fields, the AIO significantly improves usability and efficiency for data users.

Key Benefits:

• Long-term time series continuity: Preserves securitisation data from 2013 onward despite the ECB-to-ESMA transition
• One database, one query: Combines ECB, ESMA, and FCA data into a single, standardised structure, reducing complexity and manual reconciliation
• Faster, easier querying: Optimised formats and calculated fields lower technical barriers and improve performance
• No information loss: Retains all ESMA fields and relevant ECB legacy fields while correcting historical data issues
• Improved data quality: Incorporates historical correction work, particularly for older ECB uploads.
  

The AIO combines historical ECB-format data, which covers most public European ABS transactions from 2013 to 2024, with more recent ESMA-format data, alongside selected FCA data. This unified structure enables time-series research that would otherwise be complicated by differences in reporting templates, duplicate uploads and definitions. The database builds on prior work carried out for the Adjusted ECB Database and is designed to support both advanced users and less experienced analysts. 

The AIO only contains data on public securitisations. Most ECB, ESMA, and FCA uploads are included, but some exclusions apply: duplicate uploads were largely removed, poor-quality uploads (notably some from 2012) were omitted, and only public transactions were retained. Where possible, one ECB/ESMA duplicate upload per deal was kept to allow comparison between reporting regimes. 

Structurally, the AIO includes three categories of fields:

• All ESMA fields under their original names
• Selected ECB fields retained as legacy fields where no suitable ESMA equivalent exists or definitions differ materially
• Calculated fields derived from ECB and/or ESMA data

This design ensures that all ESMA data can flow directly into the AIO, while ECB data populates either equivalent ESMA fields or ECB legacy fields, with no loss of information.

When ECB data is imported, ESMA fields without ECB equivalents remain unpopulated, and many ECB legacy fields may also be empty because they were optional and sparsely reported in the original ECB taxonomy. When ESMA data is imported, all ESMA fields are populated, but ECB legacy fields are not.

Around half of the ESMA fields can be populated using ECB data, primarily because key, mandatory ECB fields have direct ESMA equivalents or can serve as reliable proxies. As a result, time-series continuity is strongest for shared, mandatory fields.

Where ECB and ESMA definitions align, ECB fields are used to directly populate ESMA fields. Where definitions slightly differ, ECB data may be used as a proxy. Fields without any ESMA equivalent are retained as legacy fields. For list-based fields, ECB values are translated to the closest ESMA option, or set to “Other – OTHR” when no valid equivalent exists.

To enhance performance, EDW optimised field formats and sizes, ensuring numeric fields are stored as numbers and reducing unnecessary field length.

The AIO also includes calculated fields such as

• Data_Origin
• Select_Unique (to avoid double-counting uploads)
• Pool Cut-off Date
• NUTS-based geographic fields
• Quarter identifiers
• Euro conversion factors

Additional asset-class-specific calculated fields also exist, notably for Auto ABS, including standardised manufacturer, model, vehicle type, fuel type, and engine size.

The AIO is designed to evolve. Planned enhancements include a proxy to convert ECB “months in arrears” into ESMA-style “days in arrears,” and the introduction of stable EDW-specific loan identifiers to support consistent loan-level time-series analysis when reported identifiers change.

To access our free methodology report, please click below, or contact us directly to purchase access to the complete All-in-One Database. You can learn more about the AIO in our 2026 H1 Research Update Webinar. Visit the EDW Events page for registration links and access to past content on demand.