Attachment Points in Focus: Insights from EDW Data
The recent proposal by the EU Commission to reform the EU securitisation framework introduced the concept of ‘resilient’ securitisation positions. Resilient securitisation positions are senior positions with a robust loss absorbing capacity for the senior positions. The proposal mentions attachment points as a possible eligibility criterion to define resilient securitisations. The aim of the European […]
Auto ABS in Focus: Comparing Loans vs Leases and Captives vs Non-Captives
During European DataWarehouse’s 2025 Q3 Research Update Webinar, the differences between auto ABS portfolios of loans vs leases, and assets originated by captives versus non-captives were discussed. Several charts were published to demonstrate the prevalence of the various categories of deals across countries and to explore whether any differences in performance could be observed. The […]
How to Use Underlying Exposure Data to Support the Calculation of Capital Requirements for Securitisations
Article 7 of the Securitisation Regulation (EU) 2017/2402 requires the disclosure of detailed, loan-by-loan information for all securitised assets. This level of transparency is highly valuable—not only does it allow investors and market participants to monitor portfolio performance and better understand the risk characteristics of the underlying loans, but it also plays a critical role […]
ESMA vs. ECB Reporting Formats: What You Need to Know
As of 1 October 2024, all eligible ABS issuers must provide loan-level data using the templates specified in the technical standards adopted by the Commission under Article 7(4) of Regulation (EU) 2017/2402 (the Securitisation Regulation). These templates are commonly referred to as the “ESMA templates”. The specific template to be used in each case depends […]
Data Deep Dive: EDW’s Public Securitisations Data Now Totals Nearly €835 Billion
As of Q2 2024, the outstanding amount of loans uploaded to EDW totalled almost €835 billion from 12 European countries. This value is down from a historical high of nearly €1 trillion in 2014-Q3, and has consistently been at around €835 billion since 2018-Q4 whereas the number of outstanding public securitisations is at a historical […]
Revisiting “The Babel Tower Of EPC Ratings”: Updated Thresholds Across Europe
In 2020, European DataWarehouse (EDW) published “The Babel Tower of Energy Performance and Certificate Ratings in Europe”. This article contained a table comparing the Energy Performance Certificate (EPC) rating thresholds across various countries and discussed EPC databases in Europe. In particular, the article highlighted those thresholds can vary substantially from one country to the next […]
European Benchmarking Exercise for Private Securitisations Now Covers One Complete Year
European DataWarehouse (EDW), in partnership with TSI and AFME, has co-authored a report as part of the European Benchmark Exercise on private securitisations. In particular, EDW has collected and aggregated confidential data on private securitisations provided for this specific purpose by 12 European banks. This is the third report following the inaugural issue featuring data […]
Stability implications of the EU securitisation market
In line with the mandate given by Article 31 of the Securitisation Regulation, in July 2022, the European Systemic Risk Board (ESRB) published its first report on the financial stability implications of the EU’s traditional (off-balance sheet) securitisation market with the aim of highlighting financial stability risks. The report sets forth the monitoring framework for […]
Giuditta – EDW’s EPC Matching Solution Achieves Promising Results
Building on its expertise in the field of data collection, dissemination, and analysis, European DataWarehouse (EDW) is making significant progress with its proprietary energy efficiency information extraction solution, Giuditta. This technical solution allows for the matching of a property’s Energy Performance Certificate (EPC) and other energy efficiency data with the respective financial institution’s mortgage database. […]
RMBS Amortisation Rates Show Signs of Return to Pre-COVID Levels
Throughout the COVID-19 pandemic, European DataWarehouse has utilised its vast loan-level database to provide insights into loan performance across various asset classes in Europe. In the RMBS asset class, for example, a previous EDW Q1 2021 analysis shows that delinquencies remained low during the COVID-19 crisis. Despite this, however, there has been a clear impact […]