1010data Facilitates Transparency Among European ABS/MBS Loan-level Data

Director, Product Management

The European DataWarehouse (ED) was formed in 2012 as a central depository for European ABS/MBS data and is endorsed by the European Central Bank and members of the Eurosystem.  1010data formalized its partnership with the European DataWarehouse last year, and now delivers its full universe of loan-level data.  This new dataset brings the power of 1010data’s cloud-based platform to global ABS/MBS investors, allowing seamless ad-hoc analysis, surveillance, due diligence, and model construction.  The offering from 1010data provides ongoing updates to the data continuously gathered from ED, which will save investors a great amount of time, expense and effort that would otherwise be required to collect and integrate this data.


The partnership between 1010data and ED gives licensed firms direct access to the full set of European ABS at the most granular level available according to the European Central Bank templates and taxonomies.  Using ED data on 1010data’s analytic platform enables users to avoid the time and expense required to load and prepare the data for analysis.  As many firms in the US have come to appreciate, 1010data’s proprietary built-in functions for time-series analysis save users hours of coding and processing time.  The unique cloud-based interface allows users to quickly build and share reports, dashboards, and ad-hoc analyses that include critical metrics such as roll-rates sourced directly from loan-level data


As of November 2014 the count of loans and loan parts number more than 38MM, which is in fact around 60% the size of the most popular private label MBS databases in the US.  The expectation is that this broad set of data will continue to grow as investors make use of the much anticipated transparency that these loan-level details provide. 


After working with this data for several months our efforts have revealed some important findings about European ABS/MBS data.  While the dataset itself is relatively young compared to US MBS data, the breadth of coverage is impressive.  In addition to residential mortgages, the dataset includes loan level information for consumer finance loans, auto loans, credit card receivables, and SME loans.  This type of loan-level information has traditionally been very difficult to source, even for the established US markets where there are many interested parties.  Since the EDW has standardized reporting schemas for individual asset classes across countries and jurisdictions, 1010data is able to present the data in a standard, flat time-series table format—the same format that we follow for all hosted datasets on the platform.  This means that users can apply all of 1010data’s standard functionality for selecting, linking, tabulating, and performing time-series analyses with ED data in the same manner they are accustom to with other hosted datasets


The 1010data platform is an excellent tool to work with this growing dataset.  Members of our Capital Markets team have spent quality time evaluating trends and applying common analytic methods to this data.  New platform features like visualization and block code have also been applied to Eurozone MBS/ABS data.


As an example of the types of analyses which can be performed with 1010data's EDW offering, the following chart illustrates the proportion of loans in Spanish RMBS which are 30-90 days delinquent as a function of loan age for 8 different vintages: