European DataWarehouse Commentary on Italian Loan-Level Data

25 June 2018

In February 2018, European DataWarehouse (ED) published a commentary on Italian Loan-Level Data (LLD).

This Commentary is the result of a study on the output of a survey distributed to all Italian market operators involved in Asset-Backed Securities (ABS) transactions.

At the end of 2016, ED carried out a survey  to gather evidence about the market standards prevailing in the Italian ABS market with regards to the reporting of LLD. Specifically, the survey was designed to get a better understanding of the reporting practices of market participants in order to enable data users to correctly interpret Italian ABS LLD.

The survey contained seven sections in total, each one focusing on the following critical mandatory fields:

  • primary income;
  • arrears balance;
  • number of months in arrears;
  • litigation;
  • default or foreclosure;
  • loss on sale;
  • cumulative recoveries

Besides providing additional clarity on the different practices of reporting entities, the intelligence gathered in this process enables ED to produce more standardised data for the securitised portfolios, including performance statistics present in the repository.

To read the complete report, click here