Dataset on direct and indirect effects of MSME loan securitization issuances on stability of banks

Abstract

Given the importance of securitization markets as an alternative access to finance MSMEs, understanding bank-level MSME loan securitization issuance is essential to help shed light on the situation. This paper describes a novel dataset of 440 securitized MSME loan deals of 48 European originators covering the period between 2004 and 2022. Information regarding the originators are hand-collected by reading the prospectus filed. The ready-to-use dataset comprises four main categories: 1) bank stability measures, 2) mediator variables consisting of funding cost, regulatory capital, risk and liquidity, 3) MSME loan securitization issuances, and 4) control variables at the macro and institutional level. Further, this paper aims at providing the step-by-step technique of how to hand-collect information regarding collateral in place. The final dataset is valuable for economic and finance researchers to explore factors related to MSME loan securitization and bank stability in Europe.

Keywords

• Small business loan
• Securitization
• Bank stability
• MSME
• Liquidity
• Risk