European Benchmarking Exercise for Private Securitisations – Updated Report (H2 2022)
18 Oct 2023
This report is part of the European Benchmarking Exercise, a market-led initiative organised by AFME, EDW and TSI, and contains results from H2–2022.
Its purpose is to further enhance the quality and usefulness of disclosure in the private cash securitisation market, both ABCP and non-ABCP, in the EU and the UK, in order to assist market participants and reassure supervisors. Synthetic securitisations and public ABS bonds are not in scope.
It provides aggregated transaction-level data gathered from 12 banks (BayernLB, BNP Paribas, Commerzbank, Credit Agricole, DZ Bank, Helaba, HSBC, ING, LBBW, Natixis, RBI and UniCredit) across 6 countries (Austria, France, Germany, Italy, Netherlands, and the UK) on a voluntary basis.
The report shows that non-public securitisation markets are an important source of financing for the real economy. The overall private securitisation market is estimated at least €196bn of total commitments, with the exercise-related dataset covering €73bn of those commitments. Private securitisations backed by trade receivables and auto loans or leasing make up around 73% of the market, of which 36% and 91% respectively are funded through syndicated transactions.
This report is the fourth in a series of such reports to be published regularly over time.