European Benchmarking Exercise for Private Securitisations – Updated Report (H2 2024)

This report is part of the European Benchmarking Exercise, a market-led initiative organised by AFME, EDW and TSI, and contains results from H2-2024.

1. Its purpose is to highlight the quality and usefulness of disclosure in the European private cash securitisation market, both ABCP and balance-sheet financed, in order to assist market participants and reassure supervisors of the high standards of transparency that can be achieved in this market. CLOs, synthetic securitisations and public ABS are not in scope.
2. It provides aggregated, transaction-level data gathered on a voluntary basis 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).
3. The report shows that non-public securitisation markets are an important source of financing for the real economy. The overall private securitisation market is currently estimated at €249.6bn of total commitments, with the exercise-related dataset covering €87bn of those commitments. Private securitisations backed by trade receivables and auto loans/leases make up around 73% of the market, and if consumer loans and equipment leasing are included, the 4 asset classes together represent 87% of the market.

This is the eighth in a series of such reports to be published biannually over time.