AFME, TSI and EDW have today published the updated European Benchmark Exercise (EBE) Report which now includes the data for H1-2022. The EBE is a market-led initiative organised by AFME, EDW and TSI working together. The report provides aggregated transaction-level data gathered from 12 banks across 6 countries on a voluntary basis. Its purpose is to enhance the quality and usefulness of disclosure in the private cash securitisation market, both ABCP and balance-sheet financed in the EU and the UK (but excluding synthetic securitisations and public ABS bonds), in order to assist market participants and reassure supervisors.
Some of the report's key findings are:
- The overall market is estimated at least €183bn of total commitments. Specific data received covers €67bn of commitments.
- Private securitisations backed by trade receivables, auto loans or leasing make up around 82% of the market of which 33% and 88% respectively are funded through syndicated transactions.
- Over 70% of private cash securitisations fund sellers in the EU, and over 68% directly fund the real economy, namely non-financial sectors of the economy.
The report provides, therefore, a useful overview of the private true-sale securitisation market, while the voluntary nature of this data collection exercise demonstrates the participants' commitment to providing useful data of good quality. It can therefore be a valuable vehicle to shed light on this market segment, which is an important tool to finance the real economy: 88% of sellers have an own credit rating of BBB or lower, but by efficiently structuring receivables via securitisation, these companies can finance themselves through transactions with average ratings between A and AA.
The EBE initiative was established for H2-2021 for the first time, which means that the current report for the first time covers the period of one full year. AFME, TSI and EDW are eager to continue the EBE in order to contribute to the transparency of the securitisations market as important factor of its effectiveness and reliability.