As part of the market-led initiative by TSI, AFME and EDW, the fourth European Benchmark Exercise (EBE) Report as of 31 December 2022 was published today. The report contains aggregated data on over 500 securitisation exposures provided on a voluntary basis by 12 banks from 6 countries. The objective of the European Benchmark Exercise is to increase market transparency for private true-sale securitisations in the EU and UK. These include both, ABCP and balance sheet funded securitisations. Synthetic securitisations and public ABS bonds are excluded.
Key findings of the report are:
- The overall market is estimated at least € 196 bn of total commitments, extrapolated from the reported financing volumes of around € 73 bn and information on syndications.
- Increase in market volume by 7% compared to the previous period.
- Private true-sale securitisations backed by trade receivables or auto loans and leasing make up for around 73% of the market. Of these, 36 % or 91 % respectively are funded through syndicated transactions.
- Over 72% of private cash securitisations fund sellers in the EU and also over 72% directly fund the real economy, i.e. non-financial sectors of the economy.
Significance of the EBE Report
The EBE report provides a useful overview of the private true-sale securitisation market. The data quality remains consistently high in the current report, which is due to the high commitment of the participating banks. It becomes clear that true-sale securitisations make an important contribution to the financing of companies with lower credit ratings in particular: 87% of the sellers have a credit rating of BBB or lower, but by efficiently structuring receivables via a securitisation these companies can finance themselves with average transaction ratings between A and AA. This figure has remained consistently high compared to the previous report.
Transparency is an important factor for trust, quality and reliability of a well-functioning securitisation market. The EBE thus also contributes to ESMA's revision of the disclosure templates as well as to the ongoing consultations on the UK Securitisation Regulation.
For more information and details see
4th EBE Report