European Benchmarking Exercise for Private Securitisations – Updated Report (H1 2022)

• This report is part of the European Benchmarking Exercise, a market-led initiative organised by AFME, EDW and TSI, and contains results from H1 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 €183bn of total commitments, with the exercise-related dataset covering €67bn of those commitments. Private securitisations backed by trade receivables and auto loans or leasing make up around 82% of the market, of which 33% and 88% respectively are funded through syndicated transactions. In addition, over 70% of private cash securitisations fund sellers in the EU, and over 68% directly fund the real economy (non-financial) sectors of the economy.

AFME and TSI would like to thank all members who participated, and the EDW for their role in analysing and ensuring data quality. This report is the third in a series of such reports to be published regularly over time.

For the European Benchmarking Exercise Report – H1 2021, please see here. For the European Benchmarking Exercise Report – H2 2021, please see here.