• This report is part of the European Benchmarking Exercise, a market-led initiative organised by AFME, EDW and TSI, and contains results from H1–2023.
• 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. CLOs, 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 €209bn of total commitments, with the exercise-related dataset covering €78bn of those commitments. Private securitisations backed by trade receivables and auto loans or leasing make up around 72% of the market, of which 34% and 87% respectively are funded through syndicated transactions.

This report is the fifth in a series of such reports to be published regularly over time.