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03 December 2021

AFME: European Benchmarking Exercise (EBE) for Private Securitisations


Its purpose is further to enhance the quality and usefulness of disclosure in the private cash securitisation market, both ABCP and balance sheet financed, in the EU and UK, in order to assist market participants and reassure supervisors

  • This report is part of the European Benchmarking Exercise, a market-led initiative organised by AFME, EDW and TSI
  • Synthetic securitisations and public ABS bonds are not in scope of this report
  • This report provides, on a voluntary basis, aggregated transaction-level data gathered from 12 banks across 6 countries
  • The overall market is estimated at least €189bn of total commitments; specific data received covers €63bn of commitments
  • Private securitisations backed by Trade Receivables and Auto Loans or Leasing make up around 80% of the market, of which 39% and 80% respectively are funded through syndicated transactions
  • Over 80% of private cash securitisations fund sellers in the EU, and over 70% directly fund real economy (non-financial) sectors of the economy
  • As is usual, Trade Receivables contain certain concentrations of debtors, while Auto Loans or Leasing have more granular portfolios
  • The majority of transactions were initiated after the Global Financial Crisis but before the entry into force of the Securitisation Regulation
  • Of all transactions by volume, 84% were undertaken by sellers with ratings of BBB and below at inception, and the average seller rating was BBB. In contrast the average transaction rating is in the range A to AA. This shows that private cash securitisations provide a cost-effective means of financing especially for lower rated sellers.
  • We expect this to be the first in a series of such reports, to be published regularly over time. All amounts are in EUR.

AFME



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