European Benchmark Exercise Report H1-2021: Publication of the first European report on non-public securitisations
Led by AFME, EDW and TSI, the first report in the European Benchmark Exercise on the non-public securitisation market in the EU and UK is published today. As part of the survey, twelve banks from six countries submitted their data on individual securitisation transactions to the European DataWarehouse (EDW). The EDW has quality-assured and evaluated the data thanks to its many years of experience as a recognized data and securitisation registry. The report provides transaction-level aggregate data on the private securitisation market for ABCP and non-ABCP. It does not cover public securitisations or synthetic securitisations.
The four most important key messages at a glance
The European Benchmark Exercise Report H1-2021 represents an important step towards further strengthening confidence in the European securitisation market. The four most important key messages:
- Market participants have always strongly supported meaningful, appropriate, high-quality disclosure that is useful to investors and regulators. Participation in this wide-ranging data collection was entirely voluntary. The report provides a valuable basis for further work by the relevant national and European supervisors on how to improve and make more effective the securitisation disclosure framework in the EU. It also supports the EU Commission’s Call for Advice to the supervisory authorities(see article TSI kompakt of 18.10.2021).
- The report shows that non-public securitisation markets are an important source of funding for the real economy. More than 80% of the transactions securitise receivables portfolios in the EU; more than 70% directly finance the real economy. The remaining 30% finances portfolios of receivables from banks and factoring companies vis-à-vis the real economy.
- Securitisation is an effective capital market tool to support lower-rated companies. This is reflected in the cost-efficient financing: 84% of the volume of private securitisations was carried out by sellers rated BBB and below. The average transaction rating is in the A to AA range by comparison.
- The prediction that market participants have migrated in large measure from public to private markets is not accurate. This is shown by the evaluations, as the majority of transactions were initiated after the global financial crisis, but before the Securitisation Regulation came into force on January 1, 2019.
AFME and TSI thank all members who participated and the EDW for its role in quality assurance and analysis of the data. The European Benchmark Exercise was conducted with the kind support of the Capital Markets Union Foundation Project.
To the European Benchmark Exercise Report
to the press release of AFME and TSI