As part of the market-led initiative of TSI, AFME and EDW, the fifth European Benchmark Exercise (EBE) Report was published today as of 30 June 2023. The aim of the EBE is to increase market transparency for private true sale securitisations in the EU and UK. These include both ABCP and balance sheet-financed transactions. Synthetic securitisations and public ABS bonds are excluded. The report contains aggregated data on over 500 securitisation positions provided on a voluntary basis by 12 banks from 6 countries. The EBE also makes a valuable contribution to market transparency against the backdrop of ESMA’s ongoing consultation on disclosure templates.
Core results
The main findings of the report are
- The total market volume is estimated to at least € 209 billion, extrapolated from the reported financing volumes of around € 78 billion and information on syndications.
- This results in a 7% increase in market volume compared to the previous period, albeit with a lower utilisation (-11%)
- The share of private true sale securitisations backed by trade receivables or auto loans and leases is stable and accounts for around 72% of the market in H1 2023. Of these, 34% and 87% respectively are syndicated transactions.
- Over 89% of seller ratings are BBB or lower, with average transaction ratings ranging from A to AA. There was also a significant increase in AAA ratings to observe in H1 2023.
- The fifth EBE report contains information on delinquencies for the first time.
Significance of the EBE report
The EBE report provides a good overview of the private true sale securitisation market. The data quality remains consistently high in the current report, which is due to the high level of commitment of the participating banks. It is clear that true sale securitisations make an important contribution to the financing of companies with lower credit ratings in particular: the aforementioned rating transformation shows how companies can refinance themselves with favourable conditions on the capital market by efficiently structuring receivables via securitisation.
Transparency is an important factor for the trust, quality and reliability of a well-functioning securitisation market. The voluntary participation in EBE by major banks from all over Europe demonstrates the market’s willingness to increase transparency in the private sector of the securitisation market.
For further information and details see
Fifth EBE Report