As part of the market-led, the sixth European Benchmark Exercise (EBE) Report was published today as of 31 December 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 makes a valuable contribution to market transparency, particularly in view of the forthcoming consultation of the EU Commission on this topic.
Core results
The main findings of the report are
- The total market volume is estimated to at least € 231 billion, extrapolated from the reported financing volumes of around € 79 billion and information on syndications.
- The ABCP market volume is developing consistently compared to the previous period, while the non-ABCP segment is growing by 7 %.
- The STS segment is growing substantially by 11%.
- The share of private true sale securitisations backed by trade receivables or auto loans and leases is stable and accounts for around 74% of the market in H2 2023. Of these, 34% and 87% respectively are syndicated transactions. Together with consumer loans and equipment leasing, these four asset classes account for 88% of the market.
- Over 67% of private cash securitisations fund sellers in the EU, and over 74% directly fund the real economy, namely the non-financial sectors of the economy.
- 79% of seller ratings are BBB or lower, with average transaction ratings of A to AA.
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 through banks and 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.
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