As part of the market-led initiative of TSI, AFME and EDW, the seventh European Benchmark Exercise (EBE) Report was published today as of 30 June 2024. The aim of the EBE is to increase market transparency for private true sale securitisations in the EU and the 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 upcoming legislative proposals of the EU Commission and the consultation of ESMA on reporting templates on private securitisations.
Core results
The main findings of the report are
- The total market volume is estimated to at least € 232 billion, extrapolated from the reported financing volumes of around € 79 billion and information on syndications.
- The ABCP market volume continues to stay on a constant basis (-1%), while the non-ABCP segment is again growing substantially by 8%.
- The STS segment has been growing steadily since EBE’s first data collection on 31 December 2021, by 3% in the first half of 2024.
- 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 H1 2024. 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.
- 62% of seller ratings are BBB or lower, with average transaction ratings ranging from A to AA. This is an impressive demonstration of how true sale securitisation through the collateralisation of receivables make an important contribution to financing the real economy and in particular companies with lower credit ratings.
Significance of the EBE report
The EBE report provides a good overview of the private true sale securitisation market. Thanks to the high level of commitment of the participating banks, data quality continues to improve in the current report, as can be seen, for example, in the improvement of data from seller ratings. 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 endeavour of the market participants to increase transparency in the private sector of the securitisation market continuously. This appears even more topical now, given (a) the upcoming legislative proposal by the European Commission which will likely address the transparency and disclosure requirements under the Level 1 text and (b) the ESMA consultation on the revision of the disclosure framework for private securitisation launched on 13 February 2025.
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