European Benchmark Exercise Report H1-2021: Publication of the first European report on non-public securitisations
The first report in the European Benchmark Exercise on the non-public securitisation market in the EU and UK is published by AFME, EDW and TSI 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 quality-assured and analysed the data based on its many years of experience as a recognised data and securitisation registry. The report contains transaction-level aggregated data on the private securitisation market for ABCP and non-ABCP. It does not cover public securitisations or synthetic securitisations.
The four key messages at a glance
The European Benchmark Exercise Report H1-2021 represents an important step in further strengthening confidence in the European securitisation market. The four main 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 regulators 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 regulatory authorities (see TSI compact article dated 18 October 2021).
- The report shows that non-public securitisation markets are an important source of funding for the real economy. Over 80% of transactions securitise receivables portfolios in the EU; over 70% directly finance the real economy. The remaining 30% finance receivables portfolios of credit institutions and factoring companies vis-à-vis the real economy.
- Securitisation is an effective capital market instrument for supporting lower-rated companies. This is reflected in the cost-efficient financing: 84% of the volume of private securitisations was carried out by sellers with a rating of BBB and below. The average transaction rating, by comparison, is in the A to AA range.
- The assumption that many market participants have migrated 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 1 January 2019.
AFME and TSI would like to thank all members who participated and the EDW for its role in analysing and assuring the quality of the data. The European Benchmark Exercise was conducted with the kind support of the Capital Markets Union Foundation Project.