European Benchmarking Exercise for Private Securitisations – Updated Report (H2 2021)

• This report is part of the European Benchmarking Exercise, a market-led initiative organised by AFME, EDW and TSI, and contains results from H2–2021.
• Its purpose is to further enhance the quality and usefulness of disclosure in the private cash securitisation market, both ABCP and non-ABCP, in the EU and the UK, in order to assist market participants and reassure supervisors. Synthetic securitisations and public ABS bonds are not in scope.
• It provides aggregated transaction-level data gathered from 12 banks (BayernLB, BNP Paribas, Commerzbank, Credit Agricole, DZ Bank, Helaba, HSBC, ING, LBBW, Natixis, RBI and UniCredit) across 6 countries (Austria, France, Germany, Italy, Netherlands, and the UK) on a voluntary basis.
• The report shows that non-public securitisation markets are an important source of financing for the real economy. The overall private securitisation market is estimated at least €184bn of total commitments, with the exercise-related dataset covering €65bn of those commitments. Private securitisations backed by trade receivables and auto loans or leasing make up around 78% of the market, of which 34% and 89% respectively are funded through syndicated transactions.

AFME and TSI would like to thank all members who participated, and the EDW for their role in analysing and ensuring data quality. This report is the second in a series of such reports to be published regularly over time.

For the European Benchmarking Exercise Report – H1 2021, please see here.