Benchmarking commitments

Over 70% of European private cash securitisations fund sellers in the EU and over 68% directly fund the real economy, according to the latest European Benchmarking Exercise (EBE) report. Further, 88% of all transactions by volume were undertaken by sellers with ratings of triple-B and below at inception, with 95.4% of transactions achieving investment grade ratings - demonstrating that private cash securitisations provide a cost-effective means of financing, especially for lower-rated sellers.

The EBE is a market-led initiative organised by AFME, European DataWarehouse and True Sale International, and supported by the Foundation Project Capital Markets Union. Its objective is to enhance the quality and usefulness of disclosure in the EU and UK private cash securitisation markets, across both ABCP and deals financed on-balance sheet.

The latest report provides aggregated transaction-level data gathered during 1H22 from 12 banks across six countries, covering €67.24bn of commitments and an estimated asset amount of €183.33bn. Over that period, 31 new commitments were observed, while 33 existing commitments ended. Overall, committed amounts grew by 7% year-on-year and funding increased by 12.3%, indicating increased demand from the real economy.

In terms of the regional distribution of sellers, there was a slight decline in commitments from UK sellers (-2%) against the general trend, while commitments from German sellers underperformed (rising only by 2%). In contrast, there was pronounced above-average growth seen in Italy, with commitments rising by 24%.

Private securitisations backed by trade receivables (representing €40.68bn of commitments) and auto loans or leasing contracts (€10.16bn) account for around 82% of the market, of which 33% and 88% respectively are funded through syndicated transactions. Consumer loans, equipment leasing, mortgages, credit card receivables, floorplan financings and SME loans make up the remainder of the assets.

By seller industry, the most prominent sectors remain finance and insurance (accounting for 25.3%) and manufacturing (22.1%). The strongest increase (of 39%) was observed in power generation in 2H21, which may be linked to the rise in power prices across Europe.

Finally, the share of STS-compliant assets rose strongly across all asset classes, with the average STS share increasing by 20.6% to 44.4%. The share of STS-compliant trade receivables deals stood at 41.2%, while the share for auto loans and leases and equipment leasing deals reached 78.6% and 72.9% respectively.

BayernLB, BNP Paribas, Commerzbank, Credit Agricole, DZ Bank, Helaba, HSBC, ING, LBBW, Natixis, RBI and UniCredit provided data for the EBE on a voluntary basis across Austria, France, Germany, Italy, the Netherlands and the UK, as of 30 June 2022. The data was submitted to EDW on an anonymised basis.

This marks the third EBE report, following the inaugural publication in November 2021, in respect of a 30 June 2021 cut-off date (SCI 21 December 2021). However, it covers for the first time the period of one full year.

Corinne Smith

Benchmarking commitments

Benchmarking commitments

Category: ABS CMBS Regulation

Tuesday 11 April 2023 15:50 London/ 10.50 New York/ 23.50 Tokyo

Importance of private securitisation to real economy underlined

Over 70% of European private cash securitisations fund sellers in the EU and over 68% directly fund the real economy, according to the latest European Benchmarking Exercise (EBE) report. Further, 88% of all transactions by volume were undertaken by sellers with ratings of triple-B and below at inception, with 95.4% of transactions achieving investment grade ratings - demonstrating that private cash securitisations provide a cost-effective means of financing, especially for lower-rated sellers.

The EBE is a market-led initiative organised by AFME, European DataWarehouse and True Sale International, and supported by the Foundation Project Capital Markets Union. Its objective is to enhance the quality and usefulness of disclosure in the EU and UK private cash securitisation markets, across both ABCP and deals financed on-balance sheet.

The latest report provides aggregated transaction-level data gathered during 1H22 from 12 banks across six countries, covering €67.24bn of commitments and an estimated asset amount of €183.33bn. Over that period, 31 new commitments were observed, while 33 existing commitments ended. Overall, committed amounts grew by 7% year-on-year and funding increased by 12.3%, indicating increased demand from the real economy.

In terms of the regional distribution of sellers, there was a slight decline in commitments from UK sellers (-2%) against the general trend, while commitments from German sellers underperformed (rising only by 2%). In contrast, there was pronounced above-average growth seen in Italy, with commitments rising by 24%.

Private securitisations backed by trade receivables (representing €40.68bn of commitments) and auto loans or leasing contracts (€10.16bn) account for around 82% of the market, of which 33% and 88% respectively are funded through syndicated transactions. Consumer loans, equipment leasing, mortgages, credit card receivables, floorplan financings and SME loans make up the remainder of the assets.

By seller industry, the most prominent sectors remain finance and insurance (accounting for 25.3%) and manufacturing (22.1%). The strongest increase (of 39%) was observed in power generation in 2H21, which may be linked to the rise in power prices across Europe.

Finally, the share of STS-compliant assets rose strongly across all asset classes, with the average STS share increasing by 20.6% to 44.4%. The share of STS-compliant trade receivables deals stood at 41.2%, while the share for auto loans and leases and equipment leasing deals reached 78.6% and 72.9% respectively.

BayernLB, BNP Paribas, Commerzbank, Credit Agricole, DZ Bank, Helaba, HSBC, ING, LBBW, Natixis, RBI and UniCredit provided data for the EBE on a voluntary basis across Austria, France, Germany, Italy, the Netherlands and the UK, as of 30 June 2022. The data was submitted to EDW on an anonymised basis.

This marks the third EBE report, following the inaugural publication in November 2021, in respect of a 30 June 2021 cut-off date (SCI 21 December 2021). However, it covers for the first time the period of one full year.

Corinne Smith

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