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The EU securitisation market: a first look

ISBN: 9789295202832 ;ISBN: 929520283X

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  • Title:
    The EU securitisation market: a first look
  • Subjects: credit ; financial regulation ; financial risk ; free movement of capital ; investment ; market ; risk management ; stock-exchange listing
  • Description: This article provides an overview of the EU securitisation market based on the data ESMA receives under Regulation (EU) 2017/2402 (securitisation regulation, or SECR). The SECR requires the reporting of public securitisation data, including on underlying exposures and investor reports, through registered securitisation repositories from 30 June 2021. Overall, the size of the European securitisation market has decreased significantly since the Global Financial Crisis which at the end of 2010 amounted to EUR 2tn for ABS, CDO and MBS. At the end of 2022, there were 390 individual securitised products outstanding in the EU as reported to the registered securitisation repositories, amounting to EUR 540bn. 54% of these outstanding amounts were linked to residential mortgages, followed by automobile loans (16%), loans to SMEs (15%) and consumer loans (12%). 86% of the outstanding was originated in the five largest markets, namely FR (25%), DE (21%), IT (17%), ES (13%), and NL (10%). The scope of Regulation (EU) 2017/2402 is limited to public securitisation deals issued after 1 January 2019 and does not cover earlier issuances. The overall market including pre-2019 securitisations is significantly larger, as suggested by industry reports such as AFME's estimate of EUR 700bn of EU ABS. The market coverage of the ESMA reporting will increase as we approach the maturity of the pre-2019 deals, although private securitisation will remain out of scope. ESMA also maintains a register of simple, transparent and standardised securitisation (STS). These securitisations fulfil a series of requirements designed to allow market participants to discern simple, transparent and standardised products from more complex, opaque and risky investments. As of 31 December 2022, there were 586 traditional STS notifications in the STS register: 238 public and 348 private. Additionally, there were also 54 synthetic STS (66 as of 1 May 2023). Public STS securitisations, amounting to EUR 215bn were primarily issued in NL (22%), followed by FR (20%), IT (18%), LU (15%) and ES (13%), with the remaining EU Member States accounting for around 12% combined. Finally, the issuance of private STS mostly occurred in three Member States: FR (37%), IE (25%) and LU (16%), with the remaining EU countries amounting to around 22% of the total.
  • Publisher: Luxembourg: Publications Office
  • Creation Date: 2023
  • Language: English
  • Identifier: ISBN: 9789295202832
    ISBN: 929520283X
  • Source: EU BookShop
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