Market updates and sector developments

ESMA has published an overview of EU securitisation volumes, based on the data it receives under the Securitisation Regulation. The study shows that the size of the European securitisation market has decreased significantly since its peak of €2trn at end-2010. It also highlights that private deals represent 59% of STS securitisation notifications.

As reported to the registered securitisation repositories, 390 individual securitised products were outstanding in the EU at end-2022, amounting to €540bn. Of these outstanding amounts, 54% of products were linked to residential mortgages, followed by auto loans (16%), SME loans (15%) and consumer loans (12%). The majority (86%) of the outstanding was originated in the five largest markets – namely France (25%), Germany (21%), Italy (17%), Spain (13%) and the Netherlands (10%). 

The study also includes data from the ESMA register of STS securitisations, which contained 586 non-ABCP and ABCP STS notifications (238 public and 348 private), as of 31 December 2022. Additionally, the list includes 54 synthetic STS transactions, the majority of which are funded transactions (63%) and in the form of financial guarantees (96%). In terms of the underlying exposures, a mix of SMEs and large corporate loans account for 35% of notifications received by ESMA, followed by large corporate loans (28%) and ‘others’ (15%).

Totalling €215bn, the public STS securitisations were primarily issued in the Netherlands (22%), followed by France (20%), Italy (18%), Luxembourg (15%) and Spain (13%), with the remaining EU countries accounting for around 12% combined. Issuance of private STS deals mostly occurred in three countries: France (37%), Ireland (25%) and Luxembourg (16%), with the remaining EU countries amounting to around 22% of the total. Of the private STS deals, 84% are ABCP issuances, with trade receivables accounting for 64% of the notifications.

Finally, ESMA notes that STS issuance figures for 2022 were lower than in 2021 and 2020, by 15% and 38% respectively.