The European Securities and Markets Authority (ESMA), the EU’s financial markets regulator and supervisor, today publishes a study setting out the details of the EU securitisation market.
Main findings
Overall, the size of the European securitisation market has decreased significantly since the EUR 2tn it reached at the end of 2010. At end-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%).
This article also presents data from the ESMA register of Simple, Transparent and Standardised securitisation (STS) securitisations. These securitisations fulfil a various set of predetermined requirements to help investors identify high-quality securitisations and thus foster EU securitisation markets. The ESMA STS register contained 586 non-ABCP and ABCP STS notifications in the STS register as of 31 December 2022: 238 public and 348 private. Additionally, there were 54 synthetic STS. 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 countries accounting for around 12% combined. Finally, 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.
The scope of the study published today 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.
This article is based on the data ESMA receives under Regulation (EU) 2017/2402 (Securitisation Regulation, or SECR), and on data from the ESMA register of Simple, Transparent and Standardised securitisation (STS) securitisations. The SECR requires the reporting of public securitisation data, including on underlying exposures and investor reports, through registered securitisation repositories from 30 June 2021.
