The European Central Bank (ECB) has just published its data on securitisations for 2023, revealing key trends and insights into this, as on multiple occasions recently communicated, critical component of the EU capital markets union. Securitisation continues to play a vital role in diversifying banks' funding sources and transferring credit risk, thereby contributing to a more balanced risk distribution across the financial sector, ECB explicitly states.
The ECB data, as of June 30, 2023, shows that banks' outstanding stock of securitisations reached €1.2 trillion, divided between capital relief (SRT) and funding (non-SRT) transactions. Banks retain a substantial portion of SRT instruments, with about 15% of the notional volume placed with third-party investors. Additionally, around 70% of funding instruments are retained by originating banks as asset-backed securities for Eurosystem collateral.
Synthetic transactions dominate this segment, accounting for 90.5% of SRT deals, highlighting their role in capital optimisation. Corporate loans remain the largest class of securitised assets.
The market for non-performing loan (NPL) securitisations also saw a decrease, with only a few transactions totaling €2.1 billion executed in 2023. This decline corresponds with the overall reduction in non-performing loan ratios across the banking sector.
The ECB emphasizes the importance of banks in the securitisation market and continues to monitor associated risks. Increasing the placement of securitisation instruments with external investors is seen as a potential avenue to enhance and deepen Europe's capital markets, ultimately benefiting the broader economy.
For more detailed insights and data, read the full ECB report here.
