Private Risk Sharing Exceeded €1 Trillion, Despite Ongoing Uncertainties in Final Regulatory Treatment

The IACPM has conducted its annual survey on risk sharing transactions executed by banks through synthetic on balance-sheet securitizations.

Securitized volumes continued to increase substantially, with more than 500 synthetic SRT transactions issued by participating banks between 2016 and 2023, protecting both expected and unexpected losses on more than € 1 trillion of underlying loans. The year 2023 highlighted similar growth as seen in 2022, with more than € 200 billion new issuance. By the end of 2023, more than €600 bn of bank loans were covered by €55 bn of junior tranches.

Half of the loans securitized synthetically in 2023 were originated in the European Union. Similar as seen in the 2022 data, 2023 issuance of EU SRT transactions exceeded the volume of placed true sale issuance, and a growing number of trades qualify as STS to benefit from the more favorable capital treatment.

Please click here to access a summary article on survey results.
Please click here to access select high-level results from IACPM’s latest Synthetic Securitization Market Volume survey.