Asset-backed securities statistics

Asset-backed Securities Statistics (from 4th Quarter 2021)

They are available from the 4th Quarter of 2021 on and are organized into four blocks: the first of them shows the number of securitization funds and the amount issued during the quarter; the second one contains information about the current number of funds and their outstanding balance at the end of the quarter; the third block presents aggregated data on average interest rate and average maturity. All the information of these three blocks is disaggregated by type of securitised asset, nature of the securitisation, seller´s sector and rating, among other points. The last block shows a brief resume of the financial public information of securitisation funds.

In addition, two annexes are included: annex 1 shows individual data of the asset-backed bonds issued in the last twelve months. Annex 2 presents aggregated information of the asset backed securities managed by each management company.

Data sources: asset-backed bonds and commercial paper issue prospectuses, reserved statistical information and financial periodic information. All this information is provided to CNMV by supervised entities in the performance of its functions.

Frequency: quarterly, last five quarters are shown.

Statistics on asset-backed securities primary and secondary market (until 3rd Quarter 2021)

These statistics are available from 1993 to the 3rd Quarter 2021.

They present aggregate statistical data on the number and the amount of issues conducted by securitisation funds, with a breakdown by type of asset transferred, nature of seller institution, credit rating, etc. Information is also provided on the credit enhancements extended to funds, along with their outstanding balances and trading volumes on organised secondary markets.

An annex is appended with individual data on issues filed with the CNMV in the past 12 months.

Data sources: asset-backed bonds and commercial paper issue prospectuses, AIAF, Bolsa de Barcelona, Reuters and Bloomberg.

Frequency: monthly, though the tables provide quarterly figures.