Private credit helps drives surge in bank securitisation exposures

23 May 2024/No Comments
By Nick Dunbar

The boom in private credit helped boost bank securitisation exposures to a record $1.2 trillion at end of 2023 for the largest 11 G-SIB banks, according to Risky Finance analysis of Pillar 3 filings.

This compares to $700 billion of securitisation exposures for the same banks in December 2015, when Basel III regulations first required G-SIBs to disclose this information. Since then, the majority of growth has come from corporate loans, which are pooled into collateralised loan obligations (CLOs) that the banks either originate, sponsor or invest in.

Securitisation exposures are growing fast
This visualisation shows the evolution of total banking book securitisation exposure for the 11 G-SIBs since 2016. Data compiled from Pillar 3 filings and FFIEC101 forms. Subscribe to access to our ten-year database of bank risk disclosures, many not available anywhere else.

This trend is particularly noticeable for the US banks such as JP Morgan, the largest bank as measured by securitisation exposure. In 2015, corporate loans accounted for 29% of the bank’s securitisations, a smaller percentage than its securitised mortgage exposure. By the end of 2023, that proportion had risen to half, eclipsing mortgages and other types of collateral such as auto loans or student loans. JP Morgan securitised $26.4 billion of corporate loans in 2023 alone, according to filings.

The increased exposure comes as private credit overtakes leveraged loans, historically the most common collateral used in CLOs.

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