AFME Securitisation Data Report Q1 2021 | AFME

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Data Research
AFME Securitisation Data Report Q1 2021
15 Jun 2021
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Author Julio Suarez Director
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AFME is pleased to circulate its Q1 2021 Securitisation Data Report.


Please note that due to ongoing revisions to the data, US non-agency issuance volumes have been revised upwards for 2019-2020. Most recent quarterly issuance data volumes (Q1 2021) concerning the US non-agency RMBS, CMBS and CDO categories likely to be revised upwards next quarter.


Main findings:


  • In Q1 2021, EUR 48.9bn of securitised product was issued in Europe, a decrease of 25.9% from Q4 2020 and an increase of 18.7% from Q1 2020. Of the EUR 48.9bn issued, EUR 30.0bn was placed, representing 61.3% of issuance, compared to the 39.4% of issuance in Q4 2020 and 58.0% of issuance in Q1 2020.


Outstanding volumes (ex-CLOs) decreased slightly to EUR 987.8bn outstanding at the end of Q1 2021, a decrease of 0.5% QoQ and a decrease of 0.3% YoY.


  • Credit Quality: In Europe, upgrades outpaced downgrades in Q1 2021, as the proportion of upgrades as a percentage of ratings actions recovered substantially to 76% of total rating actions following a fall during 2020 due to the economic effects of the pandemic.


  • STS issuance: In Q1 2021, EUR 11.3 bn of total (placed and retained) securitised product was notified as Simple Transparent and Standardised (STS) by ESMA, representing 23.1% of total issued volume in Q1 2021 (EUR 48.9bn). Out of the EUR 11.3bn in STS issuance, EUR 6.9bn was placed, representing 23.0% of total placed issuance in Q1 2021 (EUR 30.0bn)


  • STS issuance: Over the last three years, placed non-STS issuance has consistently made up more than double the amount of placed STS issuance in the EU+UK.