31 May 2017

Securitisation Data Report Q1 2017

AFME is pleased to circulate its Q1 2017 Securitisation Data Report.

Main findings:

  • In Q1 2017, EUR 36.7 billion of securitised product was issued in Europe, a decline of 38.9% from Q4 2016 and a decline of 35.7% from Q1 2016.

    Of the EUR 36.7 billion issued, EUR 16.3 billion was placed, representing 44.5% of issuance, compared to the 51.9% of issuance in Q4 2016 and the 25.4% of issuance in Q1 2016. 

  • Net issuance was negative for the first quarter of 2017, with EUR 1.24 trillion outstanding at the end of Q1 2017, down 2.7% from the prior quarter. Of this, approximately EUR 709.3 billion, or 57%, was retained.

  • Credit quality: Upgrades outpaced downgrades in Q1 2017, with upgrades concentrated in European CLOs and prime RMBS.

  • European asset backed commercial paper (ABCP) issuance was EUR 82.3 billion in Q1 2017, a decline of 12.5% QoQ and 14.1% YoY. Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from Ireland and France.