21 Jul 2016

Securitisation Data Report: Q2 2016

Market Highlights and Commentary

Market Environment

Economic conditions

According to Eurostat, GDP rose by 0.3% quarter-over-quarter (QoQ) in the Euro zone (EU19) and by 0.4% in the EU28 during the second quarter of 2016. The unemployment rate stood at 10.1% (EU19) and 8.6% (EU28) as of the end of June 2016, the lowest rate recorded since 2011 (EU19) and 2009 (EU28).

Term Issuance and Outstanding Volumes

In Q2 2016, EUR 74.5 billion of securitised product was issued in Europe, an increase of 31.0% from Q1 2016 (EUR 56.9 billion) and an increase of 49.2% from Q2 2015 (EUR 49.9 billion). Of the EUR 74.5 billion issued, EUR 29.1 billion was placed, representing 39.0% of issuance, compared to EUR 14.3 billion placed in Q1 2016 (representing 25.2%) and EUR 28.4 billion placed in Q2 2015 (representing 56.8%).

For the second quarter, UK RMBS continued to lead placed totals (EUR 11.6 billion), followed by German auto (EUR 4.6 billion) and European CLO (EUR 4.6 billion). Notably, the first peer-to-peer / marketplace lending securitisation appeared in Europe, a UK SME deal comprised of loans funded through the Funding Circle

Net issuance was positive for the first time since the third quarter of 2014, with EUR 1.271 outstanding at the end of 2Q’16, up from EUR 1.267 trillion at the end of 1Q’16. Of this, approximately EUR 733.7 billion, or 57.7%, was retained.

Credit Quality

In Europe, upgrades outpaced downgrades in Q2 2016 among European securitised product, with upgrades concentrated in European CLOs and prime RMBS.

ABCP Trends

European asset backed commercial paper (ABCP) issuance was EUR 120.1 billion in Q2 2016, an increase of 25.3% QoQ and 16.7% YoY. Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from Ireland and France. European ABCP outstandings decreased slightly from the previous quarter, ending the second quarter at EUR 15.3 billion, down by 14.7% from EUR 17.9 billion in Q1 2016.