8 Mar 2017

Securitisation Data Report Q4 2016

AFME is pleased to circulate its Q4 2016 Securitisation Data Report.

Main findings:

  • in Q4 2016, EUR 59.0 billion of securitised product was issued in Europe, an increase of 27.0% from Q3 2016 but a decline of 18.9% from Q4 2015.

    Of the EUR 59.0 billion issued, EUR 31.1 billion was placed, representing 52.7% of issuance, compared to the 46.2% of issuance in Q3 2016 and the 21.6% of issuance of 4Q 2015. 

  • for the full year, issuance was EUR 237.6 billion, an increase of 9.8% from the prior year. Of this, EUR 96.4 billion was placed, representing 40.6% of issuance.

  • net issuance was positive for the fourth quarter of 2016, with EUR 1.27 trillion outstanding at the end of 4Q’16, up 2.1% from the prior quarter. Of this, approximately EUR 722.7 billion, or 56.7%, was retained.

  • credit quality: Upgrades outpaced downgrades in Q4 2016, with upgrades concentrated in European CLOs and both prime and nonconforming RMBS.

  • European asset backed commercial paper (ABCP) issuance was EUR 94.1 billion in Q4 2016, a decline of 30.7% QoQ and 17.6% YoY.