13 Sep 2017

Securitisation Data Report Q2 2017

AFME is pleased to circulate its Q2 2017 Securitisation Data Report.  

Main findings:

  • In Q2 2017, EUR 71.6 billion of securitised product was issued in Europe, an increase of 91.2% from Q1 2017 but a decline of 4.9% from Q2 2016.

    Of the EUR 71.6 billion issued, EUR 38.6 billion was placed, representing 54.0% of issuance, compared to the 44.0% of issuance in Q1 2017 and the 39.3% of issuance in Q2 2016.

  • Outstanding volumes were essentially unchanged from the prior quarter at EUR 1.24 trillion outstanding at the end of Q2 2017. Of this, approximately EUR 714.6 billion, or 57.4%, was retained
  • Credit quality: upgrades outpaced downgrades in Q2 2017, with upgrades concentrated in European CLOs and prime RMBS.

  • European asset backed commercial paper (ABCP) issuance was EUR 68.4 billion in Q2 2017, a decline of 16.9% QoQ (from €82.3 billion in Q1 2017) and 43.0% YoY (from €120.1 billion in Q2 2016). Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from Ireland and France.

  • Regulatory update: At the end of May 2017, the European Commission, European Parliament and the Council have reached the political agreement on the proposals for Simple Transparent and Standardised (STS) Securitisation framework. The attention has turned now to implementation and development of the secondary legislation.