12 Dec 2018

Securitisation Data Report Q3 2018

AFME is pleased to circulate its Q3 2018 Securitisation Data Report.

Main findings:

  • In Q3 2018, EUR 53.6 billion of securitised product was issued in Europe, a decline of 21.3% from Q2 2018 but an increase of 9.0% from Q3 2017.

    Of the EUR 53.6 billion issued, EUR 29.6 billion was placed, representing 55.3% of issuance, compared to the 56.3% of issuance in Q2 2018 and the 47.7% of issuance in Q3 2017.

    CLO refinancing (“refis”) activity continued in the third quarter of 2018; according to Refinitiv LPC, the combined amount of European CLO resets and refinancings totalled EUR 4.7 billion in Q3 2018 (EUR 5.1 billion in Q2 2018). Among placed issuance, PanEuropean CLO and UK RMBS led issuance totals, with EUR 14.2 billion and EUR 7.9 billion of issuance, respectively.
  • Outstanding volumes fell slightly to EUR 1.20 trillion outstanding at the end of Q3 2018, a decline of 0.4% QoQ and a decline of 0.2% YoY.
  • Credit Quality: In Europe, upgrades outpaced downgrades in Q3 2018, with upgrades concentrated in RMBS. 
  • European asset backed commercial paper (ABCP) issuance was EUR 129.1 billion in Q3 2018, an increase of 18.1% QoQ (from EUR 109.4 billion in Q2 2018) and a 92.0% increase YoY (from EUR 67.2 billion in Q3 2017). Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from France and Ireland in the third quarter
  • Regulatory update: AFME continued its engagement in the various IBOR Working Groups in London and the Eurozone. We are focused on preparing for the first SONIA-based securitisations in GBP, as well as building progress towards a reformed Euribor and the new ESTER rate in the Eurozone.

    The final text of revisions to the Liquidity Coverage Ratio (LCR) Delegated Act was published in the Official Journal of the EU with an application date of 30 April 2020. The revised text of the Delegated Act allows for only STS transactions to be LCR eligible and it does not provide grandfathering for existing (by definition, non-STS) LCR-eligible transactions which now face a “cliff-edge” and the loss of their eligibility on this date. While the regulatory debate is closed for now, AFME intends to revisit this with the Commission in 2019.