23 Mar 2015

Securitisation Data Report: European Structured Finance - Q4 2015

Market highlights and commentary

According to Eurostat, GDP rose by 0.3% quarter-overquarter (QoQ) in the EU 19 and the EU 28 for the fourth quarter of 2015, unchanged (EU 19) or down slightly (0.4%, EU 28) from the prior quarter.

Term Issuance and Outstanding Volumes

In Q4 2015, EUR 71.4 billion of securitised product was issued in Europe, an increase of 25.0% from Q3 2015 (EUR 57.1 billion) and an increase of 19.3% from Q4 2014 (EUR 59.8 billion). Of the EUR 71.4 billion issued, EUR 15.5 billion was placed, representing 21.7% of issuance, compared to EUR 18.1 billion placed in Q3 2015 (representing 31.8%) and EUR 24.3 billion placed in Q4 2014 (representing 40.6%).

For the full year, EUR 213.7 billion of securitisations were issued in Europe, a decline of 1.5% from the prior year. Of this, EUR 81.5 billion were placed, representing 38.1% of totals, an improvement from the EUR 78.2 billion (36.0%) of securitisations placed in 2014.

For the fourth quarter, UK RMBS continued to lead placed totals (EUR 6.1 billion), followed by European CLOs (EUR 3.5 billion) and German auto ABS (EUR 1.6 billion). For the full year, placed issuance broadly reflected the same trends, with UK RMBS leading placed totals (EUR 20.1 billion), followed by PanEuropean CLOs (EUR 13.7 billion), and German auto ABS (EUR 11.4 billion).

Net issuance of securitised product remained negative, with EUR 1.25 trillion outstanding at the end of 4Q’15, down from EUR 1.33 trillion at the end of 3Q’15. Of this, EUR 690.4 billion, or 55.4%, were retained.