27 Mar 2018

Securitisation Data Report Q4 2017

AFME is pleased to circulate its Q4 2017 Securitisation Data Report.  

Main findings:

  • In Q4 2017, EUR 73.1 billion of securitised product was issued in Europe, an increase of 48.7% from Q3 2017 and an increase of 21.5% from Q4 2016.

    Of the EUR 73.1 billion issued, EUR 31.6 billion was placed, representing 43.2% of issuance, compared to the 47.3% of issuance in Q3 2017 and the 52.0% of issuance in Q4 2016. 

    CLO refinancing (“refis”) activity continued in the fourth quarter of 2017, resulting in the asset class leading EUR volumes among placed asset classes in Q4 2017. According to Bank of America-Merrill Lynch, a little over half (55.6%) of all CLO issues in 2017 were in the form of a refi or reset.

  • Outstanding volumes rose slightly to EUR 1.22 trillion outstanding at the end of Q4 2017, an increase of 1.3% QoQ but a decline of 4.3% YoY.

  • Credit quality: In Europe, upgrades outpaced downgrades in Q4 2017, with upgrades concentrated in European CMBS and prime RMBS.

  • European asset backed commercial paper (ABCP) issuance was EUR 75.0 billion in Q4 2017, an increase of 11.6% QoQ (from €67.2 billion in Q3 2017) and a 20.3% decline YoY (from €94.1 billion in Q4 2016). Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from France.

  • Regulatory update: The STS Regulation, establishing the “Simple Transparent and Standardised” (STS) securitisation framework, and the related CRR Amendment, which form the new STS Securitisation Package, have been published in the Official Journal of the EU on 28 December 2017. Both texts entered into force on 18 January 2018, however, the date of application of both the STS Regulation and CRR Amendment is 1 January 2019. Attention has turned now to the implementation and development of the related secondary legislation, including technical standards and guidelines.