18 Mar 2019

Securitisation Data Report Q4 2018

AFME is pleased to circulate its Q4 2018 Securitisation Data Report.

Main findings:

  • In Q4 2018, EUR 88.4 billion of securitised product was issued in Europe, an increase of 62.1% from Q3 2018 and an increase of 19.3% from Q4 2017.
    Of the EUR 88.4 billion issued, EUR 35.2 billion was placed, representing 39.9% of issuance, compared to the 55.1% of issuance in Q3 2018 and the 42.5% of issuance in Q4 2017.
    It should be noted that in 2019 to date, public issuance has fallen sharply with only EUR 3.0bn European ABS issued to date according to market analysts, representing the slowest start to the year since 2009. The delay in approval by the EU public authorities of key elements of the new securitisation framework is clearly a factor, as well as the new and unhelpful LCR rules. At the time of writing, only one transaction which aims to be compliant with the new STS regime has been announced.
  • Outstanding volumes rose slightly to EUR 1.24 trillion outstanding at the end of Q4 2018, an increase of 3.8% QoQ and an increase of 1.9% YoY.
  • Credit Quality: In Europe, upgrades outpaced downgrades in Q4 2018, with upgrades concentrated in RMBS, both conforming and non-conforming.
  • European asset backed commercial paper (ABCP) issuance was EUR 97.6 billion in Q4 2018, a decline of 24.4% QoQ (from EUR 129.1 billion in Q3 2018) but a 30.1% increase YoY (from EUR 75.0 billion in Q4 2017). Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from France and Ireland in the fourth quarter
  • Regulatory update: The final drafts of the following technical standards have been submitted for the European Commission’s (EC) endorsement: (i) EBA draft RTS on Risk Retention; (ii) EBA draft RTS on Homogeneity; (iii) ESMA draft RTS and ITS on STS Notification; and (iv) ESMA draft RTS and ITS on Securitization Data Repositories.
    These final drafts are expected to be adopted by the EC and will then be subject to a scrutiny period by the European Parliament and the Council. It is hoped that this process will be completed very soon, and in any event before the European Parliament rises in April for the elections in May
    The impact of the Liquidity Coverage Ratio (LCR) Delegated Act is now observable as a material constraint on bank investor participation. This is concerning, and AFME intends to revisit this topic with the Commission later in 2019.