AFME Securitisation Data Report Q4 2020 | AFME

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Data Research
AFME Securitisation Data Report Q4 2020
23 Feb 2021
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Author Julio Suarez Director
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AFME is pleased to circulate its Q4 2020 Securitisation Data Report.


Main findings:


  • In Q4 2020, EUR 65.5bn of securitised product was issued in Europe, an increase of 62.5% from Q3 2020 and a decrease of 25.0% from Q4 2019. Of the EUR 65.5bn issued, EUR 25.9bn was placed, representing 39.5% of issuance, compared to the 46.7% of issuance in Q3 2020 and 50.2% of issuance in Q4 2019.


  • In 2020FY, EUR 194.7bn of securitised product was issued in Europe, a decrease of 11.9% from the EUR 220.9bn issued in 2019. Of this, EUR 81.4bn was placed, representing 41.8% of the total, compared to EUR 119.2bn placed in 2019 representing 54.0% of the total.


  • Outstanding volumes (ex-CLOs) decreased slightly to EUR 992.8bn outstanding at the end of Q4 2020, an increase of 0.7% QoQ and a decrease of 1.6% YoY.


  • Credit Quality: In Europe, upgrades outpaced downgrades in Q4 2020 after two consecutive quarters in which downgrades outpaced upgrades. In 2020FY, upgrades comprised 55% of total rating actions by the four CRAs.


  • STS issuance: Total (placed and retained) Simple Transparent and Standardised (STS) issuance increased to EUR 35.9bn during Q4 2020, marking the first-time quarterly STS issuance, as a proportion of total issuance, has surpassed 50%. For 2020FY, STS issuance represented 39.7% of total annual issuance, compared to 33.3% of issuance in 2019.