AFME Securitisation Data Report: Q3 2019 | AFME

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AFME Securitisation Data Report: Q3 2019
05 Feb 2020
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Julio Suarez Director

AFME is pleased to circulate its Q3 2019 Securitisation Data Report

Main findings:

  • In Q3 2019, EUR 40.4 billion of securitised product was issued in Europe, a decrease of 33.4% from Q2 2019 and a decrease of 25.8% from Q3 2018. Of the EUR 40.4 billion issued, EUR 31.1 billion was placed, representing 76.9% of issuance, compared to the 45.6% of issuance in Q2 2019 and the 55.8% of issuance in Q3 2018.

  • Outstanding volumes fell slightly to EUR 1.19 trillion outstanding at the end of Q3 2019, a decrease of 4.4% QoQ and 0.5% YoY.

  • Credit Quality: In Europe, upgrades outpaced downgrades in Q3 2019, with upgrades concentrated in RMBS, both conforming and non-conforming.

  • Regulatory update: The implementation of the Level 2 legislation under the STS Framework is still progressing. However, some of the key elements of the Securitisation Framework are still pending the finalisation, such as the RTS on Risk Retention (expected adoption by the EC later in 2020). 

    In response to the increasing regulatory and policy focus on Sustainable Finance (including the environmental aspects) in September 2019 AFME published a position paper on Green Securitisation in which we highlighted the key voluntary principles which policymakers and market participants should support to help propose green securitisation.