AFME Q2 2019 Securitisation Data Report | AFME

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AFME Q2 2019 Securitisation Data Report
23 Sep 2019

AFME is pleased to circulate its Q2 2019 Securitisation Data Report.


Main findings:


  • In Q2 2019, EUR 60.7 billion of securitised product was issued in Europe, an increase of 87.7% from Q1 2019 but a decline of 10.8% from Q2 2018. Of the EUR 60.7 billion issued, EUR 27.7 billion was placed, representing 45.6% of issuance, compared to the 50.9% of issuance in Q1 2019 and the 56.3% of issuance in Q2 2018.
  • Outstanding volumes rose slightly to EUR 1.25 trillion outstanding at the end of Q2 2019, an increase of 4.6% QoQ and 3.9% YoY.
  • Credit Quality: In Europe, upgrades outpaced downgrades in Q2 2019, with upgrades concentrated in RMBS, both conforming and non-conforming.
  • ABCP TrendsEuropean asset backed commercial paper (ABCP) issuance was EUR 149.9 billion in Q2 2019, a decrease of 5.4% QoQ but a 37.0% increase YoY. Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from France and Ireland.
  • Regulatory update: Good progress has been made on the regulatory technical standards (RTS) on homogeneity of the underlying exposures in securitisation, which have been adopted by the European Commission (the Commission) in May 2019.

There has been considerable progress in the sterling markets in the transition to risk-free rates with SONIA now the market norm for new issuance of sterling floating rate notes (FRNs). The volume of SONIA linked securitisations has experienced significant growth since the market opened in April of this year with £17.4 billion issued to date.