AFME is pleased to circulate its Q1 2020 Securitisation Data Report. Please note that there have been some changes in sources used and methodology; these have been noted in the Report.  A full statement regarding our methodology is available here. 

Main findings:

• In Q1 2020, EUR 30.1 billion of securitised product was issued in Europe, a decrease of 61.7% from Q4 2019 and a decrease of 2.3% from Q1 2019. Of the EUR 30.1 billion issued, EUR 21.4 billion was placed, representing 71.1% of issuance, compared to the 46.1% of issuance in Q4 2019 and the 63.3% of issuance in Q1 2019.

• Outstanding volumes (excluding outstanding CLOs) fell slightly to EUR 0.99 trillion outstanding at the end of Q1 2020, a decrease of 1.8% QoQ and 0.02% YoY.

• Credit Quality: In Europe, upgrades outpaced downgrades in Q1 2020, 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 finalisation. Included in this report is a breakdown of the Securitisation Regulation and CRR Level 2 mandates by article number and status by date of completion.

• On 8 April the EC launched a consultation on its Renewed Sustainable Finance Strategy which includes a section on green securitisation.  Among other questions, the EC is requesting feedback on the need for a dedicated regulatory and prudential framework for green securitisation. AFME is preparing its response.