AFME is pleased to circulate its Q2 2020 Securitisation Data Report.

Main findings:

• In Q2 2020, EUR 49.2 billion of securitised product was issued in Europe, an increase of 63.6% from Q1 2020 and a decrease of 18.9% from Q2 2019. Of the EUR 49.2 billion issued, EUR 14.1 billion was placed, representing 28.6% of issuance, compared to the 71.1% of issuance in Q4 2019 and the 45.6% of issuance in Q1 2019.

• Outstanding volumes (ex-CLOs) increased slightly to EUR 999.3 billion outstanding at the end of Q2 2020, an increase of 0.9% QoQ and 0.3% YoY.

• Credit Quality: In Europe, downgrades outpaced upgrades in Q2 2020, with downgrades concentrated in CMBS and RMBS.

• Valuation Metrics: European securitisation spreads tightened during Q2 2020, although continue above the levels observed before the COVID-19 outbreak.

• On 15 July AFME submitted its response to the EC consultation on a Renewed Sustainable Finance Strategy which includes a section on green securitisation.  In our response we stressed the role securitisation can play in financing  sustainable projects and the need to research further the possibility to introduce a differentiated capital treatment for securitisations compliant with ESG principles.