AFME is pleased to circulate its Q3 2020 Securitisation Data Report.

Main findings:

• In Q3 2020, EUR 39.8 billion of securitised product was issued in Europe, a decrease of 19.1% from Q2 2020 and a decrease of 1.5% from Q3 2019. Of the EUR 39.8bn issued, EUR 18.8bn was placed, representing 47.2% of issuance, compared to the 28.7% of issuance in Q2 2019 and 77.0% of issuance in Q3 2019

• Outstanding volumes (ex-CLOs) decreased slightly to EUR 985.6bn outstanding at the end of Q3 2020, a decrease of 1.4% QoQ and an increase of 0.7% YoY.

• Credit Quality: In Europe, downgrades outpaced upgrades in Q3 2020, with upgrades as a percentage of rating actions stabilising during Q3 2020, after falling significantly in Q2 2020.

• Valuation Metrics: European securitisation spreads remain at a record-high in the auto 1-4 Yr market while the spreads observed in the credit card 1-4Yr market have largely normalised to pre-pandemic levels

• In October 2020, AFME published model wording for EURIBOR new issues of securitisations to help facilitate their transition from EURIBOR to new risk-free rates. This provides an easier mechanism for a future transition from Euribor to an alternative rate (once identified) without the need to undertake a consent solicitation.  The model wording is available on the AFME website (here).