In Q1 2015, EUR 33.9 billion of securitised prod-uct was issued in Europe, a decline of 43.1% from Q4 2014 (EUR 59.6 billion) but an increase of 70.0% from Q1 2014 (EUR 19.9 billion). Of the EUR 33.9 billion issued, EUR 18.2 billion was placed, representing 53.8%, compared to EUR 24.1 billion placed in Q4 2014 (representing 40.4%) and EUR 14.6 billion placed in Q1 2014 (representing 73.5%).

Net issuance in the first quarter was negative. UK RMBS led placed totals (EUR 5.4 billion) in the first quarter, followed by European CLOs (EUR 2.8 billion) and Dutch RMBS (EUR 2.4 billion).

At the end of Q1 2015, EUR 1.37 trillion was out-standing, of which EUR 745.7 billion (54.6% of outstanding) was retained. Shortly after the end of the first quarter, 3-month Euribor dipped be-low 0% in mid-April, which led to negative cou-pons for those deals without floors. As of Q1 2015, approximately 48.1% of outstanding deals are FRNs using 3-month Euribor (the most com-mon index). Of this subset, approximately 12.6% carry a spread of 15 basis points or below, largely concentrated in European RMBS.

About the Report

The AFME / ESF data report, done in partnership with AFME / ESF, is a quarterly report that consolidates both U.S. and European data for the securitisation markets:

• issuance activity;
• deal sizes;
• outstanding balances;
• rating changes;
• credit spread changes;
• index data;
• ABCP issuance; and
• highlights and commentary.

For more information on AFME’s efforts in the European structured finance sector, please visit AFME.

Credits

AFME

• Managing Director: Richard Hopkin
• Manager: Anna Bak
• Manager: Julio Suarez

SIFMA Research

• Managing Director, Director of Research: Kyle Brandon
• AVP, Research: Sharon Sung