AFME Securitisation Data Report, Second Quarter 2016

In Q2 2016, EUR 74.5 billion of securitised product was issued in Europe, an increase of 31.0% from Q1 2016 (EUR 56.9 billion) and an increase of 49.2% from Q2 2015 (EUR 49.9 billion). Of the EUR 74.5 billion issued, EUR 29.1 billion was placed, representing 39.0% of issuance, compared to EUR 14.3 billion placed in Q1 2016 (representing 25.2%) and EUR 28.4 billion placed in Q2 2015 (representing 56.8%).

For the second quarter, UK RMBS continued to lead placed totals (EUR 11.6 billion), followed by German auto (EUR 4.6 billion) and European CLO (EUR 4.6 billion). Notably, the first peer-to-peer / marketplace lending securitisation appeared in Europe, a UK SME deal comprised of loans funded through the Funding Circle platform.

Net issuance was positive for the first time since the third quarter of 2014, with EUR 1.271 outstanding at the end of 2Q’16, up from EUR 1.267 trillion at the end of 1Q’16. Of this, approximately EUR 733.7 billion, or 57.7%, was retained.

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