AFME Securitisation Data Report, Fourth Quarter 2016

March 8, 2017

AFME Securitisation Data Report, Fourth Quarter 2016

About the Report

The AFME Securitisation data report, done in partnership with AFME, 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.


In Q4 2016, EUR 59.0 billion of securitised product was issued in Europe, an increase of 27.0% from Q3 2016 but a decline of 18.9% from Q4 2015. Of the EUR 59.0 billion issued, EUR 31.1 billion was placed, representing 52.7% of issuance, compared to the 46.2% of issuance in Q3 2016 and the 21.6% of issuance in Q4 2015. The increase in placed totals stems largely from a sharp uptick in CLO refinancing operations ("refis") in the fourth quarter of 2016.

For the fourth quarter, pan-European CLOs led placed totals (EUR 9.2 billion), followed by UK RMBS (EUR 5.6 billion) and UK auto (EUR 3.0 billion).

For the full year, issuance was EUR 237.6 billion, an increase of 9.8% from the prior year. Of this, EUR 96.4 billion was placed, representing 40.6% of issuance.

Net issuance was positive for the fourth quarter of 2016, with EUR 1.27 trillion outstanding at the end of 4Q'16, up 2.1% from the prior quarter. Of this, approximately EUR 722.7 billion, or 56.7%, was retained.



  • Managing Director, Head of Fixed Income: Richard Hopkin
  • Manager, Securitisation: Anna Bak
  • Manager, Research: Julio Suarez

SIFMA Research

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

The Securities Industry and Financial Markets Association (SIFMA) prepared this material for informational purposes only. SIFMA obtained this information from multiple sources believed to be reliable as of the date of publication; SIFMA, however, makes no representations as to the accuracy or completeness of such third party information. SIFMA has no obligation to update, modify or amend this information or to otherwise notify a reader thereof in the event that any such information becomes outdated, inaccurate, or incomplete.


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