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.

Summary

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.

Credits

AFME

  • 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
Disclaimer

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modify or amend this information or to otherwise notify a reader thereof in the event that any such information becomes outdated, inaccurate, or incomplete.


Join SIFMA

Learn How ›

Contact

Email: research@sifma.org
Call: 212.313.1200

Research Reports

Monthly analysis of critical issues affecting the financial services industry.

Copyright Permission Request

Subject to our Terms of Use; for use of data requests:

 

Featured Events

Senior Investor Protection Denver Regional Workshop

Thursday, July 27, 2017

Denver, CO

C&L San Francisco Regional 2017

Thursday, August 03, 2017

Charles Schwab, San Francisco, CA

Global Tax Reporting Symposium 2017

October 3-4, 2017

SIFMA Conference Center, New York, NY

CAS Global Corporate Actions Forum 2017

Thursday, October 05, 2017

Wyndham Boston Beacon Hill, Boston, MA

Market Data