In Q4 2015, EUR 71.4 billion of securitised product was issued in Europe, an increase of 25.0% from Q3 2015 (EUR 57.1 billion) and an increase of 19.3% from Q4 2014 (EUR 59.8 billion). Of the EUR 71.4 billion issued, EUR 15.5 billion was placed, representing 21.7% of issuance, compared to EUR 18.1 billion placed in Q3 2015 (representing 31.8%) and EUR 24.3 billion placed in Q4 2014 (representing 40.6%).

For the full year, EUR 213.7 billion of securitisations were issued in Europe, a decline of 1.5% from the prior year. Of this, EUR 81.5 billion were placed, representing 38.1% of totals, an improvement from the EUR 78.2 billion (36.0%) of securitisations placed in 2014.

For the fourth quarter, UK RMBS continued to lead placed totals (EUR 6.1 billion), followed by European CLOs (EUR 3.5 billion) and German auto ABS (EUR 1.6 billion). For the full year, placed issuance broadly reflected the same trends, with UK RMBS leading placed totals (EUR 20.1 billion), followed by PanEuropean CLOs (EUR 13.7 billion), and German auto ABS (EUR 11.4 billion).

Net issuance of securitised product remained negative, with EUR 1.25 trillion outstanding at the end of 4Q’15, down from EUR 1.33 trillion at the end of 3Q’15. Of this, EUR 690.4 billion, or 55.4%, were 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