AFME Securitisation Data Report, First Quarter 2017

In Q1 2017, EUR 36.7 billion of securitised product was issued in Europe, a decline of 38.9% from Q4 2016 and a decline of 35.7% from Q1 2016. Of the EUR 36.7 billion issued, EUR 16.3 billion was placed, representing 44.5% of issuance, compared to the 51.9% of issuance in Q4 2016 and the 25.4% of issuance in Q1 2016.

CLO refinancing (“refis”) activity, which picked up in the fourth quarter of 2016, also continued at a robust pace in the first quarter of 2017; a little more of a third of placed volumes were from refis of 2013 and 2014 vintages. Unlike recent US CLO refinancing activity, which has been from 2012-2015 vintages, European CLO refis have been entirely from the 2013 and 2014 vintages, with almost two-fifths of these deals refied in late 2016 and first quarter 2017 and several additional refis closing after the end of the quarter.

For the first quarter, pan-European CLOs led placed totals (EUR 5.8 billion), followed by UK RMBS (EUR 2.5 billion) and Dutch RMBS (EUR 2.1 billion).
Net issuance was negative for the first quarter of 2017, with EUR 1.24 trillion outstanding at the end of 1Q’17, down 2.7% from the prior quarter. Of this, approximately EUR 709.3 billion, or 57%, was retained.

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.



  • 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