AFME Securitisation Data Report, First Quarter 2018

In Q1 2018, EUR 57.4 billion of securitised product was issued in Europe, a decline of 22.7% from Q4 2017 but an increase of 42.7% from Q1 2017. Of the EUR 57.4 billion issued, EUR 31.5 billion was placed, representing 55.0% of issuance, compared to the 42.6% of issuance in Q4 2017 and the 42.0% of issuance in Q1 2017.

CLO refinancing (“refis”) activity continued in the first quarter of 2018; according to Thomson Reuters LPC, the combined amount of European CLO resets and refinancings totalled EUR 4.3 bn in Q1 2018 (from EUR 4.8 bn in Q4 2017). Among placed issuance, PanEuropean CLO and Dutch RMBS led issuance totals, with EUR 11.7 and EUR 5.6 billion of issuance, respectively. More notable was the debut sukuk UK RMBS deal from Al Rayan in February 2018, Tolkien Funding Sukuk 1.

Outstanding volumes declined slightly to EUR 1.20 trillion outstanding at the end of Q1 2018, a decline of 2.3% QoQ and a decline of 3.9% YoY.

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.

Credits

AFME

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

SIFMA Research

  • Managing Director, Director of Research: Kyle Brandon
  • Vice President, Research: Sharon Sung