In Q4 2017, EUR 73.1 billion of securitised product was issued in Europe, an increase of 48.7% from Q3 2017 and an increase of 21.5% from Q4 2016. Of the EUR 73.1 billion issued, EUR 31.6 billion was placed, representing 43.2% of issuance, compared to the 47.3% of issuance in Q3 2017 and the 52.0% of issuance in Q4 2016.

CLO refinancing (“refis”) activity continued in the fourth quarter of 2017, resulting in the asset class leading EUR volumes among placed asset classes in Q4 2017. According to Bank of America-Merrill Lynch, a little over half (55.6%) of all CLO issues in 2017 were in the form of a refi or reset.

Outstanding volumes rose slightly to EUR 1.22 trillion outstanding at the end of Q4 2017, an increase of 1.3% QoQ but a decline of 4.3% 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