In Q4 2018, EUR 88.4 billion of securitised product was issued in Europe, an increase of 62.1% from Q3 2018 and an increase of 19.3% from Q4 2017. Of the EUR 88.4 billion issued, EUR 35.2 billion was placed, representing 39.9% of issuance, compared to the 55.1% of issuance in Q3 2018 and the 42.5% of issuance in Q4 2017. Among placed issuance, PanEuropean CLO, UK other non-traditional ABS (most prominently UK student loan ABS), and German auto ABS led issuance totals, with EUR 9.5 billion, EUR 4.1 billion, and EUR 2.8 billion of issuance, respectively.

Outstanding volumes rose slightly to EUR 1.24 trillion outstanding at the end of Q4 2018, an increase of 3.8% QoQ and an increase of 1.9% YoY.

It should be noted that in 2019 to date, public issuance has fallen sharply with only EUR 3.0bn European ABS issued to date according to market analysts, representing the slowest start to the year since 2009. The delay in approval by the EU public authorities of key elements of the new securitisation framework is clearly a factor, as well as the new and unhelpful LCR rules – see further below. At the time of writing, only one transaction which aims to be compliant with the new STS regime has been announced.

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
• Director, Research: Julio Suarez

SIFMA Research

• Vice President, Research: Sharon Sung