In Q3 2016, EUR 40.2 billion of securitised product was issued in Europe, a decline of 46.5% from Q2 2016 (EUR 75.0 billion) and a decline of 30.3% from Q3 2015 (EUR 57.6 billion). Of the EUR 40.2 billion issued, EUR 16.0 billion was placed, representing 39.8% of issuance, compared to EUR 29.3 billion placed in Q2 2016 (representing 39.1%) and EUR 18.6 billion placed in Q3 2015 (representing 32.3%).

For the third quarter, UK RMBS continued to lead placed totals (EUR 3.7 billion), followed by European CLO (EUR 3.4 billion) and Dutch RMBS (EUR 2.9 billion).

Net issuance was negative for the third quarter of 2016, with EUR 1.24 outstanding at the end of 3Q’16, down from EUR 1.27 trillion at the end of 2Q’16. Of this, approximately EUR 699.8 billion, or 56.2%, was 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, 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