AFME is pleased to circulate its Q1 2021 Securitisation Data Report.

Please note that due to ongoing revisions to the data, US non-agency issuance volumes have been revised upwards for 2019-2020. Most recent quarterly issuance data volumes (Q1 2021) concerning the US non-agency RMBS, CMBS and CDO categories likely to be revised upwards next quarter.

Main findings:

• In Q1 2021, EUR 48.9bn of securitised product was issued in Europe, a decrease of 25.9% from Q4 2020 and an increase of 18.7% from Q1 2020. Of the EUR 48.9bn issued, EUR 30.0bn was placed, representing 61.3% of issuance, compared to the 39.4% of issuance in Q4 2020 and 58.0% of issuance in Q1 2020.

Outstanding volumes (ex-CLOs) decreased slightly to EUR 987.8bn outstanding at the end of Q1 2021, a decrease of 0.5% QoQ and a decrease of 0.3% YoY.

• Credit Quality: In Europe, upgrades outpaced downgrades in Q1 2021, as the proportion of upgrades as a percentage of ratings actions recovered substantially to 76% of total rating actions following a fall during 2020 due to the economic effects of the pandemic.

• STS issuance: In Q1 2021, EUR 11.3 bn of total (placed and retained) securitised product was notified as Simple Transparent and Standardised (STS) by ESMA, representing 23.1% of total issued volume in Q1 2021 (EUR 48.9bn). Out of the EUR 11.3bn in STS issuance, EUR 6.9bn was placed, representing 23.0% of total placed issuance in Q1 2021 (EUR 30.0bn)

• STS issuance: Over the last three years, placed non-STS issuance has consistently made up more than double the amount of placed STS issuance in the EU+UK.