AFME is pleased to circulate its Q1 2019 Securitisation Data Report.

Main findings:

• In Q1 2019, EUR 32.4 billion of securitised product was issued in Europe, a decline of 63.4% from Q4 2018 and a decline of 44.7% from Q1 2018. Of the EUR 32.4 billion issued, EUR 16.5 billion was placed, representing 50.9% of issuance, compared to the 39.9% of issuance in Q4 2018 and the 55.1% of issuance in Q1 2018.

• Outstanding volumes rose slightly to EUR 1.2 trillion outstanding at the end of Q1 2019, a decline of 3.8% QoQ and an increase of 0.2% YoY.      

• Credit Quality: In Europe, upgrades outpaced downgrades in Q1 2019, with upgrades concentrated in RMBS, both conforming and non-conforming.

• European asset backed commercial paper (ABCP) issuance was EUR 158.5 billion in Q1 2019, a sharp increase of 62.4% QoQ and a 132.3% increase YoY. Multiseller conduits continue to dominate as the largest category of issuer in the ABCP market, particularly from France and Ireland

• Regulatory update: The finalisation of the Level 2 legislation under the STS Securitisation Framework is still ongoing.  Despite the slow start to the year, March saw the first STS transactions come to the market, from Volkswagen in Euros and then from Nationwide Building Society in sterling.