AFME: Securitisation data report Q4 2016

08 March 2017

Among other findings, this report shows increase in securities product issuance compared to previous periods.

On the 11th of July 2016, the BCBS updated the standard for the regulatory capital treatment of Simple Transparent and Comparable (STC) securitisations, which sets the minimum risk weight for senior STC positions at 10%, and 15% for non-senior STC positions. These risk weights are the same as the outlined for STS and non-STS positions under the proposed amendments to the Capital Requirements Regulation (CRR) and are expected to enter into force in January 2018.

In November 2016, the European Commission published the CRD5/CRR2 package, which includes revisions to the Capital Requirements Directive (CRD) and to the CRR. These proposals are not securitisation specific, however there are certain aspects, such as the leverage ratio, that are relevant to securitisations.

The Trilogue negotiations between the Parliament, Council and Commission on the Prospectus Directive review started in October 2016. The political agreement on the main issues has been reached in December and the next step in the process will be to complete the necessary technical drafting. The EP and the Council final vote is expected in Q2 2017.

Trilogues on the Securitisation Package, which includes “Simple, Standard and Transparent securitisation” (STS) and a revised regulatory framework for capital charges for credit institutions and investment firms originating, sponsoring or investing in securitisation products (CRR Amendments), have begun in January 2017 under the Maltese Presidency of the EU Council. Agreement on several technical points has been achieved during the first two meetings, whereas subjects where political discussion is expected, such as risk retention, third country equivalence and hierarchy of approaches under CRR, will be resolved towards the end of the negotiation process. The Securitisation Package is expected to be finalised by the end of the Maltese Presidency (30 June 2017).

On the 8th December 2016, the ECON Committee adopted the Money Market Funds Regulation. Final adoption is scheduled for early 2017. AFME has been focused on the securitisation/ABCP aspects of the proposals and limits on MMF investments in ABS and ABCP Conduits.

Main findings in the report are:

• in Q4 2016, EUR 59.0 billion of securitised product was issued in Europe, an increase of 27.0% from Q3 2016 but a decline of 18.9% from Q4 2015.
• Of the EUR 59.0 billion issued, EUR 31.1 billion was placed, representing 52.7% of issuance, compared to the 46.2% of issuance in Q3 2016 and the 21.6% of issuance of 4Q 2015. 
• for the full year, issuance was EUR 237.6 billion, an increase of 9.8% from the prior year. Of this, EUR 96.4 billion was placed, representing 40.6% of issuance.
• net issuance was positive for the fourth quarter of 2016, with EUR 127 trillion outstanding at the end of 4Q’16, up 2.1% from the prior quarter. Of this, approximately EUR 722.7 billion, or 56.7%, was retained.
• credit quality: Upgrades outpaced downgrades in Q4 2016, with upgrades concentrated in European CLOs and both prime and nonconforming RMBS.
• European asset backed commercial paper (ABCP) issuance was EUR 94.1 billion in Q4 2016, a decline of 30.7% QoQ and 17.6% YoY.

Full report

© AFME