AFME is pleased to circulate its Q2 2022 Securitisation Data Report.

Main findings:

• In Q2 2022, EUR 34.5bn of securitised product was issued in Europe, a decrease of 45.9% from Q1 2022 and a decrease of 5.1% from Q2 2021. Of the EUR 34.5bn issued, EUR 16.4bn was placed, representing 47.4% of the total, compared to the 51.2% of issuance in Q1 2022 and 71.7% of issuance in Q2 2021.
• Outstanding volumes (ex-CLOs) decreased to EUR 964.1bn outstanding at the end of Q2 2022, a decrease of 2.38% QoQ and a decrease of 0.85% YoY.
• Credit Quality: In Europe, upgrades comprised 87% of total rating actions by the main CRAs during Q2 2022, compared to 89% of total rating actions during Q1 2022.
• STS issuance: In Q2 2022, EUR 15.2bn of securitised product was notified as STS to ESMA, representing 44.0% of the total issued volume in Q2 2022 (EUR 34.5bn). Out of the EUR 15.2bn in STS issuance, EUR 7.0bn was placed, representing 42.8% of total placed issuance in Q2 2022 (EUR 16.4 bn).