AFME is pleased to circulate its Q3 2024 Securitisation Data Report.

Main findings:

• In Q3 2024, EUR 47.8 bn of securitised product was issued in Europe, a decrease of 28.1% from Q2 2024 (EUR 66.5 bn) and an increase of 21.1% from Q3 2023 (EUR 39.5 bn). Of the EUR 47.8 bn issued, EUR 35.4 bn was placed, representing 74.0% of the total, compared to 68.3% of issuance in Q2 2024 and 65.2% of issuance in Q3 2023.

• Outstanding volumes (including CLOs) increased to EUR 1,189.2 bn at the end of Q3 2024, an increase of 0.3% QoQ and an increase of 0.6% YoY.

• Credit Quality: In Europe, upgrades comprised 78% of total rating actions by the main CRAs during Q3 2024, down from 79% of total rating actions during Q2 2024.

• STS issuance: In Q3 2024, EUR 8.4 bn of securitised product was notified as STS to ESMA and the FCA, representing 17.6% of the total issued volume in Q3 2024 (EUR 47.8 bn). Out of the EUR 8.4 bn in STS issuance, EUR 6.8 bn was placed, representing 19.2% of total placed issuance in Q3 2024 (EUR 35.4 bn).

• SRT issuance: Based on SCI data, quarterly SRT issuance in Europe reached EUR 19.6 bn in Q3 2024, an increase of 49.6% from Q2 2024 and a decrease of 25.8% from Q3 2023.