AFME is pleased to circulate its Q2 2021 Securitisation Data Report.

Main findings:

• In Q2 2021, EUR 36.4 bn of securitised product was issued in Europe, a decrease of 25.6% from Q1 2021 and a decrease of 26.0% from Q2 2020. H1 2021 (Q1+Q2) represents the lowest half-year European securitisation issuance on record.

• Outstanding volumes (ex-CLOs) decreased to EUR 972.4 bn at the end of Q2 2021, a decrease of 1.6% QoQ and a decrease of 2.8% YoY.

• Credit Quality: In Europe, upgrades comprised 84% of total rating actions by the four CRAs during Q2 2021, compared to 76% of total rating actions during Q1 2021.

• STS issuance: In Q2 2021, EUR 11.2 bn of total (placed and retained) securitised product was notified as Simple Transparent and Standardised (STS) by ESMA, representing 30.8% of total issued volume in Q2 2021 (EUR 36.4 bn). Out of the EUR 11.2 bn in STS issuance, EUR 8.9 bn was placed, representing 34.1% of total placed issuance in Q2 2021 (EUR 26.1 bn)