AFME is pleased to circulate its Q4 2021 and 2021 FY Securitisation Data Report.

Main findings:

• In 2021FY, EUR 233.1bn of securitised product was issued in Europe, an increase of 17.6% from the EUR 198.2bn issued in 2020. Of the EUR 233.1bn issued during 2021FY, EUR 126.0bn was placed, representing 54.1% of the total, compared to EUR 81.8bn placed in 2020 representing 41.3% of the total. The increase in placed issuance during 2021FY has been driven primarily by non-STS growth in primary issuance of CLOs, which increased 97.7% year-on-year.
• In Q4 2021, EUR 100.2bn of securitised product was issued in Europe, an increase of 110.5% from Q3 2021 and an increase of 55.8% from Q4 2020. Of the EUR 100.2bn issued, EUR 46.8bn was placed, representing 46.7% of the total, compared to the 48.5% of issuance in Q3 2021 and 32.7% of issuance in Q4 2020.
• STS issuance: Year-on-year, STS issuance decreased 20.0% to EUR 62.6bn during 2021FY, representing the lowest annual issuance volume of STS securities since the regime was brought into force at the start of 2019.
• Overall outstanding volumes (ex-CLOs) remained stable, increasing 0.01% YoY to EUR 992.9bn at the end of Q4 2021. While there was a reduction in primary STS issuance during 2021FY, this was offset by new issuance of SME securitisation and CDO/CLOs, which increased 278.7% (YoY) and 97.7% (YoY) respectively during 2021FY, driven by high volumes issued during 4Q21.
• Credit Quality: Performance of European securitisations remain robust throughout the pandemic with upgrades outnumbering downgrades by almost 6:1 during Q4 2021 and by almost 4:1 during 2021FY