AFME is pleased to circulate its Q3 2023 Securitisation Data Report.

Main findings:

• In Q3 2023, EUR 39.6 bn of securitised product was issued in Europe, a decrease of 58.4% from Q2 2023 and an increase of 0.7% from Q3 2022. Of the EUR 39.6 bn issued, EUR 26.1 bn was placed, representing 65.8% of the total, compared to 21.3% of issuance in Q2 2023 and 48.2% of issuance in Q3 2022.
• Outstanding volumes (including CLOs) increased to EUR 1181.1 bn at the end of Q3 2023, an increase of 0.2% QoQ.
• Credit Quality: In Europe, upgrades comprised 78% of total rating actions by the main CRAs during Q3 2023, down from 91% of total rating actions during Q2 2023.
• STS issuance: In Q3 2023, EUR 18.2 bn of securitised product was notified as STS to ESMA and the FCA, representing 45.8% of the total issued volume in Q3 2023 (EUR 39.6 bn). Out of the EUR 18.2 bn in STS issuance, EUR 13.8 bn was placed, representing the highest quarterly EU+UK placed STS issuance since Q4 2019 and 53.1% of total placed issuance in Q3 2023 (EUR 26.1 bn).
• SRT issuance: Based on SCI data, quarterly SRT issuance in Europe reached EUR 24.8 bn in Q3 2023, an increase of 69.6% from Q2 2023 and a decrease of 14.2% from Q3 2022.