AFME has today published its Q4 2023 and 2023 Full Year Securitisation Data Report.

Main findings:

• In 2023FY, EUR 213.3bn of securitised product was issued in Europe, an increase of 5.2% from the EUR 202.8bn issued in 2022. Of the EUR 213.3bn issued during 2023FY, EUR 94.7bn was placed, representing 44.4% of the total, compared to EUR 79.1 bn placed in 2022 representing 39.0% of the total.
• By asset class, placed ABS issuance increased to EUR 35.6 bn in 2023FY, up 78.0% YoY compared to the EUR 20.0 bn issued in 2022, which represented the lowest annual placed ABS issuance since 2010.  
• In Q4 2023, EUR 42.2bn of securitised product was issued in Europe, an increase of 6.8% from Q3 2023 and a decrease of 35.6% from Q4 2022. Of the EUR 42.2bn issued, EUR 28.4bn was placed, representing 67.3% of the total, compared to the 65.3% of issuance in Q3 2023 and 17.7% of issuance in Q4 2022.
• Outstanding volumes (including CLOs) decreased to EUR 1180.6bn outstanding at the end of Q4 2023, a decrease of 0.17% QoQ but an increase of 4.05% YoY.
• Credit Quality: In Europe, upgrades comprised 90% of total rating actions by the main CRAs during Q4 2023, up from 78% of total rating actions during Q3 2023.
• STS issuance: In Q4 2023, EUR 18.4bn of securitised product was notified as STS to ESMA, representing 43.6% of the total issued volume in Q4 2023 (EUR 42.2bn). Out of the EUR 18.2bn in STS issuance, EUR 10.5bn was placed, representing 37.0% of total placed issuance in Q4 2023 (EUR 28.4bn).
• SRT issuance: Based on SCI data, quarterly SRT issuance in Europe reached EUR 21.7 bn in Q4 2023, a decrease of 17.8% from Q3 2023 and a decrease of 60.5% from Q4 2022.