AFME Securitisation Data Report Q1 2022 | AFME

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Data Research
AFME Securitisation Data Report Q1 2022
13 Jun 2022
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Author Julio Suarez Director
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AFME is pleased to circulate its Q1 2022 Securitisation Data Report.


Main findings:

  • In Q1 2022, EUR 64.3 bn of securitised product was issued in Europe, a decrease of 35.8% from Q4 2021 and an increase of 31.6% from Q1 2021.
    • Of the EUR 64.3 bn issued, EUR 33.1 bn was placed, representing 51.5% of the total, compared to 46.7% of issuance in Q4 2021 and 61.3% of issuance in Q1 2021. 
    • Among placed issuance, UK RMBS, Pan-European CLOs and German Auto ABS led placed totals, with EUR 14.1 bn, EUR 10.2 bn and EUR 1.7 bn of issuance, respectively.
  • Outstanding volumes (ex-CLOs) decreased to EUR 987.6 bn at the end of Q1 2022, a decrease of 0.53% QoQ and a decrease of 0.02% YoY.
  • Simple, transparent and standardised (STS) securitisation issuance: European placed STS securitisation issuance, as a proportion of total placed issuance (STS+non-STS), decreased to 19.9% during Q1, 2022, down from 23.0% in Q1 2021 and 37.3% in Q1 2020.
  • Credit Quality: In Europe, the proportion of upgrades as a percentage of rating actions decreased during Q1 2022, when upgrades comprised 88% of total rating actions by the main Credit Rating Agencies (CRAs), down from 92% of total rating actions during Q4 2021.
  • We provide a detailed regulatory update with some of the most relevant PanEuropean initiatives for the securitisation market.