AFME Securitisation Data Snapshot Q2 2023 | AFME

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Data Research
AFME Securitisation Data Snapshot Q2 2023
27 Jul 2023
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Author Julio Suarez Director
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AFME is pleased to circulate the European Securitisation Data Snapshot for Q2 2023.


Key highlights:

Q2 2023 European Issuance


  • In Q2 2023, EUR 95.4 bn of securitised product was issued in Europe, an increase from EUR 35.9 bn in Q1 2023 and an increase from EUR 34.5 bn in Q2 2022.
  • Increased issuance was principally driven by a large French retained RMBS deal from the BPMHL programme (EUR 49.5 bn) issued in May 2023. Excluding this large deal, total securitisation issuance would have increased by 32.8% YoY (27.9% QoQ) only. Due to the same deal, which was originated by Groupe BPCE, retained issuance specifically has also increased to EUR 75.1 bn, the highest quarterly retained volume since Q2 2014.
  • Of the total amount issued, only EUR 20.3 bn was placed, representing 21.3% of the total, compared to EUR 19.9 bn placed in Q1 2023 (representing 55.4% of EUR 35.9 bn) and EUR 16.4 bn placed in Q2 2022 (representing 47.4% of EUR 34.5 bn).
  • In Q2 2023, UK RMBS led placed totals, followed by Pan-European CLOs and German Auto ABS:
    • UK RMBS increased from EUR 4.9 bn in Q1 2023 to EUR 6.1 bn in Q2 2023;
    • Pan-European CLOs decreased from EUR 6.7 bn in Q1 2023 to EUR 4.9 bn in Q2 2023; and
    • German Auto ABS decreased from EUR 4.2 bn in Q1 2023 to EUR 1.9 bn in Q2 2023.