Securitisation Data Report Q1 2023 | AFME

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Data Research
Securitisation Data Report Q1 2023
13 Jun 2023
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Author Julio Suarez Director
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AFME is pleased to circulate its Q1 2023 Securitisation report. This report includes a new section on Significant Risk Transfer (SRT) securitisation which can be found on pp.31-32.


Main findings:

  • In Q1 2023, EUR 35.9bn of securitised product was issued in Europe, a decrease of 43.9% from Q1 2022 and 45.2% from Q4 2022 and. Of the EUR 35.9bn issued, EUR 19.9bn was placed, representing 55.4% of the total, compared to 51.2% of issuance in Q1 2022 and 17.7% of issuance in Q4 2022.
  • Outstanding volumes (ex-CLOs) decreased to EUR 920.5bn outstanding at the end of Q1 2023, a decrease of 1.0% QoQ and a decrease of 6.8% YoY.
  • Credit Quality: In Europe, upgrades comprised 87% of total rating actions by the main CRAs during Q1 2023, remaining unchanged from 87% of total rating actions during Q4 2022.
  • STS issuance: In Q1 2023, EUR 17.9bn of securitised product was notified as STS to ESMA and the FCA, representing 50.0% of the total issued volume in Q1 2023 (EUR 35.9bn). Out of the EUR 17.9bn in STS issuance, EUR 9.0bn was placed, representing the highest quarterly EU+UK placed STS issuance since Q4 2021 and 45.2% of total placed issuance in Q1 2023 (EUR 19.9 bn).
  • SRT issuance: Based on SCI data, quarterly SRT issuance in Europe reached EUR 13.7 bn in Q1 2023, an increase of 56.0% from Q1 2022 and a decrease of 74.8% from Q4 2022.