Securitisation Data Report Q2 2023 | AFME

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Data Research
Securitisation Data Report Q2 2023
27 Sep 2023
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Author Julio Suarez Director
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AFME is pleased to circulate its Q2 2023 Securitisation Data Report.

Main findings:


  • 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.
  • Outstanding volumes (including CLOs) increased to EUR 1178.3 bn at the end of Q2 2023, an increase of 3.6% QoQ.
  • Credit Quality: In Europe, upgrades comprised 91% of total rating actions by the main CRAs during Q2 2023, up from 87% of total rating actions during Q1 2023.
  • STS issuance: In Q2 2023, EUR 21.2 bn of securitised product was notified as STS to ESMA and the FCA, representing 22.2% of the total issued volume in Q2 2023 (EUR 95.4 bn). Out of the EUR 21.2 bn in STS issuance, EUR 10.8 bn was placed, representing the highest quarterly EU+UK placed STS issuance since Q4 2021 and 53.1% of total placed issuance in Q2 2023 (EUR 20.3 bn).
  • SRT issuance: Based on SCI data, quarterly SRT issuance in Europe reached EUR 20.4 bn in Q2 2023, an increase of 48.4% from Q1 2023 and an increase of 131.6% from Q2 2022.