Securitisation Data Report Q4 2022 and 2022 Full Year | AFME

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Data Research
Securitisation Data Report Q4 2022 and 2022 Full Year
14 Mar 2023
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Author Julio Suarez Director
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AFME is pleased to share its Q4 2022 and 2022 FY Securitisation Data Report.


Main findings:


  • In 2022FY, EUR 203.3bn of securitised product was issued in Europe, a decrease of 12.8% from the EUR 233.1bn issued in 2021. Of the EUR 203.3bn issued during 2022FY, EUR 79.7bn was placed, representing 39.2% of the total, compared to EUR 126.0bn placed in 2021 representing 54.1% of the total. By asset class, RMBS issuance increased 21.2% in 2022FY driven by high volumes issued in 1Q22. The UK RMBS market continued to make a strong contribution to European issuance, accounting for 38% of total RMBS issuance in Europe during 2022. SME securitisation issuance remained comparable to 2021 and was up 3.2% during 2022FY, while issuance in the ABS, CDO / CLO and CMBS categories decreased by 45.8%, 32.4% and 23.9% respectively.


  • Total (placed and retained) outstanding volumes (ex-CLOs) decreased to EUR 930.2bn outstanding at the end of Q4 2022, a decrease of 0.66% QoQ and a decrease of 7.85% YoY.


  • In Q4 2022, EUR 65.5bn of securitised product was issued in Europe, an increase of 66.4% from Q3 2022 and a decrease of 34.7% from Q4 2021. Of the EUR 65.5bn issued, EUR 11.6bn was placed, representing 17.7% of the total, compared to the 48.2% of issuance in Q3 2022 and 46.7% of issuance in Q4 2021. 


  • STS issuance: In Q4 2022, EUR 30.6bn of securitised product was notified as STS to ESMA, representing 46.7% of the total issued volume in Q4 2022 (EUR 65.5bn). Out of the EUR 30.6bn in STS issuance, EUR 3.8bn was placed, representing 32.8% of total placed issuance in Q4 2022 (EUR 11.6 bn).