AFME is pleased to circulate its Q2 2026 Securitisation Data Report.
Main findings:
In Q2 2026, EUR 60.5 bn of securitised product was issued in Europe, an increase of 1.5% from Q1 2026 (EUR 59.6 bn) and a decrease of 23.3% from Q2 2025 (EUR 78.9 bn). Of the EUR 60.5 bn issued, EUR 47.8 bn was placed, representing 79.0% of the total, compared to 72.8% (EUR 43.3 bn) of total issuance in Q1 2026 and 49.5% (EUR 39.1 bn) of total issuance in Q2 2025.
Outstanding volumes (including CLOs) decreased to EUR 1,286.8 bn at the end of Q2 2026, a decrease of 0.6% QoQ and an increase of 2.7% YoY.
Credit Quality: In Europe, upgrades comprised 88% of total rating actions by the main CRAs during Q2 2026, unchanged from 88% of total rating actions during Q1 2026.
STS issuance: In Q2 2026, EUR 23.5 bn of securitised product was notified as STS to ESMA and the FCA, representing 38.8% of the total issued volume in Q2 2026 (EUR 60.5 bn). Out of the EUR 23.5 bn in STS issuance, EUR 19.4 bn was placed, representing 40.6% of total placed issuance in Q2 2026 (EUR 47.8 bn).
SRT issuance: Based on SCI and RTRA data, total (synthetic and true sale) quarterly SRT issuance in Europe reached EUR 66.4 bn in Q2 2026, an increase of 93.1% from Q1 2026 (EUR 34.4 bn) and an increase of 74.7% from Q2 2025 (EUR 38.0 bn).
