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.