AFME Securitisation Data Report Q3 2022 | AFME

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Data Research
AFME Securitisation Data Report Q3 2022
16 Dec 2022
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Author Julio Suarez Director
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AFME is pleased to circulate its Q3 2022 Securitisation Data Report.


Main findings:


  • In Q3 2022, EUR 39.4bn of securitised product was issued in Europe, an increase of 13.9% from Q2 2022 and a decrease of 17.3% from Q3 2021. Of the EUR 39.4bn issued, EUR 19.0bn was placed, representing 48.2% of the total, compared to the 47.7% of issuance in Q2 2022 and 48.5% of issuance in Q3 2021.
  • Outstanding volumes (ex-CLOs) decreased to EUR 936.3bn outstanding at the end of Q3 2022, a decrease of 2.88% QoQ and a decrease of 3.46% YoY.
  • Credit Quality: In Europe, upgrades comprised 88% of total rating actions by the main CRAs during Q3 2022, remaining unchanged from 88% of total rating actions during Q2 2022.
  • STS issuance: In Q3 2022, EUR 9.3bn of securitised product was notified as STS to ESMA, representing 23.6% of the total issued volume in Q3 2022 (EUR 39.4bn). Out of the EUR 9.3bn in STS issuance, EUR 7.0bn was placed, representing 37.0% of total placed issuance in Q3 2022 (EUR 19.0 bn).
  • The report also presents briefly some of the most important regulatory developments in the EU and the UK, such as the ESAs’ response to the European Commission’s Call for Advice and the Edinburgh Reforms respectively.