AFME is pleased to circulate its Q2 2024 Securitisation Data Report.

Main findings:

• In Q2 2024, EUR 66.6 bn of securitised product was issued in Europe, a decrease of 1.4% from Q1 2024 (EUR 67.6 bn) and a decrease of 30.4% from Q2 2023 (EUR 95.7 bn). However, of the EUR 66.6 bn issued, EUR 45.4 bn was placed, representing 68.2% of the total, compared to 47.4% of issuance in Q1 2024 and 21.6% of issuance in Q2 2023.

• Outstanding volumes (including CLOs) increased to EUR 1,186.1 bn at the end of Q2 2024, an increase of 2.0% QoQ and a decrease of 0.6% YoY.

• Credit Quality: In Europe, upgrades comprised 79% of total rating actions by the main CRAs during Q2 2024, down from 91% of total rating actions during Q2 2023.

• STS issuance: In Q2 2024, EUR 27.2 bn of securitised product was notified as STS to ESMA and the FCA, representing 40.9% of the total issued volume in Q2 2024 (EUR 66.6 bn). Out of the EUR 27.2 bn in STS issuance, EUR 20.4 bn was placed, representing 45.0% of total placed issuance in Q2 2024 (EUR 45.4 bn).

• SRT issuance: Based on SCI data, quarterly SRT issuance in Europe reached EUR 13.1 bn in Q2 2024, an increase of 37.9% from Q1 2024 and a decrease of 16.6% from Q2 2023.