In Q2 2012, EUR 67.6 billion of securitised products were issued in Europe, a 14.1% and 0.7% increase, respectively, from Q1 2012 (EUR 59.3 billion) and Q2 2011 (EUR 67.1 billion). Of the EUR 67.6 billion is-sued, EUR 23.4 billion were placed, representing 34.6% of issuance, compared to EUR 18.9 billion in Q1 2012 (representing 31.9% of issuance) and EUR 25.9 billion in Q2 2011 (representing 38.6% of issuance).

Net issuance in the second quarter was negative, with retained supply paying down faster than placed supply. At the end of Q2 2012, about EUR 1.79 trillion of securitised debt remained outstanding, of which EUR 943.3 billion (52.8% of outstanding) was retained on bank balance sheets, presumably for repo or other secured funding. On top of retained deals, bank tender activity in the first two quarters of 2012 remained robust, effectively reducing actual float in the market-place.

Traditional asset classes continue to dominate placed issuance, led by UK RMBS, Dutch RMBS, and both UK consumer loans and credit cards. USD-denominated issuance continued to be strong, taking up 23.7% of placed issuance in the second quarter, primarily from UK consumer credit classes.

About the Report

The AFME / ESF data report, done in partnership with AFME / ESF, is a quarterly report that consolidates both U.S. and European data for the securitisation markets:

• issuance activity;
• deal sizes;
• outstanding balances;
• rating changes;
• credit spread changes;
• index data;
• ABCP issuance; and
• highlights and commentary.

For more information on AFME’s efforts in the European structured finance sector, please visit AFME.

Credits

AFME / ESF

• Managing Director, Director of Capital Markets: Rick Watson
• Associate: Vicenzo Anghelone

SIFMA Research

• Managing Director, Director of Research: Kyle Brandon
• Director, Research: Sharon Sung