In Q4 2011, EUR 131.7 billion of securitised products were issued in Europe, an increase of 144.9% from Q3 2011 (EUR 53.8 billion) but a decline of 19.5% from Q4 2010 (EUR 163.6 billion.) The percentage of placed issuance in Q4 2011 decreased slightly from Q3 2011, with 19.5% placed in Q4 compared to 21.9%. For the full year 2011, a total of EUR 366.3 billion of securitised products were issued; of this, approximately 76% was retained, remaining relatively unchanged from 2010’s 77% retention rate.

By the end of Q4 2011, about EUR 1.95 trillion of securitised debt was outstanding, of which EUR 1.07 trillion (55% of outstanding) currently retained on bank balance sheets or used for repo.

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