EUR 66.2 billion of securitised products were issued in Europe in Q2 2011, a decrease of 42.3% from Q1 2011 (EUR 114.6 billion) but more than double that of Q2 2010 issuance (32.2 billion). 39.2% of Q2 issuance was placed (EUR 25.9 billion), compared to Q1 at 21.8% (EUR 25 billion), continuing the trend of increasing placed-to-retained issuance ratio.

By the end of Q2 2011, retained securitised debt made up 52.2% of total outstanding debt, an increase from Q1 2011 (51.7%). Approximately EUR 1.1 trillion out-standing is currently retained on originator of sponsor bank balance sheets.

UK RMBS continued to make up the majority of placed issuance in Q2; however, compared to Q1 2011, there was an increase in the diversity of asset types placed with investors. For example, investors bought Spanish, German, French, and Dutch auto ABS; UK credit card ABS; French and Italian RMBS; and Sweden and Norwegian consumer loan ABS.

Retained Securitisations by Asset and Current Rating

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: Sidika Ulker

SIFMA Research

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