EUR 31.6 billion of securitised products were issued in Europe during the second quarter of 2010, less than half of the first quarter issuance. However, 57.0% of all issuances by amount in the second quarter were publicly and privately placed, up from 19% in the first quarter, signalling a move to opening of the primary markets. Net issuance, however, remains negative as retiring issues have begun to outpace new issuance and outstanding balances have begun shrinking in 2010.

Despite a relative opening in the primary markets, as well as previously retained issues being placed in 2010, the overhang of retained securitised debt remained significant; as of the end of the second quarter, according to our estimates approximately EUR 958 billion of securitised products remain retained by the respective originators, accounting for nearly half of all European outstanding.

In the United States, the market continues to be dominated by agency issuance, with little to no volumes in all sectors excepting ABS. Proposed SEC revisions to Regulation AB, FDIC safe harbour extensions, and the recently passed Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (“Dodd-Frank Act”) will likely continue to hamper issuance for the remainder of 2010. The last three TALF auctions were held for financing new CMBS with no bids.

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: Rick Watson
• Associate: Anna Zennaro

SIFMA Research

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