EUR 160.4 billion of securitised products were issued in Europe during the fourth quarter of 2010, a 47.2% increase from the previous quarter. 87.1% of all issuance in Q4 2010 was retained, a notable improvement from Q3 2009, when nearly all issuance was retained.

For the full year, EUR 380.0 billion of securitised products were issued, with approximately 77.0% retained. As a result, placed issuance (private and public placements) totalled approximately EUR 87.9 billion, an increase of EUR 62.6 billion from 2009. Therefore, the market has thawed considerably, with the 12-month trailing average. Placed issues continue to be focused on mainstream asset classes such as prime residential mortgages, auto loans, and leases.

The overhang of retained securitised debt, however, remains significant, even with restructurings and re-marketings. As at the end of Q4, a little over a trillion Euros remain on originator or sponsor bank balance sheets.

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