In Q1 2012, EUR 58.9 billion of securitised products were issued in Europe, a 56.8% and 48.6% decline, respectively, from Q4’11 (EUR 136.4 billion) and Q1’11 (EUR 114.6 billion). In Q1 2012, EUR 18.9 billion of securitised products were placed in Europe, representing 32.1% of issuance, compared to EUR 25.6 billion in Q4’11 (representing 18.8% of issuance) and EUR 25.0 billion in Q1’11 (representing 21.8% of issuance).

Net issuance in the first quarter was negative, as amortisation and tender activity was greater than issuance. At the end of Q1 2012, about EUR 1.89 trillion of securitised debt remained outstanding, of which $1.04 trillion (55.2% of outstanding) were retained on bank balance sheets, used for repo, or used for other secured funding.

Traditional asset classes continue to dominate placed issuance led by UK RMBS, credit cards, and CMBS and followed by German auto and Dutch RMBS. More unusually, a Swedish auto deal was also placed in the first quarter (Swiss Auto Lease 2012-1).

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
• Intern: Vicenzo Anghelone

SIFMA Research

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