EUR 111.6 billion of securitised products were issued in Europe during the third quarter of 2010, nearly a threefold increase from the prior quarter but in line with issuance totals seen in Q3 2009 (EUR 114.7 billion). Third quarter issuance saw an uptick in percentage retained as sovereign risk fears subsided: 71.1% of all issuance in 3Q’10 retained; however, many of the deals placed were through private placements.

Despite a thawing of the primary markets for both new and previously retained issues, the overhang of retained securitised debt remains significant. Approximately EUR 960 billion of securitised product 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

SIFMA Research

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