In Q3 2012, EUR 59.9 billion of securitised product was issued in Europe, a decline of 11.5% from Q2 2012 (EUR 67.7 billion) but an increase of 11.4% from Q3 2011 (EUR 53.8 billion). Of the EUR 59.9 billion issued, EUR 15.0 billion was placed, representing 25.1% of issuance, compared to EUR 23.7 billion placed in Q2 2012 (representing 35.0% of issuance) and EUR 11.8 billion placed in Q3 2011 (representing 21.9% of issuance).

Net issuance in the third quarter was negative, with re-tained, placed, and tendered supply paying down at the same rates. At the end of Q3 2012, about EUR 1.73 trillion of securitised debt remained outstanding, of which EUR 908.8 billion (52.2% of outstanding) was retained presumably for repo or other secured financing. The ECB reported EUR 371.3 billion of ABS used as collateral in the Eurosystem, a decline from the EUR 407.3 billion posted in Q2 2012. Bank tender activity continued in the third quarter, albeit to a lesser extent than in the first two quarters.

Traditional asset classes continue to dominate placed issuance, led by UK RMBS, Dutch RMBS, UK credit cards, and German auto.

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: Richard Hopkin
• Associate: Vicenzo Anghelone

SIFMA Research

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