The ratings data measures the size of the European structured market and enables investors to compare their portfolios against the European universe.
Highlights of the third quarter report include:
- Outstanding volume for the European securitisation market stood at €1.32 trillion, as of 30 September 2007.
- Securitised issuance, which includes both issues retained by a bank and issues sold to external investors, dropped in the third quarter to €89.5 billion compared to €164.8 billion in the second quarter and €113.5 billion a year ago.
- Origination activity is likely to decline year over year for the first time since 2000 due to global credit market repricing and lower market liquidity which commenced in earnest in the third quarter.
- Residential mortgage-backed securities (RMBS) accounted for the largest sector with volume accounting for 54 percent of total issuance year- to-date. Commercial mortgage-backed issuance totaled only €6.0 billion in the third quarter but rose to €42.9 billion year-to-date from €40.3 billion over the same period in 2006. Combined mortgage-related markets, including RMBS and commercial mortgage-backed securities accounted for 64.9 percent of total securitised issuance.
Rick Watson, Managing Director, Head of the ESF, reiterates the aim of the association and its members to provide more information of the European securitisation market:
"The ESF continues to provide additional information on the European securitisation market by releasing ratings on amounts outstanding. Almost 80 percent of outstanding by current rating is AAA, while mezzanine tranches (typically A and BBB-rated securities) represent 10.6 percent of the universe. This information is important to monitor ratings migration particularly in current market conditions and for investors to compare their portfolio against the entire European market.”
To read the full ESF data report, click here www.europeansecuritisation.com
