European Securitisation Issuance Drops in the Third Quarter to EUR 89.5 Billion on Weakened Global Credit Market Conditions; Market Outstanding Volume Remains Flat at EUR 1.32 Trillion as of 30 September 2007

• For the first time, the European Securitisation Forum (ESF) is publishing the outstanding volume by rating for the European securitisation market. Ratings data provide an up-to-date measure of the rating diversification provided by securitisation and represents the amount of risk that is transferred via various asset classes.
• As of 30 September 2007, the European securitisation market outstanding stood at EUR 1.32 trillion.
• European securitisation issuance dropped in the third quarter to EUR 89.5 billion compared to EUR 164.8 last quarter and EUR 113.5 billion a year ago. Securitised issuance includes both issues retained by a bank and issues sold to external investors. Based on the strength of a record first half, year-to-date issuance totaled EUR 393.2 billion, a 36.2 percent increase over the first
  three quarters of 2006. The global credit market repricing and lower market liquidity which commenced in earnest in the third quarter is likely to result in a year-over-year decline in origination activity for the first time since 2000.
• Issuance of residential mortgage-backed securities (RMBS) accounted for the largest sector as volume totaled 54.0 percent of total issuance year-to-date. Third quarter issuance dropped to EUR 52.6 billion compared to EUR 77.8 billion last quarter and EUR 58.0 billion a year ago.
• Collateral debt obligation (CDO) issuance was the second ranking product sector. Third quarter issuance fell to EUR 16.1 billion, down from EUR 21.2 billion a year ago and EUR 40.9 billion in the second quarter, reflecting the onset of weakened global credit market conditions, new challenges for issuers to access the capital markets and de-leveraging in the structured finance investor base.
• Commercial mortgage-backed issuance rose to EUR 42.9 billion year-to-date, up from EUR 40.3 billion a year ago, but totaled only EUR 6.0 billion in the third quarter. Combined, mortgage-related markets, including RMBS and commercial mortgage-backed securities (CMBS), accounted for 64.9 percent of total securitised issuance.

About the Report

The ESF data report (now 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;

For more information on AFME’s efforts in the European structured finance sector, please visit AFME.

Credits

AFME / ESF

• Rick Watson
• Marco Angheben

SIFMA Research

• Michael Decker
• Steve Davidson
• Bryan Gross