The primary issuance market remained closed in the fourth quarter, with over 95% of all issuance in Europe for 2008 retained for repo purposes, notably with the ECB and the BoE, according to RBS.

Financial institutions pledged a total of GBP 287 billion face value in securities to the Bank of England’s Special Liquidity Scheme in order to borrow GBP 185 billion in funding. While the Special Liquidity Scheme ended on 30 January 2009, the United Kingdom announced several additional measures early in Q1 2009 to support the UK residential mortgage-backed securities (RMBS) and asset-backed securities (ABS) markets, including the extension of a discount window to swap eligible assets.

The ECB recently tightened the ABS eligibility criteria for repo, requiring an original AAA rating (but still eligible if downgraded to a minimum of A-) for ABS issued after 1 March 2009. ABS issued before 1 March 2009 will be exempted from this new requirement until 1 March 2010.

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

• Rick Watson
• Marco Angheben
• Anna Zennaro

SIFMA Research

• Kyle Brandon
• Sharon Sung
• Nathaniel Emodi