The European securitisation primary market remained dormant in Q1 2009. As European institutions remain focused on liquidity, they retained issued notes in order to use the eligible securities as collateral for repo transactions with the European Central Bank (ECB) or the Bank of England (BoE). ABS issuance totaled EUR 123.2 billion in the first quarter, a decline from the record setting pace at the end of 2008. Q1 issuance came predominantly from the RMBS and CDO space, with approximately 68.1% of the latter related to SME loans. According to Unicredit, the decline may, in part, be due to a shift toward the issuance of bank senior debt, partially supported by government guarantee schemes; according to Dealogic and the ECB, issuance of debt securities increased overall in the first quarter for both non-financial and financial firms.

While the BoE’s Special Liquidity Scheme (SLS) was retired in the first quarter 2009, with a total of GBP 185 billion drawn upon by UK financial institutions in exchange for GBP 287 billion in assets, repo operations in the UK remain largely unaffected due to the introduction in October 2008 of the Discount Window Facility (DWF), which allowed relatively similar assets to be used. Shortly before the SLS was retired, the Bank of England introduced 364-day DWF terms to supplement the standard 30-day operations.

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