European securitisation issuance fell in the first quarter to EUR 40 billion compared with EUR 128.7 billion in the first quarter of 2007 and EUR 74.7 billion in the last quarter. Based on Royal Bank of Scotland (RBS) data, 84 percent of first-quarter European issuance and 75 percent of fourth-quarter 2007 issuance was retained.

RMBS continued to be the leading issuance sector at EUR 27.2 billion, of which 96 percent was retained, according to RBS data.

According to Moody’s Investors Service, 85 percent of rated European securitisation carried a AAA rating at the end of March, based on original issuance volume.

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
• Claire Hunte
• Nathaniel Emodi

SIFMA Research

• Steven Davidson
• Charles Bartlett