European securitisation issuance was EUR 169.4 billion for Q2, compared to EUR 40 billion in the previous quarter. The vast majority of newly created securitised products are being retained by originators primarily for funding purposes through central bank liquidity facilities, with only very small volumes being sold in the primary market. According to Royal Bank of Scotland estimates, roughly 91% of all securitisations and 99% of RMBS have been retained in the first half of this year.

Bank of England’s Special Liquidity Scheme (SLS) differs from the European Central Bank’s collateral framework, with the SLS facility accepting AAA-rated
collateral as determined by at least two rating agencies (including mortgages originated prior to 2008), denominated in a variety of currencies, for one up to
three years. The ECB accepts collateral down to single A-rated as determined by one rating agency for senior tranches. Lastly, the ECB only accepts EURdenominated paper and for shorter durations than the SLS.

In terms of collateral class, RMBS remains the largest form of issuance, followed by ABS and CDOs. New issues have come predominantly from the UK, followed by Spain, Italy, Belgium, Ireland and lastly, the Netherlands.

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
• Nathaniel Emodi

SIFMA Research

• Managing Director, Research: Kyle Brandon
• Research Associate: Sharon Sung