Market Outstanding Volume is EUR 1.28 Trillion as of 30 June 2007; European Securitisation Issuance Reaches EUR 280.6 Billion in the First Half of 2007

• For the first time, the European Securitisation Forum (ESF) is publishing the outstanding volume for the European securitisation market. As of 30 June 2007, the European securitisation market outstanding stood at 1.28 trillion. The European outstanding estimates provide a measure of the size of the European structured market and enables investors to compare their portfolios against the European universe. It is also an important from a financial stability perspective as it represents the amount of risk that is transferred via securitisation versus other financial instruments.
• European securitisation issuance reaches EUR 280.6 billion through the first half of 2007, nearly 70 percent higher than the EUR 168.0 billion issued during the same period in 2006. Second quarter volume totaled EUR 146.9 billion, a 9.9 percent increase over the first quarter and a 44.0 percent increase over the second quarter in 2006. The global credit market repricing and reduced market liquidity will slow second half volumes.
• Residential mortgage-backed securities (RMBS) was the largest issuing sector, accounting for 56.9 percent of total issuance in the first half of the year.
• Collateralised Debt Obligation (CDO) issuance was the second highest ranking product sector, contributing EUR 53.9 billion – an increase of nearly 75 percent on the amount issued in the first half of 2006. Second quarter issuance increased to EUR 23.0 billion, up from EUR 19.5 billion a year ago; however, issuance was 25.6 percent lower than the volume issued in the first quarter, reflecting the onset of weakened global credit market conditions. CDO demand has dropped since quarter-end on greater investor risk sensitivity.
• Commercial mortgage-backed issuance more than doubled to EUR 36.9 billion in the first half of the year. Combined, mortgage-related markets, including RMBS and commercial mortgage-backed securities (CMBS), accounted for 70.0 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
• Carloes Echave
• Marco Angheben

SIFMA Research

• Michael Decker
• Steve Davidson
• Bryan Gross