Presentation is loading. Please wait.

Presentation is loading. Please wait.

European Securitisation: Market Update and Transparency Initiatives OECD Workshop on Securitisation Madrid, 27 May 2010.

Similar presentations


Presentation on theme: "European Securitisation: Market Update and Transparency Initiatives OECD Workshop on Securitisation Madrid, 27 May 2010."— Presentation transcript:

1 European Securitisation: Market Update and Transparency Initiatives OECD Workshop on Securitisation Madrid, 27 May 2010

2 2 Agenda Introduction European Securitisation Market Update Transparency Initiatives

3 3 Who We Are The Association for Financial Markets in Europe (AFME) represents the shared interests of a broad range of global and European participants in the wholesale financial markets Our policy and advocacy section brings together a group of knowledgeable professionals to communicate the industry perspective to regulators, policy makers, and the general public Our business policy section supports the day-to-day commercial activities of our members through industry initiatives related to market standardisation and good practice in a particular business area or product line Previous affiliates of SIFMA (the Securities Industry and Financial Markets Association) - the European Covered Bond Dealers Association, the European High Yield Association, the European Securitisation Forum, the European Primary Dealers Association, the European Securities Services Forum, and the European Primary Markets Division - have been integrated into the business policy section's divisions.

4 European Securitisation Market Update

5 5 ESF Research AFME / ESF Securitisation Data Report Information on issuance, balances outstanding, rating changes, prices, spreads, indices and global comparative data for European and US ABS and ABCP AFME / ESF Securitisation Monthly Data Supplement Updates of selected charts contained in the quarterly Securitisation Data Report, including spreads and prices of European and US CMBS, RMBS and ABS, indices and total return data

6 6 European Securitisation Market Issuance New issuance in the European securitisation market during 2009 amounted to EUR bn Retained deals accounted for about 99% of total issuance in 2009 and 98% in 2008, compared to about 24% in 2007 (more than 50% in H2 2007) Sources: Bloomberg, JP Morgan, Merrill Lynch, RBS, Thomson Reuters, Unicredit, SIFMA European securitisation issuance, EUR billion

7 7 European Securitisation Market Issuance by Asset Class Sources: Bloomberg, JP Morgan, Merrill Lynch, RBS, Thomson Reuters, Unicredit, SIFMA European securitisation issuance, 2007European securitisation issuance, 2008 European securitisation issuance, 2009

8 8 European Securitisation Market Issuance by Country European securitisation issuance, 2007European securitisation issuance, 2008 European securitisation issuance, 2009 Sources: Bloomberg, JP Morgan, Merrill Lynch, RBS, Thomson Reuters, Unicredit, SIFMA

9 9 European Securitisation Performance Update European 3-5 year AAA RMBS Spreads Source: Markit. Data as of 30 April 2010 European 3-5 year AAA RMBS Prices Source: Markit. Data as of 30 April 2010

10 10 ABS Evolution in the ECB Collateral Framework Average ABS eligible 0.5 trillion 0.7 trillion 1.1 trillion 1.3 trillion Average value of assets put forward 930 billion 1 1,101 billion 2 1,579 billion 2,034 billion Average share of ABS 12%16%28%23% Overall ABS amount submitted 112 billion 176 billion 442 billion 468 billion 1 Figure subsequently revised to EUR 906 billion 2 Figure subsequently revised to EUR 1,148 billion Sources: ECB 2009, 2008, 2007 and 2006 Annual Reports European securitisation outstandings totaled EUR 1.88 tn as of 31 December 2009, EUR 1.74 tn, EUR 1.29 tn and EUR 1.11 tn as of end 2008, 2007 and 2006, respectively

11 Transparency Initiatives

12 12 RMBS Issuer Principles for Transparency and Disclosure Published in December 2008: Principles for transparency and disclosure Two data reporting templates for RMBS issuers (Prime RMBS Standardised Reporting Template and a combined uniform Credit Rating Agency Reporting Template for UK Non-Conforming RMBS) Developed through active consultation with RMBS issuers and other market participants including investors from Italy, the Netherlands, Spain and the UK Enhance four aspects of data disclosure: transparency, accessibility, comparability and granularity

13 13 RMBS Issuer Principles for Transparency and Disclosure (contd) AFME / ESF presented the Principles to the European Commission, Governments, the European Central Bank and various National Central Banks 14 Endorsing Firms (12 in the UK, 2 in The Netherlands) and 19 Programme issuers endorsed the Principles and agreed to report at least 90% of mandatory fields by 31 December 2009 Three credit rating agencies agreed to adopt a uniform reporting template for the minimum data to be provided by UK non-conforming RMBS issuers from 31 March 2009 Work is under way to continue developing the RMBS Issuer Principles and increase the number of endorsing firms Version 2 of the Principles will be developed in a variety of areas, including standardisation of definitions

14 14 IssuerProgrammeJurisdiction Obvion N.V.StormThe Netherlands SNS Bank N.V.Hermes and PEARLThe Netherlands Abbey National PLCHolmes Master Issuer PLCUnited Kingdom Barclays Bank PLCGracechurch Mortgage Financing PLCUnited Kingdom Bradford & Bingley PLCAire Valley Master TrustUnited Kingdom Britannia Building Society LeekUnited Kingdom Clydesdale Bank PLCLanark Master Issuer PLCUnited Kingdom GMAC-RFC Ltd (UK)RMACUnited Kingdom HBOSPermanent Master Issuer PLCUnited Kingdom Investec Bank PLCResidential Mortgage Securities, Money Partners Securities, Kensington Mortgage Securities and Landmark Mortgage Securities United Kingdom Lloyds TSB Bank PLCArkle Master Issuer PLCUnited Kingdom NationwideSilverstone Master Issuer PLCUnited Kingdom Paragon GroupParagon Mortgages PLCUnited Kingdom Royal Bank of Scotland Group Arran Residential Mortgages Funding PLC and Greenock Funding Limited United Kingdom AFME / ESF Principles – 14 Endorsing Firms and 19 Programmes

15 15 ESF UK Working Groups 1. AFME / ESF Working Group on Standardisation of Investor Reports Working on a standardised reporting template for UK RMBS applying to both stand alone and master trust structures 2. AFME / ESF Working Group on Standardisation of Definitions Creating commonly agreed definitions for terms such as prime and non-prime, arrears, valuation amounts, early repayments among others 3. AFME / ESF Working Group on Standardisation of Documentation Building a standardised prospectus for stand alone RMBS first, and master trust RMBS thereafter

16 16 AFME / ESF Investor ABS Transparency Survey AFME / ESF Survey based on 31 investors from across European jurisdictions as of 28 April 2010

17 17 AFME / ESF Investor ABS Transparency Survey (contd)

18 18 AFME / ESF Investor ABS Transparency Survey (contd)

19 19 Regulatory Initiatives Overview CRD changes ECB and BoE projects re loan-by-loan reporting IOSCO and CESR projects re pre- and post-trade transparency (MiFID review) SEC revision of ABS Offering Rules

20 20 Questions? Contact details: Anna Zennaro afme / Association for Financial Markets in Europe P:


Download ppt "European Securitisation: Market Update and Transparency Initiatives OECD Workshop on Securitisation Madrid, 27 May 2010."

Similar presentations


Ads by Google