European Securitisation: Market
Update and Transparency
Initiatives
OECD Workshop on Securitisation
Madrid, 27 May 2010
Agenda
• Introduction
• European Securitisation Market Update
• Transparency Initiatives
2
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.
3
European Securitisation Market
Update
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
5
European Securitisation Market Issuance
•
•
New issuance in the European securitisation market during 2009 amounted to EUR 414.1 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)
European securitisation issuance, EUR billion
800
700
600
500
400
300
200
100
0
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
Sources: Bloomberg, JP Morgan, Merrill Lynch, RBS, Thomson Reuters, Unicredit, SIFMA
6
European Securitisation Market Issuance by
Asset Class
European securitisation issuance, 2007
European securitisation issuance, 2008
ABS
10.3%
ABS
12.7%
CDO
6.8%
CMBS
0.7%
CDO
19.5%
RMBS
57.2%
RMBS
82.3%
CMBS
10.5%
Total EUR 453.7 billion
Total EUR 711.3 billion
European securitisation issuance, 2009
ABS
13.7%
CDO
28.1%
RMBS
57.7%
CMBS
3.7%
Total EUR 414.1 billion
Sources: Bloomberg, JP Morgan, Merrill Lynch, RBS, Thomson Reuters, Unicredit, SIFMA
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European Securitisation Market Issuance by
Country
European securitisation
issuance, 2007
Belgium
European securitisation issuance, 2008
OthersBelgium France
5%
2%
Multinational 1%
Germany
4%
7%Greece
2%
Ireland
UK
6%
38%
Italy
12%
Germany
Others 1% France
4%
Greece
1%
1%
Multinational
1%Ireland
21%
2%
Italy
6%
Netherlands
9%
Portugal
2%
Russia
0%
UK
39%
Spain
13%
Spain
11%
Netherlands
Portugal 10%
Russia 2%
0%
Total EUR 453.7 billion
Total EUR 711.3 billion
European securitisation issuance, 2009
Multinational
10%
Belgium
France
7% 2%
Germany
6% Greece
5%
UK
22%
Ireland
3%
Italy
16%
Spain
15%
Russia
Portugal
0% 3%
Netherlands
11%
Total EUR 414.1 billion
Sources: Bloomberg, JP Morgan, Merrill Lynch, RBS, Thomson Reuters, Unicredit, SIFMA
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European Securitisation Performance Update
European 3-5 year AAA RMBS Spreads
European 3-5 year AAA RMBS Prices
Source: Markit. Data as of 30 April 2010
Source: Markit. Data as of 30 April 2010
9
ABS Evolution in the ECB Collateral
Framework
2006
2007
2008
2009
Average ABS
eligible
€ 0.5 trillion
€ 0.7 trillion
€ 1.1 trillion
€ 1.3 trillion
Average value of
assets put
forward
€ 930 billion1
€ 1,101 billion2
€ 1,579 billion
€ 2,034 billion
Average share of
ABS
12%
16%
28%
23%
€ 112 billion
€ 176 billion
€ 442 billion
€ 468 billion
Overall ABS
amount
submitted
•
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
1Figure
subsequently revised to EUR 906 billion
Figure subsequently revised to EUR 1,148 billion
Sources: ECB 2009, 2008, 2007 and 2006 Annual Reports
2
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Transparency Initiatives
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
12
RMBS Issuer Principles for Transparency and
Disclosure (cont’d)
•
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
13
AFME / ESF Principles – 14 Endorsing Firms
and 19 Programmes
Issuer
Programme
Jurisdiction
Obvion N.V.
Storm
The Netherlands
SNS Bank N.V.
Hermes and PEARL
The Netherlands
Abbey National PLC
Holmes Master Issuer PLC
United Kingdom
Barclays Bank PLC
Gracechurch Mortgage Financing PLC
United Kingdom
Bradford & Bingley PLC
Aire Valley Master Trust
United Kingdom
Britannia Building Society
Leek
United Kingdom
Clydesdale Bank PLC
Lanark Master Issuer PLC
United Kingdom
GMAC-RFC Ltd (UK)
RMAC
United Kingdom
HBOS
Permanent Master Issuer PLC
United Kingdom
Investec Bank PLC
Residential Mortgage Securities, Money Partners Securities,
Kensington Mortgage Securities and Landmark Mortgage
Securities
United Kingdom
Lloyds TSB Bank PLC
Arkle Master Issuer PLC
United Kingdom
Nationwide
Silverstone Master Issuer PLC
United Kingdom
Paragon Group
Paragon Mortgages PLC
United Kingdom
Royal Bank of Scotland
Group
Arran Residential Mortgages Funding PLC and Greenock
Funding Limited
United Kingdom
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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
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AFME / ESF Investor ABS Transparency Survey
AFME / ESF Survey based on 31 investors from across European jurisdictions as of 28 April 2010
Percentage of the ABS investments among the respondents:
# Answer
Response
%
1
SENIOR TRANCES
28
90%
2
MEZZANINE TRANCHES
21
68%
3
EQUITY TRANCHES
6
19%
Question 1: Would loan-level data be of use to you?
#
Answer
Response
%
1
YES
24
77%
2
MAYBE
7
23%
3
NO
0
0%
Total
31
100%
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AFME / ESF Investor ABS Transparency Survey
(cont’d)
Question 2: If originators provided loan-level data, what is your capability to
manipulate and use the large amount of data that would be provided?
#
Response
%
1
WE HAVE THE
CAPABILITY TO USE
THIS FORM OF DATA
Answer
20
67%
2
WE ARE NOT
INTERESTED IN LOANLEVEL DATA
0
0%
3
WE WOULD LOOK TO
THIRD PARTIES TO
PROVIDE PRODUCTS TO
HELP ASSESS THIS
DATA
10
33%
Total
30
100%
Question 3: Would standardised investor reports make analysis of ABS?
#
Answer
Response
%
1
2
SIGNIFICANTLY EASIER
26
84%
MARGINALLY EASIER
3
10%
3
MAKE NO DIFFERENCE
2
6%
Total
31
100%
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AFME / ESF Investor ABS Transparency Survey
(cont’d)
Question 4: Would historical performance data be of use to you (i.e. performance data
for the loans prior to securitisation)?
#
Answer
Response
%
1
YES
27
87%
2
MAYBE
3
10%
3
NO
1
3%
Total
31
100%
Question 5: Would more accurate cash flow models be of use to you?
#
Answer
Response
%
1
YES
26
84%
2
MAYBE
3
10%
3
NO
2
6%
Total
31
100%
Question 6: Would a standardised summary of the legal structure of each transaction
be of use to you?
#
Answer
Response
%
1
YES
28
90%
2
MAYBE
1
3%
3
NO
2
6%
Total
31
100%
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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
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Questions?
Contact details:
Anna Zennaro
afme / Association for Financial Markets in Europe
P: +44-207-743-9305
anna.zennaro@afme.eu
www.afme.eu
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