European securitisation issuance reached a first quarter record of EUR 125.7 billion, nearly double the EUR 64.2 billion in the first quarter of 2006. The volume was 29.0 percent lower than the EUR 169.7 billion record fourth quarter set in 2006. The fourth quarter has consistently been the highest volume quarter of the year.

European securitisation is on track to surpass the full-year issuance record of EUR 440 billion set in 2006 based on the first quarter issuance level and considering the fact that, historically, the first quarter has accounted for less than a fifth of the total annual volume.

RMBS was the largest issuing sector, accounting for 61 percent of total first quarter issuance. Mortgage-related markets, including RMBS and CMBS, accounted for 70.2 percent of total securitised issuance.

CDO issuance was the second ranking product sector, with the volume more than three times the volume in the first quarter of 2006 and higher than the fourth quarter of 2006.

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
• Marcelo Vieira
• Tiffany Coln
• Bryan Gross