The US accounted for three quarters of the world total in 2011. Net issuance in Europe rose slightly to $99bn in 2011 from $96bn in 2010. AFME has indicated that issuance in Europe may also be constrained by damage to investor confidence caused by uncertainty related to the potential impact of Solvency II proposals.
Only about a quarter of deals are placed in the market with around three quarters retained by originators and sellers of debt. If the recovery in gross issuance (including placed and retained issues) in the first five months of the year is sustained, MBS in the US could rise by 5% or more in 2012 while ABS could increase by at least a third. In Europe, a weak first quarter for both net and gross issuance points to a possible fall in securitisation issuance in 2012.
Downgrading of securitisation has been much more extensive in the US than in Europe. In the US the share of issues with AAA or AA rating has fallen from 87% to 37% in the past four years to Q1 2012. By contrast in Europe the share of AAA or AA ratings has declined much less from 91% to 78% over the same period.
The report also suggests there has been increasing recognition at a global level of how a revived securitisation market can contribute to provision of credit and to improving banks’ access to funding.
This has yet to translate into a significant revival although issuance in the US is up in the early months of 2012.
Despite a range of initiatives the market worldwide remains heavily constrained by negative perceptions, concerns about the impact of regulation and alternative sources of funding.
