2011年-ECB欧洲央行_Recent_developments_in_securitisation_43页_1mb

Summary of Recent Developments in Securitisation

Core Content

This report, published by the European Central Bank (ECB) in February 2011, provides an analysis of recent developments in securitisation markets in Europe and the United States, focusing on market activity, pricing, and regulatory implications. It is part of the ECB's Banking Supervision Committee (BSC) work examining the structural impacts of the financial crisis on the banking system.

Main Viewpoints

1. Securitisation Market Trends

• Primary Market Activity: Securitisation markets in Europe and the US continued to issue products during the financial crisis, albeit at lower levels. Public institutions played a significant role in supporting issuance, particularly in the US through government-sponsored enterprises (GSEs) like Freddie Mac, Fannie Mae, and Ginnie Mae.
• Asset Classes: Residential mortgage-backed securities (RMBSs) remain the most important asset class in both Europe and the US. In the US, RMBS issuance is higher than ABS issuance, while in Europe, RMBSs and ABSs are more prominent.
• Outstanding Volumes: Outstanding volumes of securitised products remain high, with RMBSs accounting for a large proportion of the total in Europe.

2. Secondary Market Developments

• Spreads: Spreads in securitised products have decreased in both regions, reflecting improved economic conditions and market confidence. However, spreads for high-risk products like commercial mortgage-backed securities (CMBSs) and home equity loans (HELs) remain elevated.
• Rating Changes: There was a significant wave of rating downgrades across securitised products between 2008 and 2010. RMBSs were most affected by weak performance, while ABSs were influenced by changes in rating methodologies.
• Sovereign Risk: Sovereign risk has spilled over to securitised product yields, particularly in Europe and the US, affecting pricing and investor confidence.

3. Eligible Collateral in ECB Operations

• Collateral Use: Despite the crisis, senior tranches of securitised products have remained eligible as collateral for ECB monetary policy operations. This has helped alleviate funding pressures for banks.
• ABS Dominance: ABSs have become the largest single asset class in the Eurosystem's collateral framework, surpassing government securities in terms of volume.
• Eligibility Criteria: The Eurosystem has tightened eligibility criteria for ABSs, including narrowing the geographical scope and increasing credit rating requirements. However, the share of ABSs in the collateral framework has still increased.

4. Covered Bonds

• Role in Securitisation: Covered bonds are highlighted as an important neighboring product to securitisation, especially as a funding tool. They are less affected by the crisis due to their distinct features, particularly the lack of risk transfer.
• Market Development: The ECB's covered bond purchase program contributed to the revival of jumbo covered bond issuance in 2009.

5. Differences Across EU Member States

• Main Issuers: The UK, the Netherlands, Spain, and Italy are the main issuers of securitised products in Europe.
• Market Demand: Some EU countries, such as Germany, the Netherlands, the UK, and Italy, have shown signs of market-based demand for securitised products, especially when collateral is transparent and low-risk.
• Public Support: Public support mechanisms, such as guarantees from the Spanish government for SME loan securitisations, have played a key role in sustaining market activity.

6. Future Outlook

• Regulatory Impact: Future regulatory and accounting reforms are expected to increase costs for market participants, potentially affecting the development of securitisation markets.
• Investor Sentiment: The report suggests that the demand for securitised products will depend on the transparency and robustness of securitisation structures.
• Areas for Follow-Up: The report recommends further analysis of the investor base, accounting issues, and covered bonds as potential areas for future work.

Key Information

• Motif: The ECB publications in 2011 featured a motif from the €100 banknote.
• Data Sources: The report uses data from JP Morgan, Dealogic, and other financial institutions.
• Timeframe: The data analyzed in the report is based on information available as of 15 January 2011.
• ISSN: Print: 1830-2017, Online: 1830-2025.
• Contact Information:
  • Address: Kaiserstrasse 29, 60311 Frankfurt am Main, Germany
  • Postal Address: Postfach 16 03 19, 60066 Frankfurt am Main, Germany
  • Telephone: +496913440
  • Website: http://www.ecb.europa.eu
  • Fax: +496913446000

Structure

• Executive Summary: Provides a snapshot of the report's findings and implications.
• Introduction: Sets the context, outlines the report's structure, and discusses the background of the financial crisis and its impact on securitisation.
• Factors Affecting Demand and Supply: Examines the economic and regulatory factors influencing the securitisation market.
• Aggregate View of Securitisation Markets: Compares developments in Europe and the US, including trends in issuance and asset classes.
• Eligible Collateral in ECB Operations: Discusses the role of securitised products in ECB monetary policy and changes in eligibility criteria.
• Covered Bonds: Analyzes the evolution and role of covered bonds as a neighboring product.
• Differences Across EU Member States: Highlights variations in issuance and market activity across countries.
• Concluding Remarks: Summarizes findings, discusses future regulatory implications, and suggests areas for follow-up research.