2008年-ECB欧洲央行_Securitisation_in_the_Euro_Area_7页_246kb

E Securitisation in the Euro Area Summary

Core Content

Securitisation is a financial process that transforms illiquid assets into liquid, tradable securities. It allows for the transfer of risk from originators to investors and has become a significant component of structured finance. However, it has come under increased scrutiny following the financial turmoil that began in August 2007. This special feature provides an overview of the securitisation market in the euro area, its developments, and the implications of the crisis on this sector.

Main Benefits of Securitisation

• Risk Transfer: Securitisation allows originators to transfer credit risk to investors, reducing their exposure.
• Liquidity Improvement: It enables non-liquid assets to be converted into cash quickly and efficiently.
• Regulatory Capital Arbitrage: Higher-quality assets can be securitised to reduce capital requirements under Basel I.
• Funding Cost Reduction: Originators can provide liquidity facilities to FVCs without incurring capital charges.
• Price Discovery Function: Securitisation can enhance the efficient allocation of capital if there is sufficient transparency and liquidity in the market.

Risks and Drawbacks

• Spurious Risk Transfer: The process may not always effectively transfer risk, leading to potential mispricing.
• Lack of Transparency: Credit quality of securitised assets is often unclear, especially in complex structures like CDOs.
• Maturity Transformation Risks: Short-term financing of long-term assets can lead to liquidity crises when short-term securities cannot be rolled over.
• Interest Rate Volatility: Longer maturities expose investors to greater price volatility due to discount factors.
• Rating Agency Reliability: The evaluation of securitised assets by rating agencies can be unreliable, especially during market stress.

Market Developments

• Rapid Growth: Securitisation has grown significantly, with the U.S. market reaching USD 9.7 trillion in structured products, compared to USD 4.5 trillion in Treasury markets.
• Euro Area Market: The euro area ABS market is estimated at €1.3 trillion, compared to €4.8 trillion in government bonds.
• Impact of Turmoil: The euro area securitisation market was less affected than non-euro-area EU countries. In the second half of 2007, euro area issuance dropped by 38.6% to €114.1 billion, while other EU countries saw a 74% decline.
• Resilience of Euro Area Securities: Euro area securitised assets showed relative resilience, with minimal rating downgrades and better performance of underlying loans compared to U.S. sub-prime mortgages.

Data Sources

• European Securitisation Forum (ESF): Provides data on new and outstanding securitisation in Europe since 2001, with a focus on EU collateral.
• ECB and National Central Banks: Identified resident FVCs to track securitisation activity, enhancing data availability.
• Combined Data: By matching ISIN codes, ECB and ESF data offer a comprehensive view of the euro area securitisation market.

Emerging Trends

• Shift to Longer Maturities: Investors are showing a preference for longer-term securities, possibly due to increased risk awareness.
• Repackaging of Assets: Issuers are repackaging longer-maturity loans and mortgages into more stable structures to restore investor confidence.
• Rating Migration: Most securities remained stable in rating, with only a small percentage downgraded. Downgrades were more common in lower-rated categories.
• Liquidity and Funding Issues: The turmoil led to a significant increase in banks' liquidity needs, with the funding gap created by the reduction in short-term ABS issuance.

Key Findings

• RMBSs and CDOs: RMBSs were heavily impacted, with a significant portion of their outstanding volume maturing beyond 2030, while CDOs mature by 2024.
• ABSs: ABSs are characterised by the shortest maturities, but maturities increased significantly in 2007.
• Credit Risk Exposure: Despite resilience, the euro area is still vulnerable to future declines in house prices and credit market tensions.

Conclusion

Securitisation has played a crucial role in the financial system, offering benefits such as liquidity enhancement and risk diversification. However, it has also contributed to systemic vulnerabilities, especially through maturity transformation and asymmetric information. The euro area has shown relative resilience compared to other regions, but the long-term stability of the sector depends on the performance of underlying assets and the continued availability of liquidity. The introduction of new data sources has helped to better understand these dynamics and their implications for financial stability.