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21 June 2010

AFME / ESF conference delivers latest ABS credit performance insights


AFME presented the performance figures which confirm that most types of European securitisations are not ‘toxic’ and show that the credit performance of the triple-A tranches of consumer and residential mortgage securitisations have largely performed well in Europe.

During the AFME / ESF European Structured Finance roundtable event, held at Bank of New York Mellon offices in London the industry delivered the latest insight on European structured finance, including the most recent performance figures, updated credit ratings processes and investors’ feedback.
The performance figures confirm that most types of European securitisations are not ‘toxic’ and show that, in Europe, the credit performance of the triple-A tranches of consumer and residential mortgage securitisations have largely performed well and within original expectations. Issuers and investors at the roundtable did however express their views that given many investors’ negative perception about securitisation in general, European policymakers may want to consider measures to constructively incentivise investors and issuers of real economy securitisations to re-enter the market.
Since the financial market was plunged into crisis in 2007, market participants have seen some very significant problems in certain securitisation sectors and therefore perceive many types of securitisations to be of concern. However, actual experience demonstrates that many parts of the European securitisation market have performed well. In Europe, one of the reasons why the underlying assets are of good quality is that the regulatory environment for financial institutions has always been relatively strict, thereby limiting the types of assets that could be originated by lenders and therefore securitised.
AFME / ESF conducted this open workshop, firstly, to provide the industry with current data on where the European securitisation market currently stands in terms of performance and ratings migration and, secondly, to discuss investors’ and issuers’ views on prospects for the European market.
The first session, featuring representatives from the three credit ratings agencies which have provided the majority of ratings on European structured finance transactions – Standard & Poor’s, Moody’s Investors Service and Fitch Ratings - provided delegates with a snapshot of ratings performance and migration across the Europe, Middle East and Africa (EMEA) region since the financial crisis started, as well as an update on initiatives they have undertaken to improve transparency and comparability of ratings.
The second session featured a panel of securitisation issuers and investors, who provided their insights on prospects for the future of the securitisation market.


© AFME


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