Technische Universität München Credit as an Asset Class - risklab

CHAPTER 2. CREDIT RISK TRANSFER
Figure 2.9: Global securitisation issuance (in USD billions)
The issuance volume of 2005 amounts to USD 3,630 billion and is nearly five times as
high as that of 1996. It can be observed that the issuance volume is volatile. This can
be partly attributed to the interest-rate level, as particularly MBS issuance is inversely
correlated with interest-rate level over time; if interest-rates rise, MBS issuance decreases.
Other factors influencing the issuance activity are investors’ demand, development of the
underlying market and general market environment. Especially in recent years, the securi-
tisation market was driven by a broader investor base, including hedge funds, institutional
investors, asset managers, retail funds and private banks. These investors are looking for
higher yields relative to other fixed-income markets. 83
Market Breakdown
The securitisation market can be classified according to different aspects. In this section,
we give an overview on the market with respect to region and collateral.
By Region In Figure 2.10 we see the development and the size of securitisation issuance
in different regions over time. 84
The US market clearly dominates the global securitisation issuance with a volume
of USD 3,023 billion or 83% of the whole issuance volume in 2005, followed by Europe
with 11%, Japan and Australia with 2% and Emerging Markets with 1%. While all
other markets almost exceptionally increased since 1996, the US market experienced both
increases and decreases. 85
Figure 2.11 provides information regarding European securitisation issuance. 86
83
See [Int06], pp. 1-2, 5, [Eur06], p. 1, [BIS05a], pp. 22-23.
84
The data is taken from [Int06] and the underlying datafiles.
85
See [Int06], pp. 1-2.
86
The data is taken from [Int06] and the underlying datafiles.
31