Technische Universität München Credit as an Asset Class - risklab

CHAPTER 2. CREDIT RISK TRANSFER
Figure 2.11: European securitisation issuance by region 2005
Figure 2.12: US securitisation issuance by collateral 2005
the proportion of CDOs is. The only information regarding CDOs is that they increased
their market share of outstanding value of ABS in the United States from 12% in 2000 to
15% in 2005 and are so the third largest sector overall. 90
Figure 2.13 represents a breakdown of securitisation issuance in Europe by collateral
in 2005. 91
The most dominant share of total securitisation issuance in Europe in 2005 had MBS
with a proportion of 57% (thereof RMBS 45% and CMBS 12%). In terms of size, the
CDO market had the second-largest issuance volume with 15%. Compared to 2004, its
size increased by 86%. But the fastest growing product sector in 2005 was the CMBS
sector, which more than doubled its volume in 2005 compared to 2004 holding market
share of 12%. 92
In this chapter, we learned a lot about credit risk transfer in general. We considered
credit risk as such, traditional credit instruments and the possibilities of credit risk trans-
fer. Our explanations included a description of the functionality of credit risk transfer
instruments, the chances and risks inherent in these markets and the market evolution
and size. In the following chapter, we explain important credit risk transfer instruments
90 See [Int06], p. 3.
91 The data is taken from [Eur06].
92 See [Eur06], p. 2.
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