The European securitization market remains frozen despite new issuance volumes for 3Q08 roughly matching the volume of maturing securities.
This is because most of what has come to market is being retained for repo purposes in central bank liquidity schemes, rather than sold to investors, said the European Securitization Forum (ESF) this week.
The market saw 134.1 billion ($169.7 billion) issued in the third quarter 2008 compared with 98.3 recorded at the same time last.
Much of this volume has been driven by the more lenient terms set by European Central Banks in an effort to ease liquidity in the market.
For example, central banks implemented a variety of policies to ease lending pressures and combat market turmoil in the third quarter. These measures included the creation of new liquidity facilities, broadened standards for acceptable collateral, and expanded criteria for eligible counterparties.
Likewise, the Bank of England (BoE) extended the criteria for acceptable collateral for its Special Liquidity Scheme (SLS) and other open market operations.
The SLS was also increased to £200 billion ($300.6 billion) from £50 billion and the expiration date for the program has been pushed back to the end of January 2009 from the end of October 2008.
The ESF said that significant spread widening occurred across several asset classes and jurisdictions, particularly Spanish triple-A RMBS, U.K. triple-B RMBS, and European
U.S. spread and price changes generally mirrored European levels as market disruptions continued to unfold on a global basis.