By Daniel R?sch; Harald Scheule
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Extra info for Credit Securitisations and Derivatives : Challenges for the Global Markets
0. FSA. 2009. The Turner review: A regulatory response to the global banking crisis. Financial Services Authority, UK, March. Grifﬁn, J. , 2012. Did subjectivity play a role in CDO credit ratings? Forthcoming Journal of Finance. International Swaps and Derivative Association 2009. ISDA Market Survey Historical Data. org. Moody’s 2006. 3 User Guide. , 2005. A multi-factor approach for systematic default and recovery risk. Journal of Fixed Income, 15(2), 63–75. , 2010. Downturn credit portfolio risk, regulatory capital and prudential incentives.
19 While varying around approximately 800 USD bn between 2000 and 2005, the issuance on US bond markets increased moderately in 2006 to 1,058 USD bn from 752 USD bn in 2005. 8 The global CDO and bond issuance from 2000 to 2011. Note: This ﬁgure shows the the global CDO issuance (secondary y-axis) from 2000 to 2011. Respective developments in the US bond market are also denoted (primary y-axis). Data Source: SIFMA (2012a). 5%). Further, the volume was just declining in 2008 to 707 USD bn due to the crisis.
Similar developments may be observed with regard to MBS markets (lower graph). Until 2010 the US MBS issuance was dominating the respective European one in absolute pattern. Interestingly, after the US issuance peak in 2003 (over 3,179 USD bn) the volume declined to 1,924 USD bn in 2004, but varies around 2,000 USD bn, with the exception of 2008, where the issuance fell to 1,403 USD bn, which was about 37% less volume than in the previous year. Thus, in contrast to the ABS markets, one may conclude that the US MBS markets experienced a relatively strong issuance of structured securities despite the turmoil on the global ﬁnancial markets.