European securitised credit risk transfer set to rise by 15%, says Moody’s

The amount of credit risk transferred in European securitisation deals will increase 15% to €400 billion this year, credit rating agency Moody’s predicted today.

“In terms of asset class, the strongest growth is likely to be witnessed in CDOs [collateralised debt obligations], commercial mortgage-backed securities and whole-business securitisation, with moderate growth in asset-backed securities and residential mortgage-backed securities,” said Stephen Roughton-Smith, managing director of Moody's structured finance group.

Moody’s said it expects growth in the CDO market to continue to be driven by synthetic rather than cash transactions. Synthetic deals accounted for approximately 96% of the European CDO market in 2002, according to the rating agency. “Other CDO trends likely to persist include the securitisation of esoteric assets and the growth in multi-jurisdictional deals. The latter has already had the effect of contributing to a sharp drop in CDO deals in the UK in 2002,” added Moody’s.