Figure 3.7. Securitization in the United States and
Europe
300
United States: Mortgage-Related Issuance 1
(In billions of U.S. dollars)
1
2
250
200
150
100
50
2008
0
2009
1 - 11/25/2008: Fed announces GSE asset purchasing program
2 - 3/3/2009: Fed introduces TALF
Billions of U.S. dollars
60
50
40
1
Euro Area: Issuance of Covered Bonds and Iboxx
Euro Covered Index2
Iboxx euro
covered
Nonjumbo
index
Jumbo
(right
scale)
200
180
160
140
120
100
80
30
60
20
40
20
10
0
0
2007
2008
2009
–20
1 - 5/7/2009: ECB announces 60 billion covered bond purchase program
Sources: Datastream; DCM Analytics; SIFMA; and European Securitization
Forum.
1Includes GNMA, FNMA, FHLMC mortgage-backed securities, CMOs, and
private-label MBS/CMOs.
2Iboxx euro covered index is an indicator of the difference in the yield on a
basket of euro-denominated covered bonds and interest rate swaps with a similar
maturity; 7–10 year maturity of covered bonds and 10-year euro vs. LIBOR
interest rate swaps are used for this figure.
Basis points
70