In the summer of 2007, though it was Citigroup that had the largest off balance sheet SIV exposure, it was European banks that dominated the market. Overall, two thirds of the commercial paper issued had European sponsors, including 57 percent of the dollar-denominated commercial paper. Europe’s banks had good standing with the ratings agencies, but they did not have large dollar-denominated depositor bases. If they wanted to get in on the MBS boom, they needed to go to the wholesale market.
