| IFR

IFR Securitisation Roundtable 2015

IFR’s Securitisation Roundtable – entitled “The Great European Securitisation Debate” – took place on May 28. Even though the general market at that point had turned volatile and Bund yields had been whipsawing, it was long before Greece went into arrears with the IMF and Greeks had voted against the latest austerity package. So the following discussion needs to be read with this in mind.

To purchase printed copies or a PDF of this report, please email leonie.welss@lseg.com and shahid.hamid@lseg.com

IFR Securitisation Roundtable 2015: Participants

Andrew Dennis Aberdeen Asset Management Andrew Dennis is an investment manager in the EMEA credit team of Aberdeen Asset Management, which he joined following Aberdeen’s acquisition of SWIP in 2014. Prior to joining SWIP’s fixed-income team as a sector specialist in structured finance, he worked for UBS with responsibility for the development of the structured finance business, with roles across structured finance variously leading research, syndicate, trading and sales. He has also worked in DCM in roles in emerging and developed markets based...

IFR Securitisation Roundtable 2015: Part 1

IFR: Welcome to IFR’s Securitisation Roundtable, which I’ve called “The Great European Securitisation Debate”. I wanted to touch on two broad areas: how the policy area is evolving in Europe and where the market is today in terms of where the flow is, touching also on the differentials between issuance in the US and Europe. Alex: what’s your read of the market in Europe today? Alex Batchvarov, Bank of America Merrill Lynch: The European securitisation market is gradually declining. We continue to see net negative supply as a result of low...

IFR Securitisation Roundtable 2015: Part 2

IFR: At some point quite soon the ECB is going to stop buying ABS. Given that – looking at the Covered Bond Purchase Programme versus the ABS Purchase Programme – there’s been a huge differential in what they’ve been buying, and of course we’ve all seen the impact it’s had on covered bonds sending it into negative territory in core markets. Traditional Pfandbrief investors in Germany are screaming blue murder because there’s no value and they’re actually quitting the asset class. There are different dynamics at play within the securitisation...

IFR Securitisation Roundtable 2015: Part 3

IFR: It works for the covered bond market, right? So you’ve got the Pfandbrief Act in Germany and we all remember the controversy when Commerzbank did an SME pass-through that they weren’t allowed to call a ‘Pfandbrief’ so it ended up being called a ‘structured covered bond’. It would appear to me that’s potentially what policymakers are looking to replicate with securitisation. Oldrich Masek, JP Morgan: I think that’s the difficulty with the nomenclature of ‘high quality’. It’s such a subjective interpretation. That’s going back to basics of...