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’Dystopia — safe assets edition
A familiar theme in this year’s Barclays Equity Gilt Study (57th edition, just out)…
(Click charts to enlarge)
But there is a twist — Barclays Capital tried to estimate the percentage of “safe”
Barclays visits the securitisation BISTRO
FT Alphaville has outlined how securitisation is getting back to its roots lately, allowing banks to reduce capital holdings at a time when fresh capital is hard to come by.
Basically, they buy protection on slices of their own assets,
Back to the BISTRO for today’s securitisations — Part 2
In Part 1, FT Alphaville discussed the recent resurgence of so-called “BISTRO-type” securitisation deals. These allow banks to lower their capital requirements and defer losses by buying protection on portfolios of assets.
Back to the BISTRO for today’s securitisations — Part 1
The airwaves are once again aflutter with tales of the “shadow banking” sector, owing to the chief of the relatively new Financial Stability Board.
As the FT’s Tracy Alloway also recently reported, the sector was already back to its pre-crisis size at the end of 2010 at a healthy $60,000bn of assets.
How to arb Basel II
In a previous post, we detailed trades that while making no sense economically, allow banks to game regulations around capital requirements and kick the recognition of losses further down the road.
This may have left you wondering how this is possible under the Basel II regulations,
More Angry Birds, less regulatory arbitrage, please
Last Friday, FT Alphaville noted a rather interesting notice from the Basel Committee. It indicated that some banks have been engaging in a rather outrageous bit of financial engineering. The end result of the alchemy was the kicking of losses further down the road and the improvement of capital ratios.
Failing to Byzantium
Greek RMBS news that makes you go hmm (via Fitch, earlier):
Fitch Ratings-London-31 October 2011: Greek banks and RMBS transactions are at risk of losing interest payments because a Greek housing agency has delayed,
ECB collateral changes…
Unveiled on Wednesday as part of the ECB’s usual tidying up of collateral eligibility criteria. This one seems to affect (unsecured) bank bonds a bit though…
First, the Eurosystem has abolished the eligibility requirement (Sections 6.2.1.5 and 6.2.1.6) that debt instruments issued by credit institutions,
ABS, CDS and various other acronyms in Australia
Your daily dose of financial innovation, right here.
Flexi ABS Trust 2011-1 may be a structured finance deal you’ve never heard of, but it’s making waves amongst securitisation types in Australia. Put simply it’s the first ever Australian deal to bundle interest-free payment plans for retail goods like jewellery,
Back to the future with UK RMBS
Your extend and pretend datapoint du jour, right here folks.
On Monday, Moody’s released a report advocating more disclosure of loan modifications within British Residential Mortgage-Backed Securities (RMBS). The UK’s Financial Services Authority already said something similar last month,
European securitisation – now mostly retained
A milestone, of sorts, in the European structured finance market.
At the end of the first-quarter of 2011, retained securitised debt made up a bigger proportion — at 51.7 per cent — of total outstanding debt (€2,076bn) than debt placed with investors,
China’s uncollateralised, cash flow-less, local government loans
The first time FT Alphaville stumbled upon China’s local government debt problem, it was in the form of one Shanghai district township snaffling a $250m loan from a Chinese bank for a “high-profile investment.”
Choose your own MBS accounting
Basel III. Accounting. Mortgage-Backed Securities. Yawn.
But wait — Basel III’s attempt to incentivise banks into managing their interest rate risk could be about to permanently alter the way banks handle some $1,480bn worth of MBS,
The other (missing) side of risk retention?
Risk retention is all about ‘aligning the incentives’ of various securitisation players.
But CreditSights analysts reckon regulators may have grabbed the wrong end of the securitisation stick, so to speak,
Premium capture is the new 436(g), Citi says
The repeal of Rule 436(g) sent the securitisation industry into a tizzy in the summer of 2010.
Now a component of last week’s proposed risk retention rules for Mortgage-Backed Securities (MBS) is sparking comparisons from some analysts,
Choose your own risk retention
So now that the Federal Reserve has gifted US banks with a one-size-does-not-fit-all policy in (some) securitisation risk retentions, which version will they be going for?
After all, they’ve got horizontal and vertical (and even L-shaped) slices to choose from.
The Ian Dyson detox plan
Punch Taverns — aka the Toxic Pub Company — won’t be handing back the keys to its troubled tenanted inns after all.
Chief executive Ian Dyson has decided on a break-up instead, creating a pub world equivalent of a ‘good bank’ and a ‘bad bank’.
Portugal: finally about the banks
Portugal’s fiscal plight is dire: but unlike in Spain or Ireland, the country’s banks are not major burdens on the sovereign. Where was the big 2000s Portuguese housing bubble, after all. Right?
No.
‘Securitisation is not that evil after all’
Now there’s a title, from a new BIS working paper, to catch one’s eye.
In it, the authors tackle the issue of information asymmetry in the securitisation process — or the basic idea that the holders or creators of a security might have better information about the investment than potential buyers.
Back to the future with CMBS
Blink and you might have missed it — but the market for Commercial Mortgage-Backed Securities (CMBS) reopened about 15 months ago with three transactions.
But the deals, issued in late 2009, were not CMBS as we knew them pre-financial crisis.
UK banks sorcery
The Government today welcomed the commitment by the UK’s biggest banks on lending expectations and capacity, the size of the 2010 bonus pool, pay disclosure and support for regional growth and the Big Society.
What lies in Greek RMBS
Greece has lots of problems.
Yet unlike Ireland or Spain, a collapsed housing market (even under austerity) isn’t one of them. But…
This is Grifonas Finance No. 1.
Grifonas is a Greek RMBS transaction launched in 2006 (here’s the prospectus).
‘Banks may be the best holders of mortgage risk,’ says Deutsche
Or, why the private label mortgage securitisation market keeps failing to rise from the dead — especially as the US grapples with Fannie/Freddie reform.
Here’s the thinking, from Deutsche Bank’s Steven Abrahams:
Dear Sir John
Which anarchist added this to the list of public responses sent to the UK’s Independent Banking Commission? (H/T to the FT’s Paul Davies):
While again emphasising that this is a personal view, I do believe that in the interests of competition,
A very messy Ambac lawsuit for JPMorgan
JPMorgan didn’t want this to be made public. You can kind of see why.
Quick background — the bank has been engaged in a legal battle with Ambac since November 2008. The monoline says EMC, Bear Stearns old mortgage-banking arm,
CMBScurviness by originator
Iffy commercial loans pre-financial crisis? Blame the conduits.
A new Federal Reserve discussion paper takes a look at 30,000 loans that were eventually turned into Commercial Mortgage-Backed Securities (CMBS) to figure out whether mortgages originated by certain types of lenders were more risky.