Our Latest Views

Tradable Mortgage Market Opportunities in Europe

22/03/2018 at 1:23 pm

22 March 2018 In this first of a two-part commentary, we take a cursory look at the broader yield opportunities in the investable mortgage market in Europe. (The second part will look at similar yield opportunities across the investable corporate loan markets in Europe, dominated by CLOs). By ‘investable’ we specifically mean capital market instruments that provide near-enough an isolated exposure to mortgage loan pools, rather than bank funding-related instruments with mortgage loans as ...

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Securitisation Regulation: More by way of prescriptions

20/02/2018 at 6:06 pm

The combined ESMA / EBA hearing on disclosure, risk retention and homogeneity in the context of the draft RTS published in December was held yesterday (19th Feb). Our overall take-aways are that the extended disclosure obligations and greater standardisation are a clear positive for investors but, on-balance, will likely pose a negative drag on supply-side technicals. In particular, the proposed requirement to disclose credit metrics (PDs/ LGDs) on a loan-level basis will further marginalise pub...

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