International SF Weekly: Positioning for Barcelona

Research evidence excerpt

International SF Weekly: Positioning for Barcelona

Commentary

What question would we ask in Barcelona?

In previous years, in preparation for the Global ABS conference, we usually summarised

our views on different aspects of the European securitisation market in preparation for

our meetings with investors. Given how much we have published in recent months, we

feel such summary would be rather long. So instead, we elaborate here on the questions

to which we hope to find answers in Barcelona.

As we have argued in recent years, ABS is no longer the adequate name for the market

in which we operate today; the term securitisation would also need to be

redefined. Both from investor and originator point of view, we need to consider the

market in different dimensions: traditional cash vs. synthetic, funding vs risk transfer,

securitised vs secured, standardised vs bespoke. We are curious to find out how market

participants are thinking about these multiple dimensions of the structured product

universe for investment, funding, risk management, etc. The proliferation of structured

finance techniques without the explicit tranching associated with securitisation and

creation of bespoke products is not a new development but its proliferation is new and

unprecedented.

Historically, the conversation with investors was often focused on relative value within

the asset-based securities universe and across the fixed income market universe in

whole or just in its credit sub-part. In recent months, the relative value equation has

been modified: while the comparison of spread (yield or spread component as share of

yield component) across the fixed income market remains a core focus near-term, the

longer term thinking is now informed by the views on geopolitics, technological change,