Future Of ABS Credit Analytics Probed

A panel on credit analytics for asset-backed securities investors looked at where the models failed the market and how they need to change.

  • 20 Oct 2008
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-- Olivia Thetgyi

A panel on credit analytics for asset-backed securities investors looked at where the models failed the market and how they need to change. “How did we get to where we are today?” asked moderator Sandra Foist, managing director at TYI. “Did our analytics go terribly wrong?”

“A lot of data risk clarity was not available,” said Ian Moraino, associate at TIAA-CREF. “A lot of models looked at historical performance over a 31-month period, but we saw changes in 22 months,” said Lima Ekram, partner at Phoenix Peak. “None of the models incorporated such a catastrophic performance.” In addition, models are still not incorporating the kinds of changes that are taking place in the market. Panelists said there were no models a couple of years ago baking in wholesale modifications.

The discussion then turned to how to factor in the current realities of the world today. “The interesting thing that has come about is a whole new set of mortgage analytics is needed – WAC reduction, cashflow analytics. We need to look at some of these new realities.”

Ekram added that more people are drilling down into the performance of the underlying loans. “People are doing a lot more loan-level analysis, are looking at vintages, and at the transition of the portfolio in terms of the life cycle of the loans.”

But perhaps the emphasis on drilling down is misplaced, noted audience member Mark Adelson, chief credit officer at Standard & Poor’s. “Instead of getting in tighter and tighter to get more details on the loans, maybe all of this zooming in is misplaced. Effort needs to be spent on zooming out [to look at different scenarios].” After the panel, he noted, “I’ve never been disappointed by a model because I’ve never expected much out of one.”

  • 20 Oct 2008

GlobalCapital European securitization league table

Rank Lead Manager/Arranger Total Volume $m No. of Deals Share % by Volume
1 BNP Paribas 14,443 29 18.07
2 Bank of America Merrill Lynch (BAML) 8,264 27 10.34
3 Lloyds Bank 7,329 24 9.17
4 Citi 6,748 19 8.44
5 JP Morgan 5,220 8 6.53

Bookrunners of Global Structured Finance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 117,261.12 337 11.09%
2 Bank of America Merrill Lynch 94,723.52 272 8.96%
3 JPMorgan 92,612.23 269 8.76%
4 Wells Fargo Securities 82,597.19 239 7.82%
5 Credit Suisse 69,442.99 183 6.57%