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SASF Securitisation Survey

SASF Securitisation Survey. Feedback . Survey response rate. Average response rate for incentivised survey is 15% SASF response rate was 8.7%. Question 1: Respondents. Question 2: Size of fixed interest assets under management.

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SASF Securitisation Survey

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  1. SASF Securitisation Survey Feedback

  2. Survey response rate • Average response rate for incentivised survey is 15% • SASF response rate was 8.7%

  3. Question 1: Respondents

  4. Question 2: Size of fixed interest assets under management

  5. Question 3&4: Investors investment appetite or holdings of securitisation transactions

  6. Question 5: We are currently shifting more funds under management from credit assets into cash

  7. Question 6: We currently prefer corporate bonds to securitisations of the same rating because corporate bonds offer:

  8. Question 7: The following factors are impacting our appetite for securitisation transactions:

  9. Question 8: Our concerns regarding securitisation transactions include:

  10. Question 9: We currently have demand for: • Of the 20% that responded “we have no demand” none were investors

  11. Question 10: Our appetite for securitisation paper will increase if there is an improvement in:

  12. Question 11: I am concerned that in the run-up to the implementation of the National Credit Act reckless lending practices has taken place

  13. Question 12: Asset classes most impacted

  14. Question 13: Consumer defaults are going to:

  15. Question 14: I am concerned that excess spread will not be enough to absorb increased delinquencies and lower rated tranches

  16. Question 15: We feel that credit enhancement levels are adequate given current economic conditions

  17. Question 16: I am more concerned over the ability of non-bank servicers to manage arrears and delinquencies than bank servicers

  18. Question 17: Investors in securitisations are currently being adequately compensated for risk

  19. Question 19: Securitisation spreads have widened due to: • 68% indicated sub-prime related negative sentiment as most applicable reason • 2nd most applicable reason:

  20. Question 20: Securitisations are currently attractive, but our mandates restrict us and we are over exposed to credit assets

  21. Question 21: My demand for securitisation paper is being impacted by the inability to obtain internal approvals

  22. Question 22: There has been push-back from trustees/other role players on investing in securitisations

  23. Questions 23: Trustees and credit committees need to be educated in order to understand the difference between South African transactions and international sub-prime transactions

  24. Question 24: South African conduits are a safe investment and it is highly unlikely that investors would experience losses on their investment in conduits

  25. Question 25: I am concerned about conduits potentially having to sell assets at a discount which could negatively impact mark-to-market on my securitisation portfolios

  26. Question 26: Is there enough information being made available to enable the investment decision:

  27. Questions 27: I am concerned that rating agencies:

  28. Questions 28: We are currently comfortable to invest in transactions rated:

  29. Questions 29: I would pay a premium for dual rated transactions

  30. Question 30: When, in your opinion will the international and domestic credit market recover?

  31. Conclusion • Reasons for lower demand for securitisation paper • Impacted by negative sentiment flowing from international market crisis • Liquidity is an issue! • Investors are less concerned about credit risk • Lower demand for credit assets (not only securitisation) • What will increase demand • Normalisation of international markets • Improvement in credit quality • Improve post issuance information and monitoring by rating agencies

  32. Conclusion • Market sentiment • Preference to highly rated CMBS • Negative toward ABS (store cards & auto loans) • General concern regarding delinquency levels • Investors are comfortable with: • Structures (levels of credit enhancement) • Non-bank servicers • Pricing • Conduits • Mandates/inability to obtain approvals is NOT an issue but credit comm need to be educated

  33. Next steps • Re-send survey with incentive to gain more insight? • Roadshow investors? • Roadshow credit committees/trustees?

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