Prime suspect

Knowing the exact quality of the loans in a securitisation pool is key if investor appetite for mortgage securities is to return. Chris Ames, an asset-backed portfolio manager at Schroders, discusses what's prime, what's not, and what has to happen for the markets to return to the way they were

What is your outlook for the mortgage markets?

With the permanent exit of so many highly levered investors from the asset-backed securitisation (ABS) market, spreads are unlikely to go back to the tight levels of the past few years. This means that unless securitisation is entirely replaced as a financing mechanism for banks' mortgage lending operations, lending margins on mortgages are going to have to move out to reach equilibrium with today's spreads. It looks like the UK is already moving

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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