JP 摩根-美股-金融业-北美证券化产品年中展望-621-76页.pdf
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North America Securitized
Products Research
21 June 2019
Securitized Products Midyear
Outlook
June 21, 2019
Securitized Products Research
Matthew Jozoff
AC
(1-212) 834-3121
J.P. Morgan Securities LLC
See page 74 for analyst certification and important disclosures.
www.jpmorganmarkets.com
MBS
Matthew Jozoff
AC
(1-212) 834-3121
Alexander Kraus (1-212) 834-5954
Nicholas Maciunas (1-212) 834-5671
Ani Gelashvili (1-212) 834-2605
ani.gelashvili@jpmorgan.com
Kaustub Samant (1-212) 834-5444
John Sim (1-212) 834-3124
Brian Ye (1-212) 834-3128
ABS
Amy Sze (1-212) 270-0030
Akshit R Jaisinghani (1-212) 834-7041
CMBS
Gareth Davies (1-212)270-2017
gareth.davies@jpmorgan.com
Chong Sin (1-212) 834-2611
Jacob Kurosaki (1-212) 270-4130
CLO
Rishad Ahluwalia (44-207) 777-1045
Heather Rochford (1-212) 834-3578
Michael Xin Huang (1-212) 834-3047
michael.xin.huang@jpmorgan.com
International ABS & CB
Meghan Kelleher (44-207) 134-2591
Suraj Dey (44-207) 134-1722
J.P. Morgan Securities LLC
2019 J.P. Morgan Securitized Products Midyear Outlook Conference will be
held on June 26, 2019 in NYC.
Keynote Speaker: Jamie Dimon, Chairman and CEO of J.P. Morgan Chase
& Co.
MBS Market Commentary Matthew Jozoff, Brian Ye, Nicholas
Maciunas, Alexander Kraus
Mortgages have had a roller coaster first half; the rally since May has almost wiped
out the outperformance accumulated through the first four months, and spreads are
near post crisis highs. We update our demand projections for the various categories
of MBS holders. Refi 2019 has steepened the “TBA” prepayment curve and roughly
50% of the 30-year universe is in the money to refi. Pool payups have been boosted
by the twin propellants of lower rates and TBA deliverable deterioration.
RMBS Credit Commentary John Sim, Kaustub Samant, Ani Gelashvili
Risky assets took a large hit at the end of 2018 only to largely retrace the widening
by the end of Q1 2019. Being long spread duration paid off, again. This week, we
cover our midyear outlook and update our spread and issuance forecasts.
ABS Market Commentary Amy Sze, Akshit Jaisinghani
We expect ABS spreads will remain relatively more range bound in 2H19, with
supportive fundamentals to mitigate against swings in broad market sentiments.
While ABS issuance this year remains on pace to match 2018’s record supply total,
the deep ABS investors base has kept demand healthy as well.
CMBS Market Commentary Gareth Davies, Chong Sin, Jacob Kurosaki
While CRE cashflow and property price growth are slowing, credit fundamentals
across CRE and CMBS remain benign. Additionally, CMBS continues to benefit
from relatively strong supply/demand technicals, which should serve to limit spread
widening in 2H 2019.
CLO Market Commentary Rishad Ahluwalia, Heather Rochford, Michael
Xin Huang
CLOs are playing a part in transforming leveraged credit by providing liquidity to
the loan market, which at $1.24tr is now the same size as the $1.25tr High Yield
market. On a rolling 6 month basis, net US CLO supply ex refi/reset accounts for
64% of net new loan supply and net CLO supply may meet or exceed net High
Yield supply for a second year.
International ABS Market Commentary Meghan Kelleher, Suraj
Dey
This week, we present our outlook for the international securitisation markets in H2
2019. In the primary market, we revise our FY European ABS issuance forecast to
€60bn from €70bn previously. In secondary, suppressed all-in yields could pose a
hurdle to valuations improving much further, though growing market expectations
of more accommodative monetary policy developments could provide a tailwind for
spreads to grind tighter.
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