The author has been described by News Ltd as an "iconoclast", "Svengali", a pollie's "economist muse", and "pungently accurate". Fairfax says he is a "Renaissance man" and "one of Australia’s most respected analysts." Stephen Koukoulas concludes that he is "85% right", and "would make a great Opposition leader." Terry McCrann claims the author thinks "‘nuance’ is a trendy village in the south of France", but can be "scintillating" when he thinks "clearly". The ACTU reckons he’s "an enigma wrapped in a Bloomberg terminal, wrapped in some apparently well-honed abs."

Monday, July 5, 2010

Securitisation in Australia gets cheaper (105bps over BBSW)...

According to Banking Day:

The story for the domestic securitisation market is seemingly stronger than for the sovereign, bank and corporate bond market. Issuance volume at the end of the June 2010 half totals A$9.3 billion, compared with A$16.4 billion for all of 2009.

Prime, mortgage-backed securities accounted for 66 per cent of debt sold; low-docs 19 per cent, other asset-backed securities seven per cent and commercial mortgage-backed securities also seven per cent.

Average monthly issuance volume in the second half of 2009 was A$1.8 billion and this accelerated in the first quarter of 2010 to A$2.4 billion. But average monthly issuance fell to just A$0.8 billion in the second quarter of 2010...


ME Bank upsized its SMHL Securitisation Fund 2010-2E RMBS issue to A$1.2 billion, from A$980 million; but it may have set an expensive precedent with the pricing of the US$335 million of Class A1 notes.

The ‘AAA’ rated notes with a weighted average life of 1.54 years priced at 120 basis points over Libor. The A$363 million of ‘AAA’ rated, Class A2 notes with a WAL of 1.56 years, priced at just 105 bps over bank bills.

Without even allowing for the basis swap, the pricing disparity between the two tranches suggests either the great international investor demand for Aussie RMBS that has been touted in recent weeks wasn’t that great or domestic market pricing of RMBS is very cheap.

The A$383.3 million, ‘AAA’ rated Class A3 notes were presumably taken up in full by the Australian Office of Financial Management. The notes have a WAL of 5.68 years and priced at 110 bps over bank bills.