Future trends in italian abs
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FUTURE TRENDS IN ITALIAN ABS. Marco Grimaldi, Dresdner Kleinwort Barcelona, 11 June 2007. What’s happened to those good old BOT people?. well… they’ve become ‘impatient’…. 50. Source: Osservatorio Assofin-Crif-Prometeia. 43.4. 45. 39.6. 36.4. 40. 34.6. 32.8. 35. 30. 25. 38.1.

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FUTURE TRENDS IN ITALIAN ABS

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Future trends in italian abs

FUTURE TRENDS IN ITALIAN ABS

Marco Grimaldi, Dresdner Kleinwort

Barcelona, 11 June 2007


What s happened to those good old bot people

What’s happened to those good old BOT people?....


Well they ve become impatient

well… they’ve become ‘impatient’….

50

Source: Osservatorio Assofin-Crif-Prometeia

43.4

45

39.6

36.4

40

34.6

32.8

35

30

25

38.1

34.1

30.6

28.4

20

26.3

15

10

5

6.5

6.2

5.8

5.5

5.3

0

2001

2002

2003

2004

2005

st household debt

m/l household debt


Which means the italian consumer market is still very attractive

… which means: the Italian Consumer market is still very attractive

Fonte: Il Sole 24 Ore

Fonte: Il Sole 24 Ore


But it is changing rapidly

…but it is changing rapidly

  • Mortgage Loans

    • self-certified, low DTI, high LTVs

    • liquidity loans

    • capped/discounted/fixed rate loans

  • Unsecured Retail Credit

    • pension-secured personal loans

    • quasi-prime borrowers

    • non-prime borrowers (credit impaired)

Low Risk

High Risk


Perspective on the italian sub prime mortgage market a reality

Perspective on the Italian Sub-Prime Mortgage Market: a Reality?


Perspective on the italian sub prime mortgage market a reality1

Perspective on the Italian Sub-Prime Mortgage Market: a Reality?

  • Main drivers:

    • Potential dimension and transparency of the sub-prime market

    • Lender’s risk attitude and origination channels

    • Legal and economic framework


Datamonitor s sub prime survey

Datamonitor’s Sub-prime Survey


Consumer loans the market

Consumer Loans: The Market

Total Consumer Loan Stock in € bln

100

89.9

Source: Osservatorio sul credito al dettaglio Assofin-Crif-Prometeia

90

76.5

80

70

63.3

55.0

60

48.3

€ bln

50

40

30

20

10

0

2002

2003

2004

2005

2006

  • Favourable interest rate environment

  • Adequate risk-return profiles

  • Diversification of the funding sources

  • Enhanced efficiency of the loan origination procedures

  • Diversification of funding channels through networks and wholesalers in partnership


Consumer loans typical financing structure of italian lenders

Consumer Loans: Typical Financing Structure of Italian Lenders

Scenario 1

(small lender)

Scenario 2

(medium/large lender)

1%

9%

36%

25%

30%

99%

Securitisation

bank loans

secured loans

Outright sale

Outright Sale

s/t facilities


Consumer loans typical securitisation structure

Consumer Loans: Typical Securitisation Structure

ABS Issue

Portfolio

Transfer

Originator

SPV

ex lege 130/99

Capital Markets

2

1

Collections

Fixed-to-floating Swap

Servicing

4

3

5

Investment Bank

Originator/

Servicer

Loan

Portfolio

Collections

4

Swap

back-to-back

5

MAIN ISSUES FOR SMALLER LENDERS

Originator

1

Minimum size to execute an efficient public securitisation

Liquidity of the ABS issue

2

Servicing track record and availability of data for the life cycle of the product

3

Collection procedures vs. requirements of the rating agencies

4

Hedge management and accounting

5


Consumer loans main hurdles and solutions

Consumer Loans: Main Hurdles and Solutions

MAIN HURDLES

POSSIBLE SOLUTIONS

Minimum size to execute an

efficient public securitisation

warehouse

1

fungible issues

Liquidity of the ABS issue

2

back-up servicer and credit scoring

Servicing track record and availability of data for the life cycle of the product

3

Advance Facilities and Guarantees

Collection procedures vs. requirements of the rating agencies

4

Balance Guaranteed Swaps,

Hedge Accounting

Hedge management and accounting

5


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