1、Structured Finance Asset-Backed Special Report 2010 Outlook for Global ABCP Analysts Overview Fitch Ratings credit outlook for global ABCP in 2010 remains consistent with those of global financial institutions acting as liquidity and credit enhancement providers to ABCP programs. ABCP rating actions
2、, if taken, will most likely reflect the health of sponsors, support providers, and other relevant counterparties. Fitch continues to observe trends in the global ABCP marketplace consistent with those witnessed since the outset of the credit crisis in 2007. ABCP outstandings have declined, as both
3、the supply of and demand for paper weakened. A number of conduits, particularly those with nontraditional structures or those financing out-of-favor asset portfolios, have exited the space as a result of investor trepidation concerning credit quality. Remaining conduits curtailed issuance as adminis
4、trators cleansed unfavorable asset types from their portfolios and terminated noncore banking relationships. The interest rate environment also weighed on demand for the product, with money managers seeking greater yield elsewhere and issuers returning to the term asset securitization market for fun
5、ding. Since the onset of the credit and liquidity crisis, investors have migrated towards traditional multiseller programs sponsored by highly rated financial institutions with strong track records in the business. Many conduit sponsors have restructured programs to provide greater levels of protect
6、ion to investors at the transaction and program levels. Most administrators have taken opportunities to improve the credit quality of their underlying portfolios by reducing exposures to troubled asset classes and tightening deal triggers upon lending facility renewals. Fitch expects these trends to
7、 continue throughout 2010. The primary focus throughout 2010 will be on evaluating the strength of the economy and the impact of cash reserve and balance sheet requirements for both conduit portfolios and their liquidity-support facilities. Influences and Trends in 2009 Concern over counterparty exp
8、osure to financial institutions providing credit and liquidity facilities. Collateral credit quality concerns. Proactive strengthening of portfolio credit quality. Liquidity and credit support mechanism restructurings. Government interventions to provide liquidity to the market through various facil
9、ities. Introduction of accounting and capital requirement changes. 36% year-over-year decline in U.S. ABCP outstandings. 41% year-over-year decline in asset-backed Euro commercial paper (ABECP) outstandings. New York Kevin Corrigan +1 212 908-9156 Michael Dean +1 212 908-0556 Darryl Osojnak +1 212
10、 908-0602 London Emma-Jane Fulcher +44 20 7417-3529 Heather Collins +44 20 7417-3529 Paris Emmanuelle Ricordeau +33 1 4429-9148 Sydney Natasha Vojvodic +612 8256-0350 Adam Daman +612 8256-0350 Tokyo Atsushi Kuroda +813 3288-2692 Hong Kong Stan Ho +852 2263-9668 Related Research Global Econom
11、ic Outlook, April 1, 2010 U.S. Banking Quarterly 4Q09, March 8, 2010 Global Rating Criteria for Asset-Backed Commercial Paper, Oct. 22, 2009 Global Structured Finance Rating Criteria, Sept. 30, 2009 April 5, 2010 Structured Finance Influences and Trends to Look for in 2010 Improving global economic
12、 environment. Concern over counterparty exposure to financial institutions providing credit and liquidity facilities. Continued enhancement of collateral and structural protections at both the transaction and conduit levels. Liquidity- and credit-support mechanism restructurings. Consolidation of co
13、nduits onto bank balance sheets and associated risk-based capital requirements. Continued discussions on Federal Deposit Insurance Corporation (FDIC) safe harbor treatment. Minimal, if any, growth in ABCP outstanding. Increasing number of issuers seeking ratings for underlying transactions for capit
14、al requirement purposes. Market Overview As of year-end 2009, U.S. ABCP outstandings stood at USD450.3 billion (on a nonseasonally adjusted basis). This represents a 36% year-over-year decline and a drop of 62% from the markets peak outstanding level of USD1.2 trillion in July 2007. ABCP accounted f
15、or 39% of the total amount of U.S. CP (corporate and asset backed) at year-end 2009, compared with 44% at year-end 2008. The ABECP market continued its decline during 2009, with outstandings falling to approximately USD42 billion by Dec. 31, 2009, a 41% decrease from December 2008. 0.00.40.81.21.62.
16、02.46/04 9/04 12/04 3/05 6/05 9/05 12/05 3/06 6/06 9/06 12/06 3/07 6/07 9/07 12/07 3/08 6/08 9/08 12/08 3/09 6/09 9/09 12/09U.S. ABCP U.S. CPSource: Federal Reserve.($ Tril.)U.S. ACBP vs. U.S. CP Outstanding(Nonseasonally Adjusted, As of Dec. 31, 2009)2 2010 Outlook for Global ABCP April 5, 2010 Str
17、uctured Finance 0.00.20.40.60.81.01/07 3/07 5/07 7/07 9/07 11/07 1/08 3/08 5/08 7/08 9/08 11/08 1/09 3/09 5/09 7/09 9/09 11/09European ABCP European CPSource: Euroclear.($ Tril.)European ACBP vs. European CP Outstanding(As of Dec. 31, 2009)2010 Rating Outlook Remains Negative for Most U.S. Banks On
18、balance, Fitchs rating outlook for the U.S. banking sector remains negative, albeit easing. The negative outlook is focused on regional U.S. banks, of which more than 80% covered in this report carry either a Negative Rating Outlook or Watch. With that said, Fitch anticipates that fundamental financ
19、ial performance for the banking sector will remain weak throughout most of 2010; however, this will not likely result in broad rating downgrades. Generally, U.S. regional banks are more susceptible to further downgrades than their larger brethren. Regional banks tend to be more concentrated in tradi
20、tional lending activities and generally have a higher degree of commercial real estate (CRE) exposure. Going forward, Fitch considers CRE a key area of concern for the U.S. banking sector, as articulated in Fitchs report “U.S. Bank CRE Exposure Review,” dated Nov. 16, 2009 and available on its Web s
21、ite at . That said, the pace of downgrades has slowed as banks have generally augmented capital through common equity issues and made meaningful progress dealing with problem loans. 0.00.51.01.52.02.53.03.54.04.55.05.56.06.57/07 9/07 11/07 1/08 3/08 5/08 7/08 9/08 11/08 1/09 3/09 5/09 7/09 9/09 11/0
22、91M LIBOR ABCP Index Federal Funds RateSource: Bloomberg L.P.One-Month Indices(As of Dec. 31, 2009)(%)2010 Outlook for Global ABCP April 5, 2010 3 Structured Finance Since the onset of the credit crisis in mid 2007, Fitch has taken numerous rating actions on U.S. banks to reflect the vastly changed
23、operating environment affecting virtually all elements of the balance sheet, with the most recent challenge emanating from the CRE book. While Fitch does not see the banking industry as “out of the woods,” the level of additional challenges to fundamental performance appears to be leveling off. Look
24、ing into 2010, aside from the aforementioned problems with CRE, Fitch considers the most significant challenges to be legislative and regulatory in nature, in addition to the ability of banks to manage changing interest rates. There are some notable exceptions to the Negative Rating Outlook among re
25、gional banks, including U.S. Bancorp, PNC Financial Services, and New York Community Bank. These three banks carry a Stable Rating Outlook owing to better than average asset quality and a comparatively healthier financial outlook. Among regional banks, there remains a wide variance of ratings, depen
26、ding on Fitchs view of each institutions degree of problems and capacity to absorb them, among other factors. Long-term issuer default ratings (IDRs) range from AA to B for regional banks in this report. Despite this wide range, ratings remain primarily in the investment-grade category. For large U.
27、S. banking institutions, outlooks for long-term IDRs remain generally stable. Long-term IDRs for this group are within a tighter range (AA through A), compared with regional banks. For most, including JPMorgan, Wells Fargo, Goldman Sachs, Morgan Stanley, and Bank of New York Mellon, the Stable Ratin
28、g Outlooks reflect generally solid financial performance, despite the challenging environment. These institutions have generally benefited from well diversified business mixes or remain focused on less credit-sensitive business lines, such as transaction processing, asset management, and/or capital
29、markets. For those with sizable credit exposures, such as JPMorgan and Wells Fargo, loan portfolios continue to exhibit comparatively favorable nonperforming loan levels and net chargeoffs. Long-term IDRs of Citigroup, Bank of America, and State Street remain at support floors. These ratings continu
30、e to reflect systemic importance and government support measures. Encouragingly, individual ratings, which measure stand-alone financial strength, were upgraded for all three of these banks in the latest quarter. State Streets individual rating of B/C stands out, thanks to its comparatively stronger
31、 level of core operating earnings and focus on lower risk businesses. Bank of Americas individual rating of C/D remains on Rating Watch Positive, reflecting the potential for further upside in the near term. The Fitch report, “U.S. Banking Quarterly 4Q09,” can be found at . Global Economic Outlook T
32、he global economic recovery, which began in mid-2009, appears to be gathering momentum. GDP expanded by more than expected in the U.S., France, Japan, and the UK in Q409. For the major advanced economies (MAEs) as a whole, activity increased by 0.8%, up from 0.3% in Q309. While the Euro area (EA) su
33、ffered a slowdown in Q409, this was largely anticipated, as the car-scrapping scheme came to an end in Germany. Only Italy suffered an adverse surprise as growth slipped back into negative territory in Q409; but there, as in France and Germany, more recent data point to a pick-up in Q110. The outper
34、formance of GDP among the MAEs at the end of last year offers some reassurance that a turning point for the world economy was indeed reached in mid-2009. With forecasts for growth in 2010 also being revised up, the contrast with the pattern of forecast errors and revisions seen a year or so ago coul
35、d not be starker. The 2009 recession proved to be far deeper than anticipated in the global economic outlook (GEO) forecast produced at the end of 2008. The driving forces behind recovery have included the rebound in world trade, a slowdown in the pace of inventory drawdown, and fiscal policy easing
36、. World trade volumes have 4 2010 Outlook for Global ABCP April 5, 2010 Structured Finance now recovered nearly two-thirds of the losses witnessed after October 2008, inventories made a positive contribution to Q409 GDP growth in the U.S., Japan, UK, France, and Italy, while government spending has
37、supported growth in many countries and tax cuts have mitigated the impact of higher private-sector saving rates. While these factors are unlikely to prove a lasting source of growth, there have also been some encouraging signs that conditions may be starting to emerge that will support a return of m
38、odest but self-sustaining private-sector demand growth. In particular, nonresidential investment has started to recover in the U.S., while labor markets across the MAEs have started to stabilize. The latter should help support a stabilization of household saving ratios from 2011. The forecast for MA
39、E growth in 2010 has been revised up by 0.3% since the December 2009 GEO to 1.9%, with large upward revisions to the U.S. and Japan partially offset by marginally weaker growth forecasts for the EA and the UK. Global growth is expected to be more dynamic at 2.8%, supported by growth above 7.5% (in a
40、ggregate) in Brazil, Russia, India, and China (BRICs). Fitch expects the expansion in activity in the MAEs to continue at a similar pace in 2011, despite the anticipated withdrawal of fiscal stimulus. Private-sector investment is expected to stage a recovery in line with historical cyclical patterns
41、 and household saving ratios should start to flatten off as job market conditions stabilize and the impact of negative wealth effects fades. Nevertheless, the process of household sector deleveraging evidenced by the declines in household debt/income ratios seen to date of between 5% and 10% of disp
42、osable income in the U.S., UK and Spain is set to continue to weigh on growth. This will likely prevent the above-trend bounce-back in growth typically witnessed as recovery progresses. Against the backdrop of firming activity, a commodity-price-related pick-up in headline inflation rates and a norm
43、alization in interbank funding markets, the major central banks have started to phase out extraordinary liquidity measures. But while Fitch is now also penciling in a 25bp rise in the Fed funds rate in Q410, monetary policy in the MAEs is unlikely to be tightened sharply within the next 18 months, a
44、s growth rates remain relatively subdued, unemployment and spare capacity high and fiscal tightening is in prospect. The monetary policy outlook for Brazil, China, and India is somewhat different, as the potential inflation consequences of earlier stimulus policies in the context of robust growth ar
45、e of greater concern. The full “Global Economic Outlook,” dated April 1, 2010, is available on Fitchs Web site at . Risk-Based Capital Requirements On Dec. 15, 2009, the FDIC announced a final rule on risk-based capital in light of recent changes in accounting policies effected by FAS 166 and 167. T
46、he changes are effective for reporting periods beginning on Jan. 1, 2010. Under the new guidelines, the concept of a qualifying special purpose entity (QSPE) has been eliminated, subjecting many previously nonconsolidated securitizations, including ABCP vehicles, to consolidation under GAAP. The rul
47、e removes provisions under which banking organizations that are required to consolidate ABCP vehicles per prevailing accounting policies are permitted to exclude the consolidated vehicles assets from the sponsors risk-weighted assets. Banks will now be required to assess risk-based capital charges a
48、gainst exposures arising from their activities in an ABCP program. The rule allows for a two-quarter implementation delay and a subsequent two-quarter phase-in period. 2010 Outlook for Global ABCP April 5, 2010 5 Structured Finance The changes are unlikely to impact existing credit ratings, but it is likely that they will have an effect on ABCP market dynamics. Faced with significant increases in costs associated with running con
