Jason Merrill

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Jason Merrill

Mr. Merrill serves as a Structured Security Specialist and is responsible for research and trading of structured products, including mortgage-backed securities and collateralized loan obligations.

Prior to joining The Penn Mutual Life Insurance Company in March 2013 where his experience included the research and trading of structured products, Mr. Merrill worked as as an Associate at Beneficial Financial Group in Salt Lake City, Utah. His three-year tenure there included trading, research, and analysis on a $1 billion structured products portfolio. Prior to that, Mr. Merrill worked as a Senior Mechanical Engineer at Lockheed Martin Space Systems in Denver, Colorado. His three-year tenure there included participation in the Engineering Leadership Development Program, during which he contributed to winning the Orion program bid, worked on the development of the Phoenix Mars Lander, and landed the same spacecraft as a mission controller in mission operations.

Mr. Merrill received a Bachelor of Arts degree from Dartmouth College in 2002, Bachelor of Engineering and Master of Engineering Management degrees from Dartmouth College in 2003, a Master of Science degree from Dartmouth College in 2004, and a Master of Business Administration degree from Brigham Young University in 2010.

Stories by Jason Merrill

The Mind of a CLO Investor

By Jason Merrill | April 19, 2018

This week’s chart demonstrates recent annual issuance for higher-yielding domestic sectors in structured credit.  Many investors took substantial losses in non-agency commercial mortgage-backed securities (CMBS) and residential mortgage-backed securities (RMBS)… Read More

Value in Private Student Loan Credit

By Jason Merrill | February 8, 2018

Student loan asset-backed securities (ABS) continue to be one of the most unloved sectors in structured credit.  Many institutional investors avoid the sector altogether due to policy risk and concern… Read More

Are CLOs Getting Longer or Shorter?

By Jason Merrill | December 14, 2017

The lifecycle of a collateralized loan obligation (CLO) is typically characterized by an initial warehouse/ramp-up period, during which the CLO manager purchases collateral to back the CLO. This is followed by the reinvestment period, during which the CLO manager actively trades the portfolio based on a particular strategy. The reinvestment period is then followed by the amortization period, during which time the proceeds from sales or paydowns are used to amortize the CLO debt tranches and wind down the deal. The length of the reinvestment period is sometimes used by investors as a proxy for the length of the deal in general, with an adjustment for where in the capital stack the investor is located. CLO debt investors used to complain about reinvestment periods getting longer. For post-crisis deals, it was common for the reinvestment period to be four years long. Then, five-year reinvestment periods became the “new normal,” and managers that could get away with it would opt for the longer reinvestment period, thus locking up management fees and AUM for a longer period of time. The industry was aware that extending the reinvestment period was a positive for CLO managers and equity holders, but a negative for debtholders. What could debt investors do to counter this sea change in the industry?

A Perfect Storm

By Jason Merrill | October 19, 2017

Before we jump into the commentary on this week’s Chart of the Week, let me first acknowledge how much of a tragedy these natural disasters have been for our country this year. The loss of lives and homes has been devastating. It is important for those of us that are personally unaffected by these events to keep in mind the struggle that so many are going through this year. However, the fact remains that many institutional investors have investment exposures to these disasters as well, so the discussion regarding the impact on portfolios must and will continue.

The Grind is Real

By Jason Merrill | August 24, 2017

In spite of domestic political unrest and continued geopolitical uncertainty, the markets have enjoyed a surprising amount of stability since September 2016. Spreads have continued to grind tighter and tighter, begging the question, “how low can you go?” When spreads are at the tights across most sectors, cross-sector relative value becomes a more important form of differentiation between investments – and definitely more interesting during a summer of weak supply and low market volatility!

A New Normal in Collateralized Loan Obligation Reinvestment Periods

By Jason Merrill | June 29, 2017

June 2017 has been a banner month for the new issue of collateralized loan obligations (CLO) when including all three new issue types of regular way, resets, and refinancings. This month has seen 26 regular way, 18 reset and 18 refinancing deals marketed by the Street, totaling $30 billion across 62 deals. Based on our observations, Citi, Bank of America Merrill Lynch and J.P. Morgan have led the league table for the month, and investor demand in the space continues to be healthy.

Refinancing Wave in Leveraged Loans

By Jason Merrill | May 4, 2017

Corporate issuers continue to take advantage of cheap rates by refinancing their existing loans. According to the Bloomberg leveraged loan database, U.S. institutional leveraged loan issuance in the first quarter of 2017 totaled $249 billion. However, 82% of this issuance was in the form of refinancings, rather than new money. The consumer-cyclical, communications and consumer-noncyclical sectors represented the bulk of the refinancing activity. This refinancing wave is a boon for corporate issuers as they seek to reduce their cost of debt, but it leaves investors with less carry.

Opportunities in a Smaller Non-Agency RMBS World

By Jason Merrill | March 9, 2017

The non-agency residential mortgage-backed security (RMBS) sector continues to shrink with outstanding debt totaling $843 billion at the end of 2016, down from the peak of $2.7 trillion at the end of 2007. Issuance has yet to return to pre-crisis levels. Issuance in 2016 was at $84.2 billion, compared to $1.3 trillion per year in 2005 and 2006. Despite the non-agency RMBS sector’s inability to meaningfully return to its pre-crisis volume, a number of new post-crisis subsectors have been created by banks and non-bank issuers to try to jump start the sector.

Growing Risk in Fed MBS Holdings

By Jason Merrill | December 15, 2016

This week the Federal Reserve (Fed) is back in the spotlight after Fed Chair Janet Yellen raised interest rates in response to continued strength in the U.S. economy. Worries regarding the expanding girth of the Fed’s balance sheet have moved to the back burner, as the markets have turned their focus to improving economic growth prospects under the Trump Administration. However, the large move in rates this year has had a dramatic effect on the Fed’s book of agency mortgage-backed securities (MBS), which makes up $1.7 trillion of the Fed’s balance sheet.

Subprime Auto Performance Looking Subpar

By Jason Merrill | September 15, 2016

After the financial crisis, consumer and mortgage credit contracted sharply as lenders and regulators grappled with the new credit landscape.  Regulators sought ways to curb underwriting slippage to prevent future… Read More