Jason Merrill

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Jason Merrill

Mr. Merrill serves as a Structured Analyst 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

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

Seasoned CLO Upgrades – Calm in the Global Financial Market Storm

By Jason Merrill | June 30, 2016

This week’s chart depicts the quiet focus Moody’s had during 2015 on upgrading Collateralized Loan Obligations (CLO) issued before the financial crisis.

Bumps in the Road for Consumer Loan ABS

By Jason Merrill | May 12, 2016

Lending Club’s troubles are a microcosm of the potential pitfalls that await the many banks, investors, and servicers that have rushed into the consumer lending space.

Global Trade Outlook: A Tale of Two Vessels

By Jason Merrill | February 11, 2016

Weakening coal demand from China remains a drag on global trade. However, crude oil tankers have stayed quite busy and full.