Asset Securitization Report articles from April 2003

Asset Securitization Report archives from April 2003

Whispers.(meshed briefs)
April 7, 2003... Former Wachovia Securities veterans Joe Parish and Scott Shannon have started Structured Equity Capital Partners, LLC, or Sequity for short, described as "an alternative investment fund focused on the structured finance market." Parish headed...

International guarantors go Mexican: But where are the monolines?
April 7, 2003... Never has the marketplace of Mexican peso securitizations dangled so many trinkets before international guarantors. Maturing regulations, rising liquidity, bolder issuers and a growing comfort level with structured deals among domestic funds...

Has Europe lost its awe factor?
April 7, 2003... GENEVA - Over 400 securitization professionals gathered here last week to discuss the latest topics affecting the European securitization industry. Rather than leaning toward the new and innovative, however, the mood shifted to unsolved issues...

War and manager abuse slow CDOs.
April 7, 2003... Sparse issuance on the U.S. CDO front was largely attributable to the stepped-up campaign against Iraq, which has depressed interest in non-vanilla investments, sources said. With the first quarter wrapped up, investors have much to mull over:...

Will FASB kill the master trust? Apparently, it's not the board's intention.(Financial Accounting Standards Board)
April 7, 2003... At least one securitization accountant believes the direction of the Financial Accounting Standards Board on the permitted activities of a FAS 140 qualifying SPE could pose challenges to the master trust structure. At the last...

ABCP numbers still down in March.(asset-backed commercial paper)(Brief Article)
April 7, 2003... Outstanding asset-backed commercial paper declined another $6 billion last month, to $700 billion, now more than $31 billion behind year-ago numbers. Again, the depression is likely tied to a few continued themes, namely Financial...

As refis slow, Banc One maps out residential ABS plays.(Banc One Capital Markets)
April 7, 2003... There are opportunities in the subprime MBS market, despite increased supply, according to Banc One Capital Markets researchers in the most recent Prepayment Insight. Depending on vintage and credit exposure, investors can navigate the slowing...

First COMET sighting of 2003 for Cap One.(Capital One Financial)(Brief Article)
April 7, 2003... Approximately one month after its chief financial officer stepped down amid insider trading charges, Capital One Financial returned to the credit-card sector of the ABS market for the first time this year, with the de-linked triple-A rated...

The .07% solution: A tempting but problematic approach to FIN 46.
April 7, 2003... Who believes in The .07% Solution? Several major U. S. banks are hoping it can ward off ABCP conduit consolidation the way a cross wards off a vampire. This approach should not be confused with The 7% Solution, which refers to the nasty drug...

HEL issuance drives GMAC to top ABS issuer status in Q103.
April 7, 2003... Boosted by the mortgage-related issuance of its subsidiaries, GMAC was the leading issuer of asset-backed supply in the first quarter of the year, according to Thomson Financial. In aggregate, GMAC issued more than $15 billion of auto loan,...

Musical chairs in the ABS underwriter leagues.(securities industry)
April 7, 2003... As anticipated, Salomon Smith Barney (Citigroup) took the first quarter with a startling $8.6 billion lead over its closest rival, JPMorgan Securities, which held its ground by about $1 billion over the No. 3 and No. 4 banks, Morgan Stanley and...

A pair firsts for 2003 lead lackluster primary week.
April 7, 2003... New issue ABS continued at a slow pace, as the second quarter officially kicked off without the fanfare of previous quarters, when issuers raced to price deals before their competitors. Supply totaled just $6.9 billion, led by AmeriQuest...

MBS recap: supply holds firm.
April 7, 2003... Supply remained strong last week, averaging about $3 billion per day. Investors, meanwhile, were a bit more finicky. The anticipated month-end buying on Monday was disappointing. However, interest picked up on the supply-induced spread widening...

Declining jumbo enhancement levels are not good.
April 7, 2003... The declining credit enhancement levels on jumbo MBS is making recently originated jumbo mortgages more risky, said a recent report from Nomura Securities. The average enhancement level for AAA-rated tranches in jumbo fixed-rate mortgage...

Fannie Mae's new hybrid program could dominate, analysts said.
April 7, 2003... Fannie Mae is coming out with a 5/1 hybrid ARM program with the aim of increasing transparency and liquidity in the sector. This will also make the product type more uniform, thus making it easier for originators to be part of the program. ...

UBS comes first for first quarter.(UBS Warburg)(Brief Article)
April 7, 2003... UBS Warburg emerged No.1 as it grabbed the top spot in the first-quarter manager activity rankings for both agency and non-agency MBS, according to final results from Thomson Financial's RMBS 2003 first quarter league tables. UBS sold...

CMBS Roundup: Deal pace slows a bit.(Brief Article)
April 7, 2003... Pricing was a bit slower last week in CMBS, but after nearly $9 billion of fixed issuance in March, the break is a welcome one. After the first week of the second quarter nears completion, most of the planned issuance has already come to...

Market welcomes Fannie's increased disclosure on existing pools.
April 7, 2003... Fannie Mae announced that it would be providing more detailed disclosures on its new MBS as of last Tuesday, and would provide the same enhanced information on its existing MBS beginning in June. Prepayment analysts welcomed the...

Mexican muni deal gets a hand from Dexia and IFC.(Tlalnepantla is launching a securitization)
April 7, 2003... More deals are filling up the Mexican domestic pipeline. Bearing a tongue-twisting name that evokes the country's rich indigenous heritage, the municipality of Tlalnepantla is coming to market with a securitization that features a few novel...

Monolines set the record straight.
April 7, 2003... There has been much talk in the market recently on just how exposed some monoline names might be to credit vulnerability, and whether this exposure threatens the credibility behind the insurers' triple-A ratings. Last week at the Geneva ABS...

Corporate service mangers assume growing importance in Europe.
April 7, 2003... Managing directors and corporate service managers of SPVs have long carried the pain of amenity in a market that largely considers their role robotic - a mere signature on the dotted line. But with the market's evolution comes new challenges in...

Whispers.
April 14, 2003... Student-loan underwriting specialist William R. Hough & Co. has hired Salmaan Siddiqui as vice president to run its ABS syndicate and trading desk. Siddiqui, who previously worked at JPMorgan Securities, takes over for former syndicate manager...

Large bid list signals another baby step for CDO market.(collateralized debt obligations)
April 14, 2003... The CDO market had mixed feelings regarding the large bid lists circulated recently by buyside firm Pacific Investment Management Co. on behalf of Abbey National Bank. Many in the dealer community, which traditionally controls information flow...

Originations plow on in mortgages.
April 14, 2003... NEW YORK - With a view that economic recovery will be a year-end theme, mortgage originations should slow in the fourth quarter, said economists from the Mortgage Bankers Association at the MBA's annual Secondary Market Conference & Expo held...

Latin America Q1 and beyond.
April 14, 2003... Mexico pulled further ahead of the Latin American pack during the first quarter. While securitization deals trickled through in other countries, the peso market hummed, nearly sustaining the brisk rhythm of the previous quarter. Five...

S&P survey confirms market's distaste for FIN 46.(Financial Accounting Standards Board's Financial Interpretation No. 46)
April 14, 2003... The majority of those in the structured-finance markets do not think that the Financial Accounting Standards Board's Financial Interpretation No. 46 will adequately address the concerns of corporate malfeasance and increased financial...

Relief for tobacco no cause for upgrades.
April 14, 2003... The Illinois court that previously ruled against Philip Morris with awards totaling more than $10 billion - has indicated that it may lower PM's bonding requirements. This development, however, will not likely reverse the recent rating actions...

MBIA wrap bolsters interest in first AmeriCredit ABS of 03.
April 14, 2003... Absence made investors' hearts grow fonder for AmeriCredit Financial Corp.'s first term auto loan ABS transaction of the year, about one month after initially scheduled. With roughly 45 different investors participating and each class...

Repacked EMAC: DASH CDOs joins suit against franchise lender.(Diversified Asset Securitization Holdings collateralized debt obligations)
April 14, 2003... Diversified Asset Securitization Holdings I & II, both CDOs managed by Asset Allocation Management (AAM), recently joined the consolidated lawsuit against Enterprise Mortgage Acceptance Co., which was initiated in early 2002 by Teachers...

Home equities return to lead $11 bln ABS week.
April 14, 2003... New-issue supply picked up last week from the dismal week previous, pricing over $11 billion as of press time, with an additional $4.5 billion left for either late last or early this week. Returning to normal, home equity issuance accounted for...

Moody's sees danger in recent EETC repurchase by MBIA.(enhanced equipment trust certificate)
April 14, 2003... MBIA's exercising of a purchase option imbedded in the surety of a US Airways Enhanced Equipment Trust Certificates may have had a negative impact on investors, though it presented the opportunity for a financial gain for the insurer, at the...

Extension remains dominant theme in MBS.(Mortgage Bankers Association)
April 14, 2003... Extension remains the largest risk for mortgages as rates are expected to rise with economic recovery on the horizon, said mortgage analysts at the Mortgage Bankers Association (MBA) National Secondary Market Conference, held last week in ...

MBS Recap: Rolls get hot on lack of supply.
April 14, 2003... Last week's trading session was characterized by lower originator selling, strong buying interest and roll-related trading. Originators were at an annual conference for the first half of the week. This kept selling to around $1 billion per day....

Declining CMBS supply means AAAs are hot, BBBs need cooling.
April 14, 2003... The CMBS market has cooled off from its torrid new-issue pace in March, and the April calendar is already nearly spent just two weeks into the month. The lull in supply has taken hold of the sector, tightening spreads by at least two basis...

House pricing index show prices still on the up and up.
April 14, 2003... Market players who have long expected a dramatic collapse in U.K. housing prices will have to keep waiting; according to figures recorded by Nationwide Building Society's index, prices continued to climb through March. By the index there was a...

U.K. property valuations take a shortcut.
April 14, 2003... With the occurrence of drive-by mortgage valuations in the U.K. mortgage market, Fitch Ratings has investigated how this shortened alternative differs from the typical full mortgage valuation and its potential affect on U.K. RMBS ratings. ...

ABS remains a safe haven, provided investors don't stray too far.
April 14, 2003... Despite a growing number of credit blowups and a bleak socioeconomic background, most of the European ABS market has maintained its safe-haven status. For investors, however, gaining entry into that haven may mean sacrificing of yield. At...

Glimmer of hope for Argentine consumer sector.(Brief Article)
April 14, 2003... In a move that bodes well for Argentina's consumer sector, Banco de Valores and Inversora placed the senior piece of a Ps11.1 million (US$3.8 million) deal backed by consumer loans at the Badlar benchmark rate plus 300 basis points. The...

Uncertain outlook for consumer credit.
April 14, 2003... Last week researchers from Credit Suisse First Boston noted improved performance in auto ABS, with prime collateral bucking an eight-month trend of increasing losses. CSFB does not believe the declines are seasonal. Mid-prime and subprime...

CORRECTION.(Correction Notice)
April 14, 2003... The article on Mexico's Credito y Casa in last week's ASR should have indicated that, in late October, Deutsche Bank placed the Ps672 million (US$62 million) Su Casita deal and IXE Casa de Bolsa led the Ps500 million (US$46 million)...

Whispers.(Willis Lease Finance Corp. postpones ABS issue; Fingerhut Direct Marketing Inc. secures credit facility; first-quarter CMBS delinquencies increase)
April 21, 2003... Jewelle Bickford is no longer running securitization at Rothschild, and has taken a broader role at the firm, heading up North American new business origination and strategic planning. Tim Small is now heading the structured finance unit (see...

CORRECTION.(Correction Notice)
April 21, 2003... The CDO Diversified Asset Securitization II (DASH II) is no longer managed by Asset Allocation Management (AAM), as mistakenly indicated in a story last week. DASH II has had a new collateral manager since November - Western Asset Management...

Pipeline Trumpets TruPS CDOs.
April 21, 2003... TruPS-backed collateralized debt obligations are experiencing a heyday of sorts in 2003. A significant number of TruPS deals, a relatively new CDO instrument, have hit the near-term CDO pipeline, sources report. Bolstered by a sizeable TruPS...

Brits consider fixed-rate option.(British Chancellor Gordon Brown sees economic stability in long-term, fixed-rate mortgage market)
April 21, 2003... While British Chancellor Gordon Brown may be looking at long-term, fixed-rate mortgages as a way to add consumer economic stability, analysts believe a robust fixed-rate mortgage market is a long ways off. In his Budget Speech released...

Micro-ticket deals nab Ambac waiver.(MicroFinancial Inc. receives permanent waiver for covenant violations)(Brief Article)
April 21, 2003... MicroFinancial Inc. announced last week that, among other things, it received a permanent waiver for covenant violations in connection with its securitization facilities. The waiver was set to expire on April 15, but was amended, according to...

New standard for ABCP reporting established.(asset-backed commercial paper)(Brief Article)
April 21, 2003... True to its charter, the American Securitization Forum will release it first industry standard this week, an investor-reporting template for administrators of multi-seller asset-backed commercial paper conduits. The effort, which has...

Rothschild realigns structured finance business.(Brief Article)
April 21, 2003... Rothschild Inc.'s Jewelle Bickford, a pioneer in the traditional private ABS market, has taken on a broader role at the firm, now heading up new business origination and strategic planning for Rothschild Inc., the North America arm of...

Consolidation student ABS hits market.(Colorado Student Obligation Bond Authority offering)(Brief Article)
April 21, 2003... The deluge of student loan ABS continues this week, with a $185 million series 2003-VIII offering from Colorado Student Obligation Bond Authority, expected to price early this week via W.R. Hough. The structure features a pair of triple-A rated...

Toxic junk CDOs spur new buy-side infatuation with real estate.
April 21, 2003... So far this year, real-estate CDOs make up 35% of the overall CDO new issuance market, compared with 12% of the overall market in 2002 and a mere 4% in 2001, according to Deutsche Bank Securities research. It is the largest specific sector of...

Fitch sees rough waters ahead: Headline issuers still treading for life. Developments likely to change C/E requirements.
April 21, 2003... Fitch Ratings expressed concern over the future performance of certain troubled ABS issuers during its conference call on consumer credit held last week. Commenting on AmeriCredit Corp., First Consumers National Bank, The Metris Companies and...

Limited pre-Easter supply hits Market.(primary market for asset backed securities)
April 21, 2003... A holiday-shortened week of ABS trading limited the primary market to just $5 billion of new-issue supply, as no offerings were added to the calendar in advance of Thursday's early market close and Friday's full market close in observance of...

Fannie changes duration measure.(Federal National Mortgage Association)
April 21, 2003... Going forward Fannie Mae will be changing its duration gap measure starting the month of March. Analysts said that the new measure is calculated as a monthly average of the duration for all days in the month. Before the change, the GSE's...

Spring brings surprises in mortgage supply.(gross supply data for mortgages)
April 21, 2003... The biggest surprises in the most recent agency data came on the supply side, said a report by Deutsche Bank. Overall, gross supply was a little higher than expected at $135.5 billion in the March reports. Specifically, Golds 30s were a...

Upgrades Continue to Dominate U.S. RMBS Activity In First Quarter .
April 21, 2003... By Ernestine Warner, director, and Robert B. Pollsen, director, Standard & Poor's. There were 128 performance-related upgrades, six performance-related downgrades and 21 guarantor-related downgrades in the U.S. RMBS market during the first...

Fitch announces new subprime mortgage product.(Fitch Ratings launches RMBS Market Sector Performance Indices)
April 21, 2003... In a Webcast held last week, Fitch Ratings introduced its new RMBS Market Sector Performance Indices - a product designed to offer investors important performance analysis on RMBS securities. Fitch's first Indices would show mortgage...

Germany next big thing for Europe ABS.
April 21, 2003... Fitch Ratings released a report earlier this month highlighting structural features that have spared certain German-based structured finance transactions from suffering the same fate as the originating bank. Any further credit migration going...

No rest till Easter for Europe ABS.
April 21, 2003... By the time Easter weekend rolls around, traders and originators have typically lightened their workload days in order to accommodate holiday plans. The torrent of paper still flooding the pipeline, however, means a regular workweek for the...

Fitch ups structured status in Brazil via Atlantic purchase.(Fitch Ratings acquires 100% of Atlantic Rating)
April 21, 2003... Fitch Ratings made a splash in Brazil last week, taking full ownership of Atlantic Rating, one of two endemic agencies with respectable market shares. The marriage is rippling through the domestic structured finance market, as Atlantic's 13...

Mexico wrap: Metrofinanciera prices.(housing finance company issues securitization of bridge loans)
April 21, 2003... Across Latin America, the truncated workweek ahead of Easter stopped most deals in their tracks. Mexico, however, refused to cool down. While it appeared that most players had taken off, housing finance company Metrofinanciera issued a Ps500...

Sick of treasuries, Colombian investors pile into the Cabana.(sugar refiner La Cabana floats $13.8 mil in securities)
April 21, 2003... A relatively recent addition to Colombia's domestic securitization pipeline launched on April 11, leapfrogging other commodity transactions mired in their own problems. Led by local brokerage Corfinsura, sugar refiner La Cabana priced a Ps40...

Whispers.(includes multiple events in the industry)
April 28, 2003... Last Thursday the Financial Accounting Standards Board posted its set of FASB staff positions - six in all - to clarify some of the rules pertaining to FIN 46. Refer to the board's Web site, www.FASB.org, for more details. Despite the...

Uptick in equipment volume expected.(equipment asset backed securities)
April 28, 2003... At roughly $2 billion in year-to-date proceeds, equipment ABS is 50% ahead of last year's volume through April. That said, the market is expected to pick up substantially in May and June, particularly on the agricultural and construction side,...

Banks tailor STCDOs to bid.(single-trache collateralized debt obligations)
April 28, 2003... Inquiries are reportedly up at the dozen or so financial houses offering access to single-tranche CDO technology. As this sophisticated product gains popularity, one new issue revving up overseas has added a twist to this emerging recipe. ...

Argie vote unlikely to kill deal recovery : But don't expect miracles.
April 28, 2003... The leading contenders in Argentina's presidential election are unlikely to derail a budding recovery in structured finance, most observers said. But even if the new administration swiftly executes market-friendly policies, a proper...

FASB's staff positions posted, restructuring on hold.
April 28, 2003... As the June 30 deadline looms for full adoption of Financial Interpretation No. 46, there's been surprisingly little progress - at least visibly - made in conduit restructuring, largely tied to perceived ambiguity in the rules themselves,...

Was Cap One 2003-1A the best value of the year?
April 28, 2003... On the earnings blowout from Capital One Financial Corp., paper from its most recent credit card deal was expected to trade at least three-to-five points inside its new issue levels. Recall that Cap One's three-year triple-As priced at 39 basis...

S&P casts "The ROC" for new CDO benchmark.(ROC Report)
April 28, 2003... Standard & Poor's debuts its much-ballyhooed new benchmark this week, after a year in pre-production. While other new performance metrics have also been created, market rumors singled out the ROC as replacing the S&P rating for CDOs. The...

JPMorgan nabs Union Acceptance Corp. Servicing.
April 28, 2003... After months of repeated legal challenges, Union Acceptance Corp.'s bankruptcy proceedings managed to strum a chord in MBIA's favor last week. The monoline achieved the servicing transfer it sought for a billion-plus dollars worth of Union's...

Over-subscribed BMW tightest print of year.
April 28, 2003... Details continued to emerge last week of a ravenous bid for car loan collateral from BMW, the U.S. unit of luxury automaker Bayerische Motoren Werke. The $1.6 billion BMW 2003-A was greatly oversubscribed, pricing at the tightest levels seen...

Chase walks the line for investors.
April 28, 2003... Several investors last week brushed off concerns about the regulatory implications surrounding JPMorgan Chase's decision to adjust the definition of the Base Rate Payout Event. Chase filed a proxy with the Securities & Exchange seeking...

Countrywide presents unorthodox valuation.(valuation of low-loan balance, intermediate loan balance pools)
April 28, 2003... In a recent research, Countrywide Securities explored the strategy of using the "current-carry" approach for the valuation of low-loan balance (LLB) and intermediate loan balance (ILB) pools. This approach, unlike the option-adjusted spread...

Bear Stearns: refinancing ramp shortening.
April 28, 2003... Initial data from 2003 suggests that the refinancing ramp is shortening to more historical norms. The ramp is reverting back to the nine-month range from roughly 15 months in the past year, concluded a recent Bear Stearns report. In a...

Commentary: Terrorism insurance pricing.(Column)
April 28, 2003... By Tad Philipp, Managing Director, Moody's Investors Service Five months after its passage, the Terrorism Risk Insurance Act (TRIA) has begun to have its intended effect on the commercial mortgage-backed securities (CMBS) market. Rates for...

MBS Recap: Desperately seeking supply.
April 28, 2003... Lack of supply became an issue at the forefront last week. Countrywide Securities, however, suggested in recent comments that relief may be in sight, especially if rates move higher, due to growing originator pipelines. Until this happens, one...

CSFB paper to be securitized in Colombia.(Credit Suisse First Boston USA)(Brief Article)
April 28, 2003... A peso securitization of dollar-denominated paper from a division of Credit Suisse First Boston has entered the Colombian domestic pipeline. Sized at Ps300 billion (US$103 million), the deal is backed by three bonds issued by CSFB USA in the...

Dutch bank FMO stakes out territory in field of Mexican enhancements.
April 28, 2003... With the partial-guarantee game in Mexico picking up steam, the FMO has positioned itself as a player. For the Dutch bank, funding the private sector in the developing world through subordinated loans, equity investments and other activities is...

Brazil and Chile roll out updates on real estate, tuition deals.
April 28, 2003... As Argentina entered the final stretch of election season (see front page), its next-door neighbors yielded some developments on the securitization front. Brazilian Securities was heard approaching the close of its seventh real estate...

True sale buzz all the rage in Germany.(trade tax issue)
April 28, 2003... The latest chapter in the developing German trade tax issue unfolded in a meeting held earlier this month. The meeting, held by the Finanzausschuss (financial committee) of the German parliament in early April, counted the BaFin (the German...

Will European SIVs sustain their rate of growth in 2003?(structured investment vehciles)
April 28, 2003... European structured investment vehicles gathered considerable momentum last year, with six new SIVs entering the market in 2002. The SIV market is expected to maintain steady growth in 2003, but it's likely that the number of new entrants into...

Italian ABS coming of age.
April 28, 2003... The overabundance of Italian securitizations issued since Italy passed its 1999 securitization law has generated concentration issues - a potential headache for investors seeking a geographically diverse portfolio. The situation may be set to...