Asset Securitization Report articles from March 2003

Asset Securitization Report archives from March 2003

Whispers.(Sean Sheerin at The Clinton Group)
March 3, 2003... Mortgage ABS research analyst Arthur Chu, formerly at Lehman Brothers, has left to join QVT Fund, a hedge fund owned by Deutsche Bank, according to published reports. Chu will assume the new position of analyst and trader at the QVT, reporting...

Y tu mama tambien: Mexico's Carso thumbs nose at menacing rates.
March 3, 2003... Mexican interest rates had been zigzagging upward since the beginning of the year with talk of a U.S.-led strike against Iraq. But last week was exceptionally ugly. The quickening beat of war drums in Washington shot rates to the sky and...

Rates drop: Refis on a tear again.
March 3, 2003... With the 30-year fixed mortgage rate hitting another record low last week, the market is bracing for a serious pick-up in prepayment speeds. Rates fell to 5.79%, according to Freddie Mac's primary Mortgage Market Survey last week. "If...

FCNB to resign as servicer.(First Consumers National Bank)
March 3, 2003... In a big week of news from The Spiegel Group, the retailer announced that its First Consumers National Bank subsidiary will seek to be replaced or resign as servicer on on its bankcard portfolios. The retailer disclosed this in an 8-K with...

Foreign MBS boosts U.S. ABS supply over $14 billion.(Industry Overview)
March 3, 2003... Boosted by a mammoth, multi-currency, global U.K. MBS, the U.S. ABS market priced $14.8 billion of domestic supply last week, assuming the $2.2 billion set to price Friday. Autos, credit cards and home equities were all fairly represented and...

HVB winds down Bavaria.(Bayerische Hypo- und Vereinsbank)
March 3, 2003... Last week Moody's Investors Service withdrew its short-term P-1 rating on Bavaria Securitization Limited, a U.K.-based conduit sponsored by Bayerische Hypo- und Vereinsbank (HVB). According to sources at Moody's, the withdrawal was the result...

Readers point to tell tale signs in 10-Qs: With NCFE, hindsight is murder.(National Century Financial Enterprises)
March 3, 2003... Though different parties to the National Century Financial Enterprises securitizations have been scrutinized for not pursuing the more obvious red flags - such as accusations of fraud, lawsuits and misappropriation of funds - a few mouse clicks...

Four large sellers to NCFE.(National Century Financial Enterprises)
March 3, 2003... Healthcare Provider PhyAmerica Selected NCFE Related Borrower Disclosure History For the period ending 9/30/01, the company reported that through three vehicles NCFE had financed $74 million in billed receivables and $187 million...

Distress in Credit Card ABS.
March 3, 2003... By Luis Araneda, Member and Director of Structured Capital Partners, LLC Structuring credit card ABS (CCABS) for a decade while at Banc of America Securities, I've seen issuers born and I've seen them die. I thought I had seen it all but...

SEC allows reasonable reliance for ABS/MBS in Sarbanes-Oxley.(Asset and mortgage backed securities)
March 3, 2003... While the securitization markets did not get the bifurcation of single-party certification initially sought, a minor victory was won in the newly released revisions to the Sarbanes-Oxley Act. The statement, released Feb. 21, now includes a...

DBSI structured finance re-org, enters Agency CMOs.(Deutsche Bank Securities)
March 3, 2003... Deutsche Bank Securities is the latest investment bank to reorganize its fixed-income operations to better capitalize on synergies within securitized products, integrating the entire CDO effort and expanding the mortgage origination and trading...

MBS recap: Prepayment increases are expected through the spring.(mortgage backed securities )(Industry Overview)
March 3, 2003... Mortgage flows last week were weighted by slightly stronger originator selling and sidelined investors. Over the Wednesday-to-Wednesday period, spreads on 30-year 5.5s moved out seven basis points while 6s widened by one. Meanwhile, 15s...

Freddie Mac's January business volume significantly down.
March 3, 2003... Freddie Mac's new retained portfolio purchase commitments dipped more than expected in January. This trend is not expected to change going forward, analysts said. Freddie's new retained portfolio purchase commitments went down last month...

Moody's Studies Growth of Non-Performing and Reperforming FHA and VA Loan Securitizations.
March 3, 2003... By Warren Kornfeld, Vice President-Senior Analyst, Moody's Investors Service The market for non-performing and reperforming Federal Housing Administration (FHA) and Department of Veterans Affairs (VA) residential mortgage loans had...

Orb Group CMBS deals troubled by corporate fraud headlines.
March 3, 2003... HOTELoC is under credit watch following a press release by Morgan Stanley concerning the Orb Group's business woes. According to market sources, there is an ongoing investigation by the English Serious Fraud Office into certain members of the...

New DEPFA issue inaugurates Irish covered bond market.
March 3, 2003... Delivering its promise, DePfa marketed its first issue last week, inaugurating the Irish covered assets market. Sources at the German-based bank said the issue should have priced by the end of last week. "The primary legislation creating...

Pipeline busy with pan European issues.
March 3, 2003... U.K. RMBS domination of the new issue market continued last week, with the pricing of the giant $7.5 billion (U.S. equivalent) HBOS - the second issue from its Permanent Finance master trust structure. Meanwhile, the pipeline continues to grow...

U.K. non-conforming market stoic in the face of worst-case.
March 3, 2003... The U.K. non-conforming market continues to show strong performance, despite looming doubts that tougher market conditions could negatively impact the resiliency of this structure. However, the credit protection in these structures - delivered...

Brazil's Banco Itau readies MT-100 with MBIA on board.
March 3, 2003... Just like the rest of the world, Brazilian dealmakers are fixated on the looming invasion of Iraq. Action has not ground to a halt however. Local bank Banco Itau is pushing forward a securitization of electronic payment receivables, known as...

Caribbean's Antigua & Barbuda prepares maiden voyage to ABS.(Brief Article)
March 3, 2003... The Caribbean nation of Antigua & Barbuda is looking beyond tourists for funds. With Delamore - Hitech Ltd. as arranger and investor, the unrated islands are readying a deal backed by future fuel tax revenues and rental income from a U.S....

Latin American Capital finds a sugardaddy in IXE.
March 3, 2003... Mexico's IXE Casa de Bolsa is crafting a Ps800 million (US$72 million) securitization program backed by sugar inventories, said a source close to the deal. The originator is Latin American Capital. Three nine-month issues will probably...

First true Mexican MBS appears on market's radar.(Mortgage backed securities )
March 3, 2003... While eyes have been glued to Deutsche Bank in the race to take the first true MBS to Mexico's market (see ASR 1/27, p.21), local bank Banorte appears to have snuck ahead. Last week, Fitch Ratings confirmed a deal for up to Ps360 million (US$33...

Whispers.(Annemarie Brostek at ACE Financial Solutions)
March 10, 2003... People Annemarie Brostek has left her position as head of global structured product surveillance at financial guaranty insurance provider Radian Asset Assurance Inc. to take a similar position at ACE Financial Solutions, a subsidiary of...

Can Italy really securitize it all?
March 10, 2003... Innovation has become a staple for the Italian securitization market, almost de rigueur. This is not due to some exploited loophole, but rather a result of pro-securitization legislative regime, which might explain why Italy is rapidly taking...

Restructuring topic du jour.(6th Annual Forum on Asset-Backed Commercial Paper)
March 10, 2003... This week, ABCP market participants will gather at New York's Marriott Marquis for the 6th Annual Forum on Asset-Backed Commercial Paper, hosted by the Strategic Research Institute. It's been barely two months since the Financial Accounting...

Cap One speaks at JPMorgan gala: No comment on CFO scandal, though.(Capital One Financial )
March 10, 2003... New York - Beleaguered credit card issuer Capital One Financial circled the wagons last week at the JPMorgan 2003 Financial Services Conference, held at the firm's corporate headquarters here in New York. The event took place one day after the...

Comment on German trade tax treatment draft statute By Kurt Dittirich of Linklaters Oppenhoff & Rdler.
March 10, 2003... The German government has released a draft statute that would amend various provisions of German tax law, particularly with regard to smaller businesses (Kleinunternehmerfrderungsgesetz). The draft includes provisions that clarify certain tax...

Rare rating actions on ABCP conduits.
March 10, 2003... In the past few weeks, two ABCP conduits have experienced ratings volatility, a rarity for this market. Both instances were associated with guarantor or liquidity provider downgrades, which in turn impacted the associated conduits. Fitch...

CFN wins Conseco MH platform, servicing fees unclear.(Brief Article)
March 10, 2003... Word broke last week that equity buyout firm CFN Investment Holdings and a unit of GE Capital Corp. had won the bidding for the debt-laden Conseco Finance unit of bankrupt insurer Conseco Inc. As of late Thursday, there was still no...

Ineffective hedging clashes with cash CDOs, interest rates.(Collateralized Debt Obligation)
March 10, 2003... Mezzanine note holders, in particular, need to keep their shields raised in preparation for rising interest rates, especially those with positions in cash collateralized debt obligations. While standard hedging practices crafted by managers and...

12b-1 fee ABS graduated to 144A with Citibank deals.
March 10, 2003... As anticipated, 12b-1 fee ABS have graduated from the traditional private placement market, with last week's closing of the first-ever Rule 144A mutual fund fee securitization from Citibank N.A. Making this jump possible is the integration of...

Greenspan comments have no HEL supply impact.( home equity laden primary activity)
March 10, 2003... The asset-backed market priced just over $9.37 billion last week in home equity laden primary activity. The Street is currently prepping for a busy final month of the quarter. Home-equity supply totaled $6.4 billion, with three offerings in the...

PFGI close to auto lease ABS triggers.(Provident Financial Corp., )
March 10, 2003... There was no significant widening seen in the $682 million MSDW Capital 2003-NC3 home equity ABS marketing last week, despite that fact that Provident Bank parent company, Provident Financial Corp., restated earnings by $70 million Wednesday...

Regulatory Changes Drive Innovation in ABCP Market By Joseph Sheridan, Managing Director; Manjeet Kaur, Director; and Thomas Fritz, Managing Director, Standard & Poor's Ratings Services.
March 10, 2003... Regulatory and accounting changes that have been implemented, and proposals under consideration, have been primary drivers behind many of the recent innovations in the ABCP market. As ABCP conduit sponsors make adjustments to their programs in...

RBS Greenwich DiMartino on his move, BBB HELs and the NY Rangers.(Peter DiMartino)
March 10, 2003... A long-time veteran of asset- and mortgage-backed research, Peter DiMartino started as a managing director at RBS Greenwich Capital in January. Prior to his new position, he worked at Salomon Smith Barney for 14 years, where he was Director of...

Down in coupon trade: 30-year 5s and 15-year 4.5s.
March 10, 2003... With rates continuing to drop, investors are moving down in coupon. In particular, 6s finally got hit with selling as the roll weakened on prospects of substantial increases in prepayments in the coming months. Investors have begun moving into...

More deceleration in home prices expected this year.
March 10, 2003... Despite Freddie Mac reporting a slowdown in home price growth in the fourth quarter of last year, market observers said that the results are not as bad as expected. Further, home price growth remains strong, although not as high as recent...

JPMorgan: Jumbo collateral prepays faster.
March 10, 2003... Jumbo collateral has the ability to prepay at fast speeds going forward, analysts at JPMorgan said in a recent report. They said that the refinancing efficiency in Jumbos is borrower- and lender- driven. Mortgage bankers are currently at...

CMBS roundup: Deals line up for March.(Industry Overview)
March 10, 2003... There are now four deals currently on the March calendar, suggesting that the nearly $15 billion or so slated for the month might get done. Of that, $4 billion in fixed issuance is circulating around the market. Prudential has a $950 million...

Growing Trend of HUD Capital Grant-Backed Housing Bonds Offer Win-Win For Investors, Communities By Matthew Lewin, Partner, Chapman and Cutler.
March 10, 2003... A $291 million bond issue by the Chicago Housing Authority (CHA) in December 2001 represented the first such issue by a public housing authority (PHA) in decades. A little more than a year later, smaller PHAs are preparing their own bond issues...

Exports remain lifeblood of Argentina's diminished securitization market.
March 10, 2003... Argentina's third export-related CLO in as many months closed Feb. 21. Amounting to US$15 million, the 185-day transaction priced at an annualized 7.5%. The price on the coupon-free bond came at 101.28. Fitch Ratings gave the deal A3(arg)' on...

Banco do Brasil taps dollars as markets thaw for Brazilian issuers.(Brief Article)
March 10, 2003... Just as talk emerged that Banco do Brasil would soon revisit the markets with a privately-placed securitization (see ASR 3/3, p.21), the issuer snuck right in. According to sources, the deal is sized at US$120 million and was expected to close...

Siltek litigation tests the mettle of South African ABS structures.
March 10, 2003... South Africa's securitization market is enduring a rite of passage that will attest to either the strength or weakness of transaction structures from the region. Siltek, which securitized its assets through a conduit dubbed Mettle, is putting...

European ABS market maintains whirlwind pace.
March 10, 2003... The European securitization pipeline has established a pattern of rotating in new deals as quickly as existing supply prices. Sources estimate that at least four to six deals have been pricing per week, and the first two months of 2003 have...

The return of Argentine consumers gets deals moving.
March 10, 2003... With a grueling year of delayed gratification behind them, many Argentines must be itching for a good shopping spree. Nationwide, consumers pulled back as they watched their economy unravel at an alarming speed in 2002. But the free fall is...

Whispers.(Ken Wormser at CDC IXIS)
March 17, 2003... Ken Wormser and his team of up to 30 ABS pros have resigned from CIBC World Markets to accept similar positions at CDC IXIS. Wormser will be a managing director at CDC, running the global securitization team, reporting to Adil Nathani, managing...

Correction.(Correction Notice)
March 17, 2003... A story last week incorrectly stated that ZCM Matched Funding Corp. had been downgraded. Fenway Funding was put on review for downgrade, following the placement of ZCMMF on review for downgrade. ZCMMF is a total return swap counterparty to...

FIN 46 strategies: To show or not to show your cards An industry debates the virtues of transparency, competitive advantages and the dangers of perceived "loopholes".(Asset-Backed Commercial Paper)(Industry Overview)
March 17, 2003... NEW YORK - Conduit restructuring was hands-down the hottest topic of last week's ABCP conference, though some market players are concerned that the "secretive" and proprietary nature of the ABCP market could present challenges to an industry...

Coming soon to a state near you.
March 17, 2003... State legislators beware! That was the theme of last week's panel discussion hosted by the American Securitization Forum on predatory lending legislation. With both New York and New Jersey set to implement laws similar to the recently amended...

Mexico's Sofols beckon investors.(Sociedad Hipotecaria Federal)
March 17, 2003... Mexican state housing agency Sociedad Hipotecaria Federal (SHF) is shooing its overgrown children into the arms of private bankers and bond investors. Dropping a chili pepper into the already hot sector of housing securitizations, the SHF is...

Fitch squeezes transparency out of trillion-dollar speakeasy.
March 17, 2003... It's taken over three months to perform, but Fitch Ratings has managed to place a harness on the 10-ton elephant that is the credit derivatives market. Over the last 10 years, credit derivatives have changed the makeup of the financial...

BOCM likes equipment ABS.(Banc One Capital Markets )
March 17, 2003... In the secondary market, Banc One Capital Markets sees value in equipment ABS, which is trading relatively wide to prime auto, and could tighten up when new issue equipment begins to hit market. According to Banc One, the months of March...

Spiegel winding down ALL deals: bankcard and private-label.
March 17, 2003... As it had anticipated in January, The Spiegel Group's First Consumers National Bank credit-card trusts moved into early amortization last week, following three consecutive months of negative excess spread. Though it had long been considered...

S&P polls market on FIN 46 developments.(Financial Interpretation No. 46)
March 17, 2003... Last week Standard and Poor's Corp. released its second Structured Finance Market Observation survey, gauging the market sentiment on the latest hot topic on the consolidation front - Financial Interpretation No. 46, released in mid-January by...

Ford, Toyota lead $5 billion auto supply week.
March 17, 2003... Total ABS supply topped $11.7 billion last week, as quarter-end rapidly approaches. Driven by a pair of blowout deals the auto sector came alive, pricing $5 billion in new-issue supply while home-equity supply sustained its momentum, with over...

CORRECTION.(Correction Notice)
March 17, 2003... In the comparison between subordinated tranches of the GMAC-RFC 2003-KS2 and AmeriQuest 2003-3, the spreads to their benchmark indexes were incorrectly reported. GMAC-RFC 2003-KS2 MII3 priced at 275 basis pints over one-month Libor and...

No reversal in coupon compression expected.
March 17, 2003... Prepayments in February continued to reduce the outstanding quantity of 6.5s and up, further changing the coupon distribution in the mortgage market. With rates so low, the market is seeing increased production in 30-year 5s and even some...

Fannie duration gap goes up slightly.
March 17, 2003... Last week, Fannie Mae reported a slightly higher duration gap - although still within its targeted range of plus-or-minus six months. The duration gap rose to negative five months at the end of February from negative four months in January. ...

February prepayments faster-than-expected on lower coupon, unseasoned issues.
March 17, 2003... Prepayment speeds on lower coupon, unseasoned conventional issues accelerated faster than expected. At the same time, older vintages and premium speeds held flat or slowed inline with expectations. In the Fannie Mae sector, 2002 6s jumped...

Refinancings hit the roof once again.
March 17, 2003... Last week the Mortgage Bankers Association (MBA) Refinancing Index rose sharply to 8920.9, the highest number ever recorded in the 13-year history of the index. As prepayments are set to break records in the upcoming months, analysts are...

More news on ELOC .(Morgan Stanley's European Loan Conduit program)
March 17, 2003... Investigations into the Orb Group's dealings (see ASR 3/3/02) involve only two CMBS transactions, but for the young and promising European CMBS market, these latest missteps could prove to be valuable cautionary examples. "We expect one of...

New headlines add further confusion to state of U.K. housing market.
March 17, 2003... February saw the slowest growth in housing prices since October 2001, according to Nationwide, but market analysts have reiterated that a drop in prices doesn't necessarily equal a slowdown. Annual inflation is expected to remain at the current...

Pipeline forever replenishes itself.
March 17, 2003... Abbey National Plc joined the growing line of U.K. master trust issuance by launching its seventh transaction from the Holmes series - the 10th deal originated by the U.K. lender. The transaction is slated to be $4.17 billion equivalent in...

Despite diminutive name, Mexico's Su Casita thinks big.
March 17, 2003... Displaying a cozy name and friendly cartoon beaver outside each branch, Su Casita - "your little house" - has drawn tens of thousands of low-to-middle income Mexicans to its doors. The company is a Sofol, the shorthand for housing finance...

Whispers.(Barclays Capital has hired Marta Ricardo)
March 24, 2003... Barclays Capital has hired Marta Ricardo as an associate director in its term U.S. ABS group, reporting to managing director Michael Wade. Ricardo, who starts Monday, had worked in a similar position at JPMorgan Securities. Ricardo will cover...

Refis hit 9300: Breaking records is a broken record.(Mortgage Bankers Association (MBA) Refinancing Index )
March 24, 2003... Notwithstanding the considerable backup in mortgage rates the week prior, the Mortgage Bankers Association (MBA) Refinancing Index broke all-time records last week as it approached the 10,000 mark. The Index jumped 5.2% to a whopping 9387,...

U.K. rail deals may get tricky.(Strategic Rail Authority)
March 24, 2003... The Strategic Rail Authority (SRA) has unleashed proposals for a new U.K. rail sector franchise policy, redefining the degree of government backing in deals from this arena. Consequences for securitizations of rolling stock options are still...

Crossing the Pond: Europeans in Latin America.
March 24, 2003... Over the last year, European underwriters have been overshadowed by their U.S. peers in the shrunken market of cross-border securitizations out of Latin America. Domestically, the picture is different. Across Latin America, banks from the Old...

Salomon running away with 1Q03 ABS underwriting biz.
March 24, 2003... Salomon Smith Barney, which dominated the ABS underwriting market from 1999 through 2001, is off to a hot start in 2003, with almost $20 billion of ABS supply sold in the first quarter, according to preliminary numbers from Thomson Financial....

Metris, AmeriCredit secure funding with new revolving facilities.
March 24, 2003... A pair of cash-strapped issuers announced fresh injections of liquidity last week, as AmeriCredit Corp. set up a $1 billion whole-loan sales facility and The Metris Companies secured a new ABCP conduit facility. For both lenders, each in the...

Under bombardment, CDO bankers fire back with a "committee".(Collateralized Debt Obligation)
March 24, 2003... After a 12-hour day spent funneling through pricing data, monitoring underlying collateral and butting heads with harried investors, a collection of CDO underwriters gathered in a conference room overlooking Madison Avenue in New York. But...

FIN 46: These are real numbers, folks.(Ford Motor Co.)
March 24, 2003... The mainstream financial press went to town last week when Ford Motor Co. indicated it could be forced to consolidate its asset-backed commercial paper conduit, FCAR, onto its balance sheet. Ford's $1.7 billion in exposure - as reported by the...

Next generation BioPharma looms.(BioPharma Royalty Trust)
March 24, 2003... It was learned last week that a follow-up deal to BioPharma Royalty Trust is in the works and could emerge in the next several weeks. Unlike the first BioPharma, which was tied to the royalty of HIV drug Zerit, the pending deal will tap the...

FIN 46 related disclosures keep trickling out.(Compass Bancshares)
March 24, 2003... * Compass Bancshares reported that it has terminated one of its two asset-backed commercial paper conduits in December 2002. Its remaining conduit, Sunbelt Funding Corp., is structured as a FAS 140 QSPE, and the company believes it is outside...

Issuance slows in preoccupied ABS market.(Industry Overview)
March 24, 2003... Issuance came at a relatively slow pace last week, as many participants were preoccupied with pending war with Iraq. Despite it being the second-to-last week of the first quarter, just over $11 billion of supply priced in a slow-to-develop...

Effects of servicing concessions on GT/CF MH portfolio remain unclear.(CFN Investment Holdings )
March 24, 2003... The battle between bondholders and CFN Investment Holdings is finally petering out after a bankruptcy-court ruling that awarded the Conseco Finance unit to the buyout firm. As part of the agreement, CFN made two key concessions to bondholders -...

Bank One banks CDO tech shot.(Collateralized Debt Obligation)
March 24, 2003... Every movie watcher gets a kick out of old `80s flicks - the hair, the clothes and especially those bulky computers! Thanks to a new initiative unveiled by Bank One last week, investors may soon regard CDO technology from Banc One's competition...

MBS recap: MBS market is bracing for records.(mortgage backed securities)
March 24, 2003... Last week the market continued to see strong originator selling, though not to the level seen in the previous week - roughly $15 billion versus $30 billion. Despite the recent heavy supply, analysts from JPMorgan Securities remind the market...

Freddie Mac reports weaker-than-expected February numbers.
March 24, 2003... Last week Freddie Mac reported weak February numbers, in direct contrast to rival Fannie Mae, which just released its monthly numbers the previous week. Freddie's results were characterized by a sharp drop in its retained portfolio and in its...

Research round-up: Are IOs cheap?(Interest Only)(Brief Article)
March 24, 2003... Because of the weight of CMO supply, IOs have become cheaper, a topic hitting bank research last week. UBS Warburg researchers argued that the biggest development during the past few weeks has been IO devastation - the sector has gone from...

CMBS: When Are Cap Rates Too High, Too Low, or Just Right?(commerical mortgage backed securities)
March 24, 2003... By Tad Philipp, Managing Director, and Sally Gordon, Vice President, Moody's Investors Service Capitalization rates play an extremely important role in commercial real estate credit. The cap rate - akin to a building's P/E ratio - drives...

Getting the word out helping new-issue CMBS.(Commerical mortgage backed securities)
March 24, 2003... The new issue market is humming along, with premarketing efforts underway by a number of issuers, which have no less than five deals in the works. Aside from the recently added GMAC floater (2003-FL1), fixed issuance is all the rage, totaling...

Colombia's Titularizadora may branch out into non-performing loans.
March 24, 2003... Less than a year since Titularizadora Colombiana inaugurated the country's mortgage-backed market, this quasi-Fannie Mae is feeling out a risky new asset class: non-performing loans. Making up 22% of Colombia's total residential mortgage pool,...

Start of war has not slowed primary activity.
March 24, 2003... Steady primary issuance continues to steal the market spotlight, keeping secondary trades at a virtual lull. March issuance has already reached $5.9 billion, with another $13.8 billion expected to price before the end of the month. ...