Asset Securitization Report articles from March 2006

Asset Securitization Report archives from March 2006

Whispers.(Ivan Gjaja leaves Citigroup Global Markets)(Dennis Kraft resigns from Wachovia Securities)(Atul Bajpai joins Wachovia Corp)
March 6, 2006... Ivan Gjaja has left Citigroup Global Markets where he was director and head of ABS research, sources have confirmed. Gjaja left March 1, after giving prior notice. There was no word by press time regarding where Gjaja, who had been with Citi...

Pastine: CDO issuance volume to reach $200 billion this year.(collateralized debt obligation )(Armand Pastine)(Maxim Group LLC)(Interview)
March 6, 2006... Asset Securitization Report recently spoke with Armand Pastine, a managing director and newly promoted fixed income group head for Maxim Group LLC, about his thoughts on the CDO market. Maxim Group, a 400-person boutique investment bank, is an...

Utility deals to exceed $3 billion.
March 6, 2006... More than $3 billion in utility deals are in the works, including four that will expand the use of securitization beyond stranded costs. Market observers believe more volume is likely to be generated as other states learn how utilities in...

Jamaica to make DPR premiere.(diversified payment rights)
March 6, 2006... Jamaica is poised to issue a deal backed by diversified payment rights that is not only a debut in the asset class for the country but the Caribbean as well. Sole lead Credit Suisse will launch the road show for the seven-year final, $100...

Moody's to rate Canadian ABCP.(asset-backed commercial paper)
March 6, 2006... Moody's Investors Service last week announced it will be the first U.S.-based rating agency to move into the Canadian asset-backed commercial paper market, a sector dominated by Dominion Bond Rating Service. DBRS last year rated more than...

Older CLOs are making an exit.(collateralized debt obligations)
March 6, 2006... Asset managers are scurrying to bring new CLOs to the market to capitalize on the healthy appetite for the structured product while a previous generation of CLOs is winding down. Equity holders are electing to call older vintage deals, in...

GM downgraded again; GMAC still on the block.(General Motors Corp)(Brief article)
March 6, 2006... Fitch Ratings last week gave General Motors Corp.'s senior unsecured debt a 41% recovery rating, a number in line with estimates from the derivatives market. The rating agency simultaneously lowered the troubled auto company's issuer...

Daimler proves three's a crowd when it comes to ratings.
March 6, 2006... DaimlerChrysler, which came to market with its DaimlerChrysler Auto Trust 2006-A last week, was the first major auto ABS issuer to have a deal carrying ratings from Fitch Ratings and only one other rating agency, in this case Standard & Poor's....

S&P's benchmarking prototypes make their debut.(Standard & Poor's )
March 6, 2006... Standard & Poor's has unveiled prototypes for its new benchmarking tool and has been collecting proprietary performance data from the residential mortgage servicing industry through the use of its Servicer Evaluation Analytical Model. ...

CLO market rumbling over Moody's bank loan ratings.
March 6, 2006... After unveiling plans in January to change the way it rates U.S. bank loans and bonds, last week Moody's Investors Service extended its 30-day comment period, which now ends March 31. While the new methodology reinforces a view that bank...

JPMorgan looks at the impact of the housing market on prepays.
March 6, 2006... There has been much discussion on the Street about the impact of home price appreciation on prepayment speeds, with many analysts predicting a slowdown for the housing market this year. JPMorgan Securities analysts looked at the impact of...

Application activity, purchase index fall.(Refinancings)
March 6, 2006... The Mortgage Bankers Association reported a 1.2% decline in overall application activity for the week ending Feb. 24. The Purchase Index also fell, 1.9% to 401. This is the lowest level since the week ending Jan. 7, 2005, when the index...

OFHEO reports strong home price growth for 2005.(Office of Federal Housing Enterprise Oversight)
March 6, 2006... Average U.S. home prices increased 12.95% between the fourth quarters of 2004 and 2005, according to a recently released report from the Office of Federal Housing Enterprise Oversight. Arizona recorded the strongest one-year and quarterly...

March prepayments are expected to show gains.
March 6, 2006... The housing agencies will release their February prepayment reports on the evening of March 6. Prepayments are expected to show increases of about 7% to 8% due to lower mortgage rates and higher refinancing activity during the period....

FNMA 5 correction looming?
March 6, 2006... FNMA 5s outperformed substantially recently on news of the creation of two $5 billion Megas. Lehman Brothers analysts said the coupon tightened by nearly 10 basis points LOAS, outperformed swaps by 14/32nds and the rest of the coupon stack...

Credit Suisse examines increasing Gold 5 issuance.
March 6, 2006... Credit Suisse observed a surge in recent Gold 5 issuance in a recently released report. Though current negative Gold/FNMA swaps do not justify the surge, special programs in support of Golds may explain why this is happening. Analysts...

Sainsbury restructuring likely to be followed by others.
March 6, 2006... U.K. supermarket retailer J. Sainsbury Plc announced its plans to refinance GBP1.7 billion ($2.9 billion) of its unsecured debt through the securitization of at least GBP2 billion ($3.4 billion) in CMBS paper as two deals began marketing last...

Barclays hits the road with European ABS investors.(Asset-Backed Securities)
March 6, 2006... Barclays Capital's securitization research team met with120 ABS investor clients in 18 European countries as part of the bank's annual tour with investors. The road show got under way in January and concluded last month. "What is most...

Cash-settled futures market launched in Europe.
March 6, 2006... A month since the launch of the iboxx 50 index (ASR, 2/6/06), Europe launched its new cash-settled futures market that is meant to give investors and issuers cheaper access to risk and create more secondary liquidity. "This is the massive,...

European RMBS rebounds in February.(Residential Mortgage-Backed Securities)
March 6, 2006... According to Deutsche Bank research, European RMBS issuance volumes rebounded last month with nine new issues totaling 11.9 billion ($14.2 billion) priced at the end of February. European RMBS issuance year-to-date stands at 21 billion ($25...

S&P puts CVRD, Petrobras on positive watch.
March 6, 2006... Standard & Poor's put the ratings of future flow transactions of Companhia Vale do Rio Doce and Petroleo Brasileiro (Petrobras) on CreditWatch with positive implications. The move comes after the agency upgraded the Federative Republic of...

Brazil's Aracruz launches buyback; AAA' piece in doubt.
March 6, 2006... Facing an embarrassment of riches, Brazilian exporters have been eschewing securitization as a financing option. Pulp producer Aracruz Celulose is taking it one step further, aiming to buy back up to $537 million in outstanding secured export...

Liberty, Interstar lead Aussie market.(Liberty Financial and Interstar Wholesale Financing )
March 6, 2006... The Australian securitization market last week built on the momentum established by St. George Bank's A$3 billion ($2.2 billion) global RMBS (ASR, 2/27/06), with Liberty Financial and Interstar Wholesale Financing launching deals. Liberty,...

Political turmoil could derail Philippines deal.(Brief article)
March 6, 2006... Just when it seemed the Philippines was on course for a first securitization since 1997, the latest political crisis surrounding President Gloria Arroyo has left ABS bankers wondering if any deal is possible in 2006. The government has...

Asian real estate deals see some action.(CapitaCommercial Trust)(Orix getting into mortgage business)
March 6, 2006... A commercial property-backed deal was being prepped in Malaysia as of press time. Singaporean real estate investment trust CapitaCommercial Trust, a subsidiary of property developer CapitaLand, will raise M$115 million ($30.95 million) through...

Whispers.(Ivan Gjaja joins Banc of America Securities)(Troy Dixon joins Deutsche Bank Securities)(Laurence Schreiber joins Merrill Lynch )
March 13, 2006... Mike Bray joined the sales force last week at Guggenheim Capital Markets as senior vice president. He will focus on products traded by ABS and CDO traders Ron Iervolino and Steven Finnk. Bray most recently specialized in distressed ABS for...

CDOs likely to pull through Dana exposure.
March 13, 2006... At least six CDOs are at risk for a downgrade following the troubled auto parts supplier Dana Corp.'s bankruptcy filing on March 3. On the cash side, the filing and subsequent corporate credit downgrading of Dana has caused a ripple effect...

Rating agencies take hit in Senate.
March 13, 2006... The credit rating agencies came under fire last week at a Senate committee hearing where critics called for legislation to address potential conflicts of interest and barriers to competition. Reactions from the asset-backed securities...

Russia's first DPR in the market.(diversified payment rights )
March 13, 2006... The first Russian deal backed by diversified payment rights is expected to embark on a road show this week and issue shortly thereafter, but securitization devotees eager for a never-before true sale in Russian future flows will have to wait...

ABS East moving to Orlando in November.(Asset backed securities)(Brief article)
March 13, 2006... Information Management Network is changing the venue for its ABS East conference this year to Orlando, Fla. It has been held for three years in Boca Raton. The event will take place at the JW Marriott/Ritz-Carlton Grande Lakes. The...

Fitch releases Credit Card Index results.(Brief article)
March 13, 2006... The most recent Fitch Ratings Credit Card Index results show charge-offs improving dramatically, falling 359 basis points to 3.29%. One-month excess spread improved in the latest period by 306 basis points to a robust 8.38%, which brought...

Declaration to manage ninth CDO.(Collateralized debt obligations)(Declaration Management and Research LLC.)
March 13, 2006... Merrill Lynch & Co. is expected to close this week the ninth cash CDO managed by Mclean, Va.-based Declaration Management and Research LLC. The $502.9 million deal, Independence VII CDO, will be backed by a portfolio of residential...

New FASB standard a boon for synthetic CDOs.(Financial Accounting Standards Board)(Collateralized Debt Obligation)
March 13, 2006... A standard recently issued by the Financial Accounting Standards Board is expected to increase the volume of synthetic CDO issuance. The new standard, FAS 155 - or "Accounting for Certain Hybrid Financial Instruments" - amends the...

More CDS innovations for the securitization market.(Credit default swaps)
March 13, 2006... NEW YORK - Credit default swaps are being used on a rapidly growing number of asset securitization deals, a performance matched only by the innovations that are emerging to make the most of the market's growth. That was the message delivered...

Securitized deals post double-digit increase.
March 13, 2006... While traditional private placement volume recorded a 6.8% decrease in 2005, totaling $35.5 billion compared to $38.1 billion for the same period the previous year, securitized private placements underwent a dramatic increase. They amounted to...

GoldenTree to redeem CDO.(GoldenTree Asset Management)(collateralized debt obligation)(Brief article)
March 13, 2006... Sometimes the toughest decision for a risk taker to make is whether to end a successful performance early and go out on top. The money managers at GoldenTree Asset Management announced such a decision last week regarding its $750 million...

JPMorgan Chase changes arbitrage program.
March 13, 2006... JPMorgan Chase has amended its Ivory Funding Corp. arbitrage program, allowing it to issue secured liquidity notes up to a total of $10 billion. The flexible instrument can be issued in dollars or euros. In Ivory's case, it will have either a...

Survey explores post-default recovery levels.
March 13, 2006... Standard & Poor's latest study of post-default recovery levels in structured finance transactions marks its fifth default survey since 2001. The survey deals with cash flow characteristics rather than secondary market analysis and uses its...

March mortgage market deals with difficulty.
March 13, 2006... Mortgages struggled last week as the market continued to sell off. Since the end of February, the 10-year Treasury has increased nearly 20 basis points, which has led to an uptick in volatility and duration shedding from servicers. So far...

Credit Suisse highlights value in agency fixed-rate IOs.
March 13, 2006... Credit Suisse analysts highlighted in recent research the attractive investment opportunities found in fixed-rate IO MBS, specifically agency MBS. "Cheap fundamental value on agency fixed-rate IO MBS and continued market sensitivity over...

Credit derivatives take on structured finance.
March 13, 2006... A broader base of capital market constituents, including equity investors, have new routes available for taking views on credit risk, thanks to the recent launch of two new credit derivative indices harnessing real estate collateral. But while...

Prepayments increase modestly in February.
March 13, 2006... February prepayments increased less than expectations of about 8% overall while speeds on FNMA discounts rose more than expected and higher coupons recorded smaller percentage increases than consensus anticipated. Freddie Mac reported...

Barclays discusses the FNMA 7s versus 6.5s trade.(Federal National Mortgage Association )(Brief article)
March 13, 2006... In a report released March 6, Barclays Capital MBS analysts said that with a great deal of investor attention focused primarily on the largest coupons, relative-value opportunities in the smaller coupons are left unnoticed at times. ...

Europe's primary pipeline starts to pick up.
March 13, 2006... Europe's primary pipeline gathered more momentum last week as several deals began marketing, but the pace is less frantic than in 2005 as a handful of new issues were announced. Freshwater Finance PLC - an independent special purpose...

West LB issues U.K. mortgages via new subsidiary.(Brief article)
March 13, 2006... The German bank West LB will gain a foothold in the U.K. mortgage market via its newly established U.K. subsidiary, Basinghall Finance PLC. Basinghall Finance will offer new mortgages and buy packages of existing home loans from banks and...

European countries in final push behind covered bonds laws.
March 13, 2006... Covered bond volumes could see an increase in jumbo Euro issuance this year as many European jurisdictions move into the final phases of implementing specific legislation for these instruments or improve existing laws. The effort to push...

European CDO issuance up from 2005 volume.(Collateralized Debt Obligation )
March 13, 2006... European CDO year-to-date issuance volumes in 2006 are up by more than 100% compared with the levels posted this time last year. Ten European CDOs came to market in February, bringing 2006 volumes to 6.6 billion ($7.87 billion). Analysts...

S&P launches trustee rankings in Argentina.(Standard & Poor's)(Brief article)
March 13, 2006... Standard & Poor's formally launched trustee rankings in Argentina last week, assigning an Above Standard grade to Banco Patagonia, a prolific participant in the country's fast-growing securitization market. The move comes in the wake of S&P's...

RSB hits the road with Russia's first public consumer ABS.
March 13, 2006... Russian existing assets are starting to fulfill their promise, with the country's first public consumer-loan deal already wending its way through Europe on a road show. Originated by Russian Standard Bank, the transaction is sized at 300...

State of Mexico next up to redeem ABS.(Asset backed securities)(Brief article)
March 13, 2006... Mexican states and municipalities keep swapping securitized debt for bank loans (ASR, 2/13/06) and the State of Mexico is next up to take advantage of overflowing liquidity in the banking sector, according to sources. The issuer was toxic...

Citigroup is ready to seize opportunities in China.
March 13, 2006... Following the successful completion last December of two government- supported securitization schemes from China Construction Bank and China Development Bank (ASR, 1/9/06), barely a week goes by without another Chinese entity being linked to a...

CBA prices largest Aussie securitization.(Commonwealth Bank of Australia)
March 13, 2006... Commonwealth Bank of Australia last week priced the largest Australian securitization through its Medallion program. Since CBA enjoyed strong demand from Europe, the U.S., Australia and Asia, the deal was upsized from A$5 billion ($3.66...

Whispers.(David Montano joins JPMorgan Securities' )(James Augustine Jr. and J. Scott Thomas joins Bear Stearns )(Paul Reitz joins NAI Global )
March 20, 2006... David Montano will be moving to JPMorgan Securities' securitized products trading desk as strategic principal trader. His focus will include principal risk taking in securitized products. "It is with a combination of inevitable nostalgia and...

New consumer credit score surprises industry.
March 20, 2006... The so-called VantageScore credit scoring system released last week by the three major consumer credit bureaus - Experian, Equifax, and TransUnion - is not expected to affect securitizations in the short-term, market participants said. Since...

Still a bumpy ride for Basel II.
March 20, 2006... As the securitization industry enters the final leg of discussions before the 2007 implementation of the new Basel accord, there are still a number of issues to be worked out. The new Basel Accord will be implemented in the European Union...

Cap One flush with North Fork cash.(Capital One Financial Corp)(North Fork Bancorporation )
March 20, 2006... Capital One Financial Corp. gained a more diverse funding source to sustain its lending business when it bought North Fork Bancorporation last week, a purchase that will reduce its reliance on the securitization market. Even so, the bank will...

U.S. ABS primary ends light week with $12 billion.(Asset backed securities)
March 20, 2006... In what some ABS market professionals described as a relatively light week, the ABS primary market turned out about $12.5 billion in new issuance. The credit card sector took a break from robust activity so far this year, and investors'...

Citi kicks the tires of ABS CDO equity.(Collateralized Debt Obligation)(Asset backed securities)
March 20, 2006... Amid a downturn in the U.S. housing market, a number of investors would shy away from pouring money into securities backed by subprime loans - much less the riskiest part of a mezzanine CDO backed by those bonds. But CDO equity tranche...

Rust Belt layoffs affecting resi mortgage payments.
March 20, 2006... The most recent bankruptcy within the U.S. auto industry is expected to put more pressure on areas of the country that are already facing growing unemployment, according to a Friedman Billings Ramsey report released last week. Furthermore, the...

ASF releases best practices for HEL sector.(American Securitization Forum)
March 20, 2006... The American Securitization Forum has released recommended best practices for the presentation and description of home equity trigger mechanisms. These best practices are aimed at promoting better disclosure of different collateral-based...

ABS CDS market may not gobble up cash sector.
March 20, 2006... Leveraged loans are expected to become the next collateral type in line for growth within the synthetic arena. Despite the increasingly wide use of synthetics within ABS CDO structures, pure synthetic deals are not expected to overtake cash and...

Mezzanine CDO investors: Choose managers wisely.(collateralized debt obligations)
March 20, 2006... Performance of both high-grade and mezzanine CDOs should remain on par with one another, as long as the national U.S. rate of home price appreciation remains at a long-term average of 5%, according to Lehman Brothers. Analysts at the investment...

CDO issuer makes clean RMBS debut.(Collateralized Debt Obligation)(Residential Mortgage-Backed Securities )
March 20, 2006... GSC Capital Corp., a New York City-based REIT, is making its debut this month with a couple of back-to-back, virtually spotless deals totaling about $857.1 million. Last week GSC came to market with a $422.1 million residential MBS deal...

Housing price model predicts likelihood of defaults.
March 20, 2006... Dominion Bond Rating Service has developed a new model, based on historical data of repeat house sales, that estimates a particular property's propensity to lose or gain value, with implications for credit analysis. Senior Vice President...

Mortgages are back and forth with the market.
March 20, 2006... The directionality of mortgages was very apparent last week with the market moving up and down in response to perceptions about future Federal Reserve action and the economic data. Monday experienced better selling from real and fast money as...

Lehman examines FICO's impact on prepays.(Financing Corporation)
March 20, 2006... In recent research, Lehman Brothers analysts examined the effect of FICO on prepayments. They concluded that low FICO pools display faster discount prepayments, which is driven by their greater sensitivity to house price appreciation, and, to a...

CMBS delinquencies trend down.
March 20, 2006... Fitch Ratings' latest U.S. CMBS loan delinquency index is down the rating agency reported last week. The slow pace of the restoration in the Gulf Coast areas affected by Hurricane Katrina is a factor, added Fitch. Katrina-related...

Euro pricing spreads driven by more than just supply and demand.
March 20, 2006... The spread debate has been a favorite topic among investors and traders alike. There has been little to alleviate the tightening bias but last week's pricing on the Permanent Financing deal could signal investors' unwillingness to go down the...

New Amsterdam joins roster of new CLO players.(Collateralized Loan Obligation)(Brief article)
March 20, 2006... London-based New Amsterdam Capital joined the growing list of first-time CLO managers earlier this month as it priced its 400 million Mercator CLO I through bookrunner Bear Stearns. The deal is collateralized by European senior secured...

European primary pipeline heats up.
March 20, 2006... Several new deals began marketing last week and as market players turned their attention to the new-issue pipeline, secondary trading activity remained light. From the Netherlands, a new RMBS deal began marketing via issuer Delta Lloyd NV....

Clifford Chance launches Dubai team.(Brief article)
March 20, 2006... Clifford Chance is sending Partner Debashis Dey, who was previously U.K.-based and who is part of the law firm's international securitization group, to launch a dedicated capital markets practice in the Gulf region. Dey will relocate to...

Moody's upgrades Turkish DPRs, adding to monoline comfort.
March 20, 2006... Moody's Investors Service last week upgraded the unwrapped and underlying ratings of deals backed by diversified payment rights (DPRs) that have Turkiye Garanti Bankasi (Garantibank), Turkiye Is Bankasi (Isbank) and Akbank as originators. The...

Mexican cross-currency CDO around the corner.(Collateralized debt obligations)
March 20, 2006... Mexican Citigroup unit Acciones y Valores is expected to roadshow this week a peso-denominated deal backed by the sovereign's cross-border 8.375% notes due 2011. This is the first bond of its kind in Mexico, with Deutsche Bank and Credit Suisse...

Red Arrows lays tracks of ruble-denominated railway lease deal.
March 20, 2006... Structured finance investors with a taste for ruble exposure might soon have something to nibble on. In the works is a six-year final, RUR13.8 billion ($498 million) deal backed by leases linked to rolling railway stock. Morgan Stanley, CIT...

Jamaica's NCB prices DPR deal.(National Commercial Bank)
March 20, 2006... The National Commercial Bank of Jamaica issued its, and the country's, first DPR transaction March 15. The $100 million, seven-year final deal priced 180 basis points over three-month Libor via sole lead Credit Suisse. Fitch Ratings and Moody's...

Japanese bank extends overdraw credit to ABCP conduit.
March 20, 2006... Mizuho Corporate Bank, a Tokyo-based commercial bank, has granted its asset-backed commercial paper conduit, Allstar Funding Corp., the ability to fund asset purchases by overdrawing on asset-backed, limited-recourse loans through a bank...

Fitch expects Korean MBS to shine.
March 20, 2006... Fitch Ratings last week released its "Asia Pacific 2005 and 2006 Outlook," in which the agency forecasted stable cross-border issuance from the region in 2006, following last year's $6.2 billion total. However, the make-up of issuance in terms...

Japanese government plans real estate sale.
March 20, 2006... The Government of Japan last week submitted a reform bill to the Diet - the country's legislative body - requesting approval to securitize state-owned real estate assets located in Tokyo. The move is part of an initiative to halve the ratio...

Australian RMBS activity heats up.
March 20, 2006... Australia's AMP Bank last week launched the latest deal from its Progress RMBS facility. Deutsche Bank and Societe Generale are joint leads on the A$750 million ($547 million) two-tranche offering, with pricing due on Wednesday. The deal...

Whispers.
March 27, 2006... New York City-based GSC Partners is planning to launch a new fund aimed at high yield debt and mezzanine debt backed by U.S. commercial real estate. At press time, GSC Partners had not named the fund, but it did recruit Alexander Zabik as...

Delphi bankruptcy exposes wide gulf between varying settlement methods.
March 27, 2006... The bankruptcy filing of troubled auto parts supplier Delphi Corp. late last year is known as the largest corporate credit event to rattle the credit default swap market to date - with more than $20 billion in total notional exposure. That...

ESF panel discusses trends in Euro ABS.(European Securitization Forum)
March 27, 2006... VENICE - A poll on the major trends in European securitization for 2006 conducted at the European Securitization Forum's third annual meeting returned one perfectly predictable result: the implementation of Basel II is the issue of the year for...

FAS 156 makes it simple for servicers.(Financial Accounting Standards)
March 27, 2006... ABS and MBS servicers - particularly those that use derivatives to hedge against fluctuations in the fair value of the assets that they oversee - had another cause to raise a pint on St. Patrick's Day, after the Financial Accounting Standards...

RAIT Investment Trust plots debut CDO: Novel transaction would be backed by small commercial real estate mezz and bridge loans.(Real Estate Investment Trusts)(Collateralized Debt Obligation)
March 27, 2006... Though still a drop in the bucket relative to the overall CDO market, interest in commercial real estate-backed deals has picked up to the point that mezzanine lenders are now getting into the act. RAIT Investment Trust, a mortgage REIT formed...