Asset Securitization Report articles from May 2003

Asset Securitization Report archives from May 2003

Whispers.(industry briefs)
May 5, 2003... Credit Suisse First Boston has restructured its fixed income and investment banking groups, as well as its global CDO group. The firm promoted Joe Donovan to chairman of ABS and Debt Financing, and Greg Richter to head of Asset Finance Capital...

Correction.(Correction Notice)
May 5, 2003... It was incorrectly reported in ASR's "Pipeline Trumpets TruPS CDOs" article that UBS Warburg's Mulberry Street II was a TruPS-backed CDO. In last week's ASR, the name of CDO veteran and new Merrill Lynch vice president Plamen Mitrokov was...

Avoiding the balance sheet: For the Q exemption, liquidity lines are not permitted.(securities arbitrage, QSPE)
May 5, 2003... The future of securities arbitrage conduits darkened last week as tentative decisions from the Financial Accounting Standards Board seemed to rain on the QSPE parade for this $200 billion-plus segment of the ABCP market. The board has...

All dressed down with places to go: Petrobras comes unwrapped.
May 5, 2003... The stage is set for a serious reunion of U.S. investors and Brazilian structured deals following a meager showing so far this year. For issuers, the invite reads loud and clear: come as you are. Due to monoline-supply scarcity and hungrier...

U.S. primary back on the fast track.(asset-backed securities market)
May 5, 2003... The primary ABS market returned with vigor last week, pricing over $6.6 billion in new-issue supply. Mortgage-related product led the way with $4 billion of issuance, mostly from bank's acquired collateral issuance vehicles, with credit cards...

S&P looks at development of NIMs, sees faster paydowns.(net-interest margin securitizations)
May 5, 2003... Spurred by persistently low short-term interest rates, as well as greater-than-expected prepayment fee collections, net-interest margin securitizations totaled $1.26 billion, the second-highest total to date, according to a new report issued by...

GE term equipment ABS?(GE Capital)(Brief Article)
May 5, 2003... In its 10-K filing with the Securities & Exchange Commission last week, Xerox Corp. reiterated that it will pursue securitization, among other strategies, to fund its equipment customer finance businesses. The company has several...

Access Group uses 1st "stepdown" interest account in student loan ABS.
May 5, 2003... Postgraduate student lender Access Group Inc. brought a pair of student loan transactions last week, each incorporating stepdown capitalized interest accounts protecting against shortfalls that may occur at the front end of capital structure,...

CSFB restructures debt groups.
May 5, 2003... Longtime industry icon Joe Donovan has taken on a newly created role at Credit Suisse First Boston, to act as an "ambassador" between the fixed-income and investment banking unit. In his new position, as chairman of ABS and Debt Financing,...

Is prime auto ABS losing its allure?(auto loans)
May 5, 2003... Several major underwriters have stepped up efforts to sell blocks of prime auto paper, cashing in on recent tightening and taking profits, sources said. Currently, prime auto spreads are near historical lows and some believe it's only a matter...

Despite challenges, Duke launches CDO.(collateralized debt obligation)
May 5, 2003... Duke Street Capital Debt Management's closing of Duchess II, the second-largest leveraged loan collateralized debt obligation (CDO) to close in Europe this year, proved that despite increasingly difficult market conditions, it is still possible...

Ambitious RBS GCM has no intention of being second tier.(fixed income)
May 5, 2003... While colossal global banks like Citigroup seem to have cemented their control of the fixed-income markets, don't tell that to the increasingly ambitious Royal Bank of Scotland Group, which wants nothing less than a prime seat at the U.S. fixed...

MBS recap: Mortgages are getting too rich.
May 5, 2003... Mortgage activity last week held steady. Spreads continued to tighten amidst limited supply and ongoing demand primarily from banks, hedge funds, insurance companies, and others. The week also included month-end, which provided additional...

Fixed-rate MBS supply expected to dip sharply in 2Q03.
May 5, 2003... In the next two months, the amount of outstanding fixed rate mortgages should decline sharply, according to analysts from JPMorgan. Having the MBA Refinancing Index above 8000 for most of March will result in a 15% increase in paydowns in...

CMBS participants look at the case of imminent defaults.
May 5, 2003... With the current weak economy, the problem of imminent defaults, or loans that are current but expected to go sour, is becoming more common in CMBS deals. In these situations, determining what constitutes a loan in imminent default -...

15-year response to rising volatility remains unclear.
May 5, 2003... Despite the 15-year sector presumed to have less negative convexity versus 30-year collateral, recent research has said that it might not be an effective hedge against rising volatility. Further, analysts said that extension protection from the...

Italy prices new government deal, others to follow.
May 5, 2003... The Italian government is slated to explore new ground beyond its recently priced securitization of loans to Italian state and public entities dubbed C.P.G. Societa Di Cartlarizzazione. But the interest shouldn't stop there, say market sources,...

Utilities find ideal alternative following.(private finance initiative)
May 5, 2003... The U.K. private finance initiative (PFI) has stimulated a number of innovative securitizations from the U.K. utility sector. Now that shareholders have tasted the profitable returns on investments that restructuring in this market can bring,...

German true sale initiative prompts speculative fill-ins.
May 5, 2003... With the German economy teetering on a technical recession, investors are beginning to take a more thorough look at the type of loans to be included in true sale structures going forward. There may be more than meets the eye, and in the long...

European market sails into May.(Delta Lloyd Levensverzekeringen)
May 5, 2003... The May Day holiday across Europe slowed activity, but the market was far from a standstill. A number of deals priced earlier last week, and activity was expected to pick up again on Friday. According to market sources, the $1 billion...

Latin American Capital aims to tap new investors for sugar-inventory funding.
May 5, 2003... For Latin American Capital, sugar is not something to avoid, it is a way of life. The boutique investment bank has supervised a program for sugar inventory financing in Mexico for the last few years and its officers have long-established...

Grupo Minero Mexico concludes drawn-out restructuring.(debt restructuring)
May 5, 2003... A grueling eighteen months after talks began, Grupo Minero Mexico (GMM) has closed the restructuring of nearly US$900 million in debt, including roughly US$450 million of paper backed by mining exports. "The banks, bondholders, and the company...

Whispers.(includes multiple records)
May 12, 2003... Phillip Lassiter intends to resign from his post as CEO of Ambac Financial Group at the end of the year, the company announced last week. "As I turn 60, I feel it is the right time for me personally to turn over the helm," said Lassiter in a...

Taste of SocGen risk offered up to Chilean investors.
May 12, 2003... Chilean structurer Securitiza- dora Bice is readying a deal that is likely to be the second ever U.S. dollar-denominated bond to hit the domestic securitization market. Sized at US$50 million, the six-year paper will perfectly mirror the...

April paydowns set new record.(fixed-rate agency loan prepayments hit nearly $160 billion)
May 12, 2003... April was the highest prepayment month on record. According to JPMorgan Securities fixed-rate agency paydowns hit nearly $160 billion, a 16% increase over March. The paydowns have led to an $18 billion decline in outstanding fixed-rated...

Down with OCC? Fed regulators to offer relief to FIN 46 laden banks.(Office of the Comptroller of the Currency)
May 12, 2003... In ABCP land, the news of the week trickled out of Standard & Poor's structured finance conference held in Orlando, Florida, where Greg Coleman of the Office of the Comptroller of the Currency acknowledged that the federal regulators were...

Goldman's William Street Ruffles Feathers.(Godman Sachs, William Street Funding Corp.)
May 12, 2003... The April showers raining down last month produced increased CDO volume. However, while issuance was strong, market research shows it was just a few key storms that filled the CDO pool, which totaled $13.2 billion year-to-date by at least one...

Spiegel abandons portfolio sale effort, secures debtor-in-possession: MBIA finds successor servicer for private-label trust.
May 12, 2003... Recent news from bankrupt retailer Spiegel Inc. did not bode well for holders of the issuer's outstanding ABS, as an agreement reached with Dallas-based Alliance Data Systems sealed the fate of the private label and bank card trusts. Reports...

Surprisingly, CDOs boost MBIA earnings, but criticism continues.
May 12, 2003... MBIA just can't seem to get a break these days. Even though the monoline's CDO holdings were credited with its first quarter earnings boost, sector analysts remained cautionary - in some cases suspicious - following last week's positive...

ABS gathering slows new issue supply; Heavy auto supply seen.
May 12, 2003... Activity slowed in the U.S. ABS primary market last week, as many participants were an industry gathering hosted by Standard & Poor's in Orlando. Just over $5 billion of supply priced in late-to-develop trading that saw all asset classes...

Fitch unveils delinked card ABS monitoring service.
May 12, 2003... Responding to growth over the past year in de-linked credit card ABS trusts, Fitch Ratings recently launched a Credit Card Issuance Trust Update feature on its website. While currently reporting on just the two largest trusts - Citibank and...

UCC Capital in with IP action.(Brief Article)
May 12, 2003... Intellectual property specialty firm UCC Capital Corp. began marketing three whole business securitizations this week, each in the $30 million to $65 million range, and all sporting investment grade ratings, sources said. These deals...

Tobacco settlement deals' link to industry always a hot topic.
May 12, 2003... The tobacco bond market took a series of hits last week, marked by a multi-notch industry downgrade from Fitch Ratings, which, on the corporate side, took R.J. Reynolds below investment grade. On the ABS front, Fitch further downgraded the...

Debit card suit to have minimal ABS impact.(Brief Article)
May 12, 2003... The settlement of Visa and MasterCard with retailers - amounting to $3 billion over the next ten years - will not impact credit card ABS, as "The industry's credit card practices were never targeted by the lawsuit," noted Banc One Capital...

UBSW says to extend your ARMs.(UBSWarbuarg; adjustable rate mortgages)
May 12, 2003... With 3/1 hybrid ARMs currently rich to their longer-dated counterparts, investors would gain from extending into 5/1 or 7/1 hybrid ARMs, said a recent report from researchers at UBSWarburg. UBSWarburg's report demonstrates that the yield...

DebtX unveils CMBS valuation product.(collateralized mortgage backed securities)(Brief Article)
May 12, 2003... Secondary loan sale platform DebtX recently unveiled a new portfolio valuation product, dubbed DXMark, which uses empirical trade information rather than a mark-to-market process to evaluate commercial real estate loans and portfolios. While...

GNMA Project Loan Performance: A Comparison of Health Care and Apartment Complex Loans.
May 12, 2003... By Arthur Q. Frank, director, and James M. Manzi, analyst, Mortgage Research, Nomura Securities International, Inc. The relatively high defaults experienced by health care-related loans (financing nursing homes and assisted living...

Chilean tuition deal becomes ABS freshman.
May 12, 2003... Chile's ABN Amro Securitizadora has slated the country's first securitization in the education sector for pricing May 9. Amounting to 1.0 million inflation-indexed units (UF) (US$24.4 million), the transaction is backed by future college...

Colombia's Fannie Mae snaps up pool for third RMBS.
May 12, 2003... Edging towards its third issue of RMBS, Colombia's quasi-Fannie Mae has closed the purchase of one of three loan pools to back the deal. The country's leading mortgage bank, Granahorrar, has sold Titularizadora Colombiana a Ps300 billion...

CDO pipeline grows amid ABS explosion.(collateralized debt obligations; asset backed securities)
May 12, 2003... The CDO issuance lag earlier this year seems to have gone the way of winter, with a number of deals pricing last week and several more entering the pipeline - but it's still a market largely dominated by RMBS volumes. According to market...

First impression on third consultative paper.
May 12, 2003... The third consultative paper on the new Capital Adequacy Framework Accord was released to market participants at the end of April, and the Basel Committee has set a July 31 deadline for comments before making the final modifications expected by...

New Pfandbriefe rating methodology.
May 12, 2003... Moody's Investors Service is shifting its rating methodology for Pfandbriefe, introducing a new ratings floor for issuers of this paper. It could spell positive upside potential for securitizations linked to public and mortgage sector...

Whispers.(multiple assignments, promotions)
May 19, 2003... Lehman Brothers has named senior vice president David Heike as head of its asset-backed research strategy group, taking over for Arthur Chu, who left the bank in March to accept a position at Deutsche Bank's QVT Fund. Heike, who has been with...

Rating action puts S&P's rep on Negative Watch: S&P defends auto lease CreditWatch actions...
May 19, 2003... Bank One Capital Markets called the move "somewhat haphazard." JPMorgan Securities called the move "sloppy in execution and bordering on reckless in terms of understanding the market impact." The Street reacted harshly to Standard & Poor's...

Mexico City gets in on the act.(mandates Citibank for deal of at least Ps2 billion)
May 19, 2003... Already one of the most populous metropolitan centers in the world, Mexico City is sprawling somewhere new. Following the lead of other subnational entities in the country, this monster megalopolis has surveyed the terrain of structured finance...

Who generated top credit events?
May 19, 2003... The number of traditional cash CDO defaults has been widely publicized and, obviously, received widespread damage assessments. But what of credit events that factored into synthetic CDO downgrades over the last two years? Calculating and...

Market sees nearly $20 billion in primary issuance.
May 19, 2003... The ABS primary market exploded last week, with roughly $18 billion of supply offered to investors, As of late in the week, $12.8 billion had priced, with the remainder, primarily mortgage-related supply, scheduled to wrap up on Friday or early...

Not a lot in the pot for franchise ABS.(nontraditional franchise loans to car dealerships)
May 19, 2003... Not surprisingly, this year is shaping up to be another slow run for the franchise sector, which has seen just two deals, both backed by nontraditional franchise loans to car dealerships, a collateral type unscathed by the headline...

Citi says PACCT performance mixed, but in line with expectations.(Pass-Through Account Credit Card Trust)
May 19, 2003... Almost one year after closing, 2002 ASR Breakthrough Deal of the Year (see ASR 1/6/03) Pass-Through Account Credit Card Trust (PACCT) is in relatively good shape, performing in line with base-case forecasts used to structure the transaction....

USAF/Boeing Deal?(aircraft lease asset backed securities deal possible)(Brief Article)
May 19, 2003... If a proposed lease between Boeing Co. and the U.S. Air Force for 100 Boeing 767 refueling tanker jets goes through, the Street could find itself distributing a windfall $17 billion in aircraft lease ABS, reports Investment Dealers Digest, a...

AmeriCredit expands surety exposure to third guarantor.
May 19, 2003... As promised, non-prime auto lender AmeriCredit Corp. brought an auto loan ABS last week, backed by a wrap from guarantor XL Capital, albeit three months after initially thought (see ASR 2/24/03). The $825 million fixed- and floating-rate...

Rough CDO highway smoothed over with high yield gold.(analysts are comparing loan performance to investment grade-backed CDOs)
May 19, 2003... While it's always been along for the ride, high yield collateral was all but relegated to the back seat as CDO investors experienced a bumpy ride, thanks to record downgrades over the last 18 months. Although most investors are aware that loan...

Volume spike illusionary; ABCP market hasn't turned on a dime.(there was not a surge in ABCP outstandings as previously reported)(Brief Article)
May 19, 2003... After all the market chatter and speculation on the surge in ABCP outstandings, it turns out the whole thing was, essentially, like everything else these days: an accounting error. As ASR reported last week, the Federal Reserve Board...

Freddie Mac losses market share once again in April.
May 19, 2003... Freddie Mac's market share dipped in April against arch rival Fannie Mae. A report by Fox-Pitt, Kelton said that Freddie Mac's market share was roughly 31% in April, lower than what it was in March. Freddie's traditional share is 40% to 42%....

MBS Recap: new record low rates set stage for new refi wave.(Freddie Mac reports that mortgage rates hit new record lows)
May 19, 2003... For the week ending May 16, Freddie Mac reported that mortgage rates hit new record lows. The 30-year fixed mortgage rate fell to 5.45%, down 13 basis points from last week. The previous record low was 5.61% set in March. The 15-year fixed rate...

Is cheapening in Gold PC MBS positive for FHLMC?(Freddie Mac Gold PC securities have cheapened compared to their Fannie Mae counterparts)
May 19, 2003... In a reversal from historical experience, Freddie Mac Gold PC securities have recently cheapened versus their Fannie Mae counterparts, which was caused initially by the release of the April prepayment report showing that the differential...

Fannie's retained portfolio growth slow for April.(Fannie Mae's April numbers include strong growth in the guarantee business and slow-to-stable growth in retained portfolio commitments)(Brief Article)
May 19, 2003... Fannie Mae's April monthly numbers were characterized by strong growth in the guarantee business and slow-to-stable growth in retained portfolio commitments that were partly offset by weak retained portfolio growth, said a JPMorgan Securities...

A new direction for Greek ABS?(Greece launches a new transaction)
May 19, 2003... After a notable silence, Greece is back in the market with a e100 million transaction. While the underlying assets veer from past public-sector assets, the sovereign has stepped in as it has in past transactions to lend its support. The...

Making the case for whole business ABS.(J.P. Morgan will redeploy its corporate finance team)
May 19, 2003... J.P. Morgan recently announced that it would be redeploying its corporate finance team, responsible for whole business transactions, into the more profitable areas of securitization business. Sources at the bank said the move does not mean the...

U.K. explores the REIT possibility.(in the U.K., there is an increased interest in longer term property securitizations)(Brief Article)
May 19, 2003... The U.K. budget this year is prompting interest in longer term property securitizations (see ASR 12/0902) and sources at the Royal Institution of Chartered Surveyors (RICS) said the government is rekindling its once-abandoned inquiry into...

RMBS volumes rocketing beyond U.K. dominance.(new RMBS issuances from Spain are expected in upboming week, but other countries have launched deals)
May 19, 2003... Issuance from Spain promises to surge in the coming weeks, perhaps doubling following a bulging lineup of RMBS issues. As usual, the market spectacle is not limited to one country. Portugal, the U.K. and the Netherlands were among the many...

Petrobras lubes up Brazilian pipeline.(Petrobras prices a new bond backed by receivables from the export sales of heavy fuel oil and bunker oil)(Brief Article)
May 19, 2003... A familiar face to emerging-market investors, Petrobras priced a US$550 million cross-border bond backed by receivables from the export sales of heavy fuel oil and bunker oil on May 14 (see ASR 5/5 p.1). The yield was 6.480%, while the spread...

Peru's Interbank to bring seven-year US$80m MT-100 bond.(Barclays Capital signs a deal with Interbank)
May 19, 2003... Interbank is looking across the border. Barclays Capital has snagged a mandate from the Peruvian bank for what promises to be the country's debut securitization of diversified payment rights (DPR) sold into the market, according to sources....

Future flows not yet proper in Chile.(investors show interest in Chile's first future flows securitization)
May 19, 2003... Investors welcomed Chile's first future flows securitization March 9 and a second one is slotted for June, but not all is won for the rookie asset class. While groundbreaking for locals, both transactions fall short of the kind of structure...

Whispers.(financial services news briefs)
May 26, 2003... Citigroup recently moved John Dahl from its New York syndicate operations to its Hong Kong offices, where he will run the Global Securitized Markets operations for the Asia Pacific region. This includes Korea, Australia, New Zealand and India...

As CHAMT amendment awaits bondholder approval, is it a cure-all?(investors ponder the ability for an early payout by Chase)
May 26, 2003... Though investors breathed a sigh of relief after J.P. Morgan Chase announced it would amend the Chase Credit Card Master Trust, Morgan Stanley researchers theorize that the chance of an early payout still exists, due to the C class reserve...

Is Taiwan the next ABS frontier?(with the implementation of The Financial Assets Securitization Law, Taiwan could become a strong asset-backed securities market)
May 26, 2003... Although Japan and the Republic of Korea continue to be the two largest Asian ABS markets, with the implementation of The Financial Assets Securitization Law of June 2002, some say that Taiwan could soon become a serious contender for third...

Mexico's Tribasa lays past to rest.(Grupo Tribasa seeks US$189 million in financing from local investors)
May 26, 2003... Following the lead of other toll-road operators, Mexican construction conglomerate Grupo Tribasa plans to tap local investors for Ps1.94 billion (US$189 million) on May 28. In the process, the company will leave behind an ugly drama played out...

PMI conference call stirs up talk.(Fairbanks Capital Corp.'s problems generate discussion)
May 26, 2003... Merrill Lynch says the Fairbanks was "too focused on servicing for investors..." Chatter on the troubles at former all-star subprime servicer Fairbanks Capital Corp. continued through last week, perhaps heightened by the PMI Group's...

Strong demand for primary ABS as auto sector leads the way.(asset-backed securities)
May 26, 2003... Primary ABS activity remained strong last week, pricing $8.8 billion, with an additional $2 billion pending for late in the week. The auto loan collateral continued to flow into the market, accounting for $4 billion of the week's total, as...

Correction.(Correction Notice)
May 26, 2003... In an article on Chilean future flows (5/19, p.21), the co-structurer of the Universidad de Diego Portales deal was incorrectly stated. Ernst and Young actually structured the deal along with ABN Amro Securitizadora. The date of issuance was...

S&P removes 14 classes from Neg Watch.(Standard & Poor's removies many classes of auto lease asset-backed securities from CreditWatch)
May 26, 2003... As the market had widely anticipated, Standard & Poor's removed many classes of auto lease ABS from CreditWatch with negative implications shortly after placing them on watch on May 12. S&P lived up to its claim that it would "move quickly"...

West LB scores CPS merger/ABS activity.(Consumer Portfolio Services is active, with the help of WestLB)
May 26, 2003... Talk about busy days. Consumer Portfolio Services has made a habit out of being party to simultaneous closings, be it multiple securitizations, warehouse lines, mergers, or, as was the case last week, a combination of the three. The auto...

Investors on edge with correlation; Fitch counters with new tool.(Fitch Ratings introduces a new rating tool, while Nomura Securites issues a research paper)
May 26, 2003... Rather than roll over and play dead in the wake of massive downgrades, market pundits are biting back. Efforts to put a leash on correlation, evidentially the beast with the longest teeth, made headway last week with the release of a new rating...

Rating agency, dealer announce collaboration.(Banc of America Securities' risk analysis tools are used by Standard and Poor's Risk Solutions)
May 26, 2003... A suite of risk analysis tools developed by Banc of America Securities has been harnessed by Standard and Poor's Risk Solutions, a move that is being perceived, initially, as a boost to synthetic CDO ratings. The analysis of corporate...

As rates continue falling further, market prepares for Refi Reloaded.
May 26, 2003... Currently, 93.1%, or $2.6 trillion, of the fixed rate MBS universe is exposed to refinancing risk at a 5.45% mortgage rate, says Bear Stearns. This level of exposure is similar to that of last October. So what does this translate into in terms...

Analysts change prepayment expectations as investors brace for faster speeds.
May 26, 2003... With the Mortgage Bankers Association (MBA) Refinancing Index expected to have an above 9000 showing this week, as well as further gains predicted in the near term, analysts are now expecting prepayment speeds to remain fast for the next four...

Are investors overpricing Fan/Fred speed differential?(Freddie Mac, Fannie Mae)
May 26, 2003... With the increased Freddie Mac and Fannie Mae prepayment speed differential, investors are overcompensating, particularly in the 30-year sector. In recent research, Bear Stearns compared the current situation to the historical...

Freddie reports sluggish portfolio growth.(Freddie Mac)(Brief Article)
May 26, 2003... Freddie Mac's April volume summary reported weak portfolio growth. The GSE's mortgage portfolio dipped at an annualized rate of 11.6% in April, while, year-to-date, the total mortgage portfolio has dropped at an annualized rate of 3.8%. ...

CMBS spreads tighter, but bet on more tightening ahead.(a discussion of trends in commercial mortgage backed securities)
May 26, 2003... The 35 basis points over swaps print on GMAC Commercial Mortgage's May 14 conduit pricing was a record level that came at a time of reduced yield in the market for investors to choose. To add to that, secondary market activity has dropped off...

Freddie's announcement could improve FNMA/Gold relationship.
May 26, 2003... Freddie Mac's recent announcement that it would ensure that Gold PC prepayments are consistent with market norms is positive for Gold/FNMA swaps, analysts said. One of the strategies mentioned is the immediate development of contractual...

Basel II/Part One: Do the new guidelines penalize ABS?(a discussion of the potential impact of the Basel framework on the structured finance market)
May 26, 2003... What follows is the first installment of a two-part series on the potential impact of the new Basel framework on the structured finance market The Basel Committee's development of a new capital framework has one major aim: to better align...

European market intends to stay busy in May.
May 26, 2003... Over E7 billion worth of ABS has already priced in May, and it's likely that the market will sustain this momentum up until the Barcelona ABS conference that starts the first week of June. Counted among the new issues last week was a...

Monolines and municipals: a maturing affair?(a discussion of the benefits of a monoline wrap in securitizations)
May 26, 2003... The U.K. private finance initiative and European infrastructure projects are no strangers to the benefits a monoline wrap provides. Now it's likely that a greater number of municipal and public sector securitizations throughout Europe will...