In what investors are calling a creative unloading of distressed loans, Banc of America Securities was last week premarketing a $500 million arbitrage cashflow CDO backed 60% by distressed loans and 40% by ABS (giving current pay coupon). This is the first visible distressed debt CDO with a significant portion of ABS. MBIA is wrapping the transaction, called Endeavor 2001. Asset manager on the deal is PPM America. E&Y Capital Advisors is acting as subadvisor and backup asset manager.
Fitch upgraded the class C notes of CLO Geldilux 1999-2, originated by HypoVereinsbanks, to A+ from A and the class D notes were upgraded to BBB+ from BBB. The ratings action is prompted by the quality of the reference portfolio and the available credit enhancement for these tranches. Fitch also considered that there are only two years remaining of the transaction.
Another triple-A ABS has run into trouble. On August 30, Fitch put all tranches of Conseco Finance's Vehicle Trust 2000-B on Ratings Watch Negative due to cumulative losses on the loan pool reaching almost 2%; $10.09 million out of a $506 million notional pool size. In addition, Fitch said, the double-A rated class M-1, single-A rated class M-2 and triple-B rated class B notes have also been put on Rating Watch Negative. The deal is nine-months seasoned and was underwritten by Credit Suisse First Boston. Analysts said the slowing economy, rising fuel prices, a decrease in transport traffic as well as increasing loan defaults warranted the action. Initially the five-tranche deal was structured pro-rata, but a trigger has flipped it into a sequential pay structure, which will shorten the "AAA" notes and likely lengthen the average lives of the sub-notes, sources said. The 2000-B transaction is backed by receivables from Conseco Finance's truck and trailer retail installment sales contracts and promissory notes.
ABN Amro Mortgage Corp. has filed to sell up to $2.5 billion of securities backed by home loans. ABN Amro Mortgage may also likely offer $119.7 million of unsold securities from a prior registration, giving the mortgage finance arm $2.62 billion total on the shelf.
Following the closing last week of the acquisition of Wachovia Corp. by First Union, the new company officially adopted the Wachovia name. Also changed was the name of its securities unit, which will now be called Wachovia Securities. The combined entity now has 29,00 branches in 12 different states.
Michael Jinn is a new addition to Deutsche Bank's ABS team. He joins the group as director in its European ABS securities group and will report to Michael Raynes, head of the London-based group. Prior to joining the Deutsche team Jinn was an ABS banker at Merrill Lynch.
Jeremy De Melo is the latest catch of the expanding European corporate restructuring and structured finance business of the U.S. law firm, Cadwalader Wickersham &Taft. He joins the firm from Merrill Lynch where he headed the London legal team. At Merrill DeMelo worked on the $1.3 billion sterling and Euro-denominated Eurotunnel securitization.
PricewaterhouseCoopers' Project Finance and Privatization team has appointed Oscar Silva as a director to lead its Securitization Financial Advisory team based in London. Silva had managed two London-based proprietary funds since 1996, with primary investment in fixed-income and equity securities in emerging economies. Before that, he led Long-Term Credit Bank of Japan's emerging markets investment bank business after building a career in the first wave of emerging market securitizations while working at Citicorp's New York and Tokyo offices in the 1980s and early 1990s.
David Crowle has joined MBIA's CDO group as a vice president, reporting to group head Lorie Evangel. Crowle moves over from BNP Paribas, where he was a vice president in the risk management group specializing in synthetic CLOs.
Richard Rudder has recently left lawfirm Wilkie Farr & Gallagher. Rudder was partner and head of the structured finance group at Wilkie.
Sept. 11-12: Berlin Germany Information Management Network will present Securitization in Deutschland. For more information, see www.imn.org.
Sept. 12-13: Berlin, Germany 2001: A CDO Event will be hosted by Information Management Network. For more information, e-mail email@example.com or call 212-768-2800 ext. 1.
Sept. 30-Oct.3: Southhampton Princess, Bermuda- The Strategic Research Institute presents The Bermuda ABS 2001 Symposium. For more information, visit www.srinstitute.com or call 888-666-8514.
Oct.1-3: Washington, D.C.-International Venture Partners, LLC will host the Latin Summit and Expo Americas, the premier conference for investing in the Americas. For more information, visit www.latin-summit.com
Oct. 2-5: Paradise Island, Bahamas - ABS East 2001 will be sponsored by Information Management Network. For more information call Scott Brody at (212) 768-2800 ext 210.
Oct. 23-24: Rome, Italy Information Management Network presents the Italian and Southern European Securitization Conference. For more information, visit www.IMN.org.