News

With Chilean securitizers eyeing more novel structures, the domestic MBS market has lost some of its luster. Up ahead though is a deal that could become the country's largest mortgage-backed bond ever. Heard at around 2.89 million inflation-indexed units (US$65.9 million), the MBS is rumored to be in the hands of BanChile Securitizadora. State-owned Banco del Estado is talked as the originator.

People

Susan Valenti recently left MBIA, moving over to Bear Stearns. Valenti previously reported to Eric Williamson, who heads the mortgage-backed group at MBIA.

Patrick McKee recently left Ambac to join the New York arm of bank BNP Paribas. McKee formerly reported to Scott Gordon at Ambac.

Deutsche Bank has hired Jeffrey Kim, Stephen Rye and Dean Bellissimo as directors in Debt Capital Markets (DCM). Kim and Bellissimo are specialists in derivative coverage for North American corporate clients while Rye is responsible for derivative coverage of U.S. Agency clients within this division. All the new hires will report to Raj Bhattacharyya, a director with responsibility for derivative marketing within DCM. The additions complete the reconfiguration of the Debt Capital Markets group, which now encompasses derivatives and foreign exchange marketing to issuers, as well as investment-grade debt origination.

CDOs

Last Thursday, the Crest Clarendon CDO sold $228 million of triple-As at 48 basis points over Libor. Wachovia Securities priced the triple-As in August, but decided to do a full marketing roadshow in September. The commercial real estate CDO for Mass Financial cleared at the tight end of indicative levels of 48 to 50 basis points over Libor for the 7.3-year tenor triple-A tranche. The single-As cleared at 135 over three-month LIBOR and Swaps for the 9.9-year term. The triple-B class priced at 225 basis points over Swaps for the 10-year average life. The transaction settled last week.

Miscellaneous

Moody's Investors Service is in the process of beta testing CDO Navigator AnalyticsTM, which is a new software platform to create, share and analyze cash-flow and synthetic CDOs. The initial release of the software will provide users the same tools that the rating agency's analysts are using to rate deals. Future additions to the platform will include a comprehensive transaction library, collateral data feeds and the integration of sophisticated cash-flow models.

The National Association of Home Builder's (NAHB) Housing Market Index rose to 63 in September from August's revised reading of 55 (it was previously 57). This was the highest reading on the Index since November 2000. All three of the index's components improved. The current sales index went up to 67 from 59; the outlook for sales in the next six months rose to 72 from 66; the traffic index jumped to 50 from 42. The September NAHB index readings suggest a continued strength in new home construction and perhaps a renewed vigor.

The benchmark 10-year Treasury bond yield closed at 3.77% last Thursday, a low that has not seen in forty years. The yields of benchmark Fannie Mae MBS were hovering around their all-time lows. These happened in the wake of record low rates in Freddie Mac's survey of fixed mortgage rates. Benchmark Fannie 5.5% MBS were yielding a record low 5.25% and trading for October delivery at a record high 100 26/32.

Single-family housing starts went down to 4.4% last month as the housing market began to show signs of a slow down. The U.S. Department of Commerce reported single-family starts fell to a seasonally adjusted annual rate of 1.252 million units in August from1.309 million units in July. This marked the third consecutive monthly drop in starts, despite currently historical low mortgage rates. However, single-family starts have not dropped below the 12-month low of 1.238 million units set last October, and the pace of construction remains at very high levels.

Calendar

September 30-October 2: Washington, DC: The Latin America Investor Summit will be held during the annual meetings of the World Bank and the International Monetary Fund. For more information, visit www.latin-summit.com

October 1-4: Paradise Island, Bahamas: Information Management Network will host Eight Annual ABS East 2002. For more information, go to www.imn.org

October 6-9: Miami, FL: The Strategic Research Institute will host the The ABS South Beach Industry Summit. For more information visit www.srinstitute.com/ca280

October 9: New York, NY: The Bond Market Association presents the Annual Awards Dinner. For more information, call 212-440-9429 or email mgarcia@bondmarkets.com.

October 20 23: Chicago, IL: The Mortgage Banker's Association's 89th Annual Convention & Expo. For more information visit www.mbaa.org or call 1-800-793-6222.

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