News

As of press time Thursday, the EITF did not reach a consensus on the issue of the permitted activities of a QSPE in issuing beneficial interests. The staff will seek additional input from EITF members at the next meeting, which would probably be held in January according to Marty Rosenblatt of Deloitte & Touche. They would also propose alternatives that adhere to the principle that the permitted activities of a QSPE need to be significantly limited and entirely specified in the governing documents.

The portfolio management team at AIG is currently seeking a junior level credit analyst. The position requires three to five years of experience in the ABS arena. Responsibilities include tracking performance, calculating durations and statistics of various portfolios, month-end pricing and analyzing securities to be purchased.

Market players expect the next two structured finance CDOs to price to come via Deutsche Bank: Black Rock's Anthracite CMBS CDO and C-BASS's latest structured finance CDO offering. Also in the market is Birch Funding, another static pool ABS CDO originated by Bear Stearns' underwriting desk, and Longport Funding from Delaware Investment via Credit Suisse First Boston.

New issue volume in the U.S. bond markets totaled $3.8 trillion in the first three quarters of 2002, a 19.6% increase over the $3.2 trillion issued in the same period of 2001, said The Bond Market Association. Mortgage-related securities issuance, which includes agency and private-label pass-throughs and CMOs, is on pace to break the record of $1.67 trillion record set in 2001. Issuance totaled $1.54 trillion in the first three quarters of the year, up 39.4% from the $1.10 trillion issued during the same period one year ago. New issue activity in the asset-backed securities market totaled $357.9 billion in the first three-quarters of the year, up 11.9% from the $319.9 billion issued during the same period last year. Issuance in the public ABS sector increased 19.4%, to $296.6 in the first nine months of 2002, up from $248.4 billion issued in the same period one year ago.

Freddie Mac announced last week that its retained portfolio grew at an annualized rate of 14% in October, which represents a $5.7 billion increase. This is a modest increase from 12% in September. However, retained portfolio commitments entered into by Freddie declined to $27.5 billion in October, down from $34.8 billion last month. The GSE's average duration gap for October remained low at -1 month, which is unchanged from September.

Ginnie Mae's MBS program has hit the $2 trillion mark, said the Department of Housing and Urban Development. This implies that more than 27 million families have accessed lower-cost mortgage financing since the launch of the Agency in 1968, according to Ginnie president Ronald Rosenfeld. GMAC Commercial Mortgage originated the milestone security that pushed Ginnie Mae past the $2 trillion milestone.

The Bond Market Association and its affiliates have relocated from Broad St. to a new midtown location. The association and its affiliates: The American Securitization Forum, The Asset Managers Forum, The European Securitisation Forum (U.S. office only) and The Bond Market Foundation can now all be reached at 360 Madison Ave. 18th Floor New York, NY 10017, with main telephone no.:646.637.9200 and main fax no.:646.637.9126

RATINGS

Four classes of COMM 2001-J1 commercial mortgage pass-through certificates were downgraded last week by Fitch Ratings. The downgrades were the following: class G, from BBB to BBB minus; class H, from BBB minus to BB; class J, from BBB minus to BB; and class M, from AA plus to AA. Additionally, Fitch affirmed the ratings on 10 other classes in the deal. The rating agency said the downgrades were mainly due to the deteriorating performance of the Thayer Hotel Portfolio and 165 Market Halsey loans. Both have shown a considerable decline in performance since issuance and the rating agency believes this level of performance will continue going forward. The Thayer loan is backed by six full-service hotels in New Jersey, Louisiana, Florida, and Texas while the Market Halsey loan is secured by a 16-story hotel in Newark, N.J.

The collateral default storm for franchise loans has resurfaced after two consecutive quarters of relative stability, said the latest Fitch Ratings Franchise Loan Performance Index. Impaired franchise collateral rose by 23.6% to $1.37 billion of approximately $7.2 billion outstanding during the third quarter of 2002. This was due primarily to the growing trend of convenience & gas (C&G) borrower defaults. With cumulative defaults of approximately $2.1 billion and more adverse rating actions expected going forward, increased focus has been placed on special servicing and the quality of workout efforts to mitigate losses to investors.

CALENDAR

December 12: New York, NY: The Bond Market Association presents the Repo & Securities Lending Conference at The Roosevelt Hotel. For more information call 212-440-9429 or email mgarcia@bondmarkets.com.

January 8, 2002: New York, NY: Strategic Research Institute is hosting "The Future of Off-Balance Sheet Financing & Structured Finance" on Jan 8 2003 at the Marriott Marquis in New York City. To register call 1-888-666-8514 or email www.srinstitute.com/ca279

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