Whispers

Merrill Lynch has hired Steve D'Agostino as a director in its CDO group from Credit Suisse First Boston. D'Agostino reports to group head and former boss Christopher Ricciardi, who joined Merrill from CSFB earlier this year. D'Agostino was head of the CDO analytics technology at CSFB and will reportedly assume a similar role at Merrill. Ralph Nacey and Cecilia Pan have also recently joined Ricciardi's CDO group at Merrill, both coming in as associates.

Fitch Ratings has hired Jesse Mann as a director in its term consumer ABS group and Betsy Colucci as an analyst in its ABCP group. Mann, formerly a vice president at Fleet Credit Card Services, will report to consumer ABS head Michael Dean. Collucci, formerly an analyst at Scotia Capital's Liberty Street Funding conduit, will report to Debbie Seife, who heads the conduit team for Fitch. Fitch is reportedly seeking to bring on additional junior staffers to its term ABS team.

Co-heads of structured credit products at Royal Bank of Scotland, David Henriques and David Littlewood, have given notice and are scheduled to leave the firm in late September, it was reported last week. The two men are leaving to start up their own firm, according to Creditflux magazine. Henriques and Littlewood were based in RBS's London office.

Banc One Capital Markets is seeking to add a pair of associate-level staffers to its ABS research team, following director Gary Mitchell's internal jump to the credit derivatives trading desk. The positions would be reporting to research head Alex Roever.

Eric J. Piesner, formerly of Orrick, Herrington & Sutcliffe, and Theodore S. Seltzer, formerly with Skadden, Arps, Slate, Meagher & Flom, have joined the Tokyo offices of law firm Morrison & Foerster. Piesner and Seltzer join the firm as partners. Additionally, Morrison & Foerester have moved senior partner Fredrick Lodge to he firm's Tokyo office from New York.

Bay View Acceptance Corp. plans to bring its fifth term auto loan securitization sometime in August from its Bay View Auto Trust, sources confirmed. Scheduled to total between $250 million to $450 million, the offering will be led by UBS Warburg and feature a full FSA wrap. Bay View has issued ABS in 1997, 1999, 2000 and most recently last year, with a $453 million 2002-LJ1 transaction. UBS Warburg, and Paine Webber before it, has led all of Bay View's previous deals.

AmeriCredit Corp. announced last week that it would begin disseminating performance data for its securitized assets over the Internet via its Web site on a monthly basis. The information will be posted on the 10th of each month. Additionally, the trustees for each transaction will post the servicer reports.

Mortgage lender American Business Financial Services recently announced a strategic change that includes a heavier reliance on whole loan sales instead of the term ABS market. The Bala Cynwyd, Pa.-based lender said it had closed a $125 million loan sale in the first week of July, to an unspecified buyer. It also let expire a $300 million loan purchase facility it had with UBS Warburg. "The use of whole loan sales enables the company to reach cash-positive operations more quickly than in securitizations and protects against volatility in the securitization markets," said ABFS CFO Albert Mandia in a prepared statement.

Fitch Ratings has downgraded 11 classes of real estate ABS serviced, partially or entirely, by Fairbanks Capital Corp., while affirming 381 classes at the current ratings and leaving another 11 on rating watch negative. While the downgraded tranches had been "experiencing significant credit problems and experienced prior negative rating actions," the declining Libor rates bolstered excess spread sufficiently to maintain the current ratings. "If Fitch's opinion were solely based upon the Fairbanks rating actions, many classes would have been downgraded. However, in the recent environment the consideration of seasoning, performance and most notably Libor movements were significant mitigants," Fitch said in a release.

Changes in the Parity Act, which took effect July 1, will decrease prepayment penalties by 15% to 25% in subprime mortgage pools and therefore lead to a decrease in the size of NIM securitizations (see related story)http://www.asreport.com/protected/article.cfm?articleId=6661 . In a report titled, "Changes to Parity Act Likely to Affect NIM and Subprime Securitization Markets," Vice President/Senior Analyst Warren Kornfeld says, "The primary impact of this decrease in prepayment revenue will be a decrease in the size of net interest margin (NIM) transactions. We estimate that, absent an offsetting increase in excess spread, the size of NIM transactions will decrease 2.5% to 7.5%, on average."

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