Fitch Ratings has announced several management changes in its ABS Group. Managing director Mike Dean will lead the Asset Backed Commercial Paper effort. Also, Claire Mezzanote will take over the Consumer ABS operation. Consumer ABS encompasses two of the ABS Group's highest volume sectors, credit cards and student loans, as well as tobacco and utility tariff securitizations. She also will be involved in the ABS Group's ongoing effort to explore and analyze new asset opportunities. They will report to Kevin Duignan, head of the ABS Group.
Chapman and Cutler LLP announced that attorney Todd Plotner has joined the financial services law firm as a partner from the Chicago office of Sidley Austin. Although he will primarily operate from Chapman's Asset Securitization group, his background will likely support several of the firm's other finance practices. Plotner's work focuses on structured finance, asset securitization, lease finance and commercial finance, including the restructuring of troubled transactions. His client representations have included operating and captive finance companies, domestic, foreign and investment banks, major commercial paper conduits, monoline insurers and other financial institutions.
GMAC Institutional Advisors established a new lending team within its Levered Finance Group that will focus on high yield and opportunistic lending opportunities. The new team, which will help expand the firm's high yield funds platform for third party clients, emerged just as the GMAC unit announced the sale of its fixed income mortgage advisory accounts to Quadrant Real Estate Advisors, a newly formed partnership between Mirvac Group of Australia and former executives of GMAC Institutional's fixed income group. In addition to its new focus on lending opportunities, GMAC Institutional will also continue to focus on real estate funds management on equity real estate. The new lending team will include five members of GMAC Commercial Mortgage Corp.'s lending unit. Managing directors Steve Alpart and Meg Blakey head the team, which also includes vice presidents Sandi Hubbard and Gail Schargel, and associate Samantha Li. The Levered Finance Group also contains a loan investment team, which is headed by Jackie Brady, managing director, and a high grade debt and securities team, which is headed by Scott Roth, managing director.
The International Swaps and Derivatives Association published a revised template for CDS on ABS with Pay-As-You-Go or Physical Settlement (Credit Derivative Transaction on Asset-Backed Security with Pay-As-You-Go or Physical Settlement Form I). The template is designed for use primarily with a Reference Obligation that is a residential mortgage-backed security or commercial mortgage-backed security. It is anticipated that the template will be used mainly, but not exclusively, in North America, where these securities are more commonly referenced in a CDS on ABS transaction. This form was originally published in June 2005.
Principia Partners LLC, a solution provider for structured finance operations, is providing a new solution for the management and administration of ABCP conduits. Principia's ABCP Conduit solution provides intuitive daily deal and position management that drives automated processing of invoices, advices, accounting entries and reporting (regulatory, compliance and management). The solution allows managers to add new deals or conduits, or different structured finance vehicles.
The Italian structured finance market posted strong issuance levels of about 141 billion of rated notes in 2005, a record that represented a 15.5 percent increase compared with the previous year, according to Moody's Investors Service in its 2005 Review & 2006 Outlook report for Italy. Key developments included an increased diversity in asset types, the heightened dominance of public institutions as originators and the appearance of the nation's first structured covered bond programs. Moody's anticipates a moderate increase in rated issuance to about 145 billion this year, with a continued high level of asset-type diversity and public-sector dominance.
The International Index Com-pany plans on Feb. 1, to debut its ABS-50 index - the first independent, multicontributor index of European asset-backed bonds. About 20 bond dealers are expected to contribute prices to the index, which will track the 50 most liquid tranches in the European securitization market. Eligible bonds must be floating rate, euro-denominated and triple-A rated. Further eligibility criteria include a remaining WAL of greater than 18 months, but no older than 12 months at inclusion. Any ABS/RMBS qualify for the index while eligible CDOs are limited to only SME CLOs. Wrapped or guaranteed tranches are excluded from the index. The new ABS-50 index will be rebalanced quarterly.
The European Central Bank published amendments to "The implementation of monetary policy in the euro area: General documentation on Eurosystem monetary policy instruments and procedures" for ABS. As part of the ongoing revision of the collateral framework and the creation of a single list of collateral, the ECB is introducing new specific criteria for ABS based on the structure of the transaction; composition of the pool of assets; seniority of the tranches; issuer's country of residence; and an eligibility assessment in which additional information may be requested from the Eurosystem. These five criteria for ABS will apply from May 1, 2006.
Bank of America released earnings and predicted a difficult year ahead. The reason given: the flat yield curve. While it offered few clues regarding the future of its mortgage portfolio, BofA stressed that it expects annual deposit growth to slow to about 7 percent, which in the past has been positively correlated with its mortgage portfolio growth. Securities in its portfolio amounted to $221 billion at year-end, down $6 billion from the end of Q305.
Freddie Mac announced that its portfolio increased in December while falling mortgage bond values made its securities attractive. Delinquencies on home loans backing some of its mortgage bonds increased to their highest level since 2003. The portfolio increased by $17.3 billion to $710 billion, reflecting a 29.9 percent annual rate. Two-thirds of this growth was from settled PCs (the rest were non-agency assets), probably traded in November when agency OASs on Gold 5.5s and 6s appeared to be attractive. Purchase commitments have fallen from $26.9 billion in November to $19 billion in December, back to barely covering liquidiations of about $16 billion per month. The portfolio grew 8.7 percent last year. Growth was 1.2 percent in 2004.
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