ABS

As part of its recently finalized reforms to the securities offering process, the Securities & Exchange Commission has interpreted a rule under the Securities Act of 1933 that will leave ABS underwriters liable for all deal information provided to investors up until an investment decision is made.

Rarely would a panel of four lawyers talking about securitization be considered lively, but last week's Sunset Seminar on offering reform hosted by the American Securitization Forum, managed to be just that. The panel, moderated by Thacher Proffitt & Wood partner Stephen Kudenholdt, featured Richard Careaga, senior counsel for Washington Mutual, Chad Eisenberger, director and counsel for UBS and Jordan Schwartz, partner Cadwalader, Wickersham & Taft.

The U.S. ABS primary market refused to give in to the summer slowdown as it generated around $13 billion for the third week in a row.

After roughly four years on the drawing board, Willis Lease Finance Corp. completed the first-ever term securitization backed by aircraft engine leases last week, pricing a $228 million senior/subordinated transaction via lead manager UBS. In addition to being the first aircraft lease ABS, Willis Engine Securitization Trust 2005-1 was the first operating lease asset transaction to price without a monoline surety wrap.

UCC Capital Corp. plans to price the first-ever revolving term securitization backed by licensing fee revenues from a variety of intellectual property assets. UCC Capital will act as issuer, underwriter and servicer for the proposed offering, which is expected to price within the next 30 to 45 days.

Subprime mortgage lender Saxon Capital Inc. this month simultaneously lost two of its executives. Bradley Adams, executive vice president in charge of capital markets and Mark Rogers, senior vice president and corporate strategies director, both left the company on July 15 and July 14, respectively.

Morgan Stanley introduced its new student loan ABS prepayment model last week, determining that some shorter student loan paper looks cheap versus longer dated supply. By using a different calculation of projected prepayment activity, the model provides a way of looking for value opportunities in the sector.

Due to an early delivery of logs to its parent company, Scotia Pacific Co. was able to avoid a $2.2 million shortfall and make its July 20 interest payment to noteholders - but the company's future ability to keep the notes current remains uncertain. The notes are the only publicly rated timber collateralized notes outstanding, and only one of two such deals to ever hit the market, according to Everett Rutan, an analyst at Moody's Investors Service.

The SEC's Miami office is recommending enforcement action against Bear Stearns for its involvement in the pricing, analysis and valuation of some $62.9 million of CDOs it sold to Puerto Rican bank Westernbank Puerto Rico, which is owned by W Holding Co., Bloomberg reported late last week. Bear disclosed in a July 11 Securities & Exchange Commission filing that both the SEC and New York Attorney General Eliot Spitzer are investigating Bear Stearns' CDO trading practices with clients (see ASR 7/18/05).

Standard & Poor's last week revised the way it rates seasoned NIM transactions.

ABN AMRO's so-called socially responsible CDO, which was set to hit the market June 10, has yet to launch. The CDO is reported to have been held up by snags occurring after the corporate credit downgrades of Ford Motor Co. and General Motors Corp.

Year to date as of 07/28 Term (days) 07/22 07/25 07/26 07/27 07/28 1-week

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 7,522.8 1 13.9 12 Merrill Lynch & Co Inc 7,246.0 2 13.3 9 Citigroup 6,952.2 3 12.8 12 Deutsche Bank AG 6,028.7 4 11.1 11 Banc of America Securities LLC 5,684.6 5 10.5 9 Credit Suisse First Boston 4,561.9 6 8.4 9 Barclays Capital 4,302.5 7 7.9 8 Wachovia Corp 3,712.5 8 6.8 8 Goldman Sachs & Co 2,293.6 9 4.2 3 HSBC Holdings PLC 1,826.8 10 3.4 3 Industry Total 54,319.3 - 100.0 53 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Merrill Lynch & Co Inc 17,085.3 1 23.3 24 Citigroup 9,497.8 2 12.9 20 Lehman Brothers 4,687.7 3 6.4 15 Morgan Stanley 4,658.8 4 6.4 19 Wachovia Corp 4,259.4 5 5.8 10 UBS 4,003.1 6 5.5 10 Bear Stearns & Co Inc 3,371.6 7 4.6 10 Credit Suisse First Boston 3,293.0 8 4.5 8 Goldman Sachs & Co 3,107.0 9 4.2 4 Deutsche Bank AG 2,644.5 10 3.6 9 Industry Total 73,371.1 - 100.0 174 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues JP Morgan 6,508.1 1 26.5 14 Citigroup 4,348.7 2 17.7 13 Barclays Capital 2,799.0 3 11.4 10 Morgan Stanley 2,216.5 4 9.0 4 Deutsche Bank AG 2,022.3 5 8.2 12 ABN AMRO 1,833.2 6 7.5 7 Banc of America Securities LLC 1,291.2 7 5.3 7 Credit Suisse First Boston 1,288.2 8 5.3 6 Merrill Lynch & Co Inc 624.7 9 2.5 4 Lehman Brothers 500.0 10 2.0 2 Industry Total 24,557.0 - 100.0 53 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Deutsche Bank AG 1,668.6 1 15.5 3 Barclays Capital 1,492.5 2 13.8 2 Credit Suisse First Boston 1,243.6 3 11.5 2 ABN AMRO 1,243.6 3 11.5 2 Morgan Stanley 1,191.7 5 11.0 2 Banc of America Securities LLC 750.0 6 6.9 1 Lehman Brothers 725.8 7 6.7 1 JP Morgan 725.8 7 6.7 1 HSBC Holdings PLC 566.7 9 5.3 1 Merrill Lynch & Co Inc 375.0 10 3.5 1 Societe Generale 375.0 10 3.5 1 Industry Total 10,800.2 - 100.0 9 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Lehman Brothers 40,668.8 1 10.9 77 Bear Stearns & Co Inc 34,948.3 2 9.4 74 Royal Bank of Scotland Group 32,802.4 3 8.8 53 Countrywide Securities Corp 31,333.8 4 8.4 38 Morgan Stanley 29,558.7 5 7.9 38 Deutsche Bank AG 27,346.9 6 7.3 48 Credit Suisse First Boston 26,373.8 7 7.1 57 Citigroup 21,563.1 8 5.8 42 Banc of America Securities LLC 20,157.8 9 5.4 40 Merrill Lynch & Co Inc 18,431.3 10 4.9 26 Industry Total 373,345.2 - 100.0 726 Source: Thomson Financial

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Citigroup 8,572.0 1 24.0 11 Morgan Stanley 3,884.2 2 10.9 4 Banc of America Securities LLC 3,883.2 3 10.9 6 Credit Suisse First Boston 3,346.2 4 9.4 5 Deutsche Bank AG 3,042.0 5 8.5 5 Merrill Lynch & Co Inc 2,966.4 6 8.3 3 UBS 2,527.7 7 7.1 5 Lehman Brothers 2,139.1 8 6.0 2 Goldman Sachs & Co 2,127.2 9 6.0 4 JP Morgan 1,808.5 10 5.1 4 Industry Total 35,717.5 - 100.0 29 Source: Thomson Financial

auto ABS 18% credit card ABS 7% global MBS 4% real estate ABS 58% student loan ABS 9% other 4%

Not-for-profit state education finance companies are slowly but surely turning away from the auction rate bond market and migrating to the floating-rate ABS market for financing. Rating analysts attribute the shift to a troubled year in the auction rate market and increasing investor comfort with state issuers that have previously flown below the radar.