Securitization

Business is booming for cell tower lease operators, thanks to the busy lifestyles that prompt Americans to rely more heavily on wireless communication devices, advanced technology that could take advantage of the industry's existing infrastructure and high barriers to entry that create a virtually protected market. Capital market experts expect to see steady growth in the securitization of cell tower lease payments, which parallels gains in the wireless telecommunications business.

INVESCO Senior Secured Management (ISSM) plans to close a synthetic CLO early this month, referencing $500 million in high yield bank loans through a series of total return swaps. The deal, Hudson Canyon Loan Fund, is being arranged by Citibank, which is also the protection buyer. LaSalle Bank is the trustee on the transaction.

arclays posted robust first-half results last Thursday, earning nearly $8.1 billion, up 12% from last year's first half, and citing its investment banking division as one of the drivers. Grant Kvalheim, co-president of Barclays Capital and head of investment banking, spoke with IDD about those results, and more.

This May, Sen. Carl Levin (D-MI) introduced the Stop Unfair Practices in Credit Cards Act (S.1395), pro-consumer legislation that could significantly impact the credit card industry, and which will possibly have a ripple-effect impact on the securitization of credit card receivables. Sen. Levin introduced the legislation after an investigation by the Permanent Subcommittee on Investigations, which he chairs, into the billing practices of the credit card industry.

Moody's Investors Service announced changes to its rating methodology on Alt-A RMBS transactions, including option ARM loans. Separately, Moody's also updated its methodology for rating option ARM loan securitizations.

C-BASS surprised an already jaded market last week when the company issued a statement acknowledging that it had received a substantial number of margin calls, which would hinder the liquidity of its business.

Full Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market Managers Proceeds (mils) Rank Mkt. Share # of Issues Wachovia Securities 7,948.09 1 16.98 11 JPMorgan Securities 5,503.0 2 11.757 12 Banc of America Securities 5,059.6 3 10.809 9 Citigroup Global Markets 3,342.4 4 7.141 7 Credit Suisse 3,319.7 5 7.092 6 ABN AMRO 2,783.0 6 5.946 5 Merrill Lynch 2,726.4 7 5.825 5 Deutsche Bank Securities 2,509.2 8 5.361 6 Barclays Capital 2,384.3 9 5.094 5 RBS Greenwich Capital 2,374.5 10 5.073 5 Industry Total 46,807.6 - 100.0 50 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 Global Markets 33,086.9 1 15.5 44 Merrill Lynch 31,645.6 2 14.8 38 Wachovia Securities 15,996.7 3 7.5 27 JPMorgan Securities 14,866.9 4 7.0 25 Banc of America Securities 13,816.0 5 6.5 17 Deutsche Bank Securities 13,609.7 6 6.4 29 Morgan Stanley 12,448.5 7 5.8 58 Bear Stearns 11,721.3 8 5.5 23 UBS 11,109.7 9 5.2 26 Lehman Brothers 9,197.0 10 4.3 21 Industry Total 214,055.5 - 100.0 383 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 JPMorgan Securities 14,752.5 1 27.317 25 Banc of America Securities 11,573.3 2 21.43 21 Citigroup Global Markets 8,425.0 3 15.6 13 Morgan Stanley 5,052.6 4 9.356 8 Credit Suisse 2,721.3 5 5.039 8 Deutsche Bank Securities 2,195.8 6 4.066 10 HSBC Securities 1,750.0 7 3.24 3 Barclays Capital 1,675.0 8 3.102 4 RBS Greenwich Capital 1,400.8 9 2.594 9 Wachovia Securities 1,337.5 10 2.477 4 Industry Total 54,005.3 - 100.0 85 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 Countrywide Securities 23,860.5 1 12.402 25 Merrill Lynch 19,188.39 2 9.974 20 RBS Greenwich Capital 16,382.0 3 8.515 30 Morgan Stanley 16,057.2 4 8.346 18 Lehman Brothers 15,156.9 5 7.878 24 Citigroup Global Markets 14,604.4 6 7.591 19 Bear Stearns 12,237.0 7 6.361 22 JPMorgan Securities 12,021.8 8 6.249 16 Barclays Capital 10,877.2 9 5.654 13 Banc of America Securities 8,140.2 10 4.231 22 Industry Total 192,388.7 - 100.0 242 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 Banc of America Securities 6,928.2 1 19.2 7 JPMorgan Securities 5,973.5 2 16.6 6 Deutsche Bank Securities 3,551.49 3 9.9 5 Credit Suisse 3,423.1 4 9.5 4 Barclays Capital 2,544.83 5 7.1 2 RBC Capital Markets 2,531.0 6 7.0 3 Goldman Sachs 2,326.17 7 6.5 3 Citigroup Global Markets 2,107.4 8 5.8 3 Morgan Stanley 2,090.1 9 5.8 2 Lehman Brothers 1,380.67 10 3.8 1 Industry Total 36,035.2 - 100.0 18 Source: Thomson Financial

aircraft ABS 0% auto ABS 11% credit card ABS 8% catatrophe bonds 0% enterprise finance 0% equipment ABS 2% real estate ABS 70% structured settlements 0% student loan ABS 8% trade receivables 1% utilities ABS 0%

Bad news from the housing and subprime MBS industries suppressed securitization productivity last week - and not just for mortgage-related fixed-income products.

The dislocation in the CDO market right now has posed a number of challenges for CDO managers trying to balance higher returns with palatable risk characteristics. However, there is slow to almost nonexistent activity in ABS CDO new issuance, and collateral is trading well below its intrinsic value. As a result, CDO managers have recently been confined to surveillance.

Nomura Securities, for practical purposes, closed its fixed-income research department when it dismissed its six-member team over the course of several weeks, culminating in the departures of three major securitization researchers last week.

The subprime mortgage market is in a tailspin - even the Alt-A and prime markets are showing signs of strain. However, GMAC Mortgage is moving ahead with plans to finance a variety of mortgage loans. The company is sponsoring another loan warehouse program under the name Mortgage Interest Network Trust (MINT).

As investors anxiously waited last week for Standard & Poor's conference call about rating methodology alterations to closed-end second-lien RMBS, Starship's 1987 hit "Nothing's Gonna Stop Us Now" played over the conference call lines. The song seems very appropriate in light of the endless amount of rating activities and methodology alterations that have hit the market from S&P, Moody's Investors Service and Fitch Ratings. Whether these rating adjustments are sufficient, however, remains to be seen as market players cite little to no activity in the second-lien market.

The July remittance data brought more bad news to an already down and out market, including the deterioration of credit performance for all indices at a faster pace than the previous two months, according to a report from Lehman Brothers.

With heightened risk aversion sending spreads in the CDO market to gaping widths, the CLO market has seemed to remain intact. However, spillover from the subprime turmoil and hedge funds' recent attempts to divest their loan positions will push CLO liability spreads wider, market participants predict.

Susquehanna Bancshares in Lititz, Pa., has scrapped its plan to do a commercial loan securitization this year.