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AUGUST 12, 2011

6 LEADING NEW-ISSUE UNDERWRITERS 2 Moodys Scurries to Explain Loan Data 2 More CLOs Get Passing Grades 3 Nissan Soups Up Issuance Plans 3 BayernLB Presses Case vs. Aladdin 3 BNP Conduit Goes Out of Business 4 Mortgage-Bond Trading Runs Dry 4 Fortress Clones Opportunistic Fund 9 CALENDAR 10 INITIAL PRICINGS

Hudson Initiative Gets New Life at 20 Gates


Hudson Castles recent troubles have opened a new door for 20 Gates Management.

As Hudson Castle began dissolving its core commercial-paper conduit business, the New York firm agreed on July 1 to sell the operations of its newly launched Financial Institutions Funding vehicle to 20 Gates a firm that former Credit Suisse executives Hans Bald and Joe Soave set up a year ago. The development sheds light on a statement by Hudson at the time that it had sold assets tied to its conduit-management business, but not its two main issuing vehicles. Those entities, Belmont Funding and Ebbets Funding, have since unwound. For 20 Gates, the purchase of Financial Institutions Funding creates the opportunity for a major expansion. The firms main focus so far has been acting as the lead dealer for Credit Suisses only conduit, the $4 billion Alpine Securitization. Now, the
See HUDSON on Page 5

Downgrade Deals Setback to Issuance Plans


S&Ps downgrade of the U.S. has put an abrupt halt to plans for new asset-backed bond deals. In the auto-loan sector, issuers including Ally Financial and Toyota have hit the brakes on offerings that were slated to price in the days following S&Ps Aug. 5 rating cut. A franchise-fee securitization from Dominos also stalled, after a few weeks of marketing. A few not-for-profit education lenders appeared to pull back as well. Sources cited general financial-industry nervousness as the culprit, saying issuers and buyers alike wont act until they gain a better sense of how the governments loss of its triple-A rating and other recent sources of financial upheaval play out across various markets. Theyre especially keeping an eye on stocks, with the expectation that dealflow wont resume for a week or more. We certainly had a few clients ready to get a deal done this week, but once we saw what the equity market did in response to the downgrade, we pulled the plug, one banker said, referring to
See SETBACK on Page 5

THE GRAPEVINE
BTIG has dismissed two of the last

remaining members of its structuredproduct brokerage desk. The latest to go were mortgage-bond trader Greg Ikhilov and Jennifer Pariseau, who handled both sales and trading functions. Both had joined BTIG in 2010 Ikhilov from Nomura and Pariseau from Huxley Capital as the New York firm was attempting to establish a presence in structured finance. The shop, best known for its work in equities, saw a number of staffers leave the group late last year and early this year. The retreat apparently became official following the April exit of industry veteran Dan Castro, a former Huxley executive who headed structured-product analytics and strategy. Fund manager Candlewood Investment is still raking in profits. The $1.1 billion
See GRAPEVINE on Back Page

Lenders Metamorphosis to Rely on ABS


Main Street Bank to avoid regulation by ripping up its bank charter. The company, which is reorganizing under the banner Ascentium Capital, is aim-

It looks like securitization will play a key role in plans by small-business lender

ing for next year to float a Rule-144A securitization of undisclosed size. The deal would be the first in a routine series of similar offerings. Word got out this week that Main Street, led by Tom Depping, was aiming to shutter its banking operations late this year in an attempt to escape increasingly stringent government controls on banks. As part of the effort, the Kingwood, Texas, bank agreed to sell all four of its branches to Green Bank essentially leaving Depping with the framework to create a non-bank small-business lender with less regulatory oversight. Dubbed Ascentium, the new operation is forming with a $75 million equity injection from Paul Allens Vulcan Capital and Luther King Asset Management. UBS is
See METAMORPHOSIS on Page 5

August 12, 2011

Asset-Backed

ALERT

Moodys Scurries to Explain Loan Data


An alarming report from Moodys Analytics on the performance of securitized student loans is causing headaches for the companys bond-rating analysts. The Aug. 2 document contained a claim that defaults among education loans written since mid-2008 are higher than those displayed by accounts from 2006 and 2007 after a similar amount of seasoning apparently casting doubt on the widely held belief that newer assets are of higher credit quality. On top of that, Moodys Analytics says even more loans are likely to go bad. So whats the trouble for the rating agency? The report was cited in a number of online news stories that didnt initially specify the information came from Moodys Analytics, which operates separately from the companys bond-rating arm. Since then, Moodys has faced the task of explaining why it isnt planning a corresponding wave of downgrades for student-loan securitizations. The key point: Moodys Analytics data encompasses both private loans and credits guaranteed under the U.S. Department of Educations Federal Family Education Loan Program, even though the two types of receivables dont make it into the same securitization pools. Moodys rating analysts grade private-loan deals separately from FFELP issues, which make up a majority of supply in

the sector and account for most defaults. And because FFELP transactions enjoy a government backstop, the impact of charge-offs within their collateral pools is greatly diminished. Moodys points out that FFELP credits were typically originated with looser underwriting standards than private loans, where lenders became more cautious during the financial crisis. Indeed, private loans have seen defaults decline for more than a year. Industry players have been counting on private credits to ensure a continued supply of student-loan securities going forward, given the fact that the Department of Education stopped offering new FFELP guarantees a year ago. Among both types of accounts, 2.3% of loans written from 2008-2010 defaulted during the first half of this year. Thats up from 0.2% during the year-earlier period, according to the Moodys Analytics report.

More CLOs Get Passing Grades


The number of collateralized loan obligations in Europe that lack the assets to cover their liabilities is back on the decline but not to the levels seen in the U.S., where deal performance has been stronger. According to a Moodys index, 22% of European CLOs failed their monthly overcollateralization tests in June. That compares to 26% in May, 24% in April, 27% in March and 29% in February. Meanwhile, the failed-test rate among U.S. transactions has held steady at 7% since February. Moodys attributes the stability in the States to consistent asset performance and anticipates more of the same going forward, barring another economic downturn. The agency also sees more improvement ahead in Europe. Over-collateralization tests measure whether CLOs assets exceed their liabilities, plus a small cushion. Those that fail can be forced to redirect cashflows among bondholders or accelerate principal payments. The Moodys index tracks issues from the 20002008 period.
140 135 130 125 120 115 110 105 100 Junior OC 95 12/08 3/09 6/09 9/09 12/09 3/10 6/10 9/10 12/10 3/11 6/11 Source: Moody's Senior OC

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CLO Performance

Over-collateralization levels for U.S. issues (%)

August 12, 2011

Asset-Backed

ALERT

Nissan Soups Up Issuance Plans


Nissan is mapping a substantial acceleration in its issuance volume. In recent talks with securitization bankers, representatives of the Japanese automaker have indicated they expect to sell some $5 billion of bonds in 2012 mainly deals backed by prime-quality loans and leases written in the U.S. That would be Nissans highest output of asset-backed securities since 2005, when it sold $6.2 billion of such bonds, according to Asset-Backed Alerts ABS Database. So far this year, the companys issuance has totaled just $1.9 billion, including $875 million of auto-loan bonds that priced July 14 via J.P. Morgan. Talk was circulating this week that Nissans next deal will hit the market in September and weigh in at about $1 billion. Nissans full-year production is expected to total about $3.5 billion, which would mark its lowest output since selling just $3.2 billion of asset-backed securities in 2008 amid the credit-market collapse. Like other Japanese car companies, Nissans manufacturing volume and issuance plans were disrupted this year by the March 11 earthquake and tsunami in Japan. That said, Nissan fared better than its main rivals, positioning it to ramp up production of asset-backed securities starting next year. For the first half of 2011, Nissans global sales rose 12.1% from the year-ago period and jumped 18.5% in markets outside of Japan. In March, the Nissan Altima for the first time ranked as the top-selling sedan in the U.S., ahead of the usual frontrunners, Hondas Accord and Toyotas Camry. Indeed, Toyota saw its April-June sales slip 17.8%, leaving the company with a dearth of loans and leases to securitize. Toyota has issued only once this year, selling $579.5 million of bonds in January. The company also had a $600 million transaction on tap for this week, but delayed the effort due to financial-market instability (see article on Page 1). How did Nissan emerge from the March 11 disaster relatively unscathed? For one thing, it had bigger vehicle inventories than some of its rivals, making it less vulnerable to assemblyline disruptions. It also had a robust product-development pipeline that allowed it to launch 10 new models this year.

sider her decision. Specifically, BayernLB said it wasnt given an adequate opportunity to demonstrate that Aladdin was guilty of gross negligence a finding that would trump the banks status as a sophisticated investor. Aladdin, of Stamford, Conn. filed a counter-motion on Aug. 8, saying BayernLB merely is trying to sneak a legally deficient claim through the door. The judge is expected to decide the matter within a few weeks. BayernLB blames Aladdin for misrepresenting the deals collateral. Specifically, the bank says it agreed to invest in the CDOs subordinate tranches investments protected by a relatively low subordination level because Aladdin represented the collateral as high quality. But soon after the transaction was issued, the bank contends, the manager replaced some of the initial collateral with much riskier investments. During the financial crisis, the CDO was buffeted by a series of credit events including the collapse of Lehman Brothers and sale of Washington Mutual to J.P. Morgan that ultimately caused it to collapse. Aladdin was once an active issuer of collateralized debt obligations backed by leveraged loans and structured products. Before the credit crisis, the firm produced more than $16 billion of CDOs and CLOs.

BNP Conduit Goes Out of Business


BNP Paribas has shuttered one of its two commercial-paper conduits. The entity, Thesee, retired its outstanding obligations a few weeks ago and moved its last seller into the banks only other conduit, Matchpoint Finance. At the end of the first quarter, Thesee had $450 million of paper in the hands of investors. The move is unrelated to the credit-market turmoil that has buffeted French banks in recent weeks, dropping BNPs stock from about 54 ($77) a share at the beginning of July to about 35 late this week. Indeed, as early as last year, BNP signaled to the rating agencies that it intended to unwind the Thesee vehicle. Why now? Mainly because of dwindling demand for assetbacked commercial paper. BNP simply no longer needs two conduits, and Matchpoint has several advantages over Thesee. For one thing, it is a lot bigger, with $2.3 billion of paper outstanding as of March 31. And its newer, having formed in 2005. Thesee had been around since 1998. Finally, BNP apparently wasnt keen on the fact that Thesee was domiciled in the Isle of Jersey, at a time when investors have shown a strong preference for more regulated jurisdictions. Matchpoint is domiciled in Delaware. Like Thesee, Matchpoint issues paper both in the U.S. and Europe. The volume of asset-backed commercial paper in the hands of investors has fallen steadily since the onset of the credit crisis in 2007, when U.S. outstandings peaked at $1.2 trillion. As of Aug. 10, that total had fallen to $362.1 billion, according to the Federal Reserve.

BayernLB Presses Case vs. Aladdin


Bayerische Landesbank is making a last-ditch effort to revive a lawsuit against Aladdin Capital. The suit, which accuses Aladdin of negligence in its management of a 2006 collateralized debt obligation, was dismissed by a federal judge last month on the grounds that BayernLB is a sophisticated financial institution that should have recognized the risks of investing in the deal. The Munich bank, which says it lost its entire $60 million investment in Aladdin Synthetic CDO 2, responded with a July 15 motion asking U.S. District Court Judge Denise Cote to recon-

August 12, 2011

Asset-Backed

ALERT

Mortgage-Bond Trading Runs Dry


It appears that the supply of home-loan paper on the secondary market has finally come into balance with demand. That is to say, there isnt much supply at all. Investment banks were heavy sellers of private-label mortgage bonds in June and July, causing supply to exceed tepid demand from investors. But traders now say those shops are running low on inventory and thus are circulating fewer bid lists. The result is an equilibrium that could point toward stable prices in the weeks ahead, with trading volume remaining light. On average, senior securities backed by alternative-A loans saw their prices fall from 77-80 cents on the dollar a week ago to 7075 cents this week. But that movement was brought on mainly by nervousness resulting from S&Ps downgrade of the U.S. and isnt seen as likely to continue in the short term. That said, industry players have expressed worries in recent weeks about weak economic forecasts and government-budget strains bringing about a longer-term slide in values and those concerns remain in place. The movements contrast with what has been happening in the market for agency-mortgage bonds, where values have risen as pension systems and other investors look for safe, long-term positions. The only large-scale auction of private-label mortgage bonds to take place this month was an $8.5 billion sale that Dexia completed at the end of last week. But that transaction,

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mostly involving subprime-loan securities, had little effect on values. The reason: The Brussels bank took its time in negotiating with buyers, after saying in May that it would unload the positions while accelerating a broader deleveraging campaign. Dexia eventually found a group of private equity firms willing to absorb the portfolio. Sources said the approach contrasted with the one the Federal Reserve took in attempting to shed the holdings of its Maiden Lane 2 vehicle, an effort that marked the genesis of the current slide in values. The Fed set out in April to liquidate Maiden Lane, which it created in 2008 to take on a mix of home-loan bonds from AIG as part of the governments bailout of the troubled insurer. Initially, the approach entailed weekly bid lists of $1 billion or more. However, that strategy quickly outpaced investor demand causing values to plunge. Early buyers of the Maiden Lane paper included investment banks that were flipping the securities to other investors. They stepped back in early June, and focused instead on lightening their existing mortgage-bond inventories amid shaky economic and housing-market indicators. Back then, senior alt-A paper was trading around 55-60 cents on the dollar. Oddly, values crept up after that, to 6070 cents in mid-June and as much as 80 cents in July, even as traders insisted that banks were overloading the market with their investments. One possible explanation for the distortion: The Feds sales depressed prices so severely that even the weak technicals that prevailed in June and July appeared to be an improvement. The market responds very well when things are done right and you dont announce that youre dumping $30 billion of bonds over the next nine months, one trader said of the Feds efforts, which have since been put on hold.

Fortress Clones Opportunistic Fund


Fortress Investment is marketing the latest in a series of opportunistic funds whose investments include structured products. The firm is seeking to raise $1.5 billion of equity for the vehicle, Fortress Credit Opportunities Fund 3, according to sister publication Hedge Fund Alert. Like its predecessors, the entity would use some of its capital to buy devalued asset-backed bonds and a mix of real estate debt including whole loans and mortgage-backed securities. The fund also would purchase illiquid corporate debt and consumer-loan portfolios, and would participate in bank recapitalizations. The first fund in the series collected about $3 billion in 2009. It was followed by a $2.6 billion sequel in 2010. Both are producing internal rates of return exceeding 30%. The funds have an overall horizon of 10 years to accumulate and liquidate their investments. They are overseen by Peter Briger and Dean Dakolias, who also supervise the investment team for the New York firms well-known Drawbridge Special Opportunities Fund. Fortress manages $43.8 billion overall.

attendees registered tO date:


Banca IMI Securities Corp. Banca IMI SpA Bank of America Merrill Lynch Blackrock BMO Capital Markets BNP Paribas BofA Global Capital Management Chapman and Cutler LLP Charles Schwab Investment Management Citi Clifford Chance CIS Ltd. Cooperative Association of Tractor Dealers, Inc. (CATD) Crdit Agricole Credit Suisse DB Advisors Dexia Credit Local Dreyfus Corporation FDIC Federated Investors Fidelity Investments Fitch Ratings Ford Motor Company GA Capital Management LLC Guggenheim Treasury Services Harris Investments Honeywell J.P. Morgan Lloyds Banking Group Mayer Brown LLP MetLife Investments Moody's Investors Service Office of the Comptroller of the Currency (OCC) PB Capital PNC Reconnaissance Advisers, LLC Royal Park Investments SA/NV Russell Investments SG Corporate & Investment Banking Standard & Poor's State Street Global Advisors T. Rowe Price Tradeweb UBS Global Asset Management Wells Capital Management Wells Fargo Securities, LLC WestLB AG Zions Bank Capital Markets

THANK YOU TO iiBIG CONFERENCE SUPPORTERS:

fOr mOre Rita Karsadi, Managing Director, Finance Division, iiBIG infOrmatiOn: Phone: 704-999-9806 E-mail: ritak@iibig.com
For Conference Updates & To Register: www.iiBIG.com/CommercialPaper

August 12, 2011

Asset-Backed

ALERT

Setback ... From Page 1


wild swings in stock prices this week. The moves punctuate a slowdown that already has been taking shape in the asset-backed bond market for several months. A mere $10.1 billion of such deals closed in July, down from $15.9 billion in June, according to Asset-Backed Alerts ABS Database. That spigot has now turned off, said Scott McDonald, who heads economic and credit research at broker-dealer Aladdin
Capital.

Investors Bank & Trust. Ostergaard was on board at Hudson for two years. Before that, she logged 10 years each at Morgan Stanley and J.P. Morgan.

Indeed, it appeared the only securitization completed in the States this week took place outside the asset-backed sector. That transaction, a $370 million collateralized loan obligation that Citigroup placed on behalf of GSO Capital, priced Aug. 8. It hit the market Aug. 5. For an issuer to be in a position to complete an offering by the end of this week, it would have needed to have marketing materials in front of investors on Wednesday. But industry players reported no such activity. Santander filed a registration with the SEC on Aug. 8 for an offering of bonds backed by subprime auto loans. But bankers said the lender had no plans to bring the offering to market this week, and instead wanted to be ready to issue once conditions stabilize. Given the lack of supply, its difficult to peg the values of new asset-backed bonds. However, prospective issuers who have been keeping track of secondary-market prices dont like what they see. Senior securities backed by mainstream consumer assets are changing hands at spreads 2-5 bp wider than a week ago, when two-year auto-loan paper was trading at 15 bp over swaps and similar credit-card obligations were going for 10 bp over Libor. Student-loan securities saw spreads widen by as much as 15 bp. Allys deal was penciled in for $1 billion, with J.P. Morgan and RBS serving as underwriters. Toyota was looking at a $600 million transaction, likely with Credit Suisse running the books. Barclays has been working on Dominos $1.2 billion issue, which is designed to refinance existing obligations.

The roster at 20 Gates also includes former Credit Suisse staffers Josh Borg, Mark Golombeck, Anita Johal, Oliver Niseson and Alex Smith, among others. Bald oversaw Credit Suisses conduit division, while Soave served as head of asset-backed commercial-paper trading and conduit administration. At 20 Gates, they lead a group of dealers that distribute Alpines securities. They also handle certain reporting functions for the vehicle and review legal documents. While the duo already handles similar work for a few small clients, the establishment of Mountcliff marks 20 Gates first large-scale effort to land customers other than Credit Suisse. As for Hudson Castle, it suffered a series of blows during the financial crisis that culminated in a warning from Moodys in June that it might cut the P-1 ratings assigned to paper issued by Belmont and Ebbets. While the move didnt reflect the quality of the conduits assets and instead was brought on by liquidity suppliers Bank of America and Citigroup being placed on watch for downgrades it instantly became harder for the vehicles to find buyers for their paper. Moodys withdrew its ratings for Belmont and Ebbets on Aug. 9, as the conduits finished unwinding their portfolios.

Metamorphosis ... From Page 1


kicking in a $250 million warehouse line, which Depping will use to accumulate loans until his shop is ready to securitize. The arrangements contrast with Deppings approach at Main Street, which funded its business with FDIC-insured deposits. However, Ascentium would share its predecessors lending focus: writing loans to a range of small businesses nationwide, mostly to finance purchases of equipment that would serve as collateral for the accounts. Ascentium is set to take over $150 million of such loans from Main Street. Green Bank would get the rest of the banks portfolio mostly auto loans amounting to $10 million. Ultimately, Ascentium sees itself running a $500 million book of loans. The outfit would closely resemble First Sierra Financial, a small-business lender Depping founded in 1994. By the time it was purchased by American Express in 2001, First Sierra had completed nine securitizations totaling $1.6 billion, according to Asset-Backed Alerts ABS Database. Many of First Sierras former executives reassembled under Depping when he led a buyout of Main Street in 2004. But the bank began to come under regulatory pressure in 2009, when the FDIC instructed it to increase its reserve capital and diversify its holdings 90% of which consisted of its small-business loans. The insurer also ousted Depping as chief executive, although he remained in place as chairman. Frustrated with the intervention, Depping has pointed out that Main Streets loans have enjoyed low defaults and that the companys focus on equipment lending helped insulate it from mortgage-related losses that caused many other banks to fail in recent years.

Hudson ... From Page 1


plan is to use Hudson Castles former vehicle to offer funding to a range of clients. The conduit, renamed Mountcliff Funding, would extend that financing in part by buying bonds backed by various consumer assets. Hudson Castle began assembling Financial Institutions Funding a few months ago. In the process, it secured ratings of P-1/R-1 from Moodys and DBRS for the vehicles paper. The firm planned to start issuing through the entity in early June but wound up never taking that step. Its unclear when 20 Gates will begin buying assets through Mountcliff, or if it needs to renegotiate with the rating agencies. As part of its acquisition of the conduit, the firm brought in former Hudson Castle vice president Vidrik Frankfather and managing director Trisha Ostergaard. Frankfather spent more than 10 years at Hudson Castle, and before that worked at

August 12, 2011

Asset-Backed

ALERT

Leading New-Issue Underwriting Platforms


The listing below shows contact information for the topranking securitization professionals at the investment banks that consistently distribute the most new asset- and mortgagebacked bonds in the U.S. and Europe. In most cases, the institutions contained in the rundown are the same ones that have routinely won rankings atop league tables published by Asset-Backed Alert. However, the listing leaves off some banks in Europe that scored high in recent rankings but derived their volume solely by retaining deals for use in government-run liquidity programs or by leading just a few large collateralized loan obligations. Head traders are in charge of buying and selling securities for their employers and clients, while those in charge of syndicate desks distribute issues in cooperation with other banks. Head bankers oversee deal origination, structuring and other areas unrelated to the trading and syndicate operations.

Banks in US
HEAD ABS TRADER Bank of America Charles Sorrentino, 646-855-9095 charles.sorrentino@baml.com Barclays Chris Haid, 212-412-2449 chris.haid@barcap.com HEAD ABS SYNDICATE Brian Kane, 646-855-9095 brian.f.kane@baml.com Brian Wiele, 212-412-5780 brian.wiele@barcap.com HEAD ABS BANKING Ted Breck, 646-855-4240 ted.breck@baml.com Diane Rinnovatore, 212-526-5460 diane.rinnovatore@barcap.com Cory Wishengrad, 212-526-1305 cory.wishengrad@barcap.com Gerald Keefe, 212-816-3416 gerald.keefe@citi.com Susan Mills, 212-723-6376 susan.mills@citi.com

Citigroup

Eliot Rubenzahl, 212-723-6325 eliot.rubenzahl@citi.com Philip Seares, 212-723-1145 philip.seares@citi.com Geoffrey Chang, 212-723-6289 geoffrey.chang@citi.com Ted Moran, 212-325-2747 ted.moran@credit-suisse.com Pius Sprenger, 212-250-7730 pius.sprenger@db.com

Amanda Magliaro, 212-723-6171 amanda.magliaro@citi.com

Credit Suisse Deutsche Bank

Craig Leonard, 212-325-8549 craig.leonard@credit-suisse.com Randall Outlaw, 212-250-4880 randall.outlaw@db.com

Jay Kim, 212-538-6601 jay.j.kim@credit-suisse.com Kristi Leo, 212-250-2627 kristi.leo@db.com Jay Steiner, 212-250-8424 jay.steiner@db.com Michael Millette, 212-902-3702 michael.millette@gs.com Curtis Probst, 212-902-6595 curtis.probst@gs.com David Duzyk, 212-834-5657 david.m.duzyk@jpmorgan.com Valerie Kay, 212-761-2162 valerie.kay@morganstanley.com Daniel McGarvey, 203-897-6217 daniel.mcgarvey@rbs.com Julie Caperton, 704-374-4918 julie.caperton@wellsfargo.com

Goldman Sachs

Deeb Salem, 212-902-5090 deeb.salem@gs.com

Scott Walter, 212-357-8910 scott.walter@gs.com

J.P. Morgan Morgan Stanley RBS Wells Fargo

Peter Basso, 212-834-3720 peter.basso@jpmchase.com Jay Hallik, 212-761-2252 jay.hallik@morganstanley.com Adam Siegel, 203-897-6160 adam.siegel@rbs.com Sergei Zagin, 704-383-8268 sergei.zagin@wellsfargo.com Doug Lucas, 704-715-8446 doug.lucas@wellsfargo.com

Andy Cherna, 212-834-4154 andy.cherna@jpmorgan.com Matthew Diczok, 212-761-0925 matthew.diczok@morganstanley.com Bob Pucel, 203-897-6160 robert.pucel@rbs.com Jennifer Doyle, 704-715-7008 jennifer.doyle@wellsfargo.com

See BANKS IN EUROPE on Page 7

August 12, 2011

Asset-Backed

ALERT

Banks in Europe
HEAD ABS TRADER Barclays BNP Paribas Stuart Calnan, 44-207-773-9056 stuart.calnan@barcap.com Olivier Morand-Duval, 44-207-595-8529 olivier.morandduval@uk.bnpparibas.com Rohit Hemdev, 44-207-986-9393 rohit.hemdev@citi.com Alok Verma, 44-207-888-1289 alok.verma@credit-suisse.com Nick Waring, 44-207-547-3157 nick.waring@db.com Alexander Harrison, 44-207-991-5767 alexander.harrison@hsbcgroup.com Borja Taboada, 44-207-779-2331 borja.taboada@jpmorgan.com Andrew Bristow, 44-207-158-3998 andrew.bristow@lloydsbanking.com Pradeep Pattem, 44-207-085-0326 pradeep.pattem@rbs.com Derrick Herndon, 44-207-567-2935 derrick.herndon@ubs.com HEAD ABS SYNDICATE Miray Muminoglu, 44-207-773-9098 miray.muminoglu@barcap.com Damian Saunders, 44-207-595-8219 damian.saunders@uk.bnpparibas.com Keval Shah, 44-207-986-9000 keval.shah@citi.com Alok Verma, 44-207-888-1289 alok.verma@credit-suisse.com Kevin Flaherty, 44-207-547-2735 kevin.flaherty@db.com James Cunniffe, 44-207-991-5335 james.cunniffe@hsbcgroup.com James Crispin, 44-207-779-2468 james.h.crispin@jpmorgan.com Bob Paterson, 44-207-158-2110 bob.paterson@lloydsbanking.com Damon Mahon, 44-207-085-7346 damon.mahon@rbs.com Arman Peter, 44-207-567-2477 arman.peter@ubs.com HEAD ABS BANKING Allen Appen, 44-207-773-2243 allen.appen@barclayscapital.com Fabrice Susini, 44-207-595-3510 fabrice.susini@uk.bnpparibas.com David Basra, 44-207-986-9236 david.basra@citi.com Jay Kim, 212-538-6601 jay.j.kim@credit-suisse.com Massimo Ruggieri, 44-207-545-4321 massimo.ruggieri@db.com Scott Dickens, 44-207-991-5791 scott.dickens@hsbcgroup.com Oldrich Masek, 44-207-325-9758 oldrich.masek@jpmorgan.com Robert Plehn, 44-207-158-3735 robert.plehn@lloydsbanking.com Lee Rochford, 44-207-085-6311 lee.rochford@rbs.com Francesco Dissera, 44-207-568-8468 francesco.dissera@ubs.com Jennifer Wallaert, 44-207-568-6692 jennifer.wallaert@ubs.com

Citigroup Credit Suisse Deutsche Bank HSBC J.P. Morgan Lloyds Banking RBS UBS

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ed ba ll arrang left BM r busines outfit expe lsh, fo wi perienc ened cker. The te Wa s Six ex a firm that by Pe pital, op ba ligation up rs, ledDegrees Ca disclosed to set debt ob ng up an staffe un alized tti tions. departing eration, Sixtal from an end. collaterm is also se es of CDOs The ased op year uer of fir piec p capi go-b of startu million bya routine iss ucts. The d equity rd Chica illion od deals. be $400 ne an SET-B wn Ca s own that 00 m additional Degrees to uctured pry mezzani 10 AS ing Do de $1 ck gree itu str bu an ing Alt Six De transactionsPage 8 las Tra raise s call for Six ent-grade that would ts. Cruis from 2 Cabe als en stm t fund Nears Plan come ely involve See BMO on er De en Street by inve instrum would lik Discov ch 3 State backed tive-investm d-finance vestments ldings will Off on re in e Crun Signs alterna her structu nds CDO finance ho bprim odys 3 Mo Feel Su to Plan and ot e of the fu structuredyers to fense tings Ra Som vehicles re Bu t of De rsonnel Over 3 Mo e rtmen Odds orary tary pe Depa And th cies at ly Temp g the t U.S. mili es On 4 Agen 07, urgin ols ec to Loss ar 20 o -A Po ls are d to prot ng Au siona wh ne y in Alt scal Ye 4 Spiki Repla profes law desig for Fi ay lenders ed t stry w e Woes the ne tion Ac payd n-indu ope of a ne rtgag thoriza t so-called guing with ort-term izatio 9 Mo sc se Au ge Security limit the rs. t ar at t, sh AR l Defen pts to tar ayers aren gh-interes wever, th de LEND all na 6 CA ho drastic edatory lenner Natio ber, attem arket pl write hi NGS rried, of main PRICI pr ITIAL from John War ss in Octo y bases. M ts, which They are wo g activities . 14 IN TOR ngre The ilitar iilies outfi hecks. suin MONI by Co near m -shady eir fam day-lim payc RKET bond-is enacted t up shop sometimes upcoming ding and nnel and th g the pay ties. 15 MA se often in those borrowers rtail the len ted perso plementin t those du ge high lis ar to reinsecured by rtently cu al with en sible for im ll carry ou t only ch on Page 9 wi F ve loans will inad ops who de se is responfor how it ritized, no See AS the law finance sh t of Defen a proposal seldom secu en stream Departm is drafting edits are The les, and whose cr llateral ru rs, s of co tation ay lende a serie Payd first in r runE th the own foe-relatr EVIN ard wi best kn ag broade GRAP g forw m st in mortg e arbined a d been in ., fir THE Th ha s assig is mov , Conn s that inve offering. , with a nk ha bert, who product ment e nwich ion on nage he Ba Al de Gree obligati derwrite th $500 mill s. Deutsc Richard D securitize ent isnt ton Ma to l Elling obligation t is that th zed debt ed un ed role to g its globa new assignm lk assum e n ali million ley to leverag stree ized loa d on the and collater rgan Stan total $400 cured rehouse headin DAlberts and Erik Fas ago. Byrn nior-se e Wor e funds a wa red Mo pected to group. Frank Byrn a few week Deutsche ted se the use of dg ex has hi ndica nd ning he rities nsaction is clear. er duties of a unit lk was over dly sy through e seco cu ge rm ed se riented tra in April. tly by broa mulating ring th , as part his fo en in char finance. Fa m. Both ve ing du 2 trage-opricing date cked mos now accu r offer g the initiati N on Page had be bal asset tuations tea ila is a sim erseein e ELLINGTO likely uld be baEllington . calls gloa special-si York. with Se It wo ts that anley the issue thwell is ov n and seeing sed in New gan St Bo , asse Brow mes an loans from Mor d follow uprector Eric e ba Ja ar llm ue Pu tween facility gton woul anaging di ttle be king boutiq the singers ba Ellin e year. M A legal ent-ban following after the th half of investm in limbo Pullman out a $25 is ke ed Group Brown su ans to ta of pl ge . death cked his Royal Bank on Back Pa firm blo loan from e GRAPEVINE Se ion mill

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August 12, 2011

Asset-Backed

ALERT

CALENDAR
Main Events
Dates Oct. 16-18 Jan. 22-25,2012 Event ABS East ASF 2012 Location Miami Las Vegas Sponsor IMN ASF Information www.imn.org www.americansecuritization.com

Events in US
Dates Sept. 12-13 Sept. 14-15 Sept. 14-15 Sept. 15 Sept. 19-20 Sept. 20 Sept. 21 Sept. 22 Sept. 22 Sept. 22-23 Sept. 27 Oct. 3 Oct. 3-5 Oct. 5 Oct. 6 Oct. 16-18 Oct. 17 Oct. 18-19 Oct. 20-21 Oct. 23-26 Oct. 24-25 Oct. 25 Nov. 7 Nov. 7 Nov. 16 Nov. 30-Dec. 1 Event Securitization Fundamentals Risk Management for Non-Quants Commercial Paper Executive Summit Basel III Conference Regulatory Symposium Fixed Income 101: Products & Markets Sunset Seminar LPC Loan Conference MBS: Introduction to Securitization & Processing Life Settlements Conference 2011 Municipal Bond Summit Compliance Conference Life Settlement Conference Sunset Seminar Covered Bonds Risk Management Conference Fundamentals of Swaps & Other Derivatives 2011 Advanced Swaps & Other Derivatives 2011 Aviation Finance Summit American Bankers Association Annual Convention Applied Securitization Fixed Income Masterclass SIFMA Annual Meeting Introduction to Credit Default Swaps Sunset Seminar Covered Bonds: Credit & Market Risk Workshop Location New York New York New York New York Washington New York New York New York New York Las Vegas New York Atlanta Atlanta Charlotte New York Washington New York New York New York San Antonio New York New York New York New York New York New York Sponsor ASF FMW iiBIG ISDA American Banker FMW ASF Thomson Reuters FMW Deal Flow Media SIFMA LISA LISA ASF IMN RMA PLI PLI Winston Baker ABA ASF FMW SIFMA FMW ASF Fitch Information www.americansecuritization.com www.fmwonline.come www.iibig.com www2.isda.org www.americanbanker.com www.fmwonline.com www.americansecuritization.com www.loanpricing.com www.fmwonline.com www.dealflowmedia.com www.sifma.org www.thevoiceoftheindustry.com www.thevoiceoftheindustry.com www.americansecuritization.com www.imn.org www.rmahq.org www.pli.edu www.pli.edu www.winstonbaker.com www.aba.com www.americansecuritization.com www.fmwonline.com www.sifma.org www.fmwonline.com www.americansecuritization.com www.fitchtraining.com

Events Outside US
Dates Event Location Sept. 22 Basel 3 Conference London Sept. 22-23 Debt Capital Markets in Mexico Mexico City Sept. 27-28 Basel 2 & 3 London Oct. 19-20 Insurance Linked Securities Summit Asia Hong Kong Nov. 1-2 Covered Bonds: Credit & Market Risk Workshop Frankfurt Nov. 7-8 Covered Bonds: Credit & Market Risk Workshop London Nov. 10-11 South African Capital Markets Conference Cape Town Nov. 21-22 Australian Securitisation Conference 2011 Sydney Aug. 22-23 Covered Bonds World Australia 2011 Sydney Nov. 28-29 CoCo Bond Congress Europe 2011 London Dec. 5-7 Securitisation World 2011 London Dec. 5-9 RiskMinds 2011 Geneva March 22-23, 2012 Global Covered Bonds Conference London To view the complete conference calendar, visit The Marketplace section of ABAlert.com Sponsor ISDA IMN Fitch IQPC Fitch Fitch IMN ASF Terrapinn Terrapinn Terrapinn ICBI IMN Information www2.isda.org www.imn.org www.fitchtraining.com www.ilsasiasummit.com www.fitchtraining.com www.fitchtraining.com www.imn.org www.securitisation.com.au www.terrapinn.com www.terrapinn.com www.terrapinn.com www.informaglobalevents.com www.imn.org

August 12, 2011

Asset-Backed

ALERT

10

INITIAL PRICINGS
Harley-Davidson Motorcycle Trust, 2011-1
Priced: Amount: Collateral: Seller: Bookrunners: Class A-1 A-2A A-2B A-3 A-4 B M/S A-1 AAA AAA AAA AAA AA Aug. 4 $573.4 million Motorcycle loans Harley-Davidson Citigroup, J.P. Morgan, RBS Amount 140.000 100.000 75.000 160.000 71.140 27.240 Yield 0.289 0.618 0.965 1.317 2.132 WAL 0.32 1.10 1.10 2.20 3.23 3.59 Spread -2 +20 +20 +40 +50 +120 Benchmark Int. Libor EDSF 1 mo. Libor Int. Swaps Int. Swaps Int. Swaps

Pylon Capital Ltd., 2


Priced: Amount: Collateral: Seller: Bookrunners: Class S&P A B+ B BAug. 3 150 million Catastrophe bonds Natixis Natixis, Swiss Re Amount 65.000 85.000 WAL 5.00 5.00 Spread Benchmark +550 3 mo. Euribor +900 3 mo. Euribor

17TH ANNUAL THOMSON REUTERS LPC LOAN CONFERENCE


September 22, 2011 Marriott Marquis, NYC

Dont miss the loan market event of the year! Boom to Bust and Back: The Global Loan Market Moves Forward
Join hundreds of market participants for a day of insight and networking as they meet to discuss the current and future state of the global syndicated loan market. www.loanpricing.com/conference.html

xxx August 12, 2011

Asset-Backed

ALERT

1 11

MARKET MONITOR
300

CE ($Bil.) 2010

WORLDWIDE ABS ISSUANCE


Year-to-date volume ($Bil.) 2011 2010 US Public 37.2 30.7 US 144A 53.4 57.4 Non-US 104.2 76.9 TOTAL 194.8 164.9

US ABS BREAKDOWN
Year-to-date 2010
Auto Loans Credit (Prime) Cards 22% 8% Auto Loans (subprime) 9% Other 46% Student Loans 15%

0.0 1.9 6.1 15.6 25.8 29.1 30.9 34.3 39.7 48.6 53.7 62.6 64.5 67.1 69.6 75.7 80.5 93.6 96.2 101.3 105.7 110.2 119.2 120.6 126.5 128.5 136.8 148.2 153.9 157.2 160.7 162.3 164.9 175.1 186.4 190.4 192.8 201.5 218.8 226.7 236.6 238.2 253.6 254.7 261.7 265.6 274.2 274.8 277.3 282.4

0.0 4.4 8.3 200 14.2 19.2 29.3 150 30.1 39.7 46.0 100 49.4 56.6 59.550 64.9 67.4 80.1 0 95.1 105.0 110.8 117.8 40 122.2 134.3 35 141.8 30 147.1 25 153.1 161.1 20 166.8 15 171.0 10 173.4 178.05 188.9 190.80 194.1 194.8
12 11 10 9 8 7 6 5 4 3 2 1 0

2011 250

2011

US ABS ISSUANCE
18

Volume in past 15 months ($Bil.)


J F M A M J J A S O N D
16 14

NON-US ABS ISSUANCE

Volume in past 15 months ($Bil.)

NON-US COLLATERAL LOCATION


Past 12 months ($Bil.)
UK Other Europe Spain Netherlands Italy Japan
4.7 29.4 13.5 16.7 26.8 85.5

12 10 8 6 4 2 0

M A M

Other

41.4

US NON-AGENCY MBS ISSUANCE


Volume in past 15 months ($Bil.)

10 8 6 4 2 0

WORLDWIDE CDO ISSUANCE


Volume in past 15 months ($Bil.)

1,400 1,300 1,200 1,100 1,000 900

ASSET-BACKED COMMERCIAL PAPER OUTSTANDING


Since 1/1/04 ($Bil.)

F M A M

800 700

60

5-YEAR FIXED CARD SPREADS


Last six months (basis points)

SPREADS ON TRIPLE-A ABS


Avg. Life 2.0 5.0 2.0 5.0 2.0 3.0 2.0 5.0 2.0 5.0 10.0 Spread (bps) Week 52-wk 8/5 Earlier avg. +15 +13 +20.0 +30 +12 +22 +17 +27 +450 +925 +29 +35 +23 +28 +10 +20 +15 +25 +450 +900 +23 +27 +13 +37.9 +20.3 +34.2 +21.3 +30.3 +467.5 +863.2 +20.9 +23.8 +9.4

600 500 400 300 200


Source: Federal Reserve Board

50

40

Credit card - Fixed rate (vs. Swap) Credit card - Floating rate (vs. 1 mo Libor) Auto loan - Tranched (vs. Swap) Home equity - Fixed-rate/ wrapped (vs. Swap)

30

20

Jan- Jan- Jan- Jan- Jan- Jan- Jan- Jan04 05 06 07 08 09 10 11

10

0 F M A M J J A

Swap spreads (bid/offer midpoint)

Source: Deutsche Bank

Data points for all charts on this page can be found in The Marketplace section of ABAlert.com

August 12, 2011

Asset-Backed

ALERT

12

THE GRAPEVINE
... From Page 1

deals will be within Quinns scope. He previously worked at Ernst & Young.
Markit Group has added another staffer

co-heads John Bella and Mike Dean. Candidates can email their resumes to regina.simone@fitchratings.com.
Ambac has enlisted a vice president

firm reported to investors that its securitization-focused Candlewood Structured Credit Fund produced a 2% profit last month after fees, leaving the vehicle up nearly 20% for the year. The entity is run by former Credit Suisse securitization executive Greg Richter in New York. Mortgage-bond trader Miguel Vazquez has left broker-dealer Braver Stern to join Stamford, Conn., rival CRT Capital, where he started last month. Vazquez spent about 10 months at New Yorkbased Braver Stern. Before that, he worked in a Credit Suisse group that evaluates mortgage bonds. He also has spent time at Washington Mutual and
Countrywide. Credit Suisse has hired a staffer to help

to a New York group that assigns values to structured products. Erik Brown joined the firm this week as a vice president with a focus on mortgage bonds. He previously determined values for home-loan paper at Fannie Mae. Brown is the latest in a string of recruits to join the Markit team, which now has a headcount of 10. He reports to director Kyle Beauchamp, who oversees mortgagebond pricing under group head Neil
McPherson. Fitch is on the hunt for three securitiza-

for a group that aims to minimize losses as the bankrupt bond insurer unwinds $27 billion of policies written against structured credit products. Brian Kirimdar, a specialist in ridding bankrupt companies of troubled assets, arrived a month ago. He previously worked at IDC, following stints at Deloitte and Credit Suisse. The SEC is seeking a staffer to assist with the investigation and prosecution of fraud cases involving structured products. The recruit would hold the title of securities compliance examiner within the regulators division of enforcement, and would be stationed in New York or Washington. Annual compensation could total as much as $208,000 for a hire in New York. The post is available only to U.S. citizens. For information on applying, email brownst@sec.gov regarding job number 11-513200-SB. Resumes must be received by Aug. 25.

find assets for the bank to buy and securitize. The recruit, Kevin Quinn, will arrive in the institutions New York office Aug. 15. He will report to securitization chief Jay Kim. Its unclear what types of

tion professionals in New York or Chicago. One of the recruits would assume the title of director, and would serve as a member of the agencys credit committee. He or she would play a leading role in rating a range of consumer- and commercial-asset securitizations. The other two hires would hold lower-level positions, separately specializing in auto-loan deals and asset-backed commercial paper. Each of the new staffers would report to asset-backed bond

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