Attendance In Miami Set To Break Confab RecordBy Graham Bippart

Attendance at this year’s ABS East confab in Miami is set to surpass pre-crisis levels.

Organizer Information Management Network logged 3,500 registrants as of Sunday afternoon, including 1,500 investors and issuers. The conference attracted around 3,300 when it was held in Orlando, Fla. at the market’s peak in 2006, according to conference producer Jade Friedensohn.

A chunk of the surge in attendance is coming from the buy side. Friedensohn said investors account for about 1000 of the total. Last year, when IMN launched an investor advisory board as part of an attempt to make its events more investor focused, about 500 buy-siders attended. “It’s not

(continued on page 13)

Europe’s Policy Tune ChangesBy Hugh Leask

This year’s conference will feature a panel on the outlook

for Europe’s securitization market, which has seen a shift in tone from regulators and policymakers who now recognize the role asset-backed securities have to play in funding the real economy.

The Basel Committee on Banking Supervision made adjustments for certain securitized assets in its Liquidity Coverage Ratio rules earlier in the year, while in a paper on the long-term financing of the region’s economy, European Commission officials in March called for the rehabilitation of securitization to help fund the real

(continued on page 13)

CRE CDOs To Make ComebackBy Max Adams

Yield-hungry investors appear ready to dive back into managed

commercial real estate collateralized debt obligations.

“I’m convinced that someone is going to get a dynamic deal done shortly,” said Rick Jones, partner in the real estate group at law firm Dechert. Investors say they are eyeing as many as five deals with CDO structures that will likely come to market before year-end. “These deals make all the sense in the world. It’s not a trading device like some of the bad experiences from the 2007 period. Most players in the market are using them as financing tools for their own production,” said Jones.

The investor base for these

(continued on page 13)

The Road Ahead For ResiMarket pros will talk about what’s ahead for an RMBS market outside the QM box.

SEE PANEL PREVIEW, PAGE 6

Secrets Of The TradeTransparency is a key issue in the debate about the future of securitization. But how much information is too much?

SEE STORY, PAGE 7

What’s InsideIMN: Welcome Back 3

Today’s Agenda 4

Steady GSE MBS Sales Ahead 10

League Tables 11

Photos: ABS East, Day One 14

Laurie Goodman, senior fellow in housing finance, Urban Institute

Stay Alert!Keep an eye out for our email alerts throughout the conference as the Total Securitization staff covers the panels and roams the halls of the Fontainebleau.

2013ABS East Daily

Miami, FLMonday, October 7, 2013

reported by:www.totalsecuritization.com

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Welcome to ABS East® 2013. Investor Focused, Investor Driven.

October 6, 2013Dear Industry Colleague,

Welcome to Miami Beach for the 19th Annual ABS East® Conference. This year’s theme is Investor Focused, Investor Driven and alludes to our program which was developed by the Investor Advisory Board, comprised of the most active ABS buyers. Their input carefully guided the topic and speaker selection process to ensure a program that equally represents the concerns of the buy side along with that of all market stakeholders. As of early October 2013, inves-tor registrations nearly doubled in number compared with the same time last year, which also reinforces this theme. However, the question still remains whether pending regulatory changes and global economic instability threatens this revitalization of buy side interest in the market. Over the next three days, our program coverage will address this very question along with:

• Intensive, Interactive Investor Workshops • Weaning off Federal Funds and the Subsequent Impact on Our Market • The Future of Mortgage Funding and the Impact of GSE Reform in the US • Legislative and Regulatory Developments and How They Will Shape the Landscape of the US ABS Market • Outlook for Consumer ABS including Autos, Credit Cards, Student Loans and Transportation Finance • Legacy RMBS Concerns • State and Local Level Policy Initiatives and Private Label MBS Revitalization • Esoteric ABS including Solar ABS • ABS Litigation Update • Extensive CLO Market Coverage…and more.

We would like to acknowledge our 100+ event sponsors who represent the leaders in the securitization market. These firms are here to meet with you at ABS East in order to demonstrate their services and expertise in the ABS market. We also wish to thank those who participated on the Investor Advisory Board, whose input helped to ensure a timely and relevant program.

Events of special note include our welcoming cocktail reception on Sunday evening at 6:00pm in the Exhibit Hall. This is an NFL themed party with live viewing of the Sunday night games, football themed food, drink and giveaways; additionally we are honored to host the following keynote speakers this year:

• Mark Zandi, Chief Economist, MOODY’S ANALYTICS• Michael Stegman, Counselor to the Secretary of the Treasury for Housing Finance Policy, U.S. DEPARTMENT

OF THE TREASURY• Rohit Chopra, Assistant Director, CONSUMER FINANCIAL PROTECTION BUREAU

*Please note all conference presentations and speakers bios are available for viewing on the new IMN mobile website at www.imn.org accessible from your tablet or PDA. Complimentary WIFI is available.

Sincerely, The IMN Structured Finance TeamScott Brody, Managing Director Jade Friedensohn, Event Producer & SVP

Save the DatesThe 20th Annual ABS East Conference

September 21-23, 2014The Fontainebleau. Miami Beach, FL.

4 ABS East Daily Monday, October 7, 2013

www.totalsecuritization.com

A G E N D A

8:00AM Delegate Registration and Breakfast

9:00AM Host’s Welcoming Remarks

9:15AM

The End of Cheap Money: Weaning off Federal Funds and the Subsequent Impact on the Our Market

Moderator:

Frank Serravalli, Partner, PRICEWATERHOUSECOOPERS

10:15AM

Overview of the State of US Housing

Moderator:

Howard Esaki, Managing Director, STANDARD & POOR’S RATINGS SERVICES

11:15AM Refreshment Break

11:45AM

Keynote Debate:

The U.S. Housing Market Recovery and Its Impact on the Economy

Moderator:

Nick Timiraos, Reporter, WALL STREET JOURNAL

12:30PM

Commence Concurrent Tracks A-D

Track A:

State and Local Level Policy Initiatives and Private Label MBS

Moderator:

Buck Burnaman, Managing Director, GREENSLEDGE CAPITAL MARKETS

Track B:

Assessing the Key Risks in the Consumer ABS Sector

Moderator:

Leon Tatevossian, Senior Risk Manager - Group Risk Management, RBC CAPITAL MARKETS, LLC

Track C:

Overview of the U.S. CLO Market

Moderator:

Steven Kolyer, Partner, CLIFFORD CHANCE US LLP

Track D:

Risk Retention Update

Moderator:

Mike Mitchell, Partner, CHAPMAN AND CUTLER LLP

1:20PM Delegate Luncheon

2:30PM

Commence Concurrent Tracks A-D

Track A:

Private Label New Issuer RMBS: Aligning Issuer and

Investor Interests

Moderator:

Mark Fontanilla, Director, WELLS FARGO SECURITIES, LLC

Track B:

Driving Into Unchartered Territory: Auto ABS Sector

Update

Track C:

The Regulatory Horizon for CLOs

Moderator:

Meredith Coffey, Executive Vice President of Research &

Analysis, LSTA

Track D:

QM=Opportunities and Challenges

Moderator:

Phoebe J. Moreo, Partner, DELOITTE & TOUCHE LLP

3:20PM

Commence Concurrent Tracks A-D

Track A:

Legacy RMBS Servicing

Moderator:

Nancy Mueller Handal, Managing Director,

METROPOLITAN LIFE INSURANCE CO

Track B:

Credit Card ABS: A Benchmark No More?

Moderator:

Gregg Silver, President & Chief Financial Officer, 1ST

FINANCIAL BANK USA

Track C:

CLOs: Relative Value as an Investment

Moderator:

Edwin Wilches CFA, Alternative Investments, PRUDENTIAL

FIXED INCOME

Track D:

The FHFA Common Securitization Platform: Purpose,

Market Impact, and Future Direction of Mortgage

Finance

Moderator:

Landon D. Parsons, Senior Advisor, MOELIS & CO.

4:10PM Refreshment Break

4:40PM

Commence Concurrent Tracks A-D

Track A:

Emerging Mortgage Products

Moderator:

Anthony M. Sepci, Partner, KPMG LLP

Track B:

Student Loans: Navigating an Uncertain Future

Moderator:

Steve Levitan, Partner, BINGHAM MCCUTCHEN LLP

Track C:

Managing a CLO Day-to-Day: A Look at Credit

Selection: Manager Roundtable

Moderator:

Nathan Abegg, Director, DELOITTE & TOUCHE LLP

Track D:

The Transparency Debate: Aligning Investor and Issuer

Interests

Moderator:

Richard Fried, Partner, STROOCK & STROOCK & LAVAN LLP

5:30PM Day Two of ABS East 2013 Concludes

Managing Editor Graham Bippart

rEportErS Hugh Leask, Matt Scully, Max Adams

Contributor Leslie Kramer,

Andrew Bloomenthal

produCtion Dany Peña

pHotograpHEr William Torres

EMManuEllE ratHouiS Marketing Director

aSSoCiatE publiSHEr Pat Bertucci

CHairMan Richard Ensor

Managing dirECtor, Capital MarkEtS group

John Orchard

Know the way

Dentons is pleased to announce that Matthew S. Yoon and John P. Holahan have rejoined the Firm to lead our regulatory compliance team, demonstrating our longstanding commitment to the mortgagefinance and securitization markets.

Welcome back from our Capital Markets group:

Meet Dentons. The new global law firm created by Salans, FMC and SNR Denton.

dentons.com© 2013 Dentons. Dentons is a global legal practice providing client services worldwide through its member firms and a�iliates. Please see dentons.com for Legal Notices.

Erik Klingenberg and Stephen Kudenholdt, Practice Co-chairs

Todd Anderson, Mason Crocker, Salvatore Franco, John Holahan, John Kim, Je�ery Koppele, Maria Livanos, Robert McCarthy, Michael McGrath, Je�rey Murphy, Robert Olin, Christopher Oliver, Thomas Parachini, Lauris Rall, Lee Smith, Scott Swerdlo�, Paul Tvetenstrand, Walter Van Dorn, Kenneth Wright, Matthew Yoon, Marlo Young, Shujaat Ali, Charles Gelinas, Penny Matthews Groel, Scott Klarquist, Shannon McSwain, David Natter, Christopher Smith, Christine Vrettos, Andris Alexander, Michelle Alves, Mansi Desai, Jonathan Grebinar, Tim Hauck, Sean Kelly, Andrew Knepley, Shira Levine, Kyle Matula, Jessica Meylor, Ryan Reeves, Jason Ross, Tracy Sorensen.

6 www.totalsecuritization.com

ABS East Daily | Monday, October 7, 2013RMBS

Government sponsored enterprises still account for the vast majority of the mortgage market, but the long road back to a healthy private-label residential mortgage-backed securi-ties market is under way. Panelists at today’s Emerging Mortgage Products session will look to discuss other kinds of collateral the market is likely to see in upcoming deals and the many hurdles that remain before the market truly gets its legs.

“There’s obviously a large sector of the U.S. mortgage population that is not going to fit into an agency loan, and there are a lot of loans that have been produced at very low rates that aren’t very refinanceable,” explained KPMG partner Anthony Sepci, who will moderate today’s panel. “You’ve got coupons below 4%, just like we’ve just seen in the last two years, and if you take away the agency production and refinance opportunities, there’s plenty of investor appetite to take on the added credit risk.”

And yet many wonder whether there will be a market for securitizations of loans that fall outside the Consumer Financial Protection Bureau’s Qualified Mortgage rule, for example. Jonathan Wishnia, partner with Roseland, N.J. law firm Lowenstein Sandler, will supply the legal perspective to the discussion, particularly focusing on the extent to which secondary market participants are able to understand, analyze and address the risks associated with non-QM loans.

“If I want to originate those loans and sell them into the marketplace or if I want to acquire those loans for a portfolio as an investor, I need to know what the implications are,” said Wishnia. “And if we’re talking about

loans that aren’t subject to [the QM] safe harbor protection, now we’ve got a variety of issues to discuss.”

“There has definitely been a reluctance—just because of the unknown with respect to the non-QM loans going into securitization,” said Dave Hurt, vice president of global capital markets at Irvine, Calif.-based data analytics firm CoreLogic. “That’s obviously been a burden and a hindrance over the last two or three deals that have come out for issuance.”

Distressed residential properties ripe for rehabbing into money-making rental units are also expected to factor heavily into the future mix of private-label securitizations, Hurt

said. The potential cash flows associated with distressed properties present powerful attractants to both underwriters looking to originate deals, and to investors looking to buy into the securitizations. However, some

prospective investors remain leery of the challenge to accurately capture valuations, in terms of establishing the Broker Price Opinion, or BPO, values of the underlying properties, Hurt added.

Panelist Kruti Muni, senior credit officer at Moody’s Investors Service, said that such deals will require a careful approach. “There seems to be a lot of market interest in the last year or two, and we have published a couple of special comments, highlighting our credit concerns and concerns around the structure people are thinking about. This is a very new asset class, and not many have that experience at the institutional level.”

Community development and

neighborhood stabilization real estate programs have likewise emerged as an interesting element in the non-QM space—particularly as the betterment initiatives combine with pure fund-side investing, to stimulate greater overall volume. According to Wishnia, community development corporations such as National Community Capital have partnered with a number of lenders in the industry, including Prudential, to acquire non-QM loans for their programs.

“On a go-forward basis, if the model is going to be scalable by definition, it’s going to have to include loans that aren’t QM,” says Wishnia. “You’ve now got entities trying to stabilize the hardest-hit neighborhoods, partnering with companies that are doing this in part for social responsibility investing, but in part for investing generally. So what’s the interplay between the folks that are really trying to help communities, and the folks that are really trying to make a proper investment? That debate becomes an important piece, because there’s capital to be put to work there and there are parties who have historically invested in these neighborhoods.”

And although Wishnia knows there are general worries that smaller players might tend to get pushed out of the private marketplace due to their perceived inability to handle the risks and responsibilities associated with non-QM loans, at the end of the day, he remains optimistic about the prospect for a robust market.

“Looking at the big picture: the grass grows everywhere—including on sidewalks, including through pavement. Where there’s a will there’s a way.”

Looming Large: Growth In Private-Label RMBSBy Andrew Bloomenthal

Anthony Sepci

www.totalsecuritization.com 7

ABS East Daily | Monday, October 7, 2013 ABS

Achieving the right level of transparency for both investors and issuers has been a continuing source of debate in the asset-backed securities market. Investors require sufficient information to make their investment decisions, while issuers want to retain some control over the information they release. Opinions vary on how to best resolve the debate, but some answers may soon be on the horizon. “There are many proposals out there, but ultimately it will come down to what the Securities and Exchange Commission re-proposes in Reg AB II,” said Richard Fried, partner at New York City-based Stroock & Stroock & Lavan. Fried is the moderator of today’s roundtable entitled, The Transparency Debate: Aligning Investor and Issuer Interests.

While a great deal of information is already required for public deals, there is no required disclosure for Rule 144A transactions, Fried noted. “Until we see what the SEC proposes, we will not know if private deals will be subject to the same disclosure requirements as public deals.” In the meantime, Fried believes that there will continue to be a trade-off between what investors want and what issuers are willing to provide, based on who has the leverage at the time. “If an issuer puts out a deal that is oversubscribed, then issuers will have the leverage. But if there are not as many investors interested in the deal, then it is the investors who have the leverage,” he said.

Fried also noted that while issuers are often more than happy to share

information with investors, from a legal standpoint, problems may arise over how to verify the accuracy of the information. “As lawyers, we are reluctant to pass along any information to investors that is not capable of being verified, because then you just open yourself up to a whole host of problems and to selective disclosure,” Fried said. “Sometimes you have investors who want more follow up information than what is being offered in the

documents, and with a 144A deal, you may be able do that, but with a public deal you cannot do selective disclosure,” he noted.

Many institutional investors are comfortable making investment decisions without the depth of information required for

public deals. And some information on underlying assets cannot be easily accessed by issuers. “It would be unfortunate if you were unable to sell [investors] securities because you could not obtain the information they were not insisting on receiving,” Fried said. Whether the SEC will be keep or drop the requirement that 144A transactions be subject to the same disclosure rules as public deals is a key issue that investors will be looking at when the new Reg AB II rules are issued, he noted.

Bringing a European perspective to the panel is Markus Schaber, ceo at the Frankfurt-based European Datawarehouse. Schaber noted that one of the main questions continuing to surround

the transparency debate is how much standardization is achievable and what is the right balance.

The model used for evaluating the underlying data in U.S. ABS deals has typically required a substantial amount of transparency, but has not necessarily resulted in a very standardized space, said Schaber. In Europe, by contrast, the availability of information remained weak for quite some time, but has recently improved and is now much more standardized, he noted.

Schaber further added that there are three categories of transparency that one can evaluate in a deal. The first is a comparison of a centralized versus decentralized version of transparency. “For example, should each individual issuer provide a decentralized level of transparency or is it better to use a more centralized platform, as is done in Europe,” he said. The second category looks at how to achieve a high level of standardization across various templates and structures that are available, and whether it is possible to design them in a way that is not too difficult for users to compare and contrast. “Do you have one standard and one template

which is very relevant across all the markets, or do you have different bits and pieces so that if you are a user than you need to look at how to compare transactions that have different formats and a lower usability?” Schaber asked.

The third category of transparency that Schaber believes needs to be highlighted is the level of

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ABS East Daily | Monday, October 7, 2013 ABS

aggregation that will take place and how beneficial it will be to investors. “You can have super-detailed data, which can potentially give you information overload,” he cautioned. “If the issuer provides tons of information for a particular segment or deal then the issuer might actually end up lowering transparency, because it all becomes somewhat unusable,” Schaber said. “But if one uses transactions data which is provided on a loan-by-loan basis then the user can pick and choose exactly what they want to get out of the data,” Schaber said. On the other hand, “the investors may also say that they need to have someone who is aggregating that data to make it more readable and more easily usable,” he noted.

So in terms of aggregation, the question remains, what is the right level of information, how much detail is really needed and when does it become information overkill. “Clearly in Europe, there has been an initiative to create a decentralized platform and one that is standardized and harmonized. But that is just one option, and the question remains whether or not such a model is thinkable in the U.S., which has a different tradition of disclosure around ABS,” Schaber said.

Finally, the cost of providing transparency should also be a key area of discussion for the panelists. “Transparency does not come for free, so the question becomes what is actually reasonable and how do you make the infrastructure cost efficient for both sides?” Schaber asked.

Julie Schlueter, manager of capital markets at the Racine, Wis.-based CNH Capital, comes at the transparency issue from a slightly different perspective than her fellow panelists, as CNH Capital is an equipment loan issuer. “Our view is

that disclosing loan-level data will cause many problems for issuers and it may be unnecessary for investors when determining the credit risk of our specific pools,” she said.

One of the problems, as Fried noted, is the difficulty surrounding the release of confidential data. “We secure loans made primarily to farmers for the purchase of equipment, tractors and combines, and in certain areas of the country if we were to disclose loan-level data down to the zip code and the size of the loan, it would be fairly easy to determine which farmer purchased that piece of equipment, what the farmer paid for it, or what the loan size was,” she explained. That is not necessarily information the issuer wants given out. “Also the specifics of the loan in terms of what interest rate he received, what is the length of the loan, and the other loan terms are various things that we would be concerned about disclosing, because it could be tied back to someone who gave us information on a confidential basis,” she said.

Another issue that loan providers want to avoid facing is the release of their data to competitors. “If a competitor dealing in that same region were to look at the data and determine that someone got a certain kind a loan, they would know what kind of loan programs we were offering and would take advantage of that to try to give that farmer a better term in the future,” Schlueter explained.

CNH Capital, like auto captive finance companies, was set up to provide loans to help sell the equipment of their parent manufacturing company. By contrast, many issuers of residential mortgage-backed securities get their loans not directly from one originator, but from many, so that there is not a strong link between

the borrower, the originator and the issuer, Schlueter pointed out.

In terms of the demand for more transparency in larger ABS deals, Schlueter, like Schaber, questioned whether or not the loan-by-loan data would indeed be helpful to investors, unless they were able to build a reliable model. To do so, the investors would need to have broad access to historical data, and that data must be standardized throughout the issuer’s industry so that a comparison can be made from one issuer to another issuer, she said. “If you have limited historical data, the models would be not as reliable, and I see that as a potential problem, because the models would not produce the correct credit risk result, due to the lack of data or standardized transactions,” she said. “Some of the very large investors could potentially build sophisticated models, because they do have the time and financial resources, but many smaller ones would not and that could lead to problems as well,” she said.

Another factor that comes into play for the non-residential loan market is the availability of specific industry characteristics that still need to be analyzed. “To rely solely on a model to come up with a determination of credit risk would be misleading if the investor didn’t investigate the industry or understand the industry in which the issuer is in,” Schuleter said. “For example, with our pool operating in the agriculture industry you really should evaluate, separately from a model, the risk of the agriculture market,” Schlueter said.

All these factors bring Schlueter back to the conclusion that more transparency is not always beneficial to investors. Investors in attendance during the panel discussion may disagree, Schlueter said.

ABS East Daily | Monday, October 7, 2013

10 www.totalsecuritization.com

Fannie Mae and Freddie Mac are expected to unload approximately $16 billion more of commercial and residential mortgage-backed securities through the end of the year in order to meet the goal of unwinding 5% of all their non-liquid assets. According to Lea Overby of Nomura Securities, the agencies have shed about $18 billion so far—$10 billion from Fannie and $8 billion from Freddie. The sales have been tilted slightly toward CMBS so far, but Overby expects the agencies to begin selling RMBS more frequently. “We’re thinking they’ll sell another $6-$8 billion of CMBS and the remainder will be made up of RMBS,” Overby told SI.

Fannie and Freddie have held regular auctions of CMBS since May. Those bonds have met with solid demand, whereas the agencies’ RMBS portfolios from the same era are considered by investors to be less liquid, weaker assets, according to Overby.

Despite expectations earlier in the year that demand for the

securities would wane by the end of the summer, each CMBS bidlist that has come out has been fully absorbed into the market without

any meaningful downward pressure on pricing, according to sources. “So far, for these lists, there has been very decent demand and it has not had too much of an effect on pricing in the secondary market,” said one CMBS analyst at a major investment bank.

“These bonds are a good place to park some cash,” said Adam Murphy, CEO of Empirasign Strategies when the sales began in May. Real money accounts have been active buyers of the bonds, attracted to the quality of the collateral and the shorter duration. According to Nomura data, Fannie and Freddie had a combined $736 billion in non-agency exposure as of the end of last year. That means the two would have to sell a combined $36.8 billion to meet their 5% targets.

The agencies began by offloading large blocks of the securities at once. Fannie Mae kicked off the sales in May with a $2.2 billion list that

was the largest single offering to hit the debt markets since the New York Federal Reserve unwound the MAX and WAVE collateralized debt obligations in 2012. But by summer the agencies switched to selling smaller lists, about $150-$300 million each, more frequently. Analysts noted, however, that

the sales in the summer would not be large enough to meet the 5% target. “This level of selling is insufficient for them to meet their remaining target.

To fulfill this target, the agencies would have to sell $4.6 billion to $5.5 billion [of CMBS and non-CMBS securities] monthly, well in excess of their current bid list activity,” Overby wrote in August.

Now the agencies have stepped it

up again, with Fannie selling a $750 million CMBS bidlist at the end of the summer and a $1.06 billion CMBS list at the end of last month—the second largest offering so far.

The sales are part of the government’s plan to reform the GSEs and bring private capital back into the mortgage market. Moody’s Investors Service analysts wrote in July that it would be a few more years until reform took shape, citing low demand for change now that Fannie and Freddie are seeing strong profits. Fannie reported a $10.1 billion second-quarter profit this year, while Freddie reported $5 billion for Q2 2013. Early last month, observers noted that GSE reform was not on the two-month agenda laid out by the House of Representatives, leading some to speculate nothing would take shape until 2014 at the earliest.

A bill introduced in the Senate in June proposed a five-year window in which to wind down Fannie and Freddie. Other objectives of the bill include creating a layer of protection between the housing market and taxpayers and creating an insurance backstop for mortgage securities.

GSE Pipeline To Remain Heavy Through Year-EndBy Max Adams

Fannie and Freddie had a combined $736 billion in non-agency exposure as of the end of last year. That means the two would have to sell a combined $36.8 billion to meet their 5% targets.

“These bonds are a good place to park some cash.”

—Adam Murphy

www.totalsecuritization.com 11

ABS East Daily | Monday, October 7, 2013 Bookrunner League Tables

Q3 2013

Global CMBSRank Bookrunner Value $m No. % share

1 Wells Fargo Securities 2,700 5 14.82 Deutsche Bank 2,040 4 11.23 Barclays 1,850 3 10.24 JPMorgan 1,805 3 9.95 RBS 1,789 3 9.86 Citi 1,605 5 8.87 Goldman Sachs 1,279 3 7.08 Bank of America Merrill Lynch 1,235 3 6.89 Morgan Stanley 984 2 5.410 Cantor Fitzgerald & Co 850 2 4.7

Subtotal 16,135 18 88.6 Total 18,209 19 100.0

U.S. CMBSRank Bookrunner Value $m No. % share

1 Wells Fargo Securities 2,700 5 15.52 Barclays 1,850 3 10.63 JPMorgan 1,805 3 10.44 RBS 1,789 3 10.35 Deutsche Bank 1,616 3 9.36 Citi 1,605 5 9.27 Goldman Sachs 1,279 3 7.48 Bank of America Merrill Lynch 1,235 3 7.19 Morgan Stanley 984 2 5.710 Cantor Fitzgerald & Co 850 2 4.9

Subtotal 15,711 17 90.3 Total 17,398 17 100.0

Europe CMBSRank Bookrunner Value $m No. % share

1 Deutsche Bank 424 1 100.0

Global RMBSRank Bookrunner Value $m No. % share

1 Credit Suisse 11,463 17 13.72 Barclays 9,364 16 11.23 Deutsche Bank 9,332 10 11.14 JPMorgan 8,754 14 10.55 Goldman Sachs 7,533 11 9.06 Citi 5,891 11 7.07 Morgan Stanley 5,790 11 6.98 Bank of America Merrill Lynch 4,641 12 5.59 Nomura 3,294 10 3.910 Westpac 2,353 3 2.8

Subtotal 68,416 106 81.7 Total 83,755 142 100.0

U.S. RMBSRank Bookrunner Value $m No. % share

1 Credit Suisse 11,026 16 17.42 Barclays 8,677 14 13.73 Deutsche Bank 8,455 7 13.34 JPMorgan 7,276 12 11.55 Goldman Sachs 7,096 10 11.26 Morgan Stanley 4,513 8 7.17 Bank of America Merrill Lynch 4,294 11 6.88 Citi 4,195 9 6.69 Nomura 2,857 9 4.510 Wells Fargo Securities 1,963 10 3.1

Subtotal 60,350 102 95.3 Total 63,360 119 100.0

Europe RMBSRank Bookrunner Value $m No. % share

1 JPMorgan 1,479 2 23.92 ING 1,327 1 21.43 Barclays 687 2 11.14 RBS 668 2 10.85 Deutsche Bank 535 1 8.66 SG Corporate & Investment Banking 465 1 7.56 Rabobank 465 1 7.58 HSBC 152 1 2.59 Morgan Stanley 141 1 2.39 Macquarie Group 141 1 2.39 Lloyds Banking Group 141 1 2.3

Subtotal 6,200 6 100.0 Total 6,200 6 100.0

Global ABS (ex CDO)Rank Bookrunner Value $m No. % share

1 JPMorgan 7,304 22 15.12 Citi 5,324 14 11.03 Bank of America Merrill Lynch 4,149 23 8.64 Credit Suisse 3,876 17 8.05 Barclays 3,415 17 7.06 RBC Capital Markets 2,851 15 5.97 RBS 2,544 14 5.38 Deutsche Bank 2,234 11 4.69 Wells Fargo Securities 2,153 15 4.410 Credit Agricole CIB 1,721 5 3.6

Subtotal 35,572 75 73.4 Total 48,487 105 100.0

U.S. ABS (ex CDO)Rank Bookrunner Value $m No. % share

1 JPMorgan 6,872 20 18.82 Citi 5,147 13 14.13 Credit Suisse 3,693 16 10.14 Bank of America Merrill Lynch 3,415 18 9.35 Barclays 2,765 14 7.66 RBC Capital Markets 2,622 12 7.27 RBS 2,362 13 6.58 Deutsche Bank 2,168 10 5.99 Wells Fargo Securities 2,053 14 5.610 Morgan Stanley 1,128 4 3.1

Subtotal 32,226 62 88.2 Total 36,550 68 100.0

Europe ABS (ex CDO)Rank Bookrunner Value $m No. % share

1 Credit Agricole CIB 974 2 15.72 UniCredit 707 2 11.43 HSBC 676 3 10.94 Barclays 651 3 10.55 Volkswagen Financial Services AG 530 2 8.56 Santander 357 2 5.77 Bank of America Merrill Lynch 319 1 5.18 SG Corporate & Investment Banking 255 1 4.18 JPMorgan 255 1 4.18 Goldman Sachs 255 1 4.18 Banca Popolare di Vicenza 255 1 4.1

Subtotal 5,236 9 84.1 Total 6,227 9 100.0

U.S. CLORank Bookrunner Value $m No. % share

1 JPMorgan 2,768 4 18.732 Citigroup 2,301 5 15.573 BAML 2,184 4 14.784 Morgan Stanley 1,378 3 9.335 Wells Fargo 1,328 3 8.996 Goldman Sachs 933 2 6.327 Natixis 708 3 4.798 Jefferies & Co. 650 1 4.409 Credit Suisse 516 1 3.5010 RBS 409 1 2.77

Subtotal 13,175 27 89.2 Total 14,774 32 100.0

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Source: Securitization Intelligence Deal Flow Database

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Monday, October 7, 2013 ABS East Daily 13

www.totalsecuritization.com

economy. In May, European Central Bank chairman Mario Draghi said structured finance could provide a potential source of funding for small- to medium-sized enterprises against a backdrop of widespread bank deleveraging. Then, in July, the ECB decreased repo haircuts for senior asset-backed securities from 16% to 10%, and broadened the range of ABS assets eligible for the facility.

Max Bronzwaer, deputy director and treasurer at Obvion said the dialogue between industry groups such as the Association for Financial Markets in Europe and the Prime Collateralised Securities Secretariat,

on the one hand, and the regulators, on the other, has been productive.

“Both the ECB and the Basel Committee have made adjustments,” Bronzwaer said. “The ECB is now outspoken about the positive effects of high quality securitization on the real economy, and the Basel Committee adjusted at the beginning of this year their requirements for [Liquidity Coverage Ratio] eligibility.”

But elsewhere other regulatory challenges remain. The final make-up of the Basel Committee’s securitization framework is still uncertain, while some insurance buyers are said to be staying away from the market while the EU’s Solvency II rules—which carry sweeping changes affecting capital

charges on insurance investors’ securitization positions—are resolved.

Other industry professionals reckon there is disconnect between the sentiments expressed at the policymaking level and the frontline day-to-day regulatory experience.

“On the political side there seems to be more positive noises around the need for what you might call ‘responsible securitization’,” said Andrew South, senior director and head of European structured finance at Standard & Poor’s in London. “But by contrast, the regulatory bodies are the ones who are having to work on the nuts and bolts of rulemaking, so they are further down the track on some long-standing projects.”

Europe’s Policy (continued from page 1)

securities could extend beyond the usual commercial real estate or CMBS-centric buyers. Jake Freifeld, portfolio manager at West Coast alternative investment fund Chilmark Hill, said, “On your subordinate and mezzanine tranches, I think any hedge fund would be a buyer and

on senior tranches, the typical bank portfolio buyers are there.”

There have been CDOs sold in 2013, but they have either been static deals or not been called CDOs by the issuers. “If it walks like a duck and talks like a duck, it’s a CDO no matter what they’re calling it,” said an analyst an investment bank.

Investors are reluctant to see a managed component to the deals, said

Andrew Parower, portfolio manager at New York-based investment firm Marketfield Asset Management. “You want to know what assets are going to be in there. You don’t simply want future investments to be determined by a formula because it’s too easy for the manager to stick in bonds or loans of a lesser credit,” Parower said. “Not all loans with 70% leverage and 1.30 debt service are created equal,” he noted.

CRE CDOs (continued from page 1)

just the number of firms [that has increased], it’s the number of people from each firm,” Citi v.p. Jonathan Farber told TS Sunday in the exhibit hall of the Fontainebleau Hotel.

Investors are still coming to the securitization market for yield in a low-rate environment, and with the prospect of tapering delayed, that dynamic is set to continue. “Some investors prior to [Federal Reserve Chairman Ben Bernanke’s] remarks might have been in a wait-and-see mode. But now, with the

10-year [Treasury] testing under 2.60%, sentiment has shifted and the pressure is more toward a continued rally in rates, given the lukewarm economic data and the government shutdown,” an asset-backed securities banker told TS ahead of the conference on Friday.

The government shutdown has caused some regulatory registrants to pull out, according to one attendee. But Friedensohn said that the majority of the conference’s regulatory speakers are unimpacted, “since they are not funded in this manner.”

Among the hot topics at this year’s conference: solar securitization—there

are four sessions dedicated to the sector—collateralized loan obligations and, of course, regulation. Many investors are hoping for clarity on how the risk retention rules will affect the market, especially for CLOs, said Manish Kapoor, managing principal at West Wheelock Capital. Kapoor added that many market players are asking, “Does issuance get driven by regulation more than fundamentals?” Some regulation—particularly newly proposed CLO risk retention rules—could lead to outsized demand for compliant investments without regard for fundamental credit analysis, Kapoor said.

Attendance In(continued from page 1)

14 ABS East Daily Monday, October 7, 2013

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Refreshment break

Left to right: Kevin Kelley and David Le Blanc of The Debt Exchange

Registration at ABS East 2013

Left to right: Joshua Stowell and Herb Schofield, U.S. Bank; Paul Cominsky and Richard Pagnoni, JPMorgan Asset Management

Left to right: Rachel George, Michael Heimmel

Gyan Sinha, KLS Diversified Asset Management

Left to right: William

Stolberg, Glen Stein

Photographer: William TorresLeft to right: John Hill, Edward Kachinski

Marc Boatwright, Livermore Investments

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