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Strategies & Market Trends : The Epic American Credit and Bond Bubble Laboratory

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To: russwinter who wrote (999)	9/24/2003 1:17:59 PM
From: ild	Read Replies (1) of 110194

I don't understand how they get AAA for auto loans (unless Ford/GM promise to make whole on all losses). Also what I don't like that they price in swaps. As I understand this it's leveraged on low short term rates. Am I wrong? Bear Stearns Securitizes $3B In Auto Loans From Big 3 By DAVID FELDHEIM Of DOW JONES NEWSWIRES NEW YORK -- Bear Stearns plans to sell another large securitization of retail auto receivables from its Whole Auto Loan Trust (WALT), series 2003-1. The investment bank said the offering will total $2.956 billion and includes equal amounts of auto loans it purchased from Ford Motor Credit, the financing arm of Ford Motor Co. (F), General Motors Acceptance Corp., the financing company for General Motors Corp. (GM) and DaimlerChrysler North America Holding, the U.S. arm of DaimlerChrysler AG (DCX). Market sources said they believe that Bear Stearns has accumulated these loans over the past year, with the Ford portion likely left over from the $3 billion in whole loans the auto maker sold to Bear Stearns last November. Bear Stearns completed its first whole loan securitization on Dec. 4, 2002, when its sold $3 billion of notes backed by loans purchased from Ford and DaimlerChrysler. Dealers said the deal should be attractive because it offers well-diversified collateral, but one trader said it could be a little harder to place because the entire issue is fixed rate. Details of the new five-year offering are as follows: Class Amount AvgLife Rating Guidance A1 $758 mln 0.26 yr P1/A1+/F1+ 3moLibor minus 4bp area A2 854 mln 1.00 yr Aaa/AAA/AAA SynthLibor + 8bp area A3 595 mln 2.00 yr Aaa/AAA/AAA 2 yr Swap + 10bp area A4 462 mln 2.98 yr Aaa/AAA/AAA 3 yr Swap + 8bp area B 69 mln 1.84 yr A1/A/A+ 2 yr Swap + 40bp area C 27 mln 1.77 yr Baa1/BBB/BBB+ 2 yr Swap + 150bp area D 69 mln 1.44 yr Ba3/BB-/BB private placement Bear Stearns is lead manager for the placement, with Banc One Securities and J.P. Morgan Securities as co-managers.

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