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U.S. Securitization Group
Asset-Backed Update A member of BMO Financial Group
August 2005 www.harrisnesbitt.com/us-securitization
From the ABCP Trading Desk Implied Fed Funds
Futures Rates
Steaming Along 4.0
The Fed has made this almost dull. They tell us exactly
what they are going to do and then they do it; where’s the
mystery, the excitement? I remember when you used to
bring me flowers and surprised me with phrases like
“irrational exuberance.” August 9th brought us the 3.5
expected 25bps increase in the fed funds rate to 3.50% as
Mssr. Greenspan and Co try to get the attention of the
long end of the yield curve. September 20th is the next
FOMC meeting and the Fed will likely increase the same
25bps at that time. After September’s move there is quite 3.0
Aug-05 Sep-05 Oct-05 Nov-05 Dec-05
a divergence of opinion with many economists calling for Source: Bloomberg
a pause, while others indicate the Fed could “keep on
truckin” and easily be at 4.25% fed funds rate by the end 2.1%. Michael Gregory, Senior Economist at BMO
of 2005. The strength of July’s numbers would seem to Nesbitt Burns, notes that “Core inflation is subdued, but
support a Fed on the move. this is unlikely to stop the Fed from continuing to remove
U.S. payrolls grew again in July with 207,000 jobs monetary accommodation. The headline inflation rate
added, versus a consensus 186,000 increase expected. remains elevated, stoked by energy prices, and the only
June’s jobs figure was revised upwards by 20,000 to way the Fed can ensure the pass-through to core inflation
166,000. Unemployment remained constant at 5% is kept to a minimum is to push up the funds target to at
although inflation remains a worry even as the core con- least a neutral level.”
sumption expenditure deflator fell to 1.8% from Q1’s U.S Consumer prices also moved upward a solid
2.4% annual rate. 0.5% in July, thanks mainly to the increase of energy
U.S Headline PPI increased 1% in July which was prices which accounts for 8% of the CPI basket. Gasoline
double the consensus estimate. Core PPI was the major remains the story that seems to dominate all local and
impact on this figure at plus 0.4%, 4 times the consensus national domestic news, spiking over 6% in July alone.
call of 0.1%. Guess everyone missed those calls by “jest’ Though that may seem a monthly blip over the past six
a t’ech” as they say in my hometown. These eye popping months gasoline has actually increased a staggering 41%.
figures were offset by the core intermediate goods prices As gas heads over $3 a gallon (nearly the cost of a quart
declining 0.1% which is a more palatable increase.
U.S. Headline CPI increased in July by 0.5% which was
slightly higher than consensus estimates of 0.4%. Most of Inside this month
this increase came from energy prices which jumped
almost 4%; watch out for
UPCOMING INDUSTRY CONFERENCES . . . . .5
the headline inflation rate
FOMC 2005
MEETING DATES which rose dramatically
TRANSACTION LIST . . . . . . . . . . . . . . . .6
from 2.5% in June to 3.2%
November 1 in July (year over year) and
ASSET SECURITIZATION TEAM . . . . . . . . . 10
December 13 even core inflation
increased from 2.0% to
U.S. Securitization Asset-Backed Update
August 2005
of Evian!), we begin to hear more and more anecdotes of
people leaving the truck in the driveway and taking the Libor Mid-Month Comparison
train (or even trains) to work. The governor of Illinois is
4.0
actually contemplating dabbling in the oil market by cap- 30-Jun
3.6862 3.78
3.5
3.4088 3.5375
ping oil company profits on gasoline. Rather than try to 3.0
3.21 3.3375 31-May
3.0887 3.13
change the entire oil industry to accommodate the needs 2.5
of Chicago drivers, we encourage him to drill for oil in 2.0
Lake Michigan instead. 1.5
Fuel costs are actually starting to trickle down into 1.0
consumer products as trucking companies are forced to 0.5
add a premium to pay for this massive increase of one of 0.0
1 Month 3 Month 6 Month 1 Year
their most expensive costs. Thankfully, last year I sold Source: Bloomberg
the Suburban and bought a moped; sure people laugh
and point but once I get that bad boy running after about Treasury Yield Mid-Month Comparison
3 blocks of furious pedaling I am really saving on fuel
5
costs. Makes the car pool a bit more difficult though… 7/8/2005
Oil is currently hovering in the $65-$68 barrel level; 4 4.504 4.268 6/6/2005
4.19 3.979
when oil was $30 a barrel it seemed that a $10 increase 3.641 3.582
3.888 3.742
3
might halt the economy in its tracks but it blew right
through that perceived barrier; this logic was repeated 2
when oil hit $40, then $50. The question seems to be at
1
what point does the price of oil put the brakes on?
Hopefully we won’t test this theory as oil heads to $70 0
2 Year 5 Year 10 Year 30 year
per barrel… Source: Bloomberg
U.S Industrial Production grew at a miniscule 0.1% in month high. Over 2 million (annualized) houses were
July, missing the consensus estimates of 0.5% by a wide started in July and building permits were actually up
margin. It appears that a large component of this lack of 1.6% from June. Though the Fed marches ever forward,
zoom might be the auto companies’ attempt to clear their people don’t seem to fear the housing reaper and contin-
excess units by charging you, the consumer, the “same” ue to buy and build with abandon. Everyone except me,
employee price that Lee Iacocca and Snoop Dog pay for that is. I still can’t seem to get my shack built. In fact, I
their Chrysler 300’s, although Snoop does have better think my contractor might be working on your house…
rims and Lee has that killer 1000 watt sound system in
his trunk. Taking out autos, factory output actually ISSUING LEVELS
expanded 0.4%, well in line with expectations. We continue to see the trend of one month ABCP Tier 1
Downward revisions in June and April, combined with spreads tightening to Libor – 5bps in the face of FOMC
July’s overall 0.1% increase, actually pulled down the meetings from their run levels of Libor -7bps during
Capacity Utilization rate under 80% to 79.7%. other periods of the month. One month LIBOR rose from
Manufacturing capacity utilization remained unchanged 3.34 at the end of June to 3.51875 at the end of July. The
at 78.3% 3-month LIBOR rate increased from 3.51625 on June 30
Does everyone have at least one house now? Good, to 3.70 on July 29 and the 6-month LIBOR jumped from
you didn’t miss the boat. Though, perhaps if you bought 3.71 to 3.92375 on the same dates. ABCP outstandings
at the peak of the “wrong” bubble market, you may soon continued their series of solid increases increasing from
be living on your pontoon boat on Lake Delavan. Housing $817BN at the end of June to a very strong $823BN at the
starts declined slightly (0.1%) in July from June’s four end of July.
www.harrisnesbitt.com/us-securitization 2
U.S. Securitization Update
August 2005
Mortgage-Backed approximately 500,000 units. The Mexican government
strongly supports the expansion of its housing market
Securitization in Mexico and has adopted a number of reforms and initiatives over
recent years to encourage growth in the low-income seg-
INTRODUCTION ment in particular. President Vicente Fox is determined
For more than five years, Mexico’s structured finance to meet the demand for 750,000 new homes per year by
market has experienced increasing growth rates. In 2006 and RMBS provides an attractive means of raising
2004, the country became the securitization market the necessary capital to address this ambitious goal.
leader in Latin America for the first time, with approxi- Market participants are generally optimistic that this
mately US$9.9 billion in activity, representing an expan- level of strong political support will survive the change
sion of nearly 300% over the prior year’s level. This was in presidential administrations in 2006 and, accordingly,
enough for Mexico to surpass Brazil as Latin America’s the future of securitization in Mexico appears highly
leading securitizer. Activity predominantly consisted of promising over the intermediate term.
transactions distributed in the local markets. In addition, A key element of the Mexican RMBS market is the
Mexican issuers have begun to access the cross-border Sociedades Financeras de Objeto Limitado (Sofoles).
securitization market this year, with more than US$300 Sofoles, created in the aftermath of the Tequila Crisis
million of asset-backed issuance placed in the US thus (1995-1996) when banks exited the mortgage market, are
far in 2005. MBS has been a driving force in the success non-bank lending institutions that primarily extend
of the Mexican securitization market. mortgage loans to low- and middle-income individuals,
as well as construction loan financing for developers of
MORTGAGE-BACKED SECURITIZATION low-income homes. Funding is provided through one of
Mexico’s first true MBS offering took place in December the Mexican quasi-governmental housing authorities,
2003. In the first year following that initial transaction, such as Sociedad Hiptecaria Financiera (SHF). By 2000,
five residential mortgage-backed securitization (RMBS) Sofoles financed 80% of all residential mortgages.
deals were placed for a total of $470 million in issuance. Sofoles quickly became significant mortgage issuers,
Transactions backed by mortgages and mortgage related increasing to more than 57,000 mortgages in 2003 from
assets (take-out securitizations of housing construction 500 in 1995. Since 2001, Sofoles securitizations have
bridge loans) continue to fuel the growth of Mexico’s consisted primarily of construction bridge loan collater-
securitization markets. By dollar volume, real estate- al, however more recently RMBS deals have been com-
backed transactions accounted for approximately one- pleted.
quarter of the local structured finance market. Mortgage securitization increases the Sofoles’ ability
to originate loans because it:
WHY THE PUSH FOR MBS? • Increases liquidity
There is a severe housing deficit in Mexico of approxi- • Promotes standardization of practices (origination,
mately 5 million units. One of the primary factors driv- processing, servicing, etc.)
ing this deficiency is the overall youth of the Mexican • Diversifies financing sources
population. According to the 2000 census, close to 60% Standardization of practices will progressively reduce
of the Mexican population is under the age of 30 years. informational, administrative and transaction costs. In
Moreover, Mexico’s rental market is insignificant the United States and Canada, public agencies impose
(approximately 13% of total housing stock). Statistics such standardization, but in Mexico each institution has
suggest that by 2030, Mexico’s population over the age of typically set its own standards. Standardization is vital
20 will grow to 96 million as compared to 56 million in in creating sufficient volume to package mortgages for
2000. Demand for new housing is estimated at around sale through an MBS structure. Diversification of financ-
750,000 new homes per year, while current supply is ing sources is particularly important for Sofoles, since to
date they have largely depended solely on SHF funding.
www.harrisnesbitt.com/us-securitization 3
U.S. Securitization Update
August 2005
WHAT DOES THE FUTURE HOLD? insurers in wrapping Mexican existing (vs. future flow)
The Mexican structured market (domestic and cross-bor- assets, and the emergence of a cross-currency and inter-
der) has been active so far in 2005 with 19 new struc- est basis derivative market, the cross-border securitiza-
tured issuances having already been placed. Innovative tion market should thrive as well.
structures with new credit and financial risk mitigants
will allow Mexico to maintain its leading position in the
Latin American structured finance market. RMBS and
construction bridge loan issuances by Sofoles will likely CONTRIBUTORS:
continue to grow in volume and number in the coming
years. With shopping malls, office buildings, warehous- Susan Miceli Anthony Harris
es and hotels having the potential to leverage their lease Lou Galassini William Barbino
Jason Micheletto Allison Nickle
payments through commercial mortgage-backed securiti-
Kristi Riffe Barbara Boone
zation (CMBS), CMBS should start to play a role in 2006.
As a result of the increased interest among monoline
U.S. ABCP Market Growth
U.S. Asset-Backed Commercial Paper Market vs. Harris Nesbitt (U.S. only)
Nesbitt’s
US CP Conduits US Asset-Backed CP
6000 1000
5000 800
4000
600
3000
400
2000
200
1000
0 0
1995 1996 1997 1998 1999 2000 2001 2002 2003 June-05
Nesbitt's US CP Conduits CP Outstandings ($MMs)
US Asset-backed CP Outstandings ($Blns)
www.harrisnesbitt.com/us-securitization 4
U.S. Securitization Asset Backed Update
August 2005
Upcoming Industry Conferences
* Harris Nesbitt U.S. Securitization attending
** Harris Nesbitt U.S. Securitization presenting
September 13-16, 2005** September 26-27, 2005** January 29- February 1, 2006**
IMN – ABS East SRI - Intellectual Property ASF 2006
Boca Raton Resort - Boca Raton, FL Financing and Securitization Wynn - Las Vegas, NV
Speakers: New York Helmsley Hotel - New
Thursday, September 15 York, NY February 7-10, 2006**
Dave Kucera – 9:15 a.m. Speaker: ABS West
Opportunities in the Business Loan Monday, September 26 JW Marriott Desert Ridge -
& Commercial Loan Securitization Pete Walsh – 9:00 a.m. Phoenix, AZ
Market Monetizing IP State of the Market
Brian Zaban – 9:15 a.m. Review: Today’s Market
Mitigating Securitization Risks Alternatives and Trends
Ravi Gupta – 11:30 a.m.
Rating & Structural Issues in December 8-9, 2005
Equipment Lease and Loan IMN – SubPrime ABS, Consumer
Securitizations Finance and Servicing
Friday, September 16 Four Seasons Hotel – Las Vegas, NV
Dave Donofrio – 9:00 a.m.
Securitization in Latin America
www.harrisnesbitt.com/us-securitization 5
U.S. Securitization Asset Backed Update
August 2005
Transaction List
Date Transaction Amount (MMs) Assets Surety Type
7/6/2005 Sharps SP I LLC Net Interest Margin Trust, 2005-HE3N 48.4 Net interest margin 144A
7/7/2005 PHEAA Student Loan Trust I, 2005-2 400.0 Student loans Public
7/7/2005 Grand Pacific Business Loan Trust, 2005-1 218.3 Small-business loans 144A
7/8/2005 Soundview Home Loan Trust, 2005-3 704.9 Subprime home loans Public
7/12/2005 Ownit Mortgage Loan Trust, 2005-3 690.6 Home-equity loans Public
7/12/2005 Onyx Acceptance Owner Trust, 2005-B 900.0 Auto loans (sub-prime) FGIC Public
7/12/2005 Nissan Master Owner Trust Receivables, 2005-A 800.0 Auto loans (prime) Public
7/12/2005 J.P. Morgan Acquisition Corp., 2005-OPT1 1,461.8 Subprime home loans Public
7/12/2005 Fremont Home Loan Trust, 2005-C 1,032.7 Home-equity loans Public
7/12/2005 Citibank Credit Card Issuance Trust, 2005-C3 375.0 Credit cards Public
7/13/2005 Option One Mortgage Loan Trust, 2005-3 1,200.0 Home-equity loans Public
7/13/2005 Navistar Financial Owner Trust, 2005-A 746.3 Truck loans Public
7/13/2005 Long Beach Mortgage Loan Trust, 2005-WL1 2,968.8 Home-equity loans Public
7/13/2005 Collegiate Funding Services Education Loan Trust, 2005-B 1,300.0 Student loans Public
7/14/2005 NYCTL Trust, 2005-A 49.8 Tax liens 144A
7/14/2005 First Franklin NIM Trust, 2005-FF5N 29.8 Net interest margin 144A
7/14/2005 FFMLT Trust, 2005-FFA 758.8 Home-equity loans Public
7/14/2005 American Express Credit Account Master Trust, 2005-5 1,000.0 Credit cards Public
7/15/2005 Spirit Master Funding LLC, 2005-1 441.3 Small-business loans Ambac 144A
7/15/2005 Popular ABS Mortgage Pass-Through Trust, 2005-B 326.7 Subprime home loans Public
7/15/2005 Petroleum Export Ltd., /C 250.0 Natural resources XLCA 144A
7/15/2005 Petroleum Export Ltd., /B 400.0 Natural resources MBIA 144A
7/15/2005 Petroleum Export Ltd., /A 903.6 Natural resources 144A
7/15/2005 Mastr ABS NIM Trust, 2005-CI10 23.7 Net interest margin 144A
7/15/2005 First Franklin NIM Trust, 2005-FF6N 47.6 Net interest margin 144A
7/19/2005 WFS Financial Owner Trust, 2005-3 2,723.0 Auto loans (sub-prime) Public
7/19/2005 Triad Auto Receivables Trust, 2005-B 905.3 Auto loans (sub-prime) FSA Public
7/19/2005 SB Finance NIM Trust, 2005-KS6N 29.1 Net interest margin 144A
7/19/2005 Morgan Stanley ABS Capital I Trust, 2005-HE3 1,026.4 Home-equity loans Public
7/20/2005 SLM Student Loan Trust, 2005-6 3,378.2 Student loans Public
7/20/2005 Drivetime Auto Owner Trust, 2005-B 178.2 Auto loans (sub-prime) XLCA 144A
7/21/2005 Soundview NIM Trust, 2005-C14 21.7 Home-equity loans 144A
7/21/2005 Securitized Asset Backed Receivables Trust, 2005-FR3 236.5 Home-equity loans Public
7/21/2005 J.P. Morgan Mortgage Acquisition Corp., 2005-OPT1 1,510.1 Home-equity loans Public
7/21/2005 Interstar Millennium Trust, 2005-2L/A 500.0 Non-U.S. resi. loans 144A
7/21/2005 HSBC Automotive Trust, 2005-2 944.6 Auto loans (sub-prime) Public
7/21/2005 Capital One Multi-asset Execution Trust Class A, 2005-6 455.0 Credit cards Public
7/22/2005 RASC Trust, 2005-KS7 400.0 Subprime home loans Public
7/22/2005 Nelnet Student Loan Trust, 2005-3 1,343.0 Student loans Public
7/22/2005 Bear Stearns Structured Products NIM, 2005-16 3.3 Net interest margin 144A
7/22/2005 Bay View Owner Trust, 2005-LJ-2 181.0 Auto loans (sub-prime) Public
7/25/2005 Park Place Securities Inc., 2005-WCW3 1,500.0 Home-equity loans Public
7/25/2005 Home Equity Asset Trust, 2005-2N 27.2 Net interest margin 144A
7/25/2005 ACE Securities Corp. Home Equity Loan Trust, 2005-WF1 568.7 Home-equity loans Public
7/26/2005 Terwin Mortgage Trust, 2005-10HE 276.0 Subprime home loans 144A
www.harrisnesbitt.com/us-securitization 6
U.S. Securitization Asset Backed Update
August 2005
7/26/2005 Structured Asset Securities Corp., 2005-S4 187.7 Home-equity loans Public
7/26/2005 Structured Asset Investment Loan Trust, 2005-HE1 1,724.8 Home-equity loans Public
7/26/2005 Structured Asset Investment Loan Trust, 2005-7 2,101.8 Home-equity loans Public
7/26/2005 Structured Asset Investment Loan Trust, 2005-HE2 842.1 Home-equity loans Public
7/26/2005 RAMP Trust, 2005-EFC2 702.5 Subprime home loans Public
7/26/2005 Fremont Home Loan Trust, 2005-2 490.1 Home-equity loans Public
7/26/2005 Chase Issuance Trust CHASEseries Class B, 2005-2 600.0 Credit cards Public
7/26/2005 Chase Issuance Trust CHASEseries Class A, 2005-6 825.0 Credit cards Public
7/26/2005 CBA Commercial Assets LLC, 2005-1 214.9 Small-business loans 144A
7/26/2005 Asset Backed Securities Corp. Home Equity Loan Trust, 2005-HE7 279.2 Home-equity loans Public
7/26/2005 Amerifirst Home Improvement Trust, 2005-1 81.6 Home-improvement loans XLCA 144A
7/27/2005 Structured Asset Securities Corp., 2005-WF3 878.5 Subprime home loans Public
7/27/2005 Home Equity Mortgage Trust, 2005-3 396.1 Home-equity loans Public
7/27/2005 Bear Stearns Asset Backed Securities I Trust, 2005-HE7 958.0 Home-equity loans Public
7/27/2005 Bear Stearns Asset Backed Securities I Trust, 2005-AC5/C 82.4 Subprime home loans Assured Public
7/27/2005 Bear Stearns Asset Backed Securities I Trust, 2005-AC5/B 75.0 Subprime home loans FGIC Public
7/27/2005 Bear Stearns Asset Backed Securities I Trust, 2005-AC5/A 330.8 Subprime home loans Public
7/27/2005 Ameriquest Mortgage Securities Inc., 2005-R6 1,200.0 Subprime home loans Public
7/28/2005 Terwin Mortgage Trust NIM, 2005-10HE 13.7 Net interest margin 144A
7/28/2005 SACO I Trust, 2005-5 729.1 Home-equity loans Public
7/28/2005 MBNA Credit Card Master Note Trust MBNAseries Class B, 2005-2 200.0 Credit cards Public
7/28/2005 MBNA Credit Card Master Note Trust MBNAseries Class A, 2005-5 1,500.0 Credit cards Public
7/28/2005 HSBC Home Equity Loan Trust, 2005-2 1,288.2 Home-equity loans Public
7/28/2005 Home Equity Asset Trust, 2005-5 981.0 Home-equity loans Public
7/28/2005 Countrywide Home Loan Trust, 2005-5N 40.3 Net interest margin 144A
7/29/2005 Willis Engine Securitization Trust, 2005 228.3 Equipment leases 144A
7/29/2005 Fieldstone Mortgage Investment Corp., 2005-2 958.4 Home-equity loans Public
www.harrisnesbitt.com/us-securitization 7
U.S. Securitization Update
August 2005
N O R T H A M E R I C A N E C O N OM I C C A L E N D A R
SEPTEMBER 2005
Dr. Sherry Cooper
Executive Vice President & Chief Economist 1-800-613-0205
sherry.cooper@bmonb.com www.bmonesbittburns.com/economics
MONDAY TUESDAY WEDNESDAY THURSDAY FRIDAY
UPCOMING
POLICY MEETINGS
UNITED STATES UNITED STATES
Bank of Canada
8:30 am: Initial Claims - 8:30 am: Employment Report
September 7 Aug. 27th week - Aug.
October 18
8:30 am: Personal Income & 10:00 am: Challenger Layoff
December 6 Consumption - Jul. Report - Aug.
FOMC 10:00 am: ISM Index - Aug.
September 20 10:00 am: Construction
November 1 Spending - Jul.
December 13 Auto Sales - Aug.
1 2
CANADA CANADA CANADA CANADA CANADA
8:15 am: Foreign Reserves 8:30 am: Building Permits - Jul. 8:30 am: Capacity Utilization 7:00 am: Employment Report
- Aug. - Q2 - Aug.
Labour Day 8:30 am: New Housing Price 8:15 am: Housing Starts - Aug.
BoC Policy Announcement Index - Jul. 8:30 am: Labour Productivity
10:00 am: Ivey Purchasing - Q2
Managersí Index - Aug.
2-year bond auction
UNITED STATES UNITED STATES UNITED STATES announcement UNITED STATES
10:00 am: Non-mfg ISM Index 8:30 am: Productivity - Q2 R 8:30 am: Trade Price Indices
- Aug. UNITED STATES - Aug.
8:55 am: Redbook -
5 & 10-year note auction Sep. 3rd week 8:30 am: Initial Claims -
announcement Sep. 3rd week
Labor Day 5-year note auction
3 & 6-month T-bill auction 10:00 am: Wholesale Trade
- Jul.
Beige Book 3:00 pm: Consumer Credit - Jul.
Chain-Store Sales - Aug.
10-year note auction
5 6 7 8 9
CANADA CANADA CANADA
8:30 am: Merchandise Trade 8:30 am: Manufacturing 8:30 am: Existing Home Sales
Balance - Jul. Shipments & Orders - Jul. - Aug.
Manpower Survey - Q4 2-year bond auction 8:30 am: New Motor Vehicle
Sales - Jul.
UNITED STATES UNITED STATES UNITED STATES UNITED STATES UNITED STATES
3 & 6-month T-bill auction 8:30 am: Goods & Services 8:30 am: Retail Sales - Aug. 8:30 am: Consumer Price Index 8:30 am: Current Account - Q2
Trade Balance - Jul. 9:15 am: Industrial Production - Aug. 9:00 am: Foreign Purchases of
8:30 am: Producer Price Index - Aug. 8:30 am: Initial Claims - U.S. Securities - Jul.
- Aug. 9:15 am: Capacity Utilization Sep. 10th week 9:45 am: University of Michigan
8:55 am: Redbook - - Aug. 8:30 am: Empire State Consumer Sentiment Index
Sep. 10th week Manufacturing Survey - Sep. - Sep. P
2:00 pm: Treasury Budget 8:30 am: Business Inventories
- Aug. - Jul.
Manpower Survey - Q4 12:00 pm: Philadelphia Fed
12 13 14 Index - Sep. 15 16
CANADA CANADA CANADA 0...13 CANADA
8:30 am: International 8:30 am: Wholesale Trade - Jul. 8:30 am: Retail Sales - Jul. 7:00 am: Consumer Price Index
Securities Transactions - Jul. 8:30 am: Leading Indicators - Aug.
- Aug.
UNITED STATES UNITED STATES UNITED STATES UNITED STATES
1:00 pm: NAHB Housing Index 8:30 am: Housing Starts - Aug. Flow of Funds - Q2 8:30 am: Initial Claims - Sep.
- Sep. 8:30 am: Building Permits 17th week
3 & 6-month T-bill auction - Aug. 10:00 am: Leading Indicators
8:55 am: Redbook - - Aug.
Sep. 17th week
FOMC Meeting
19 20 21 22 23
CANADA CANADA CANADA
8:30 am: Average Weekly 8:30 am: Industrial Product 8:30 am: Real GDP at Basic
Earnings - Jul. Price Index - Aug. Prices - Jul.
8:30 am: Raw Materials Price
Index - Aug.
UNITED STATES UNITED STATES UNITED STATES UNITED STATES UNITED STATES
10:00 am: Existing Home Sales 8:55 am: Redbook - 8:30 am: Durable Goods Orders 8:30 am: Real GDP - Q2 F 8:30 am: Personal Income &
- Aug. Sep. 24th week - Aug. 8:30 am: Corporate Profits - Consumption - Aug.
2-year note auction 10:00 am: New Home Sales 2-year note auction Q2 R 9:45 am: University of Michigan
announcement - Aug. 8:30 am: Initial Claims - Consumer Sentiment Index
3 & 6-month T-bill auction 10:00 am: Conference Board Sep. 24th week - Sep. F
Consumer Confidence Index 10:00 am: Help-Wanted Index 10:00 am: Chicago Purchasing
- Sep. - Aug. Managersí Index - Sep.
26 27 28 29 30
www.harrisnesbitt.com/us-securitization 8
U.S. Securitization Update
August 2005
CANADIAN INDICATORS
2004 2005
Avg Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Unemployment Rate (%) 7.2 7.1 7.1 7.0 7.1 7.2 7.0 7.0 7.0 6.9 6.8 6.8 6.7 6.8 ND
Employment (m/m % change) 1.8 0.1 -0.1 0.2 0.3 0.0 0.1 0.0 0.2 0.0 0.2 0.2 0.1 0.0 ND
Housing Starts (000s) 232.3 224.5 247.1 236.3 230.0 244.5 236.3 203.7 218.1 218.4 238.5 225.5 241.3 242.6 ND
Leading Indicator 6.9 0.6 0.5 0.4 0.5 0.2 0.3 0.4 0.2 0.2 0.4 0.3 0.3 0.3 ND
CPI (m/m % change) 0.2 0.0 -0.1 0.2 0.4 0.2 0.1 -0.1 0.2 0.4 0.3 -0.2 0.2 ND ND
CPI (y/y % change) 1.8 2.3 1.9 1.8 2.3 2.4 2.1 2.0 2.1 2.3 2.4 1.6 1.7 ND ND
Retail Sales 4.7 0.6 0.2 0.7 1.3 0.1 -1.3 2.1 1.5 0.1 1.5 -1.2 1.1 ND ND
New Orders 10.0 1.4 -1.0 -0.5 0.0 -0.4 0.0 6.8 -5.0 -0.4 0.6 -0.7 0.4 ND ND
Unfilled Orders -1.9 1.4 -0.8 -1.2 -0.1 -1.4 -0.1 5.5 -0.3 2.0 1.3 0.8 0.7 ND ND
Industrial Production 3.3 0.2 0.9 -0.5 -0.2 0.3 0.2 0.3 -0.6 -0.8 0.4 0.6 ND ND ND
GDP at Basic Prices 3.2 0.3 0.4 0.0 0.1 0.3 0.2 0.3 0.1 -0.1 0.3 0.3 ND ND ND
IPPI 3.2 -0.1 0.4 -0.5 -0.5 -1.9 0.1 0.9 1.2 0.4 0.5 -0.1 0.0 ND ND
RMPI 11.7 1.2 3.6 -0.1 4.1 -5.2 -4.6 4.9 3.0 6.3 -1.3 -3.2 5.4 ND ND
Domestic Car Sales 542.8 555.0 556.3 519.6 542.1 530.2 551.6 524.6 611.3 596.8 605.3 510.0 587.5 ND ND
M2 6.1 0.0 0.1 0.3 0.7 -0.4 0.9 0.9 0.7 0.0 1.1 0.1 0.4 ND ND
Consumer Credit 10.3 1.0 0.8 0.7 0.9 0.6 0.7 0.8 1.2 1.1 1.1 1.2 ND ND ND
Residential Mortgage Credit 9.6 0.7 0.9 0.7 1.0 0.7 0.9 0.6 0.7 0.7 0.7 0.8 ND ND ND
Total Household Credit 9.8 0.8 0.9 0.7 0.9 0.6 0.8 0.6 0.9 0.8 0.9 0.9 ND ND ND
3-month T-bill Yield 2.22 2.03 2.07 2.36 2.52 2.62 2.46 2.45 2.45 2.49 2.47 2.46 2.45 2.55 2.65
10-year GoC 4.58 4.75 4.63 4.60 4.55 4.48 4.32 4.26 4.21 4.36 4.19 4.07 3.83 3.90 3.95
Call Money Rate 2.25 2.00 2.00 2.25 2.50 2.50 2.50 2.50 2.50 2.48 2.50 2.49 2.49 2.49 ND
Prime Rate 4.00 3.75 3.75 4.00 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 4.25 ND
Canadian Dollar (US cents) 77.0 75.6 76.2 77.6 80.2 83.6 82.0 81.6 81 82.2 80.9 79.6 80.6 81.8 82.8
TSX (Jan 1975=1,000) 8596.8 8421.4 8278.1 8499.7 8792.7 8933.7 9123.1 9087.6 9529.8 9697 9474.9 9472.2 9860.2 10247.5 10577.3
U.S. INDICATORS
2004 2005
Avg Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Unemployment Rate (%) 5.5 5.5 5.4 5.4 5.5 5.4 5.4 5.2 5.4 5.2 5.2 5.1 5.0 5.0 ND
Nonfarm Payrolls (m/m chg) 183 83 188 130 282 132 155 124 300 122 292 126 166 207 ND
Consumer Credit 4.4 0.4 0.4 0.6 0.6 0.0 0.4 0.6 0.3 0.3 0.1 -0.1 0.7 ND ND
Consumer Confidence Index 95.2 105.7 98.7 96.7 92.9 92.6 102.7 105.1 104.4 103.0 97.5 103.1 106.2 103.2 ND
Retail Sales 7.4 1.1 0.0 1.8 0.9 0.0 1.3 0.1 0.7 0.3 1.8 -0.3 1.7 1.8 ND
Domestic Car Sales 5.3 5.4 5.2 5.3 5.1 5.2 5.8 5.4 5.3 5.5 5.7 5.3 5.2 5.7 ND
Housing Starts 1.95 1.99 2.03 1.91 2.06 1.81 2.05 2.19 2.23 1.83 2.03 2.04 2.05 2.04 ND
Building Permits 2.03 2.11 2.06 2.04 2.09 2.09 2.08 2.14 2.09 2.02 2.15 2.06 2.13 2.17 ND
Leading Indicators 3.0 0.4 0.1 0.1 0.0 0.6 0.7 -0.1 0.2 -0.7 0.2 0.0 1.2 0.1 ND
ISM 60.5 61.6 59.6 59.1 57.5 57.6 57.3 56.4 55.3 55.2 53.3 51.4 53.8 56.6 ND
Industrial Production 4.1 0.7 0.1 -0.3 0.8 0.3 0.8 -0.1 0.5 0.2 -0.4 0.3 0.8 0.1 ND
Capacity Utilization Rate 78.1 78.3 78.3 78.0 78.5 78.7 79.2 79.1 79.4 79.5 79.0 79.2 79.8 79.7 ND
Durable Goods Orders 10.8 1.4 0.3 -0.1 -1.4 3.3 1.8 -2.9 1.6 -1.9 0.5 7.3 1.9 -4.9 ND
CPI (m/m % change) 0.3 -0.1 0.1 0.2 0.6 0.3 0.0 0.1 0.4 0.6 0.5 -0.1 0.0 0.5 ND
CPI (y/y % change) 2.7 2.9 2.7 2.5 3.2 3.6 3.4 2.9 2.9 3.2 3.5 2.8 2.5 3.1 ND
PPI (m/m % change) 0.3 0.1 0.1 0.3 1.5 0.7 -0.3 0.1 0.4 0.8 0.5 -0.6 0.0 1.0 ND
Merch. Trade Balance ($bln) -55.5 -55.0 -57.1 -55.6 -59.4 -63.2 -59.5 -62.7 -64.7 -58.9 -62.3 -60.8 -64.0 ND ND
Goods & Services Balance -51.4 -51.3 -54.2 -51.9 -55.6 -59.0 -54.7 -58.1 -60.1 -53.6 -56.9 -55.4 -58.8 ND ND
Federal Budget Balance -33.4 -69.2 -41.1 24.6 -57.3 -57.9 -2.9 8.6 -113.9 -71.2 57.7 -35.3 22.4 -52.8 ND
M1 5.5 -0.5 1.3 0.3 0.0 1.1 -0.1 -0.7 0.6 0.5 -1.3 0.9 0.0 -1.5 ND
M2 4.5 0.0 0.3 0.6 0.4 0.6 0.4 0.2 0.2 0.3 0.0 0.0 0.5 0.1 ND
M3 5.2 0.0 0.4 0.5 0.1 0.3 0.5 0.5 0.4 0.3 0.5 0.4 0.8 0.2 ND
3-month T-bill Yield 1.40 1.36 1.50 1.68 1.79 2.11 2.22 2.37 2.58 2.80 2.84 2.90 3.04 3.29 3.51
10-year Treasury 4.27 4.50 4.28 4.13 4.10 4.19 4.23 4.22 4.17 4.50 4.34 4.14 4.00 4.18 4.31
30-year Mortgage Rate 5.84 6.06 5.87 5.76 5.72 5.73 5.75 5.71 5.63 5.93 5.86 5.72 5.58 5.70 ND
Federal Funds Rate 1.35 1.27 1.43 1.62 1.75 1.93 2.16 2.29 2.50 2.63 2.78 3.00 3.04 3.25 3.47
Prime Rate 4.34 4.25 4.42 4.59 4.75 4.92 5.15 5.25 5.49 5.59 5.75 5.99 6.01 6.25 6.41
Euro (US$/Euro) 1.24 1.23 1.22 1.22 1.25 1.30 1.34 1.31 1.30 1.32 1.29 1.27 1.22 1.20 1.23
Yen (•/US$) 108.17 109.49 110.23 110.09 108.78 104.70 103.81 103.34 104.94 105.25 107.19 106.60 108.75 111.95 110.65
Oil (US$/bbl) 41.50 40.69 44.94 45.95 53.13 48.46 43.33 46.84 47.97 54.31 53.04 49.83 56.26 58.70 63.99
Gold (US$/oz) 409.17 398.11 400.51 405.25 420.46 439.38 442.08 424.03 423.35 433.90 429.23 421.87 430.66 424.48 438.50
DJIA 10313.65 10152.09 10032.80 10204.67 10001.60 10411.76 10673.38 10539.51 10723.82 10682.09 10283.19 10377.18 10486.68 10545.38 10594.59
www.harrisnesbitt.com/us-securitization 9
U.S. Securitization Asset-Backed Update
August 2005
Asset Securitization Team
DIRECTOR OF SECURITIZATION
Jeff Phillips, Executive Managing Director
(312) 461-7282
ORIGINATION & STRUCTURING
David Kucera, Managing Director
(312) 461-3893
Pete Walsh, Managing Director
(312) 461-2332
Tom Gervais, Managing Director
(214) 661-1501
FUNDING COORDINATION
Ron Kirchler, Director
(312) 461-3841
Lou Galassini, Vice President
(312) 461-5353
CONDUIT MANAGEMENT
Kristi Riffe, Director
(312) 461-5640
The opinions, estimates and projections contained herein are those of Harris Nesbitt Corp. (“HNC”) as of the date hereof and are subject to change with-
out notice. HNC endeavors to ensure that the contents herein have been compiled or derived from sources that we believe are reliable and contain infor-
mation and opinions, which are accurate and complete. However, HNC makes no representation or warranty, express or implied in respect thereof,
takes no responsibility for any errors and omissions which may be contained herein and accepts no liability whatsoever for any loss (whether direct or
consequential) arising from any use of or reliance on this report or its contents. Information may be available to HNC, which is not reflected herein.
This report is not to be construed as an offer or solicitation to buy or sell any security.
HNC, its affiliates and/or their respective officers, directors or employees will buy from or sell to customers the securities of issues mentioned herein
on a principal basis. HNC usually makes a market in the securities and actively trades these securities for its customers and as principal for its own
account. HNC may act as financial advisor and/or underwriter for the issuers mentioned herein and may receive remuneration for same.
HNC is a subsidiary of Harris Financial Corp., which is a subsidiary of the Bank of Montreal. HNC is affiliated with Harris Bankcorp. Inc.
TO CANADIAN RESIDENTS: BMO Nesbitt Burns Inc. and BMO Nesbitt Burns Ltee, affiliates of Harris Nesbitt Corp., furnish this report to Canadian res-
idents and accept responsibility for the contents herein subject to the terms set out above. Any Canadian person wishing to effect transactions in any
of the securities included in this report should do so through BMO Nesbitt Burns Inc. and/or BMO Nesbitt Burns Ltee.
TO U.K. RESIDENTS: The contents hereof are intended solely for the use of, and may only be issued or passed onto, persons described in part VI of the
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www.harrisnesbitt.com/us-securitization 10
