GMAC Enters Novel Swap To Hedge I-Rate Exposure

  • 03 Mar 2003
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General Motors Acceptance Corp. has issued what is believed to the first Dutch residential-mortgage backed securities deal, in which the interest-rate risk is hedged. In this EUR400 million (USD430.74 million) securitization the special purpose vehicle has entered an interest-rate swap with Citigroup, in which it pays the fixed rate it gets from the portfolio of mortgages and receives three-month Euribor, the rate it needs to pay on the notes. In previous transactions the issuer has had to hold the risk of interest rates falling and homeowners refinancing their mortgages, which is also known as prepayment risk.

William Kloehn, managing director at Citigroup in London, said this is the first time that an issuer of Dutch RMBS has entered a swap to hedge prepayment risk from mortgages. In the past, Dutch issuers of RMBS originated mortgages and then securitized them in a pool paying a floating-interest rate. This exposed the issuer to prepayment risk. Unlike in the U.S. where investors are familiar with prepayment risk and will buy MBS pass-throughs, European investors demand floating-rate RMBS deals, Kloehn explained. This transaction may spur other Dutch RMBS issuers to look at using swaps to alleviate prepayment risk, said Kloehn.

  • 03 Mar 2003

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 Citi 330,700.22 1283 8.07%
2 JPMorgan 323,941.31 1398 7.91%
3 Bank of America Merrill Lynch 298,038.11 1018 7.27%
4 Barclays 250,341.26 930 6.11%
5 Goldman Sachs 220,211.32 736 5.37%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 BNP Paribas 46,720.95 183 6.95%
2 JPMorgan 44,545.29 93 6.63%
3 UniCredit 36,248.22 154 5.39%
4 Credit Agricole CIB 33,820.44 161 5.03%
5 SG Corporate & Investment Banking 33,798.79 128 5.03%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
  • Last updated
  • Today
1 JPMorgan 13,792.73 61 8.93%
2 Goldman Sachs 13,469.15 66 8.72%
3 Citi 9,908.67 56 6.42%
4 Morgan Stanley 8,471.86 53 5.49%
5 UBS 8,248.12 34 5.34%