Structured Finance - New York Universitypeople.stern.nyu.edu/igiddy/ABS/sf_in_lat_am.pdf · 2004. 4. 27. · Structured Finance Structured Finance in Latin America’s Domestic Markets

Structured Finance

September 13, 2002

www.fitchratings.com

International Special Report

Structured Finance in Latin America’s Domestic Markets

Contributing Analysts

Chicago Samuel Fox 1 312 606-2307 [email protected] Greg Kabance 1 312 368-2052 [email protected]

New York Mia Koo 1 212 908-0651 [email protected]

Argentina Eduardo D’Orazio +54 11 4327-2444 [email protected]

Bolivia Rodolfo Castillo +591 2 2356-979 [email protected]

Brazil Jayme D. Bartling +55 11 287-3177 [email protected]

Central America Mauricio Choussy +503 263-1300 [email protected] Guillermo Zuniga +506 296-9182 [email protected]

Chile Matias Acevedo +562 206-7171 [email protected]

Analysts Continued on Page 2.

Summary Over the last half decade, the domestic markets of Latin America have witnessed the emergence of structured finance. Many countries had previously created the legal framework for securitization, but until the latter part of the 1990s, few markets had truly tested the concepts or accepted the potential value added through structured finance. In many markets the emergence is still, to a great extent, muted. However, across the board the barriers to successful structured finance seem to be coming down and new sources of demand, such as private pension funds, are beginning to fuel an advance.

While rising from relatively inconspicuous beginnings, structured finance in Latin America’s local markets has snowballed to a level of development where comment is long overdue. Fitch Ratings estimates that approximately 300 securitizations totaling approximately US$12 billion have been placed locally through a variety of structured finance vehicles.

Looking at the region as a whole, Argentina historically has the most mature of Latin America’s structured finance markets. The graph below shows the dominance in issuance by dollar volume of Argentina (45% of the market, or US$5.4 billion) over its regional neighbors. However, for the future, Fitch expects a redistribution of the weighting, given the contrasting effects of Argentina’s performance in the last year and the budding potential of other local markets. Similarly, Colombia (19% of the market, or US$2.3 billion) is

Central America2%

Venezuela1%

Peru3%

Chile15%

Colombia19%

Mex ico12%

Brazil3%

Argentina45%

Local Structured Finance Issuance by Country(Total Market — US$12 billion)

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currently Latin America’s second-strongest structured finance market, but a realization of growth potential in Mexico and/or Brazil will likely change this order.

The region has a wealthy asset base for structured finance. Traditional asset-backed securities (ABS) transactions are present and capitalize well-known assets, such as auto and consumer loans and credit cards. These types of deals make up more than 20% of the overall market. Mortgage-backed securities (MBS) have a strong acceptance across the region and represent 15% of the market, as do toll roads and securitizations related to the public sector. Various types of collateralized debt obligations (CDOs) and future flow securitizations are also recognized in several markets.

This report aims to summarize the development of structured finance in local capital markets in Latin America, drawing from Fitch’s experience. The report includes detailed commentary on each of the major individual markets, taking stock of the size of structured finance issuance, diversity of asset classes

and framework trends that are helping (or holding back) the advancement of structured finance as an investment and/or funding alternative.

Certain trends common to most Latin American countries have revealed themselves. For example, legal frameworks are being established and even tested for their validity. Most countries also have maturing pension fund systems acting as catalysts for investment growth. Many regulators are requiring ratings on all securities owned by the institutional investor base. The regulators are also putting relatively high rating floors for eligible investments. Much of this comes at a time when access to international markets is increasingly difficult. The local environment for risk-mitigating techniques, such as those offered by structured finance, has never been more promising.

Fitch has been part of the development of structured finance in Latin America’s local capital markets since their beginnings. Fitch’s market coverage is demonstrated through a Latin American network with offices in 11 countries that house more than 100 analysts. Fitch has the only consistent, on-the-ground presence of any internationally recognized rating agency. Fitch’s ability to interact locally is further strengthened by a larger global focus that comes with a high standard of communication, allowing for the flexible application of proven structured finance technologies in diverse emerging-market settings.

Analysts (continued)

Colombia Glaucia Calp +571 347-4573 [email protected]

Ecuador Patricio Baus +593 2 2 222-323 [email protected]

Mexico Eugenio López Garza +5281 8356-6880 [email protected]

Peru Ernesto Bazan +511 444-5588 [email protected] Johanna Izquierdo +511 444-5588 [email protected]

Venezuela Carlos Fiorillo +58 212 286-3356 [email protected]

0

5001,000

1,5002,000

2,500

ABSRMBS

Future

Flow

Co-Parti

cipatio

n

Concess

ions

Project F

inance CDO

Corpora

te Bond

s

Consum

er Cred

itREIT

CMBSOthe

r

Latin American Local Market Issuances by Asset Class

ABS–Asset-backed securities. RMBS–Residential mortgaged-backed securities. CDO–Collateralized debt obligations. REIT–Real estate investment trusts. CMBS–Commercial mortgage-backed securities.

(US$ Bil.)

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Argentina The launch for Argentine structured finance transactions took place in 1996, after Law 24.441 (Argentine Trust Law — passed by the national congress in 1995) settled the necessary legal vehicles that allowed the development of the securitization market. Under this law and in conjunction with other regulations established by the CNV (the local security commission) and the Superintendencia de AFJPs (the government regulator of pension funds), assets can be pledged to a trust in order to collateralize the repayment of securities.

From 1996–2001, the structured finance market had shown a sharp increase, and notes collateralized by assets had become one of the fastest growing financial instruments providing funding to many financial entities and corporate businesses.

The table above shows the distribution of deals in terms of type of assets securitized during period 1996–2001. A total of 138 deals, or US$5.3 billion, were issued through these years. Fitch’s Argentina office rated 81.6% and 64% of these market issues in terms of amounts and number of deals, respectively.

Two other types of structured finance vehicles are present in Argentina: notes structured with government debt and notes structured with corporate debt. From a credit perspective, each is essentially a pass through of general obligations and, therefore, is not considered in the market number totals for the purpose of this report.

The government bond securitizations are in high demand given the fact that Argentine pension funds are limited by law in their ability to invest directly in government bonds. However, acquiring notes issued

by a trust collateralized with government bonds is exempt from the regulation. Those kind of structured notes are often a pass through type, though some kinds of sovereign-risk derivatives are issued as well.

The second vehicle excluded from the market total numbers is a trust note, usually issued as a private offer, collateralized by a corporate bond. This kind of deal is popular due to a tax distortion between common corporate issuance by public offer (negotiable obligations) and notes issued through a trust.

More ABS deals are done than any other asset class, but the issuance dollar amounts tend to be smaller. The types of assets most commonly securitized are personal loans, auto loans, differed payment checks and credit card receivables. It is noteworthy that many of these securitizations were done by subprime financial institutions whose possibilities to find financial resources through corporate bonds was limited due to their low corporate credit ratings.

Argentina has seen close to US$1 billion in MBS transactions, which makes up almost 18% of the market.

Other assets securitized represent relatively small percentages of the market as a whole. Real estate project finance deals are notes guaranteed by the collection of future sales of real estate products such as flats, weekend houses and others. Future flow transactions are those where the collateral assets are future sales to be made by a company. Coparticipation loans are based on loans to Argentine provinces originated by banks that are guaranteed by the tax collection transferences from the central government to the provinces. Finally, the

Structured Finance Deals in Argentina by Asset, 1996–2001 ———————Total Market——————— ———————Fitch Rating———————

Amounts (US$ Mil.) Deals

Amounts (%)

Deals (%)

Amounts (US$ Mil.) Deals

Amounts (%)

Deals (%)

ABS 1,898 85 35 62 1,458 59 77 69MBS 974 20 18 14 913 12 94 60Real Estate Project Finance 217 11 4 8 115 3 53 27Future Flows 840 14 16 10 775 9 92 64Coparticipation Loans 1,118 5 21 4 1,118 5 100 100CLO/CBO 313 3 6 2 0 0 0 0 Total 5,360 138 100 100 4,377 88 81.6 64

Structured Notes (Public Debt) 4,557 39 NA NA 1,547 19 NA NACorporate Notes 2,210 16 NA NA 1,280 11 NA NAABS–Asset-backed securities. MBS–Mortgage-backed securities. CLO/CBO–Collateralized loan obligations/collateralized bond obligations. NA–Not applicable.

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collateralized bond obligations (CBO)/collateralized loan obligations (CLO) category embraces all those deals where multiple assets constitute the collateral of the trust, although these are not the typical CBO/CLO structures observed in U.S. markets.

For the complete list of Argentine structured finance deals see Appendix 1on pages 14–15.

Annual issuance has tended to grow each year since the market opened in 1996. Both the number and amount of transactions rated have increased annually for the last five years. Growth observed in 2001 was caused, to a great extent, by increased issuance of government-backed structured notes. During 2001, there was a significant increase in interest rates due to higher country risk premiums and an increasing need to finance public deficits. This trend had two effects. First, it increased the successful financing of riskier projects with higher returns while muting safer, would-be lower cost projects. Secondly, it led to the consumption of structured notes backed by government bonds beyond the level previously permitted by law. The liquidity channeled to the government also crowded out available funds for other structured transaction opportunities.

As of December 2001, half of all of the transactions rated by Fitch Argentina had successfully paid down, been cancelled and performed without exception. Historically, the Argentine Trust Law had proved to be a strong institution defending against liquidation. In each of these scenarios structured notes were repaid. This was due to the legal division of assets (true sale) and the strength of the structures (appropriate reserves accounts, back-up servicers, etc.). Examples include Probond and MBA ABS Banco Israelita de Cordoba I, under which the original payment schedules were maintained although the originators, Banco Mayo and Banco Israelita respectively, were first suspended by the Argentine Central Bank and then closed.

Another example refers to a future flow securitization called “Aerocard.” The underlying assets were future credit card sales of Aerolíneas Argentinas that were transferred in behalf of a trust to back the notes. Even though the company had serious financial problems and ended under Chapter 11, the pledged assets were not affected and the cash flow continued performing. The structured notes were totally repaid.

The Effect of the December 2001 Sovereign Default of Securitization Due to the economic crisis and the social unrest that surfaced toward the end of 2001, Finance Minister Cavallo and then the President De la Rua were forced to resign in December, two years before the end of the presidential term. The first successor of De la Rua was Mr. Rodriguez Saa who on Dec. 24, 2001, declared the default on Argentina’s foreign debt. After a week, Rodriguez Saa resigned due to lack of political support. Mr. Eduardo Duhalde, of the Peronist party, took over as president to finish De la Rua´s original term (December 2003). Presidential elections have been accelerated to first quarter 2003.

Duhalde and his team enacted measures under Law No. 25.561 of Jan. 6, 2002, (the Emergency Law) that hit capital markets dramatically, beginning with devaluation and floating of the foreign currency, and the “pesofication” of the debts through Decree 214 of Feb. 3, 2002.

A new bankruptcy law was also approved, in which debtors’ protection prevailed over creditors’ rights. This new law introduced several measures, which created incentives for debtors to restructure debts and follow insolvency procedures.

By Dec. 3, 2001, Cavallo had already established cash restrictions to protect the financial system from a deepening run on deposits. Additionally, all transfers abroad were restricted, pending Central Bank authorization.

Regarding the effect on structured finance deals, the first decrees (prior to Decree 214) pesofied specific kinds of individual debt, such as residential mortgages up to US$100,000, auto loans up to US$15,000 and consumer loans up to US$10,000. Under that scenario, some ABS and MBS deals were affected because the assets of the trust had been pesofied at a 1:1 parity, and the liabilities of the trust remained in U.S. dollars. Depending on the specifics of each structure and their credit enhancement levels, repayment of rated debt obligations was still possible. However, through Decree 214 all structures governed by Argentine law and debt denominated in dollars were redenominated into Argentine pesos at the parity of 1:1. In terms of foreign currency, investors were handed an immediate and direct loss.

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5

Similarly, the continuing deterioration of the sovereign situation directly affected deals repackaged with public bonds and provincial structures backed by coparticipation payments. Each of these structures had performed very well prior to the sovereign default.

In the coparticipation loan deals, the collateral for the trusts consisted of bank loans to provincial and municipal governments backed by tax sharing (as supported by a national law). The law guaranteed a minimum amount to be transferred to the provinces independent of current tax collections.

Until July 2001, the government distributed to the provinces a minimum monthly amount as determined by Copa Law 23.548. In July 2001, there was a significant decrease in the funds transferred by the federal government to the provinces. In November 2001, the provinces entered into a debt swap, similar to the swap of the republic. As the crisis continued and after the aforementioned institutional changes, the new “fiscal pact” of February 2002 was signed between the provinces and the national government. In this latest fiscal pact, the minimum fixed amount was eliminated, and the national government assumed provincial debts (pesofied at the parity US$1.00:ARP1.40) by issuing 16-year public bonds.

Argentine Conclusions Clearly, the measures taken by the government since Duhalde took office constituted a major violation of contracts, not only between government and private investors, but between private debtors and creditors as well. As the situation fails to stabilize, more regulatory changes are foreseeable, making the future uncertain.

Even though most market players are waiting for clarification of the economic and institutional environment (given that actual rules are not clear enough to foster investment), several export-related future flow transactions are being proposed for consideration. These are likely to be short-term notes (no more than six or nine months) and denominated in U.S. dollars. Potential buyers are pension funds and, perhaps, insurance companies, the only investors capable and willing to invest in local securities (due to the official regulation).

Fitch approximates that Argentine pension funds will receive no more than ARP70 million– ARP100 million on average per month in the coming

year, giving them an annual capacity of investment of about ARP1 billion pesos. This could be considered a rough maximum amount available to invest in the Argentine financial market.

Brazil

Executive Summary While many Brazilian companies had tapped the international capital markets through structured cross-boarder securitizations as early as 1995, the local market has progressed at a slower pace. The local securitization market remains an untapped resource of funds for companies.

Brazil’s securitization and bankruptcy laws established the inroads to promote a cross-border, as well as a local securitization, market. However, certain tax-related issues, coupled with local capital market fundamentals and investor sentiment regarding securitization, continue to compromise the market’s development.

Securitization History The concept of structural enhancement has been present in the Brazilian debt capital markets since the 1980s, although in limited form. The basic principal has involved the pledging of specified amounts of existing assets, mainly receivables generated by public service providers, as collateral for payment of debenture or commercial paper instruments. These initial securitizations, however, failed to segregate the asset pool from the originator, and consequently investors never received the benefits of a bankruptcy-remote structure.

In the early 1990s, the concept of segregating the assets from the originator through a true sale of the receivables came to the forefront. The development of a regulatory structure fostered the increase in cross-border securitizations, generally from Brazilian basic industry exporters, which continue to access markets regularly.

For the list of Brazilian structured finance issuances, see Appendix 2 on page 16.

Impediments to Market Growth While corporate issuance volume in Brazil’s local debt capital markets has grown over the years in response to tightening international capital market liquidity, several factors continue to negatively affect the development of local corporate debt and

Structured Finance


6

securitization markets. For example, the lead time in structuring a transaction for placement, high interest rates and lack of standard fixed-income instruments have each dampened demand in the markets. In addition, an illiquid secondary market for private-sector fixed-income securities, and consequential crowding out of these issuances by the liquid, and substantially large, secondary market for federal government treasuries, increased the difficulties for growth in corporate fixed-income and structured transactions.

Aside from the overall capital market fundamentals, the local securitization market has been hindered by tax-related issues. Taxation of special-purpose vehicles (SPVs) has been a crucial factor that has underscored market development. Under a traditional securitization involving the true sale of assets, the SPV is subject to value-added taxes (Cofins and PIS) equivalent to approximately 5% of gross revenue. In addition to the application of a 35% marginal income tax, all financial transactions are subject to 0.38% financial transaction tax (CPMF).

Furthermore, local investor sentiment perceives structured transactions as a means for poor credit quality entities to viably raise funds in the debt capital markets. Unfortunately, there is a negative stigma attached to structured finance.

Receivables Investment Funds In the first quarter of 2002, regulators took new initiatives toward tackling the impediments for growth in the securitization market. Regulators issued rulings regarding the use of investment funds as vehicles for securitization, similar to those adopted by the Spanish and French markets. The fundamentals are outlined in the Brazilian Central Bank’s Resolution 2.907 and the Brazilian market’s securities exchange commission’s (CVM) Instruction 356. Essentially, the fund acts as a “bankruptcy remote” entity in acquiring ownership rights to assets, whether asset-backed or future-flow receivables, in place of the traditional SPV. The fund will purchase the ownership rights to the securitized assets under a true sale condition from the originator, using the proceeds originated from the sale of senior and subordinate shares in the fund. Shares can be prioritized similar to tranching in leveraged funds. While these are not technically debt instruments, they are expected to state a targeted return. Brazilian regulation requires that each tranche of shares must have at least one national scale rating.

Furthermore, each fund may be either closed or open-ended, resulting in differing tax and regulatory implications. An open-end fund provides investors with a put on their respective shares in the fund prior to full amortization. A closed-end fund requires investors to maintain the shares outstanding until final maturity, for the duration of the fund or by decision in a shareholder assembly. Additionally, each fund may have a determined or undetermined (e.g., revolving) duration. All shares may be traded on the Brazilian stock exchange or over-the-counter market.

Investors which may acquire shares of these funds include pension funds, financial institutions, insurance companies, investment funds, capitalization companies, sophisticated investors and securities portfolios administered by managers authorized by the CVM. However, in the event that the financial institution is the originator of the fund’s underlying assets, the financial institution’s investment opportunities are limited to only acquiring subordinate shares.

The new receivables fund securitization model provides originators with a more simplified structuring process. To date, no transaction under these new guidelines has come to market, however, many companies and financial institutions have expressed interest, utilizing a variety of assets. A receivables investment fund could be set up to manage a single issue, similar to a traditional SPV in the United States. It is also contemplated that a single fund could be the issuing vehicle for multiple securitizations, similar to a U.S. conduit.

05 0

1 0 01 5 02 0 02 5 03 0 03 5 04 0 04 5 0

1 9 9 8 1 9 9 9 2 0 0 0 2 0 0 1 2 0 0 2

Brazilian Mortgage-Backed Securities Outstanding(As of December 2001)

BRL–Brazilian real.

(BRL Mil.)

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7

SPV Versus Receivables Fund The major change brought forth by the regulation lies with the fund’s advantageous tax treatment as opposed to the traditional SPV structures. Receivables funds, like traditional investment funds in Brazil, are not subject to CPMF tax. Further, legislation differentiates income tax treatment on closed-end and open-end funds. In the case of open-end funds, income tax is realized on gains of the value of the shares of the fund in relation to the previous month, payable monthly at a 20% tax rate, similar to “plain-vanilla” debenture issuances. However, closed-end funds are subject to income tax in the event of amortization or sale of the shares, which is based on the net amount between the current market value and initial investment value.

Mortgaged-Backed Market (MBS) Creation of Brazil’s mortgage-backed securitization market began with the reform of the former Home Loan Financial System (SFH) in 1997 and the enactment of Law 9.514. This legislation implemented a new model, the Sistema de Financiamento Imobiliário (SFI), which embraced market-determined mortgage interest rates, improved credit-protection measures for lenders and creditors and helped the origins of the MBS market.

One of the main advantages to the new model was the ability to more expediently foreclose on nonperforming mortgages, known as fiduciary alienation (Alienação Fiduciária). Under the former system, lengthy and costly foreclosure proceedings created a disincentive to lenders. The new system required that the underlying assets pledged as a guarantee be held on behalf of the creditor until full amortization of the loan amount.

Aside from improving transparency and reducing bureaucratic policies, the legislation outlined the fundamentals for securitization of mortgage loans. Under the law, securitization companies may be created for the sole purpose of acquiring mortgage loans under a true sale agreement from originators, pooling these loans and issuing mortgage-backed certificates, known as Certificados de Recebíveis Imobiliários (CRIs).

The certificates may be issued as simple CRIs, in which fixed-income investors are exposed to the operating risks of the securitization company, or under a fiduciary agreement that alienates the asset pool from the assets of the securitization company.

While the latter affords fixed-income investors with a bankruptcy-remote status in respect to the securitization company, no precedents have confirmed this conclusion.

Thus far, several securitization companies have emerged (Companhia Brasileira de Securitização S.A. [Cibrasec], Rio Bravo Securitizadora S.A. and Brazilian Securities S.A.). Their structures are similar to that of institutions established in the U.S. residential mortgage-backed securities (RMBS) market (e.g., Fannie Mae, Freddie Mac, etc.). Similar to receivables investment funds, securitization companies benefit from exemption of CPMF taxes. The securitization companies have adopted standardized selection criteria for assembling mortgage pools to be securitized, such as acceptable loan-to-value ratios (LTV), minimum outstanding balances, and minimum and maximum maturities. Generally, pooled mortgages are adjusted by the IGP-M inflation index.

The main beneficiaries of a liquid secondary RMBS market are Brazilian residential construction companies. In the past, the lack of adequate real estate lending required construction companies to assume the role of financing agent to the final customer. Securitization of mortgage loans originated by these construction companies reduces the burden on indebtedness and working capital.

Almost five years after enactment of new legislation, securitization volume remains insignificant in relation to today’s home lending market demand. Further improvements are necessary to guarantee a liquid RMBS market and secure essential long-term funding. At year-end 2001, approximately BRL340 million (approximately US$100 million) in certificates had been publicly issued into the market. A key impediment which still remains involves the restrictions on pension funds to invest in the RMBS market.

Finally, as experienced by most private sector fixed-income segments, the mortgage-backed market has faced fierce competition from higher yield fixed-income investments, such as federal government treasuries, which has limited investor appetite for such transactions.

Mexico In 1990, the Mexican Comisión Nacional de Valores (now the Comisión Nacional Bancaria y de Valores

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[CNBV]), recognized the necessity to create a mechanism to formally evaluate the credit quality of bonds placed in the local market. Bond issuance would be authorized only for companies able to achieve investment-grade credit ratings. In the ensuing year, credit rating agencies emerged in Mexico.

During the first half of the 1990s, the Mexican bond market fundamentally grew with senior unsecured corporate issuances. On the eve of the Tequila Crisis in 1995, when Mexico experienced an almost complete collapse in the credit quality of financial assets and corporate debt instruments, investors openly recognized the need for new alternatives to protect the value of their bond portfolios. Structured finance was introduced as a tool to isolate the performance of securities from the performance of the issuing company, thus reducing volatility and scope of risk for Mexican securities. As a result, since the beginning of 1996, investors have limited their exposure to unstructured paper to only the most distinguished of Mexican borrowers. The remaining corporate base is more or less required to place paper backed by assets or with risk-reducing structures.

After the crisis (1996), reforms to the Mexican pension system created a regulatory hurdle requiring retirement funds to be invested only in bonds issued by the government or in bonds rated in the ‘AA’ and ‘AAA’ categories. Mexico’s version of the regulated institutional investor emerged, and demand for highly rated peso-denominated paper soon followed. Investment banks and arrangers were also driven to offer the market bonds that met the necessary profile. As a result of these events, Mexico witnessed the creation and growth of its structured finance market.

More recently, the Mexican Congress approved reforms to improve the stability and transparency of SPVs. Similarly, state congresses followed suit by modifying their own civil codes and processes (Códigos Civiles y de Procedimientos) with a specific goal of employing more efficient mortgage securitization guidelines. Reforms emphasized that effective change would require an agile judicial system with clearer established legal processes to enforce creditors’ rights and ensure timely resolutions.

The maturation and evolution of the last decade of the Mexican securities market has provided the foundation for structured finance operations, both on and off balance sheet. Structures have employed a

diverse range of assets, including, among others, securitizations of consumer credit receivables, toll road collections, future flows backed by governmental contracts, mortgage-backed, lease-backed, bank loans, federal tax coparticipation flows and other general asset-backed as well.

At the end of June 2002, there was approximately US$1.39 billion outstanding in rated structured finance bonds in the Mexican securities market (according to information provided by the CNBV). Fitch has participated in the rating of approximately US$1.2 billion (86.7%), Standard & Poors (S&P) has rated approximately US$467 million (33.6%) and Moody’s has rated approximately US$441 million (31.7%). When measured by the number of transactions, Fitch participated on 77% of all structured finance ratings in Mexico. S&P and Moody’s rated approximately 43% and 23%, respectively.

For the list of Mexican structured finance deals, see Appendix 3 on page 17.

The regulations that required the pension fund system to invest in only the highest quality paper accelerated the acceptance of structured finance in Mexico. They also created a positive perspective for growth, not only through a steady demand, but also from supply. To meet their funding needs, structured finance allowed public and private entities access to an otherwise closed market. There are several key areas for securitization growth potential including, mortgage-backed securitization and state-sponsored infrastructure development projects.

Currently, the Mexican government is focusing its effort to develop a secondary-housing market. Success would further catalyze the long-term securities market as well as permit Mexico to meet its goal of reducing its relatively large housing deficit. In Mexico, structured finance is expected to play this dual role with increasing importance in the coming decade.

Colombia The compulsory requirement for credit ratings on local issuances was adopted by the Colombian government in 1991. The introduction of the law supplied the conditions for the creation of credit rating agencies in the country. In 1993, a local securitization market was created with the publication of Resolution 1394 by the

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Superintendencia de Valores (the Colombian equivalent to the Securities and Exchange Commission). Following the establishment of the regulatory framework, the first structured finance deal, an RMBS, came to market in December 1994. Banco Davivienda, one of the two largest savings and loans institutions in the country, successfully placed approximately US$25 million in ‘AAA’ rated issue with a five-year maturity. In the same year, Duff & Phelps de Colombia S.A. (now a subsidiary of Fitch) launched its operations in Colombia.

Since this first transaction, the number of structured finance deals has increased significantly. The market has expanded not only in terms of the variety of asset classes and the sophistication of their structures but also in regard to tenor. Nowadays, 10- to 15-year maturity deals have no problems in being placed.

The primary investors of the Colombian capital markets are the pension funds. In aggregate, the pension funds manage around US$5.5 billion. Restrictive investment policies allow them to purchase only ‘AA’ and ‘AAA’ rated issues. With the economy facing difficulties in the last five years, few issuers are capable of tapping the market with plain vanilla bonds. In this context, structured deals represent one way to achieve the required rating and raise funds in the market. Using year 2001 as an example, 59% of the dollar amount (100% equals

US$988 million) of issuances rated by Duff and Phelps de Colombia were structured finance deals.

Over the years, the Colombian structured finance market has issued close to US$2.5 billion. The list of Colombian structured finance transactions is shown in Appendix 4 on pages 18–19. This list provides information on the name of the issue/issuer, asset class, original rating and amount in current pesos and dollars. The decrease in the issuance of real estate investment trusts (REIT), motivated by the crisis in the building sector in Colombia is noteworthy. Real estate prices have declined in nominal terms in the last four years, thereby affecting the attractiveness of such instruments.

Conversely, CDOs, ABSs, future flow transactions and corporate bonds have shown growth in the last two years after experiencing a period of stagnation as a result of the approval of Law 550 of 1999, a bankruptcy law similar to Chapter 11 in the United States. In the months following its sanction, uncertainty arose over the legal ramifications for financial structures in the event of an originator/corporation being admitted under court protections. After being approached by several participants in the market, the Superintendencia de Valores eventually published a formal statement on the subject that clarified the law’s implications and eased market concerns.

Public Finance

10%

Project Finance

3%

REITs14%

Corporate Bonds22%

Future Flow 17%

CDO 13%

RMBS18%

ABS3%

Colombian Asset Classes(US$ Amount)

ABS – Asset-backed Securities. RMBS – Residential Mortgage-backed Securities. CDO – Collateralized Debt Obligations.

Public Finance

13

Project Finance

6

REIT61

Corporate Bonds

18

Future Flow 20

CDO 20

RMBS10

ABS6

Colombian Asset Classes(Number of Deals)

ABS–Asset-backed securities. RMBS–Residential mortgage-backed securities. CDO–Collateralized debt obligations. REIT–Real estate investment trusts.

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Another milestone was the sanction of Law 546 in 2000, which favorably affected the local securitization market with an attempt to develop alternative sources of funding to finance residential mortgages. Its framework promoted the creation of special agencies dedicated to the securitization of residential mortgages. In 2001, the Titularizadora Colombiana was created with the International Finance Corporation (IFC) as one of its shareholders, and in the second quarter of 2002, it placed a first issue of approximately US$210 million. Another issuance is expected in the second half of the year.

In the mid-1990s some structured finance deals originated in Colombia were placed internationally. They were basically project finance transactions. Since then, primarily due to the downgrade of the Colombian sovereign and the increasing trend observed in corporations of substituting pesos for dollars, there has been little interest in issues targeting international markets. This situation is not expected to change in the near future.

A product that is being strongly promoted in recent days by multilateral institutions is the partial credit guarantee. At the moment, Duff and Phelps de Colombia is looking at three different deals using this credit enhancement and is developing, in conjunction with Fitch, a methodology to rate this kind of structure. A different structured finance deal that is about to be introduced to the market is a CDO backed by rediscounted loans where the credit risk assumed by the investor arises from the financial institutions

that borrow the funds from the development bank that originates the securitization.

The Colombian market for structured finance is expected to continue to experience steady growth, most notably in areas such as CDOs, RMBSs, partially credit guaranteed obligations and other sorts of secured corporate bonds.

Since its creation, Duff and Phelps de Colombia has been the leading rating agency for structured finance deals by a large margin. Its current market share by dollar amount and number of ratings is presented in the graph below. Fitch’s local competitor, BRC Investor Services, former BankWatch Ratings de Colombia, has been traditionally more focused on rating financial institutions and money market funds. S&P and Moody’s do not operate in the Colombian local market.

Peru In Peru, the history of securitization is still relatively brief. Among other reasons, securitization, as a mechanism to separate and reduce risks, was introduced to the Peruvian market somewhat recently with the passing of Ley del Mercado de Valores, legislative directive No. 861, in December 1996.

Since its inception, several amendments to the original securities law have been passed, each designed to improve the transparency regarding the separation of control over the assets. In accordance with these laws, the process of securitization of assets can take two forms: (1) pledge assets to a trust structure; or (2) sell assets into an SPV.

Rating History In Peru, there are four rating agencies. Of the four, only Apoyo has a relationship with an internationally recognized rating agency (Fitch). S&P and Moody’s do not operate on the ground in Peru. There have been a total of 11 transactions successfully placed into the local Peruvian securities market. Apoyo has rated 10 of them. Because of the company’s strong name and solid presence in the market, Apoyo’s participation is requested by the majority of Peruvian investors. The only securitization not rated by Apoyo involved an unrated bank backed by government treasury notes. The simplicity of analysis did not require Apoyo’s participation.

The Peruvian market has purchased approximately US$324 million in rated securitizations. Apoyo has

0

20

40

60

80

100

DCR (Fitch) BRC (Inv estor Serv ices)

Number of Deals Dollar Amount

Colombian Structured Finance Market Share

(%)

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11

rated about 89% market participation when measuring on dollar value. Several Peruvian issuers have also placed debt internationally including, Telefonica del Peru, Banco del Credito del Peru, Yanacocha and Southern Peru Copper.

For a list of Peruvian structured finance transactions, see Appendix 5 on page 20.

Market Expectations The Peruvian securitization market is expected to grow for several reasons. First, similar to other Latin American markets, the principal investors are the pension funds. Defaults in the last few years caused by the Peruvian economic recession have driven new regulation limiting pension fund investment to securities rated ‘AA–’ and above. Previously, funds had been allowed to purchase as low as ‘BBB–’ or ‘C2’ on a short-term basis. Securitization allows for higher ratings and greater access to market for lower rated originators. Other institutional investors in Peru are the insurance companies and mutual funds.

Also, in the past, some securitizations claiming to have been backed by assets failed to support creditors after their originators entered into liquidation. Cash realized from the guaranties was made available first for outstanding debts to the government and second to cover expenses related to employees. Changes in regulations have helped to clarify the value added by securitization and should make the vehicles more attractive to investors in the future.

Several asset classes have been included in securitizations in Peru. From the financial sector, these include mortgages, consumer credit and auto loans. From the corporate arena, these asset classes include future flow securitizations representing sectors such as mining, concession contract revenues and other public services.

Historically, Peruvian companies have had difficulty accessing international capital markets. This alternative has been mostly limited to companies that have significant dollar cash flows through exports or international services. The Peruvian sovereign ceiling has capped issuers from investment-grade ratings and therefore limited their likelihood for successful placement internationally. The local securitization market has growth as a viable alternative for meeting funding needs.

Peru is also characterized by smaller companies, whose funding needs can typically be absorbed in the local market. Issuance size is relatively small by international standards. Peruvian companies would not likely achieve the necessary economies of scale when placing debt international and therefore the costs can be somewhat prohibitive.

Venezuela Venezuela’s local structured finance market has yet to truly come into existence. In 1998, 1999, and 2000, three deals were successfully completed. Each was a bank balance sheet deal securitizing auto loans. The first two deals were from Banco Mercantil and the third from Citibank. The total issuance amount was approximately US$90 million. While some proposals featuring leases, RMBS and other assets have been entertained, no additional securitization has been completed.

While the legal framework imposed by Comision Nacional de Valores (the local regulator) has not been tested to the level of financial sophistication of other emerging markets, ironically, there are no legal impediments to securitization in Venezuela. The framework for trust structures and bankruptcy-remote vehicles exists. There is also a considerable asset base to fuel issuance. The limitation is more a function of the state of Venezuelan capital markets.

For example, more than 90% of local debt issuance in Venezuela has a maturity of less than one year. The maximum tenor realistically contemplated by the market is two years. Sophisticated requirements of existing asset transactions, such as back-up servicing, are difficult to implement from a practical sense given such short time horizons. The cost is very high and in many areas a potential back-up servicer does not even exist. As such, there is great dependence on the originator to actively participate in the ongoing administration of the securitization, and the market assigns a limited benefit to the legal separation of assets. It is generally accepted that issuing debt from one’s own balance sheet is more efficient.

Another fundamental reason for the underdevelopment and limited potential of the Venezuelan securitization market is a lack of demand. For example, Venezuela is one of the few Latin American countries without a formal private pension fund system. Venezuela is in the midst of developing a market for plain vanilla corporate bonds. Until this process has matured, investors are

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less likely to show great demand for relatively complex structured finance products. A final condition exacerbating the issue is a positive tax treatment that creates the incentive for investment in government paper over private debt issuances.

Chile The concept of securitization was introduced in the Chilean capital markets in 1996 as the result of amendments in the Securities Law. In its first form, the regulation restricted securitization of assets primarily to residential mortgages. In 1999, new amendments were introduced into the law, with the purpose of extending the scope of assets to be securitized.

The Chilean structured finance market is still relatively small. To date, approximately US$1.7 billion in securitizations has been completed. Currently, it is heavily concentrated in mortgages (residential and commercial). However, there are good prospects for growth in the area of ABS (consumer loans, auto loans and credit card receivables). Fitch recently participated in the first auto loan deal in this market and is very close to releasing the first consumer loan issue.

For a list of structured finance transaction in Chile, see Appendix 6 on page 20.

Chilean regulations required that all securities carry at least two ratings for placement in the local market. Similar to other Latin markets, the primary investors in Chile are the private pension funds and insurance

companies. Given the limited issuance volume, there currently seems to be enough appetite from local investors for the existing flow. There is not overwhelming pressure to place securities into the cross-border market.

There is a lot of potential for growth in the area of ABS in general, but similar to other markets, it will require significant education of the market.

Central America The Central American market has the greatest potential in three primary economies: Panama; El Salvador; and Costa Rica.

To date, only about three deals totaling approximately US$90 million have come out of Costa Rica. Each of the three was a future flow receivable securitization.

In Panama, two relatively small MBSs totaling about US$20 million were completed in the past few years.

Other asset classes, such as credit card securitizations, are expected in the market in the next few months. While not yet completely tested, the legal framework should support the bankruptcy remoteness of such prospects.

El Salvador has had several successes in the cross-border structured finance markets, including bank-related financial future from Argicola and Cuscatlan. Taca also placed an international securitization of future airline ticket receivables. El Salvador however, has not yet completed a local securitization, although credit card deals are expected.

40

96

68

0

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40

60

80

100

Fitch Chile Feller Rate Humphrey s

Chilean Structured Finance — Market Participation of Rating Agencies(As of June 2002)

(%)

Central American Structured Finance Deals

Transaction Name Amount

(US$ Mil.) Country Asset

U Latina 14 Costa Rica Future Flow ICE 70 Costa Rica Future Flow Fideicomiso Villa Real 8 Costa Rica Future Flow

HIPOTECARIA 2 10 Panama Mortgage-

Backed

HIPOTECARIA 3 10 Panama Mortgage-

Backed

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13

On the local level there are only two primary rating agencies: Fitch, which has offices in both Costa Rica and El Salvador; and Sociedad Calificadora de Riesgo. Owing to the regulatory requirement for

ratings on investments by pension funds and local security exchanges, both have solid and competitive market participation in structured finance. S&P and Moody’s do not operate on the local level in the Central America markets.

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Appendix 1 — Fitch Rated Structured Finance Transactions in Argentina

Name of the Trust Amount

(US$ Mil.) Type of assets Closing

Aerocard Clase A (Aerolineas Argentinas) 50.0 Future Flows May 1997 Aerocard Clase B (Aerolineas Argentinas) 50.0 Future Flows December 1998 Aguas Financial Trust 100.0 Future Flows — Aluar (ON garantizada con Exportacion) 150.0 Future Flows June 1997 Argentina Principal Prot. Eq. Linked Notes 50.0 Repacked (Public Sector) June 1997 Argentrust 90.0 Repacked (Public Sector) October 1999 BACS I 117.2 Residential Mortgages February 2001 BHN I 93.0 Residential Mortgages October 1996 BHN II 106.6 Residential Mortgages May 1997 BHN III 105.4 Residential Mortgages October 1997 BHN IV 195.0 Residential Mortgages March 2000 Bono Personal Serie I 17.4 Consumer Loans August 1998 CEI-Argentine Financial Trust 89.0 Repacked (Corporate Debt) — Chess 2009-I 150.0 Repacked (Public Sector) September 2000 Chess 2017-I 250.2 Repacked (Public Sector) June 2000 CHESS BPI Checks I, II, and III 50.0 Checks — Cóndor (Aerolineas Argentinas) 100.0 Future Flows July 1999 Consubond Serie I, II, III, and IV 67.0 Consumer Loans July 1997 Consubond Serie V 27.3 Consumer Loans October 1997 Consubond Serie VI 29.2 Consumer Loans May 1998 Consubond Serie VII 26.4 Consumer Loans July 1998 Consubond Serie VIII 21.3 Consumer Loans March 1999 Consubond Serie IX 14.2 Consumer Loans November 1999 Consubond Serie X 16.0 Consumer Loans August 2000 Consubond Serie XI 19.7 Consumer Loans October 2000 Consubond Serie XII 25.3 Consumer Loans February 2001 Consubond Serie XIII 30.0 Consumer Loans May 2001 Consubond Serie XIV 16.5 Consumer Loans August 2001 Consubond Serie XV and XVI 20.0 Consumer Loans October 2001 Consubond Serie XVII 23.1 Consumer Loans December 2001 Copar I 24.0 Coparticipation Securitization July 1997 Copar II 44.2 Coparticipation Securitization August 1999 Coparticipación I 236.8 Coparticipation Securitization June 1999 Coparticipación II 312.6 Coparticipation Securitization December 1999 Credicuotas I and II 26.0 Consumer Loans April 1999 Debis I 153.9 Auto Loans December 1999 Debis II 46.3 Auto Loans November 2000 Ecipsa Tower 14.0 Residential Mortgages March 1998 Edificio La Nación 45.0 Real Estate February 2001 El Patacón 100.0 Repacked (Public Sector) October 2000 Emerging Market P. Prot. Eq. Linked 80.0 Repacked (Public Sector) June 1997 Estancias del Pilar 33.8 Real Estate June 1998 Factoring Plus I 6.2 Checks November 1999 Factoring Plus II 9.5 Checks January 2000 Factoring Plus III 6.5 Checks April 2000 Factoring Plus IV 12.0 Checks June 2000 FDC Serie I 38.1 Consumer Loans February 2000 FIDENS I 15.2 Consumer Loans November 1999 FIDENS II 14.4 Consumer Loans November 1999 Gain Corona Bonte 04 Clase A 60.0 Repacked (Public Sector) November 1999 Gain Corona Bonte 05 Clase A 65.0 Repacked (Public Sector) April 2000 Gain Corona Global 17 Clase A and B 145.0 Repacked (Public Sector) November 1999 Gain Indice Nasdaq 100 140.0 Repacked (Public Sector) September 2000 Gain Trust Notes (Edenor) 140.0 Future Flows June 2000 Galtrust I 500.0 Coparticipation Securitization October 2000 Galtrust II, III, IV, V, 239.0 Residential Mortgages December 2001 Hexagon I 65.0 Repacked (Public Sector) — Hidroeléctrica Piedra del Aguila — HPDA Financial Trust I 319.0 Repacked (Corporate Debt) December 1999 Inmobiliario Serie I 20.8 Residential Mortgages November 1996 LS 1998-1 20.0 Repacked (Public Sector) July 1998 LS 1999-1 101.0 Repacked (Corporate Debt) June 1999 Macro Personal I 73.9 Personnel Loans February 2000 Macro Personal II 61.3 Personnel Loans December 2000 Macro Personal III 44.6 Personnel Loans June 2001 Macro Personal IV 26.2 Personnel Loans January 2002 MATES Serie I 25.0 Repacked (Public Sector) March 1997 MBA - Serie Banco Liniers Sud. Prenda I 18.4 Auto Loans July 1998 MBA - Serie Banco Liniers Sud. Prenda II 5.3 Auto Loans December 1998 MBA Credial 15.0 Credit Cards June 2000 MBA Macro Créditos I 35.0 Personnel Loans December 1999 MBA - Serie Banco Israelita de Córdoba I 11.6 Consumer Loans July 1998 MBA - Serie Banco Mariva Checks I 30.0 Checks —

Continued page 15.

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15

Appendix 1 — Structured Finance Transactions in Argentina (continued)

Name of the Trust Amount

($US Mil.) Type of assets Closing

MBA-Serie Banco Trasandino I 6.6 Checks November 1998 MBA-Serie Banco San Luis-Cheque I 30.0 Checks April 1999 MBA-Serie Banco San Luis-Créditos I 10.0 Consumer Loans February 2000 MBA-Suquía Prendas I 15.8 Auto Loans November 1999 Molinos Río de la Plata (ON Garantizada) 150.0 Future Flows October 1996 Multiactivos 2000-Serie Prendas I 52.0 Auto Loans November 1999 Nordelta 56.0 Real Estate — Pegasus Clase B 20.0 Repacked (Public Sector) July 1997 Phoenix 350.0 Repacked (Corporate Debt) March 2001 Principal Prot. Outperf. Notes 60.0 Repacked (Public Sector) December 1996 Probond Serie I and II 30.0 Consumer Loans July 1997 Probond Serie III and IV 50.0 Consumer Loans November 1997 Probond Serie V and VI 40.0 Consumer Loans March 1998 Programa Milenium Trust Up to 5.000 Repacked (Corporate Debt) — RT Finance II 100.0 Future Flows September 1999 Secuprend Serie I 23.9 Auto Loans October 1997 Stars I 50.0 Repacked (Public Sector) January 1998 Tarjeta Naranja Credit Card Trust I 50.0 Credit Cards December 1998 Tarjeta Naranja Credit Card Trust I 25.0 Credit Cards June 1999 Tarjeta Naranja Credit Card Trust III 35.0 Credit Cards November 1999 Tarjeta Naranja Credit Card Trust IV 35.0 Credit Cards February 2000 Tarjeta Shopping Serie I 14.0 Credit Cards May 2000 TGN CRIBs Clase I 200.0 Repacked (Corporate Debt) July 2000 Tigre Series 1997–1 100.0 Repacked (Public Sector) December 1997 Titan Edesur 2000–1 100.0 Repacked (Corporate Debt) — TITAN- ESSO SRL 2002–1 30.0 Future Flows — Titan Telecom Personal 2000–1 70.0 Repacked (Corporate Debt) August 2000 UBS Brinson Forestal I and II 150.0 Forestal Fund December 1998

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Appendix 2 — Structured Finance Transactions in Brazil

Year Name Type of Transaction Asset Class Issuance Amount

(BRL Mil.)

2002 Rio Bravo Securitizadora S.A. CMBS Lease Contracts 4.22002 Rio Bravo Securitizadora S.A. RMBS Mortgage Bonds 2.4

2001 Cibrasec RMBS Mortgage Bonds 202001 Cibrasec RMBS Mortgage Bonds 6.42001 Cibrasec RMBS Mortgage Bonds 142001 Cibrasec RMBS Mortgage Bonds 102001 Cibrasec RMBS Mortgage Bonds 16.52001 Rio Bravo Securitizadora S.A. CMBS Lease Contracts 12.92001 Rio Bravo Securitizadora S.A. RMBS Mortgage Bonds 1.42001 Rio Bravo Securitizadora S.A. CMBS Lease Contracts 7.52001 Rio Bravo Securitizadora S.A. CMBS Rental Payments 1352001 Brazilian Securities 2001–01 and 2001–02 RMBS Mortgage Bonds —2001 Brazilian Securities 2001–03 and 2001–04 RMBS Mortgage Bonds —2001 Brazilian Securities 2001–05 and 2001–06 RMBS Mortgage Bonds —2001 Brazilian Securities 2001–07 and 2001–08 RMBS Mortgage Bonds —

2000 Cibrasec CMBS Mortgage Bonds 552000 Cibrasec CMBS Mortgage Bonds 502000 Chemical Trust S.A. Future Flow Receivables Petrochemical Sales 1802000 Auferville Trust S.A. Existing Asset REIT 10.32000 Rio Bravo Securitizadora S.A. RMBS Mortgage Bonds 6.32000 Rio Bravo Securitizadora S.A. RMBS Mortgage Bonds 5.4

1999 TRK Brasil Trust S.A. Future Flow Receivables Petrochemical Sales 501999 Cibrasec RMBS Mortgage Bonds 1001999 Cibrasec RMBS Mortgage Bonds 101999 Cibrasec RMBS Mortgage Bonds 21999 Cibrasec RMBS Mortgage Bonds 10.9

1998 Embrah Trust S.A. Existing Asset REIT 25

1997 Fininvest Trust de Recebíveis S.A. Future Flow Receivables Credit Card Receivables 801996 Bahia Trust de Recebíveis S.A. Future Flow Receivables Consumer Receivables 2501996 Bompreço Trust Recebíveis S.A. Future Flow Receivables Consumer Receivables 401996 Cidadela Trust de Recebíveis S.A. Existing Asset Residential Real Estate 151996 Teletrust de Recebíveis S.A. Existing Asset Telephone 2031996 Gafisa SPE–1 S.A. Existing Asset REIT 20.8

1995 Mappin Trust Recebíveis S.A. Future Flow Receivables Consumer Receivables 36

1994 Mesbla Trust de Rec. de Car. de Crd. S.A. Future Flow Receivables Credit Card Receivables Cr$ 80,000

1993 Mesbla Trust de Rec. de Car. de Crd. S.A. Future Flow Receivables Credit Card Receivables Cr$ 30,000

1992 Mesbla Trust de Rec. de Car. de Crd. S.A. Future Flow Receivables Credit Card Receivables Cr$ 50,000Source: Sistema Nacional de Debentures (SND), CETIP and company information. BRL–Brazilian reais. CMBS–Commercial mortgage-backed securities. RMBS–Residential mortgage-backed securities. REIT–Real estate investment trusts.

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Appendix 3 — Structured Finance Transactions in Mexico

Issuance Asset Fitch Ratings Peso Amount

(Mil.) Amount

(US$ Mil.)

LAVENTA 93U Toll Road AA(mex) 494 52.0CLM Crédito Bancario Avalado AAA(mex) 1,120 117.9MAYAB 02AU Toll Road AA(mex) 1,093 115.1MAYAB 02BU Toll Road A(mex) 192 20.2HOGAR 01 Housing Construction Bridge Loans AA(mex) 300 31.6GEO 002 Low-Income Construction Receivables AA(mex) 167 17.6GEO 002 Low-Income Construction Receivables NA 100 10.5GEO 011 Low-Income Construction Receivables NA 100 10.5MUNDOE 00 Rentas Desarrollo Comercial AA+(mex) 202 21.3EKT 001U Consumer Credit AAA(mex) 397 41.8EKT 011 Consumer Credit AAA(mex) 650 68.4EKT 012 Consumer Credit AAA(mex) 550 57.9EKT 021 Consumer Credit AAA(mex) 750 79.0EKT 022 Consumer Credit AAA(mex) 500 52.6ATM Toll Road AA(mex) 694 73.1BINZAC 02U Toll Road AA(mex) 412 43.4TERAICM 01 Airport Concession Cd. de México AA(mex) 713 75.0TUCA 01U Toll Road AA(mex) 185 19.5EDOMOR 01 Coparticipation AA+(mex) 216 22.7META 991U Toll Road NA 108 11.3META 992U Toll Road NA 255 26.9CASITA 00U Mortgages AA(mex) 187.7 62.0MAGS Coparticipation NA 90 9.5ECOSYS 01U Future Flow NA 318.8 105.0OCLAFA 95 Toll Road A+(mex) 704 74.0GMAC 02 Crédito Bancario Avalado AAA(mex) 1,000 105.2HICOAM P00 Bridge Loans AA(mex) 50 5.3HICOAM P01 Bridge Loans AA(mex) 50 5.3HIPNAL P00U Liquidity Guaranty NA 45 4.8HIPNAL P002U Liquidity Guaranty NA 23 2.4CPYSA Toll Road B(mex) 135 14.2CREAL P01 Accounts Receivables NA 140 14.7FINAZTE P00U Housing Construction Bridge Loans AA(mex) 68 7.2FINAZTE P01 Housing Construction Bridge Loans AA(mex) 90 9.5FININDEPE P01 Consumer Credit BBB+(mex) 50 5.3UNICON P00 Cartera empresarial A–(mex) 75 7.9Source: CNBV, June 2002. NA – Not available.

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Appendix 4 — Fitch Rated Structured Finance Transactions in Colombia Year Issue / Issuer Asset Class Amount (US$) Original Rating

1994 TH Davivienda 94 Residential Mortgages 25,242,332 AAA 1995 Colmena (Titularización Hipotecaria) Residential Mortgages 45,065,741 AAA 1995 Títulos Rentables Negociables "TREN" No.1 to No. 4357 Real Estate 18,622,030 A 1995 Mobil Calle 80 Real Estate 7,120,188 AA+ 1995 Charleston Real Estate 6,530,856 IA 1995 Titularización Inmobiliaria La Florida Real Estate 3,614,865 BBB– 1995 TI Colmena Parque Industrial Occidente Real Estate 3,505,323 BBB+ 1995 Títulos Rentables Inmobiliarios "TRI" Real Estate 3,483,415 AA+ 1995 TI OIKOS EMPORIO Real Estate 2,876,556 AA 1995 Titularización Inmobiliaria Park Center Real Estate 2,793,305 BB– 1995 TI OIKOS SEDES Real Estate 2,174,396 AA– 1995 TI Unicentro L 2225 Real Estate 1,774,570 AA+ 1995 Titulos Inmobiliarios Davivienda Piso 8. Real Estate 1,485,468 A 1995 TI Andino L 272 L 276 Real Estate 1,380,221 AA– 1995 OIKOS Centro de Negocios Andino Of. 901 Real Estate 1,369,267 AA+ 1995 OIKOS Edificio Centro Comercio Internacional P.14 y P.15 Real Estate 1,066,933 A 1995 TI Centro Andino L 104 Real Estate 679,156 AA 1995 OIKOS Edificio Torre Propaganda Sancho of. 904 a 907 Real Estate 613,432 AA 1995 OIKOS Edificio de Seguros Colmena Cll 72 Real Estate 547,707 AA 1995 OIKOS Ladrillos para Oficinas de la Av. Chile Real Estate 416,257 A+ 1995 TI Cumbre del Salitre Real Estate 328,624 AA 1995 Medellin 1995 Future Flow 21,908,271 AA 1996 TH Davivienda 96 Residential Mortgages 48,242,408 AAA 1996 TH Davivienda 96 2 Residential Mortgages 37,146,654 AAA 1996 Cupocrédito 2a Emisión Commercial Loans 28,945,445 AA 1996 Ibague Future Flow 7,718,785 A+ 1996 FIRST Real Estate 12,050,373 AA– 1996 TI Banco Selfín Real Estate 4,968,968 A 1996 TI Duratex Real Estate 4,859,095 BB 1996 El Lago Real Estate 1,197,377 1996 Pisa I Toll Road 19,296,963 AA– 1997 Cupocrédito 3a Emisión Commercial Loans 21,911,511 AA 1997 Titularización de Cartera Banco Selfin Commercial Loans 16,214,518 A+ 1997 IDU Future Flow 182,564,959 AAA, AA+, AA 1997 Meta Future Flow 20,596,821 A+ 1997 Bucaramanga Future Flow 16,214,518 A 1997 Santa Marta Future Flow 4,732,886 A 1997 Devisab Toll Roads 26,293,814 AA– 1997 CADENALCO 75 AÑOS Real Estate 47,328,864 AA 1997 Titularización Inmobiliaria Granahorrar Real Estate 40,214,635 AA– 1997 TI Yoko Real Estate 15,075,120 AA– 1997 Titularización Inmobiliaria La Castellana Real Estate 13,585,137 A 1997 TI TZF Real Estate 10,020,000 A+ 1997 SUPERCENTRO LOS EJECUTIVOS Real Estate 6,434,973 A+ 1997 TI Oikos Cabecera al Llano Real Estate 2,024,133 BBB– 1997 Distrito Barranquilla Future Flow 16,828,041 A 1997 Municipio de Pereira Future Flow 7,011,684 AA– 1998 TH Davivienda 98 Residential Mortgages 71,127,204 AAA 1998 Pisa II Toll Road 14,021,982 AA– 1999 Cocelco Future Flow 85,377,458 AA 1999 COLSANITAS Health Contract Revenues 22,767,322 AA 1999 Serdan Future Flow 11,383,661 AA 1999 Caracol S.A. (Radio) Future Flow 5,691,831 AA 1999 Devinorte Primera Emisión Toll Roads 34,150,983 AA– 1999 TI AV Villas TILV-01 Real Estate 20,487,744 AA+ 1999 TIC-05 Real Estate 15,008,219 AA 1999 TIC-04 Real Estate 12,744,009 AA 1999 TI Banco Caja Social Real Estate 12,404,206 AA 1999 TI AV Villas TILV-02 Real Estate 7,013,474 AA+ 1999 TIC-06 Real Estate 6,768,725 AA+ 1999 PARQUE CENTRAL BAVARIA Real Estate 2,777,780 AA 1999 RCN Televisión Future Flow 17,075,492 AA 1999 Gecolsa Contracts 5,691,831 AA 1999 Medellin 1999 Future Flow 113,836,611 AA+ 1999 DEPARTAMENTO DE CUNDINAMARCA Future Flow 48,579,288 AA+ 2000 Títulos de Deuda con Garantía Inmobiliaria Zuana Insurance Sub Tranche 26,578,675 AAA, AA 2000 Titularización Inmobiliaria Avianca Real Estate 20,318,080 BBB+ 2000 TI Fibratolima Real Estate 14,344,822 BB 2000 Titularización Inmobiliaria Reit Oviedo Real Estate 1,909,357 A

Continued page 19.

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Appendix 4 — Fitch Rated Structured Finance Transactions in Colombia (continued) Year Issue / Issuer Asset Class Amount (US$) Original Rating

2000 BANCAFE Treasury Bonds 95,779,010 AAA 2000 Sofasa Export Receivables 10,535,691 AA+ 2001 Patrimonio Autónomo Ganar 2000 A Live Stock 21,466,414 DP1– 2001 TCE2 2001 Corfinsura Commercial Loans 50,044,244 AAA 2001 Transgas Bonds 40,000,000 AAA 2001 TCE 2001 Corfinsura Commercial Loans 38,512,160 AAA 2001 Leasing de Occidente Commercial Loans and Leases 34,781,026 AAA 2001 Subleasing Leasing Contracts 34,781,026 AAA 2001 Ocensa Bonds 16,900,000 AAA 2001 Lehman Brothers Treasury Co. B.V. Credit-Linked Notes 8,695,256 AAA 2001 Caracol Televisión 2001 Future Flow 108,690,705 AA+ 2001 Federación Nacional de Cafeteros Coffee Inventory 97,821,635 AA 2001 CHIVOR S.A. E.S.P. Partial Credit Guarantee 86,952,564 AAA 2001 ORBITEL Revenues 34,781,026 AA 2001 Abocol (NO SE HA COLOCADO) Future Flows of Sales 7,608,349 AA+ 2002 Grupo Odinsa Toll-Road Stock 17,329,687 AA+ 2002 Titularizadora Colombiana Residential Mortgages 209,689,214 AAA, AA 2002 Incauca Sugar Forward Contract 17,329,687 AAA 2002 Devinorte Segunda Emisión Toll Roads 5,978,742 AA–

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Appendix 5 — Structured Finance Transactions in Peru

Date Issuer Asset Class Amount (US$) Apoyo (Fitch)

Ratings

July 1998 Ferreyros Letras Asset Backed 17,000,000 AAA February 1999 Edificios San Isidro Asset Backed 10,150,000 AA– December 1999 Ferreyros Facturas Asset Backed 15,000,000 AAA January 2000 Quimpac Future Flow 20,000,000 AA+ August 2000 Bonos Brady Treasury Notes 93,866,000 AAA December 2000 Ferreyros Letras Asset Backed 20,000,000 AAA/AA February 2001 Soberanos Rend. Euro Treasury Notes 37,000,000 — May 2001 Bonos Hipotecarios BCP Serie A RMBS 25,000,000 AAA September 2001 Alicorp Future Flow 36,295,006 AA– September 2001 Wong y Metro Future Flow 50,000,000 AA NA Ransa Comercial S.A. Future Flow NA A– RMBS – Residential mortgage-backed securities. NA–Not applicable.

Table 6 — Structured Finance Transactions in Chile

Issuer Rating Series Asset Type Date Amount

(US$ Mil.)

Transa Securitizadora A/A A/B RMBS Dec. 10, 1996 7,006Transa Securitizadora A/A 2A/2B RMBS May 30, 1997 7,214Transa Securitizadora A/A 3A/3B RMBS March 10, 1998 12,689Santander Securitizadora AA/AA A/B RMBS July 28, 1999 10,207Santander Securitizadora AA/AA/AA/AA/BB AB/BB/CB/DB/EB RMBS Dec. 13, 1999 16,657Securitizadora Security AA/B 1A/1B RMBS April 6, 2000 10,741Santander Securitizadora AA/AA/C AC/BC/CC RMBS April 20, 2000 19,835Security N/R — RMBS May 2, 2000 11,437Santander Securitizadora AAA/AAA AD/BD CDOS Sept. 25, 2000 47,775Transa Securitizadora AA/C 4A/4b RMBS Oct. 24, 2000 10,173Securitizadora La Construcción AAA/AAA/B A/B/C RMBS Dec. 12, 2000 63,519Securitizadora La Construcción AA/AA/C 2A/2B/2C RMBS Jan. 15, 2001 49,700Santander Securitizadora AA/AA/C AE/DE/CE RMBS Feb. 13, 2001 22,851Santander Securitizadora AA/AA/C AF/BF/CF RMBS March 15, 2001 12,109BCI-1 NR — RMBS July 24, 2001 26,214ABN NR — RMBS Aug. 10, 2001 64,725Security NR — RMBS Sept. 11, 2001 12,295BICE NR — RMBS Sept. 13, 2001 30,623Banchile NR — RMBS Nov. 21, 2001 35,865Santander NR — RMBS Dec. 11, 2001 53,705BICE NR — RMBS Dec. 20, 2001 44,402Transa Securitizadora AA/C A/B RMBS Dec. 27, 2001 13,009Securitizadora BICE AA/AA/C CA/CB/CC CDOS March 15, 2002 46,397Santander NR — RMBS June 14, 2002 11,618Securitizadora BICE AA/C DA/DB Auto Loan July 3, 2002 20,064Securitizadora BICE AA/C EA/EB CDOS Aug. 19, 2002 17,399ABN NR — RMBS Aug. 27, 2002 9,720Autopista del Bosque AAA A Concesiones Feb. 26, 2001 185,591Ruta de la Araucanía AAA A Concesiones June 29, 2000 171,672Talca-Chillán AAA A Concesiones Nov. 10, 1998 220,389Rutas del Pacifico AAA A Concesiones March 1, 2002 278,387Autopista Los Libertadores AAA A Concesiones April 1, 2002 85,140Autopista El Sol AAA A Concesiones — 141,794 Total Structured Finance Market 1,770,922NR – Not rated. RMBS – Residential mortgage-backed securities. CDOS – Collaterialized debt obligations.

Structured Finance


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Documents

Structured Finance - New York Universitypeople.stern.nyu.edu/igiddy/ABS/sf_in_lat_am.pdf · 2004. 4. 27. · Structured Finance Structured Finance in Latin America’s Domestic Markets