CDOs/CLOs

Moody's Investors Service said that the deterioration in the credit risk profiles of financial guarantors may have significant implications for a number of banks and securities firms. The rating agency's review for possible downgrades of embattled monolines MBIA and Ambac is set to conclude soon.

In any divorce, dividing up the assets can be a complicated and lengthy process, often accompanied by a mass of legal issues. The same appears to hold true when a bond insurance company is taken apart.

Markit announced plans to launch the first global, multi-bank, cross-asset client valuations platform called Markit Valuations Manager. The platform will fuse electronic delivery of dealer OTC derivative and consensus cash valuations with Markit's independent valuations into a single platform. The motivation behind the new product comes from recent regulatory and accounting changes that have increased the importance of independent valuation sources for funds, Markit said. David Lefferts, managing director at Markit, will lead the initiative and six global investment banks have agreed to support the launch of the platform including Citigroup, Credit Suisse, Goldman Sachs, JPMorgan, Merrill Lynch and UBS. These banks will provide Markit with end-of-day and end-of-month client valuations for OTC derivative instruments and cash securities. Markit will then create a composite of dealer marks for cash securities and counterparty present values for OTC derivative positions, which clients can compare with Markit's independent valuations. The platform will launch in 2H08 with coverage of bonds and derivatives. Markit expects to expand the platform to include more banks and additional cash and derivative asset classes including ABS and MBS.

Despite what seems like an almost nonexistent CDO market, bank balance sheet CLOs are still garnering investor interest, according to sources.

Falling prices are forcing total-rate-of-return market-value CLOs to liquidate their underlying assets. These unwinding CLOs could present opportunities for investors, but could also drive prices down even further. And sources say the loan market has already hit historical lows.

ERMBX.UK, the index designed to reference synthetic U.K. prime MBS, looked set for an early launch a few weeks ago, with market reports indicating that the new index could go live earlier than the ECMBX.

The reconstruction of the securitization market took another turn last week as a collective group of European securitization market associations outlined a three-pronged initiative aimed at improving market transparency.

ABN AMRO and Dutch pension administrator PGGM have closed a synthetic CLO referencing a portfolio originated by ABN Brazilian unit Banco Real, according to a press release by the European bank. Named after the celebrated Iguacu waterfalls, the deal references a pool amounting to a notional $850 million. The credit risk of the portfolio is shared by participating credits in the first and second loss tranches of the CLO, the release said.

At the American Securitization Forum's (ASF) conference held in Las Vegas last week, many of the industry panels looked back at 2007 and reflected on how the market got to the state it's at right now.

Demands for more personal responsibility on the part of the CDO investor and the portfolio manager gave the rating agencies a break from the hot seat at the ASF's annual conference in Las Vegas last week.