The liquidity crunch still has a chokehold on the cross-border EM market. Nothing has come to light since Banco de Credito de Peru closed an Ambac-wrapped deal backed by diversified payment rights (DPRs) via Standard Chartered in early August. The only issuance that has generated any talk since then is a wrapped DPR from Kazakhstan's Bank TuranAlem. Despite enthusiasm earlier this year for the oil-rich nation's growing use of securization, the deal apparently couldn't wedge through a window that has effectively been sealed shut since BCP, market sources said. There is speculation that a private deal was done, but bankers from neither arranger would comment.

It's no shock that Emerging Europe and Turkey have been no-shows, when even Western European product is trickling through, at best, and reportedly being snapped up for the most part by the same banks leading the deals. Similarly, warehousing with Western banks is the name of the game for existing asset originators in the former Soviet Union.

And balance sheets, players warn, can only take so much in today's cash-strapped environment.

But all that's on the cross-border front, in the buy-side arenas of Western Europe and the U.S., where the subprime debacle rumbles on and keeps calling into question the soundness of different kinds of securitization structures.

Latin America's domestic markets haven't been insulated from the liquidity pullback, but they haven't had the life beaten out of them either. And in some places, the worst may actually be over.

Case in point: Mexico. Like the rest of the globe, the country's structured finance market froze in August, with the last deal coming out at the end of July. But a thaw might just be underway.

The last week of September witnessed two structured transactions. One was a Ps1 billion ($91 million), three-year deal backed by consumer loans originated by government credit agency Fonacot The other was a Ps22-year final deal for the equivalent of $212 million, which collateralizes mortgages generated by state-owned originator Infonavit.

Fonacot's deal priced identically to a comp a year ago. Infonavit, meanwhile, tells a story of how the curve has shifted. It came at 4.56%, an ugly 28 basis points over the originator's last RMBS in July, before the market seized up, and 21 basis points over a comp in April. But it was 39 points tight to an Infonavit RMBS in November of last year.

So the curve has shifted out 20 or so basis points in the last couple of months, but it's still well below the rate Infonavit got 10 months ago.

Now for the caveat. Infonavit and Fonacot are linked to the state: Their deals may not be good guides for corporate originators. But at press time, an RMBS from HSBC Mexico, the commercial bank's second, priced. According to a source close to the deal, it totaled $3.5 billion, which certainly makes it one of the country's biggest RMBS ever, if not the biggest.

The yield, as would be expected, shot up from HSBC's last deal. Last week, the A tranche went for 8.24% from 8.8% in April. The B tranche, meanwhile, widened to 10.11% from 9.58%.

But the size was a strong indication that the originator wasn't repelled by the pricing, and there was talk that Su Casita had gone on a roadshow last week with an MBIA-wrapped RMBS.

In some areas of Latin America, the action never even stopped. A curious example is Argentina. Based on figures provided by Gainvest Asset Management, 16 structured finance deals came to market in September, and, while rates averaged nearly double those of the first half of the year, they tended to tighten as the month advanced. The flurry, though, may just be a last gasp before presidential elections on October 28.

(c) 2007 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

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