Thomas Zimmerman, who used to be part of the team that published UBS investment research's Mortgage Strategist, is still at UBS heading up a research group within Swiss National Bank Fund Management Group. In October, UBS and the Swiss National Bank forged an agreement to isolate $60 billion dollars of UBS illiquid securities and other assets into a separate fund entity set up by the Swiss government. Zimmerman's group comprises Trevor Murray, Lidan Yang, Rei Shinozuka and Yan Liu, who were all part of the Mortgage Strategist team. Zimmerman maintains the title of managing director and is still based in New York.

The head of Banc of America Securities REIT research, Christy McElroy, has left the firm, according to published reports. McElroy had led the team since the departure of Ross Nussbaum.

Freddie Mac appointed Raymond Romano as its permanent chief credit officer. He had held the job on a temporary basis during a three-month search. Romano joined the GSE in 2004 and became acting chief credit officer as part of a management shakeup stemming from federal regulators' seizure of control of the mortgage firm on Sept 6. He was formerly with North American Mortgage Co., Dime Savings Bank of New York and Citicorp.

The Financial Accounting Standards Board (FASB) is on track to give MBS investors a break in the way they determine other-than-temporary impairment for their fourth quarter financial reports. FASB has issued a proposed staff position (FSP) that amends an impairment model that required financial institutions to use "their best estimate of the cash flows that a market participant would use in determining the current fair value" of MBS. The FSP drops "market participant" and allows management to make a "reasonable judgment" of future cash flows, which should reduce charges if the securities are performing. The comment period on the proposed FSP EITF Issue 99-20-a ends on Dec. 30.

The pace of credit deterioration intensified in the December CMBX reports, according to a Barclays Capital report released last week. Weakness was seen across most property types. According to analysts, the average nonperforming rate across CMBX 1-5 increased 43 basis points compared with a 14 basis point rise the previous month. Across series, more recent vintage collateral is beginning to diverge when adjusted for seasoning. The worst performing was CMBX.5, where the average nonperforming rate rose 128 basis points as a result of a few large 60-day delinquencies. CMBX.1, which represents late 2005 vintage collateral, is still a relative standout. Analysts expect this trend to continue, considering the more aggressive underwriting and less built-up equity in the more recent vintage collateral.

Moody's Investors Service assigned a rating of 'A1' to the Class A-1 floating rate ABS Notes Series 2008-1 issued by CIT Aviation Finance II (CAF 2). Deutsche Bank Trust Co. Americas was the cash manager, trustee and operating bank on the deal, while DVB Bank SE was the initial liquidity facility provider. The notes rated were worth $445,000,000 and are scheduled to mature December 20, 2033. According to Moody's, the ratings of the Class A-1 notes are linked to the ratings of the swap counterparty, Citibank N.A. ('Aa3'/'P-1'). These A-1 notes are likely to be downgraded in the event that Citibank N.A. is downgraded below 'A3' or below 'P-2,' the rating agency said.

The American Financial Services Association (AFSA) is urging president-elect Barack Obama's transition team to consider several alternatives to increase consumer credit such as bond insurance for ABS issued by finance companies. "Government must play a direct and immediate role in bringing liquidity and confidence back to the securitizations market through the purchase of securities or by issuance of insurance or guarantees," stated an AFSA report sent to the transition team. "Finance companies extend 40% to 50% of all consumer lending in the United States," said Bill Himpler, AFSA executive vice president. However, he noted that the flow of credit from finance companies to consumers is threatened by the current financial crisis. AFSA also requested the new administration to give Community Reinvestment Act credit to banks that extend credit to finance companies that are providing workouts to stressed borrowers.

The Treasury Department announced last Monday that it has provided GMAC, which is the financing arm of General Motors Corp. (GM), $6 billion in support from the Troubled Asset Relief Program (TARP). Under the said agreement, the Treasury has bought $5 billion in senior preferred stock with an 8% dividend from GMAC. In return, GMAC will issue warrants to the Treasury in additional preferred equity in an amount equivalent to 5% of the preferred stock purchase that will pay a 9% dividend if exercised. The Treasury also stated that it would lend up to $1 billion to GM so the auto company could participate in a rights offering at GMAC's reorganization as a bank holding company. These funds are in addition to the $9.4 billion pledged to GM on Dec. 19 and are meant to be part of a broader aid package to the troubled auto firms.

Fitch Ratings said that the U.K.'s proposed Homeowner Mortgage Support Scheme (HMSS) creates significant uncertainty for RMBS ratings. However, the rating agency said it is not possible to determine what impact the scheme could have on its rating methodology for existing and new issuance ratings until further details become available. To quantify the impact on RMBS ratings, Fitch is waiting for the details regarding the proportion of interest that will be guaranteed by the government, and when this will be paid. Lacking this information, there is an unquantifiable liquidity stress for transactions. The agency noted that it is also unclear whether there will be any further product or borrower exclusions. Fitch is taking no rating actions on existing deals to reflect the impact of the HMSS, but will, for new transactions, make clear in its presale and/or new issue reports that the scheme's impact has not been taken into account. The HMSS was announced by the U.K. government on Dec. 3, following the announcement of similar schemes in other European jurisdictions. It is intended to allow mortgage borrowers who are experiencing financial problems sufficient time to find new employment or recover income, without losing their home.

Liffe launched a credit default swap contract via its OTC derivatives service called Bclear. Liffe CDS safeguards the existing conventions of the OTC market while providing the security of an exchange and clearing house. It introduces a number of benefits to the OTC market including reduced operational risk, better management of counterparty credit risk, and greater capital efficiency, all while retaining the flexible aspects of pre-negotiation and anonymity. Liffe CDS is also available to a wider range of customers. Liffe CDS contracts are initially based upon Markit iTraxx Europe indices, the benchmark for European credit protection. The contracts launched are on Markit iTraxx Europe (investment grade), HiVol and Crossover indices (series 8, 9 and 10), and have a 3, 5, 7 and 10-year contract maturity. Further product sets will be announced soon.

The European Banking Federation, the London Investment Banking Association, the European Savings Banks Group and the European Association of Public Banks finalized good practice guidelines on Capital Requirements Directive (CRD) Pillar III disclosures for securitization. These guidelines form a part of broader industry initiatives to increase transparency in the European securitization markets announced in July, and directly address one of the actions identified by the Economic and Financial Affairs Council (ECOFIN) as a result of ongoing market events. The associations believe that these guidelines will help to further strengthen bank and investment firm disclosures, and to deliver relevant and meaningful information to users. The associations encouraged their members to take a thorough account of these guidelines in terms of their disclosures from yearend 2008 onwards. The associations proposed the review of the guidelines in 2Q09 in light of international developments. Electronic copies of the guidelines can be found on the Web sites of these trade associations.

According to the Economic Times, Indian diamond and jewelry exporters are securitizing their large receivables from abroad to raise funds at a relatively lower cost and to generate equity resources in the current tight credit market. Many of the companies adopting this route are large exporters, including DTC Sightholders, according to the report. The size of such securitizations and bonds could range from $50 million to $200 million. Under Indian regulations, international receivables cannot be assigned to a third party, so the securitization is usually done through marketing or distribution arms based outside the country.

The Securities Industry and Financial Markets Association (SIFMA) has launched a new financial Web site called, which offers retail investors free access to comprehensive, noncommercial and unbiased information. The site provides fixed-income market information in English, German, French, Italian and Spanish in a pan-European context. SIFMA's site covers a range of educational topics including bond basics and types of bonds, and provides an investor's checklist to help visitors learn about bonds. It also provides market-at-a-glance data, end of day price information for selected bonds, indices, economic indicators, benchmark rates, news, in depth analysis, calculators, a glossary, commentaries and a resource centre.

The European Fund and Asset Management Association (EFAMA), the European Securitization Forum (ESF) and the Investment Management Association (IMA) recently published their Asset Management Industry Guidelines to Address Over-Reliance Upon Ratings, which provides guidance for asset managers regarding the responsible use of ratings for securitization, structured finance and structured credit products. The guidelines show the industry's strong commitment to apply the lessons learned from the current financial turmoil. They are a response to the call of the Financial Stability Forum (FSF) for investors to address their over-reliance on ratings and to review investor standards of due diligence and credit analysis when buying structured credit products. The guidelines represent initiative ten of the Ten Industry Initiatives to Increase Transparency in the Securitization Market, the industry-led initiative coordinated by the ESF and first announced in July 2008.

(c) 2009 Asset Securitization Report and SourceMedia, Inc. All Rights Reserved.

Subscribe Now

Access to a full range of industry content, analysis and expert commentary.

30-Day Free Trial

No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.