ABS

The House Financial Services Committee released draft legislation on Friday that will revamp the Troubled Asset Relief Program (TARP), requiring that a minimum of $50 billion of the remaining $350 billion be used for foreclosure mitigation to help consumers.

The Financial Accounting Standards Board (FASB) narrowly decided Jan. 7 to approve an amendment allowing holders of securitized assets to consider factors besides fair value to determine whether to report losses in those investments.

During the last month of the year, Peru perked up, while an old hand from Brazil returned to the market.

Mexico closed out the month of December with deals from four originators. Spreads were well out from earlier in the year, but these transactions at least made it through, and market investors bought in as well.

Islamic securitizations are still gaining some traction. However, the current credit crunch will keep any real activity under wraps, at least in the short term.

Prepayments on FNMA 30-year MBS were in line with expectations. Overall, speeds increased 46% on average. However, the speed dynamics by coupon were much different than anticipated.

Much like the rest of the European primary ABS market, new issuance for auto ABS in 2008 slowed significantly compared with the volumes issued during 2007.

On Monday, the Federal Reserve Bank of New York announced that it had begun purchasing fixed-rate agency MBS.

The current financial crisis has exacerbated counterparty risk and raised to unprecedented heights the importance of collateral arrangements in over-the-counter derivatives. More than 85% of such arrangements are documented by a version of the International Swaps and Derivatives Association (ISDA) Credit Support Annex (CSA)1, and in most cases the negotiation of an ISDA Master Agreement is done simultaneously with the preparation of the related CSA2.

As one of the last investment banks standing, JPMorgan Securities became the top-ranked manager for public ABS deals for the entire year in 2008, according to a tally of public ABS transactions included in the ASR Scorecard database.

In its statement following the Dec.16 meeting, the Federal Open Market Committee announced that it will "employ all available tools" to revive the economy. These tools include the large-scale purchase of agency MBS and debentures, as well as the possibility of buying long-term Treasury securities. A key goal is to provide support to the mortgage sector and the housing market, while stimulating a refinancing wave to both improve the cash flow situation of borrowers and support the earnings of mortgage lenders.

The growing mound of nonperforming mortgages led Stanford Kurland, the former Countrywide Financial Corp. executive, to start Private National Mortgage Acceptance Co. (PennyMac) last March to buy and service distressed loans.

Concern is mounting that losses on private-label MBScould exhaust the capital of several Federal Home Loan banks, sources inside and close to the system said this week.

Manager Activity: AutosFull Credit to Book (Equal if Joint) U.S. Public ABS Market/144A Market

SLM Corp. or Sallie Mae closed a $1.5 billion, 12.5-year ABS-based total return swap facility with Goldman Sachs International. The facility will give the student loan firm added financing for private education loans.

The Mortgage Bankers Association released its Commercial Real Estate/Multifamily Finance Quarterly Data Book for the third quarter of 2008, which reveals that commercial/multifamily real estate began to be affected by the slowing economy during the third quarter. Property fundamentals showed a slowdown in leasing activity.

The Federal Home Loan Banks may see substantial impairment in the value of their $76.2 billion of private-label MBS, according to Moody's Investors Service.

Mortgage rates continued their slide downward, but the 30-year has yet to break through 5%.

The former head of U.S. leveraged finance at Merrill Lynch has joined Ares Management.

In this month’s Credit Card Statement, Moody’s Investors Service introduced a complement to its “loss zone” analysis called Rating Road Maps.