ABS

The Spanish treasury held its second auction for MBS structured deals on Dec 11.

Fitch Ratings said it is reviewing RMBS backed by the Dutch National Mortgage Guaranty (nationale hypotheek garantie or NHG) as part of its criteria update for residential mortgage loans with this type of guaranty.

The securitization of mortgages and construction loans has slowed down to a listless sputter over the last few months in Mexico, a victim of blown-out spreads and investor aversion to debt from nonbank companies known as Sofols and Sofoms.

The number of European structured deals has increased as the end of the year approaches and banks seek to finance their positions for the turn of the new year. But transactions remain either privately placed or retained for central bank liquidity purposes.

The U.K. government has finally succumbed to calls for it to step in and ease the growing repossession rates.

The Securities Industry and Financial Markets Association (SIFMA) and the American Securitization Forum (ASF) last week created a U.S. Covered Bonds Council.

In recent months, it has become readily apparent that the credit crisis that began in the summer of 2007 has been particularly unkind to the structured investment vehicle ("SIV") market. SIVs typically operate by purchasing rated long-term assets, and funding the purchases by issuing short term liabilities, customarily in the form of highly-rated commercial paper and medium-term notes. Unlike most CDO vehicles, which focus on cash flows, SIVs are market value driven. Due to an unprecedented strain on the commercial paper market, numerous SIVs have been unable to meet their short-term debt obligations while simultaneously experiencing significant drops in their portfolio market values. As a consequence, participants in the SIV market - a market valued at $400 billion at its peak in July 2007 - have been scrambling to find viable restructuring or refinancing alternatives.

Mortgage performance was improving through midweek, and a major factor for this was the decline in supply compared with the previous week. Originator selling averaged $1.5 billion, down from the daily drops of $3 to $4 billion from the previous week. Supply has been around 75% on 5% coupons and 25% on 4.5s.

As access to the securitization market remains nearly impossible, lenders are looking for other ways to shore up capital.

The continuing spike in delinquencies and foreclosures has caused the topic of loan modifications to receive renewed attention and focus. In testimony before Congress, Federal Deposit Insurance Corp. (FDIC) Chairwoman Sheila Bair recently unveiled a plan designed to entice servicers to reduce the monthly mortgage payments and debt-to-income ratios of numerous delinquent borrowers.

With some industry participants getting ready for the holiday vacation, and others packing up their desks, the ABS market remained quiet last week. New issuance trickled in and trading was relatively limited in the secondary market, all symptoms of a typical yearend slowdown, but also signs of further weakening to come.

With performance in the auto ABS market suffering from lack of available credit to consumers, decreasing used vehicle values, and the rising unemployment rate, it seems only natural that new deal flow would be sidelined.

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

Following Tribune’s Chapter 11 filing, Markit has began corralling the loan-only credit default swap market by arranging an auction that would settle LCDS trades on the now bankrupt newspaper giant.

U.S. retail credit card chargeoffs are expected to surge in the coming months, according to Fitch Ratings’ latest Credit Card Index results.

Freddie Mac reported further modest declines in fixed mortgage rates this week, while adjustable-rate mortgages recorded increases.

DBRS came out with its U.S. auto loan ABS surveillance methodology, which describes its surveillance review process, including rating committee, rating actions and disclosure, as well as the surveillance methodology DBRS uses to analyze and monitor auto loan ABS transactions for potential rating actions.

Assured Guaranty Corp. is providing a surety bond guaranty of up to $1 billion for the benefit of Jupiter Securitization Co., a multi-seller ABCP conduit that is administered by JPMorgan Chase.

Babson Capital Management is ramping up global distribution with the establishment of the global business development group, as well as the hiring of a new global sales head and its first sales leader for Australia.

While General Growth Properties (GGP) recently received short-term extensions of the maturity dates for both corporate and non-recourse debt, default "of some kind appears imminent," according to Fitch Ratings in a report released yesterday.