ABS

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

Last week U.S Secretary of the Treasury Henry Paulson extended the biggest lifeline to the financial markets of all time - and perhaps made the biggest gamble with U.S. taxpayer money - when he announced a plan to purchase approximately $700 billion in troubled assets from U.S. financial institutions.

As Congress battled over the terms of the Treasury bailout plan last week, Christopher Ricciardi, chief executive officer at Cohen & Co. and former managing director of global structured credit products at Merrill Lynch, launched an alternative proposal to the government's purchase strategy under the Troubled Asset Relief Plan (TARP) .

Lehman Brothers's collapse has set back the recovery in European ABCP, as it gave the already jittery investor base more reason to stay away.

As the U.S. works to put together its Troubled Asset Relief Program (TARP), comments by U.S. Treasury Secretary Henry Paulson suggest that similar schemes are being crafted in some non-U.S. countries.

It's taken a while for the pull-back in bank lending across the globe to hit Mexico's states and municipalities.

Lloyds TSB's £12 billion ($22.2 billion) takeover of HBOS averted a Northern Rock-style run on the bank and has, at least for now, secured the performance of the troubled bank's securitization deals.

The rally from the government's rescue plan to buy troubled assets did not carry over into last week's trading. As the markets opened Monday, uncertainty regarding details of the plan as well as its impact on inflation and the economy replaced the initial euphoria. The dollar sank and crude oil jumped $16 to just under $121 a barrel, causing equities to tumble 373 points and the 10-year Treasury to fall 15+/32nds on the prospect of higher supply.

Despite being backed by borrowers with better credit histories, prime collateral - specifically in jumbos - is facing its own set of problems.

Par-based investors in the triple-A CLO market may soon have their sense of security tested. Many still apparently cling to the assumption that their bonds will ultimately be repaid at par, based on the senior position of these bonds in the transaction structure and the corresponding protection from potential losses.

The ABS market remained in limbo last week as Congress and the Treasury fleshed out plans for the government's Troubled Asset Relief Program (TARP).

It's fitting that the Financial Accounting Standards Board (FASB) released its proposed changes to Statement 140 and Interpretation 46 (R) the week the Lehman Brothers bankruptcy news broke.

The ABX remittance reports for the month of September showed that 60+ delinquencies are still increasing, but at slightly slower rates.

Federal regulators shut down $307 billion-asset Washington Mutual Bank, the largest failure in American history, late Thursday, selling its assets and deposits to JPMorgan Chase.

Freddie Mac's August monthly volume summary illustrates the escalation of the financial crisis this summer and its need to preserve capital.

Australian RMBS are getting much needed support. The government's asset manager Australian Office of Financial Management (AOFM), which is supported by the Reserve Bank, plans to temporarily invest up to A$4 billion ($3.3 billion) in RMBS.

UBS appointed Jeffrey Mayer as joint global head of the fixed income, currencies and commodities (FICC) business within its investment bank.

Discover Financial Services today reported net income for 3Q08 of $180 million, or $.37 per share, which is an 11% drop from income reported in the 3Q07.

Mortgage rates surged this week resulting from all the credit turmoil. The 30-year fixed mortgage rates wiped out almost half of the last two-week's of declines.

Standard & Poor's has lowered its counterparty credit rating on Washington Mutual to 'CCC'/'C' from 'BB-'/'B'.