ABS

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

Mortgage rates jumped this week, according to Freddie Mac's weekly survey. "Average rates on mortgages increased across the board this last week as the most recent economic data raised inflationary concerns in the capital markets," said Frank Nothaft, Freddie Mac vice president and chief economist. This reduced the expectations of a cut in the Fed Funds rate to 25 basis points at next week's Federal Open Market Committee meeting from 50 basis points expected prior to the news.

Residential Capital (ResCap), an indirect wholly owned subsidiary of GMAC Financial Services, has appointed Thomas Marano, former senior managing director and global head of MBS and ABS at Bear Stearns to serve as ResCap's non-executive chairman of the board of directors. Marano succeeds former chairman Michael Rossi. As announced previously, Rossi resigned from the board effective March 17 because of medical reasons. Aside from joining the ResCap board, Marano has been appointed to the board's executive committee where he will serve with ResCap's chief executive officer Jim Jones.

Ambac Financial Group, parent of bond insurer Ambac Assurance Corp., announced a net loss of $1.66 billion in the first quarter driven by losses on subprime-related securities the monoline guarantees, including nearly a billion dollars in actual payments the company expects to make.

Springfield and Boston, Mass.- based Babson Capital Management has acquired Murray Capital Management (MCM), a distressed debt and special situations management outfit based in New York.

A Senate banking committee hearing regarding the turmoil in U.S. credit markets and the role of the credit rating agencies was held this afternoon. Senator Christopher Dodd (D-Conn.) and Senator Richard Shelby (R.-Ala.) were there to question Securities and Exchange Commission Chairman Christopher Cox regarding the SEC's examination of a number of reforms for rating agencies.

Jefferies & Co. is expanding its MBS group, adding 10 senior professionals to its mortgage trading team over the next several weeks, the bank said today.

Archibald Cox, Jr., was appointed chairman of Barclays Americas, a region in which the company hopes to build its position in its investment banking and investment management businesses. Cox will start his new job in early May. He will report to Barclays President Robert E. Diamond, Jr., and will also serve on Barclays’ IBIM executive committee.

Fitch Ratings released revised criteria for rating market value structures (MVS) after a review that the rating agency first announced in December 2007. The review was a response to unforeseen stresses on current market value instruments.

Potential job losses are piling up at Citigroup. After reporting that it suffered a first-quarter net loss of $5.1 billion, the financial group said it would cut 9,000 jobs from its work force.

The first quarter of 2008 brought a slew of grim announcements for the financial guarantor industry, including a decision by some to put new business on hold altogether. But despite market troubles, the monolines held on in the beginning of 2008, even if only by a thread.

With several years of smooth traveling behind them, a group of Mexican toll road transactions have hit potentially shaky ground.

The Basel committee last Wednesday announced plans to enhance Basel II, a move that involves some extra steps to "strengthen the resilience of the banking system."

Bank of America is planning to launch a partially supported asset-backed commercial paper conduit with the flexibility to buy ABCP debt from other vehicles as well as non-dollar denominated assets.

It was not exactly a stunning comeback for the securitization industry, but last week's collection of deals marked something of a stepped up pace of issuance and there was talk of revived investor confidence in the industry.

While it originated a record amount of student loans, the lender acknowledged that current market conditions will force it to make loans at an economic loss.

The student loan ABS sector, usually one of the most stable and reliable of the ABS asset classes, has been putting on some uncharacteristically dramatic behavior lately.

ABN Amro ABS syndicate head Neil McPherson left the bank on April 10, according to people familiar with the bank. Market sources said that several people left along with McPherson, and suggested that the change was probably a result of downsizing after the company takeover by Royal Bank of Scotland. Company officials could not be reached by press time. McPherson joined ABN from Credit Suisse, where he was a managing director and syndicate head.

Mortgage rates remained almost the same this week versus last week, according to Freddie Mac. The 30-year fixed-rates were unchanged at 5.88% for the third straight week. The 15-year rates slipped 2 basis points to 5.40%, while 5/1 and one-year ARM rates were 8 basis points lower to 5.48% and 5.10%, respectively.

Mayer Brown has been enlisted by Neville Kahn, Nicholas Dargan and Mark Adams from Deloitte and Touche to act for them as joint receivers of the SIV Golden Key, which is currently in receivership. Mayer structured finance partner Stephen Day as well as restructuring partner Ashley Katz are heading the Mayer Brown team. This is the most recent in a string of instructions for Mayer Brown related to SIV establishment and restructuring, according to a release from the law firm. These include Carrera Capital Finance, Rhinebridge, Cheyne Finance and the Master-Liquidity Enhancement Conduit (MLEC), among others.