ABS

While one could hardly call the CLO market healthy, the rumors of its demise may be slightly exaggerated. It's not impossible to get a CLO transaction done, though a significantly easier time will be had by all if arrangers stay realistic about pricing and forget going the market value route, sources said. This market is going for cash.

Citigroup made news last December when it decided to consolidate about $49 billion in SIV assets onto its balance sheet. In its most recent 10-K filing, released on Feb. 22, Citigroup revealed that it had consolidated significant interests in CDO assets.

February remittance data offered almost no surprises, which, given the state of the struggling economy, means more bad news. The increase in delinquencies and foreclosures came with a slowdown in prepayments, although the rate of some losses has tailed off from the previous month.

Citigroup announced last week that Brian Leach will assume the role of chief risk officer, reporting to Chief Executive Officer Vikram Pandit. Leach will also become acting chief risk officer for the institutional clients group.

Freddie Mac's new, stricter guidelines for the delivery fee structure of 30-year mortgages might hinder refinancings.

The Office of Federal Housing Enterprise Oversight (OFHEO) reported that home prices declined 1.3% (5.2% annualized) in its seasonally adjusted purchase-only 4Q07 House Price Index compared with a 0.3% (1.4% annualized) decline in the third quarter.

BBVA Colombia has a consumer loan transaction in the works that's the first of its kind in the country. The only deals that have been done in the vicinity of this asset class is a securitization of payroll-deducted loans two years ago and a credit card transaction about ten years ago, according to a Bogota analyst familiar with the sector.

Standard Chartered SIV Whistlejacket has defaulted on its obligations and might be set for an orderly unwind.

BBVA Bancomer has registered a new RMBS with Mexican regulators, and mortgage insurance from Genworth is attached.

Mortgage market participants have been keeping a close eye on the CMBS market, which has seen spreads gap out drastically in recent months.

Moody's Investors Service downgraded a number of regional and community-based banks on concerns about their exposures to commercial real estate. The rating agency also looked at the potential losses in the affected banks' CRE portfolios.

McDonnell Investment Management has hired Michael Herzig as the managing director of McDonnell's newly established New York office. Herzig will head up the sales and client service effort for McDonnell's Alternative Credit Strategies Business Unit and will also help direct the product development and strategy committee for the firm. Herzig will serve on the management committee of McDonnell, reporting directly to Edward Treichel, McDonnell's president and CEO. Before McDonnell, Herzig had a nine-year stint at Deutsche Bank as a managing director. He was most recently a co-head of the U.S. CDO business with direct responsibility for CLO and credit opportunity fund origination and distribution.

The potential takeover bid for the U.K. outsourcing group Mapeley by U.S. hedge fund Fortress, its majority shareholder, will have no impact on CMBS that are backed by borrowers with Mapeley as their sponsor, Fitch Ratings said last week. Fitch said that the takeover approach coincides with the property company's need to refinance about £260 million ($515.5 million)of its debt before the end of April and the recent bid by Fortress was worth roughly £250 million. "In most cases, a sponsor of a loan must approach the relevant facility agent if it becomes subject to a change of control," Fitch analysts said. "Such a loan, including accrued interest and any amounts payable under the loan documents, might become immediately due and payable, either on demand by the agent or automatically." The relevant transactions are: DECO 6 - UK Large Loans 2 plc, DECO 8 Series 2006-UK Conduit 2 plc, DECO 11 Series 2006-UK Conduit 3 plc, European Loan Conduit No. 22 and Taurus CMBS (UK) 2006-2 plc. Mapeley focuses on the acquisition, ownership and management of a diverse portfolio of commercial properties, primarily let to government and strong credit quality tenants. The firm currently owns and actively manages a property portfolio of over £2.2 billion. -- NC

Alexander Rekeda joined Guggenheim Capital Markets as managing director and head of CDOs, effective today. Rekeda was previously head of structured credit, Americas at Mizuho Securities which he joined in November 2006. Mizuho dismissed its entire CDO-underwriting group in mid-December 2007, including Rekeda as well as 13 others, who all left Calyon for positions at Mizuho only one year prior. Rekeda had built up the cash CDO business at Calyon, where he had had been since July 2004.

This morning DBRS announced that it is expanding its U.S. structured finance market service. "In a continuing effort to provide value to the market, DBRS has announced the expansion of its U.S. structured finance market services in providing credit assessments," the rating agency said in a statement. "These assessments, which cover a variety of asset types, better allow institutions to value market risks in their portfolios." The release also said that institutions are encouraged to contact the rating agency for more granular analysis on their portfolios. It added that in "such difficult times, leadership, stability and credibility are necessities for the credit markets."

Dechert has laid off 13 associates in its finance and real estate group. The associates were offered three options: to accept the severance package, stay 60 days in another group and then take the severance, or to stay in the new position, although there is no guaranty on the length of stay in that position. Under the third option, some of the associates could end up permanent, but if they stay longer than 60 days, the current severance package does not apply. In a report from lawyer.com, a statement from Dechert Chairman Barton J. Winokur was published. "Due to the major shift in market conditions affecting client demands in our finance and real estate practice area, we currently do not have sufficient work for all the associates in FRE," Winokur said in the statement. "As a consequence, we have told 13 associates in the U.S. FRE group that we see no demand for them in that group in the foreseeable future. However, due to increased and substantial demand in other practice areas, we will be offering those lawyers the opportunity to work in those other groups."

WL Ross & Co. has agreed to inject up to $1 billion of capital into Bermuda-based Assured Guaranty Ltd., making a bet that the distressed investment firm can help right the ship of the struggling monolines industry. Through the deal, WL Ross agreed to purchase $250 million common shares of Assured and provided a commitment to acquire up to $750 million of additional common shares at the option of the company. The initial investment is subject to regulatory approvals, while the follow-up purchases would require shareholder approval. The news follows rumors back in January that WL Ross was in talks to acquire Ambac. However, in an interview on financial news channel CNBC Friday morning, Wilbur Ross cited Assured's relative health compared to its competitors, such as Ambac, MBIA, FGIC and other bond insurers. "The others need capital to preserve their triple-A status. Assured is ranked as a strong, stable triple-A even without our capital," Ross said in the CNBC interview. "This is opportunity capital rather than damage-curing capital." However, Ross called the Assured investment "a first point of entry" into the sector, implying that the company could be used to acquire other troubled guarantors or even invest through offering reinsurance to the companies. Ross added that he and Assured management "are still in discussions" with others in the industry. In a statement, Assured's CEO Dominic Frederico seemed to back this sentiment, saying in the announcement, "This flexible capital source will allow us to continue to capitalize on the significant growth opportunities we see and will support our further expansion in both the direct and reinsurance markets." The additional $750 million commitment from WL Ross will be available for one year from the date of the closing of the $250 million investment. The price for subsequent investments will be 97% of the volume weighted average price of the company's common shares for the 15 trading days prior to notice of any subsequent investment. There is a MAC clause, however, that requires Assured to maintain its triple-A rating and overall credit quality. Merrill Lynch served as adviser on the deal.

Standard Chartered announced it has received all the required approvals that would lead to the completion of its American Express Bank acquistion from the American Express Co. The total cash amount for the acquisition is $823 million. According to a release from StanChart, the purchase will add 19 markets to the Standard Chartered business and will fast track the growth aspirations of The Standard Chartered Private Bank.

After entering the U.S. market as an asset manager nearly 10 years ago, Robeco Investment Management (RIM) is exiting the U.S. fixed income business, citing insufficient scale to provide a platform for growth in that segment of the asset management business. Morgan Stanley Investment Management will take over the $4.8 billion in taxable U.S. fixed income assets currently managed by Robeco Weiss, Peck and Greer. The transaction is expected to close in May, according to a statement from RIM. Robeco also plans to concentrate its fixed-income capabilities in Europe, where it manages a global fixed-income portfolio of more than $60 million. Exiting the U.S. market is the latest tactic in a broader realignment strategy for the company. RIM is in the process of finalizing its exit from the U.S. municipal fixed income business, and it has rolled out a plan to reward key investment professionals with ownership interests in the company.

Fitch Ratings looked at the potential impacts that a monoline split could have on the protection bought by banks from the financial guarantors, including on structured finance CDOs. The rating agency also examined the effects on the financial guarantors themselves. "The current situation is highly fluid," said Jim Batterman, a managing director at Fitch. What the market is concerned about is that a negative reassessment of financial guarantor counterparty risk might effectively result in a significant reversal of mark-to-market gains for the institutions, such as banks, that bought protection from the financial guarantors, Batterman added. Further, while some of these same protection buyers might have also hedged their counterparty exposure to the financial guarantors by purchasing protection on the financial guarantor (or its holding company) itself, Fitch said people should also consider the nuances of ISDA language, particularly in terms of settlement and succession, should these monolines be split apart.