ABS

Thornburg Mortgage said today that it has received more than $300 million in margin calls on a portfolio of securities backed by Alt-A loans. According to published reports, shares of Thornburg dipped $3.09, or 26.8%, to $8.45 in premarket trading today. Shares have traded between $7.49 and $28.40 over the past year. The mortgage company stated in a regulatory filing with the Securities and Exchange Commission that it is facing margin calls as result of the plummeting of the value of its Alt-A RMBS between 10% and 15% since the end of last month. As of Feb. 15, the mortgage originator said it that it had $2.9 billion of exposure to these troubled mortgages.

American International Group Issuer Default Rating (IDR) as well as all holding company ratings and subsidiary debt ratings including International Lease Finance and American General Finance are still on Rating Watch Negative by Fitch Ratings. The rating agency said this after AIG announced its 4Q07 financial results. According to the release,the rating agency first placed AIG and its subsidiary debt ratings on Rating Watch Negative on Feb. 11 following the firm's acknowledgement in an 8-K filing that as of last Dec. 31, its independent auditor believed that the insurance firm had a material weakness in internal controls related to the valuation of AIG Financial Products Corp.'s super senior credit derivative portfolio. Obligations of AIG FP are guaranteed by AIG. AIG's 4Q'07 results, announced today, included a significant 4Q FAS 133 unrealized market valuation loss on the credit derivative portfolio compared to previous periods. The losses are concentrated in CDOs backed by structured finance (SF CDOs) collateral, mainly subprime U.S. RMBS. AIG recognized $10.9 billion in FAS 133 unrealized market valuation losses from this portfolio in the fourth quarter versus just $352 million in losses in the third quarter of 2007.

New home sales fell by roughly 3% in January to 588,000, which is in line with RBS Greenwich Capital analysts 585,000 projection. Analysts noted that revisions to prior months were marginal. Sales dropped in every region except for the West, where the numbers rebounded by roughly 2%, after a 9% dip in December. After November's 13% dive in new home sales, which might have been overstated by a steep tightening in mortgage credit, the drops in December and January have been less, RBS said. There has recently been some evidence -- such as the uptick in the February National Association of Home Builders buyer traffic gauge as well as a record-high number of people in the February preliminary University of Michigan data stating that home prices were attractive -- to imply that recent price dips have sparked some interest with potential homebuyers. While it is too early to call a bottom considering the current tightness in mortgage credit, RBS analysts still believe that home sales could stabilize by the spring or summer. The number of new homes for sale dropped by 11,000 in January to 482,000 and has dipped by 87,000 units since peaking at 570,000 in August 2006. But, RBS analysts pointed out that this decline is indicative of a significant decrease in the number of homes for sale under construction. The number of completed homes for sale has risen by 45,000 from August 2006 and stood at a near-record 195,000 last month. This is why even though there are currently less homes in the pipeline, the stock of completed new homes for sale is still high, analysts said. Builders will likely hold back in terms of construction activity through most of this year, but the focus would likely stay on sales since only a flattening out of new home sales will allow builders to work off the overhang of new home inventory, RBS said the report released today.

Fitch Ratings downgraded four classes of notes issued by Coltrane CLO. All classes are on rating watch negative by the rating agency. Fitch lowered the transaction's €26,000,000 class B notes to 'CC' from 'CCC', €45,000,000 class C notes to 'CC' from 'CCC', €1,750,000 class D-1 notes to 'CC' from 'CCC' and €2,000,000 class D-2 notes to 'CC' from 'CCC'. On Feb. 25, the rating agency was informed that this CLO had experienced an event of default attributed to a threshold value event that was uncured for five business days. Fitch has not received confirmation that the controlling class or the trustee intend to liquidate the underlying loan collateral in the near term. If they actually chose to liquidate the underlying loan collateral, another rating action might be taken, Fitch said in a release. This market value CLO, which is backed by leveraged loans, was Deerfield Capital Management's first foray into the European CLO market. The €300 million CLO was priced in October 2006 via Banc of America Securities (ASR, 10/26/06).

Citigroup announced 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. The company also named four new senior managers to the risk unit -- Suneel Bakhshi , Charles Monet, Greg Hawkins and Adil Nathani -- who will all be reporting to Leach. In his new role, Leach will work closely with Pandit heading up the bank's efforts to manage and track all risks undertaken by Citi. He will also lead the efforts to set strategic risk parameters and will play a significant role in capital allocation to make sure that Citi takes advantage of growth opportunities that meet appropriate risk-return standards. Meanwhile, Jorge Bermudez has retired. Over the last three months, Bermudez has worked closely with senior management to assess and develop a plan for the risk function. Citi also said that Bakhshi has been appointed at chief risk officer of the global consumer group and for Citibank N.A. In his new role, Bakhshi will focus on managing risk, including market, credit and operational risks, in these units. Monet will lead the risk oversight of capital allocation. He currently serves as an advisor to the co-chairmen of the Basel subcommittee defining regulatory capital requirements for default risk in banks' trading books. Hawkins will assume responsibility for risk oversight of real estate and mortgage exposure. Hawkins was an assistant professor in finance at the business school of the University of California, Berkeley. He joined Salomon Brothers in 1985, beginning in mortgage research and later becoming managing director and co-head of U.S. fixed income arbitrage. Nathani assumes responsibility for risk oversight of structured credit. He is a managing director as well as a member of Old Lane's fixed income team. Previously, he served as managing director, group executive and a board member at IXIS Capital Markets, where he also ran various units, including securitization and finance and structured credit products, among others. Before this, Nathani spent several years managing fixed income assets at Smith Breeden Associates, Ambac and Normandy Asset Management. Leach is currently the chief risk officer and co-chief operating officer of Old Lane. Before co-founding Old Lane, Leach worked his entire financial career at Morgan Stanley, most recently as risk manager of the institutional securities business. -- ASR Staff

Mourant du Feu & Jeune, an offshore law firm, has added Richard de Basto and Matthew Feargrieve to its Cayman funds and finance practice groups, respectively. De Basto joins from Allen & Overy, where he was a partner for close to eight years and concentrated on asset, construction and project finance. De Basto's current practice includes Islamic finance, restructuring and insolvency, leveraged finance, global loans, securitization and real estate finance. He will be based in Mourant's Cayman office. Feargrieve joins from Maples and Calder, where he was senior associate in the London office, advising on Cayman and BVI investment fund structures for hedge and private equity funds. Feargrieve has worked with onshore counsel in the U.S., E.U. and MENA on multi-jurisdictional transactions. He will be based in the firm's London office and will work alongside the Cayman-based funds team. Neal Lomax, partner and investment funds specialist, currently heads that team. In other people news, Mark Escott has moved from Lloyds TSB Bank after a nearly six-year stint as head of securitization to take up a similar position at The Bank of Tokyo-Mitsubishi UFJ, London Branch. In his new role at BTMU, Escott will cover client securitization deals in Europe, the Middle East and Africa. Mark will concentrate on growing the client securitization franchise using either the BTMU-sponsored conduit Albion or the bank's own balance sheet through direct origination and co-purchases.

February remittance report data are showing that serious delinquencies are increasing. " The overall performance of the indexes deteriorated as serious delinquencies and defaults increased," said analysts from Citigroup. Citigroup reported that for 06-1, 06-2, 07-1 and 07-2, the month-over-month shift in serious delinquencies was 236 basis points, 263 basis points, 201 basis points and 260 basis points, respectively, versus the 270bp, 248 basis points, 210 basis points and 264 basis points seen last month.For all the indexes, the number of loans in foreclosure rose as well, reported Citigroup. But, analysts said that for 06-1, 07-1 and 07-2, the pace of deterioration was less than that witnessed in January. According to Citigroup analysts, aside from the delinquency, the other important data point was the slowdown in prepayments (voluntary and involuntary).Prepayments fell slightly given that the defaults increasing sharply. Citigroup said that for ABX 06-1, 06-2, 07-1 and 07-2, the CPR dip was 2.74%, 0.96%, 0.66% and 0.54%, respectively. The defaults across the indexes increased by 2.19%, 1.01%, 0.52% and 0.45%, respectively.

MBIA has announced that it will stop guaranteeing ABS for six months and said that it intends to split the structured business from its municipal bond division within a five-year period. According to published reports, Joseph Brown, MBIA's new chief executive, said in a note to shareholders that this move is being made while the company evaluates its options. Meanwhile, Moody's Investors Service today confirmed MBIA's and its affiliates' 'Aaa' insurance financial strength ratings. The rating agency has also confirmed the 'Aa2' rating on surplus notes issued by MBIA Insurance Corp., and the 'Aa3' senior unsecured ratings of its parent company, MBIA Inc. The rating actions reflect Moody's assessment of MBIA's current efforts to strengthen its capital position in terms of its problematic mortgage and mortgage-related CDO exposures. The rating firm also considered the changes the company is implementing to limit the volatility associated with its insured portfolio. MBIA's current outlook is negative.

Mortgage Bankers Association Chief Economist Douglas Duncan will be leaving the mortgage industry trade group for Fannie Mae. In a statment late today, Jonathan Kempner, president and CEO of the MBA, commented on Duncan's departure. Duncan announced today that he has accepted an offer to be vice president and chief economist at the GSE. "Personally, I am very excited for Doug and this new opportunity," Kempner said. "At the same time, I lament losing his expertise and counsel on which we have come to rely. But MBA's loss is Fannie Mae's gain, and I am buoyed by the fact that America's housing industry will continue to benefit from Doug's talents." The chief economist has been with the MBA since 1992. Before joining the MBA, Duncan was a LEGIS fellow with the U.S. House of Representatives Committee on Banking, Finance and Urban Affairs. Duncan will be replacing David Berson, who left Fannie Mae for PMI Group last September. As chief economist and strategist at PMI, Berson focuses on domestic and global market research and planning, support of government relations and public policy, and strategic environmental planning.

In my last column three weeks ago, I said that none of the major monolines was in any danger of losing the triple-A, national-scale ratings on its wrap in Mexico.

Credit card transactions continued to dominate the issuance tally last week. The American Express Credit Account Master Trust, Series 2008-2 came to market with a $1.2 billion transaction. Lead managers were Barclays Capital, Citigroup Global Markets and JPMorgan Securities. The 10-year notes priced at the one-month Libor plus 126 basis points.

Hoping to shore up its two structured investment vehicles (SIVs) as it continues to liquidate the assets in those vehicles, BMO Capital Markets said it would provide liquidity support for the repayment of senior notes that secure the Links Finance and Parkland Finance programs.

Moody's Investors Service said that the deterioration in the credit risk profiles of financial guarantors may have significant implications for a number of banks and securities firms. The rating agency's review for possible downgrades of embattled monolines MBIA and Ambac is set to conclude soon.

Investors at the Investment Management Network (IMN) CMBS conference held in London last week said it wasn't fear that was driving the current buying freeze in the European market. They also offered issuers a list of demands needed to get the market back in working order again.

Moody's Investors Service and Fitch Ratings talked to CMBS market players about the future of their respective rating methodologies at last week's Information Management Network European CMBS conference held in London.

With originators from the Commonwealth of Independent States unwilling to accept today's spreads in the primary market, warehousing remains the name of the game. But the word is that certain Western banks, grappling with capitalization issues, have ceased loading assets onto their balance sheets from Russia and its neighbors. This is not so for Unicredit.

All investors are encouraged to look at the potential for extension risk on every deal that they buy into, analysts said.

Investment Management Network's (IMN) fourth annual CMBS conference held in London last week had 480 market players in attendance, almost half of whom came from the buyside.

In any divorce, dividing up the assets can be a complicated and lengthy process, often accompanied by a mass of legal issues. The same appears to hold true when a bond insurance company is taken apart.

In keeping with a recent trend in the ABCP business, HSBC Bank is implementing critical changes to its partially supported credit arbitrage conduit called Solitaire Funding.