ABS

Last week saw a trickle of activity for publicly placed primary deals, although most deal flow continued to be driven by retained or pre-placed transactions.

Panterra Funding, an ABCP with a good deal of exposure to emerging markets, has ceased issuance and repaid all its paper as of the end of November, Moody's Investors Service said in a brief statement.

Fieldstone Mortgage filed for Chapter 11 last week, shortly after announcing that it would stop accepting loan applications and funding mortgage loans. According to court documents, the company has liabilities of more than $100 million, with creditors including Morgan Stanley and Bear Stearns, who are seeking $38.5 million and $15.3 million, respectively. Fieldstone's parent company, Fieldstone Investment was acquired by C-Bass in July.

Standard & Poor's financial strength rating outlook for CIFG was misstated last week. The company's outlook was revised to negative from stable on June 7, 2007, as a result of CIFG's corporate governance policies and procedures, its succession planning for senior management, and concerns regarding the ongoing support for the business from parent Natixis, which subsequently infused $100 million into the company. ASR regrets the error.

ABS market professionals are still dealing with a sluggish issuance calendar, and with four weeks remaining in 2007, they do not expect to unwrap the gift of recovery anytime soon. Between Nov. 19 and press time Nov. 28, around $9.7 billion of deals came to market.

Calyon is arranging its first CDO backed by commodity trigger swaps - or a collateralized commodities obligation (CCO) - set to close by the end of the month. The transaction, Amadeus 2007-1, references 10 commodities, including base metals, precious metals and energy assets, through a static portfolio of 150 Asian long and short commodity trigger swaps. But the new CCO is launching into what has been a relatively inactive sector, raising the question: Will these exotic' products be seen as an investment alternative for CDO investors in search of diversity?

While A-Rod was unanimously expected to re-sign with the Yankees, panelists at IMN's Real Estate Mezzanine Loan Forum in New York last week were not as certain about the future of the CRE CDO market. A group of panelists made up of CRE CDO managers and a CDO lawyer collectively agreed that value in the commercial real estate market has not yet bottomed out. They also agreed that CDO write-downs were not over for the major banks.

November remittance data ushered in more bad news this month, but the results were surprisingly milder than October.

The two largest triple-A bond insurers might look to reinsure their "very reinsurable" portfolio of asset-backed securities and municipal bonds if the rating agencies tell them to raise more capital, executives from Ambac Financial Group and MBIA Insurance said yesterday.

Faced with no viable outside near-term options to shore up its structured investment vehicle (SIV) programs, HSBC decided to come up with a plan of its own. Last week, the bank announced that it will take the assets of its two SIVs, Cullinan Finance and Asscher Finance, and consolidate them into one SIV.

There may be three weeks remaining in the asset backed securities production year, but traders and analyst say any serious action will remain under wraps until 2008.

Barclays Capital's largest Europe-based ABS investor clients can expect their ABS portfolios to grow at a weighted average of 10% for the next 12 months, according to the bank's third annual European ABS investor survey. That represents a decline from last year's result.

A few Mexican players have locked their sights on a virgin patch of ABS terrain, and, if they have their way, it'll be covered in trees within a few years. Structurer SAI Consultores has teamed up with placement agent Credit Suisse in a deal that combines some of the riskier elements of forestry securitization with the safety of local treasuries. Timber and cattle company Agropecuaria Santa Genoveva is originating the deal, currently sized at between Ps1.5 billion ($137 million) and Ps2.2 billion, and potentially due before year end, according to Gustavo Meillon, a senior associate at SAI.

Bucking the furtive approach of its rivals, ABN AMRO went public last week with a mortgage warehousing facility in Kazakhstan. The global bank recently closed a $200 million deal with client BTA Ipoteka, the originating unit of Bank TuranAlem. The ultimate idea is to package the collateral into an RMBS, an event that probably won't happen in the first half of the year.

It is a reasonable assumption that during Thanksgiving dinner, thousands in the ABS business returned to the tradition of going around the feast table and counting their blessings.

Price dislocation in the CDO market has not only halted new issuance but has made the value of existing CDO securities almost impossible to assess. In an effort to address these valuation issues, Moody's Investors Service's Wall Street Analytics (WSA) recently launched Credit Values DCV (Discounted Cash Value), a product the rating agency hopes will enhance the transparency of CDOs by providing investors with valuation information about their securities.

Doubt over the monolines' triple-A-rating stability has been the subject of negative headlines since last summer. While a downgrade would have a dire effect on a guarantor's business model, particularly in the municipal bond market, which is especially dependent on the triple-A guarantee, there may be capital financing alternatives, market participants say.

Perhaps the most surprising element of the escalating concern about mispriced and hidden risk in financial markets is the lack of focus on derivatives - so far.

The Internal Revenue Service's proposed changes to commercial real estate mortgage investment conduits will offer more flexibility for borrowers looking to modify their loans and bring the regulations up to date with today's market, according to proponents of the adjustments.

The SIV unease continues to unfold with more drama. Moody's Investor Service announced recently that 16 SIVs, holding approximately $30.3 billion of debt securities, have been placed on review and face possible downgrade. Among the carnage are some of the more established vehicles from veteran players like Citigroup, Rabobank and HSBC. The negative news sent pricing spreads spiraling out to crisis-mode levels.