Securitization

Markit will be launching an ABX.HE 05-2 index on Oct. 2. The ABX.HE is a tradable synthetic index of U.S. subprime ABS.

Standard & Poor's expects the U.S. Treasury's announcement that Fannie Mae and Freddie Mac had been placed in conservatorship by the Federal Housing Finance Agency, and S&P's resulting rating actions on these entities to have a minimal rating impact on U.S. and European synthetic CDO transactions, the rating agency said this afternoon.

Citadel Investment Group made four senior hires in the mortgage and securitized products business.

The International Swaps and Derivatives Association (ISDA), after consultation with industry participants, it will launch a protocol to facilitate settlement of credit derivative trades involving Fannie Mae and Freddie Mac, the U.S. government sponsored entities that went into conservatorship of the US government, effective Sunday, Sept. 7.

The Secretary of Treasury, along withthe Federal Housing Finance Agency (FHFA) announced that it has taken control of Fannie Mae and Freddie Mac.

Fitch Ratings has reorganized its Milan-based structured finance team. Alessandro Settepani had been appointed head of the rating agency's Southern European covered bond team.

Investment banking firm Morgan Joseph added two senior members to its newly added structured products group.

Prepayments were modestly slower than expected in August. Speeds, on average, were expected to be about 10% slower, but FNMAs slowed 14% from July, FHLMC Golds 15%, and GNMAs by 13%.

The lazy, hazy days of summer didn't fully envelop residents of the DPR world. They weren't exactly lazy, when a handful of DPR deals either closed or ramped up in a market so grim that any cross-border closing is an event. But 'hazy' isn't so far off the mark, as players hid details as best they could.

Both the Bank of England (BoE) and European Central Bank (ECB) board members said last week that they are looking at possible new restrictions on the liquidity facilities they currently have on offer.

The August pipeline remained quiet, but market sources said that there is some indication that investors are looking to put money to work.

As September trading got underway following a long weekend, mortgages got off to a shaky start. Volume started off light, but picked up quickly as Treasurys turned around at mid-morning.

The Massachusetts Educational Financing Authority (MEFA) is issuing $400 million in education loan revenue bonds; it is the first private student loan securitization of the year from the state authority. The deal hits the market as private student lenders have encountered issues shoring up capital.

Much has been said about the emergence of distressed funds taking advantage of buying opportunities in the European market. However, market analysts said that prices must go wider before distressed buying really takes off.

The now nationalized U.K. bank Northern Rock's Granite master trust is reporting a rising trend of arrears since the end of last year - delinquencies have climbed to 1.52%, which is almost four times the level recorded a year ago. The number of properties taken into possession each month has also roughly doubled.

The market came off the Labor Day weekend holiday as slow as it went into it. This came as no surprise for traders, who do not expect to see a major pickup in the market given the current liquidity concerns at Fannie Mae and Freddie Mac.

Late last month, in an effort to help delinquent IndyMac Bank borrowers stay in their homes, the Federal Deposit Insurance Corp. (FDIC) announced a "systematic" loan modification plan.

Although previously regarded as a cookie-cutter asset class, the student loan product is suffering - like all the other major securitization sectors - from a lack of investor confidence. The task is to win these buyers back. Observers believe that the key to wooing the return of the investor base is a much greater understanding of the sector.

The European Central Bank (ECB) said that it no longer intends to accept ABS collateral for its repo operation if it is not backed by a liquidity facility that is worth at the minimum 20% of the deal’s nominal value.

The Mortgage Bankers Association's (MBA) quarterly National Delinquency Survey reported the delinquency rate for mortgage loans on one to four unit residential properties was 6.41% of all loans outstanding as of the end of 2Q08.