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ECB Changes Its Policy for Using Its Repo Facility

The 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.

MBA Q2 Delinquency Report Shows Worsening in Prime Sector

The 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.

Ranieri Sheds Interim CEO Post

Lewis Ranieri has stepped down as interim chief executive of the struggling Franklin Bank Corp. of Texas.

HSBC France Launches Covered-Bond Program

HSBC France, Paris, has launched an 8 billion euro ($11.6 billion) covered-bond program under French law.

Moody’s Publishes Outlook of EMEA Regions

Over the next 12 to 18 months, the EMEA region can expect stable and negative performance of its major structured finance asset classes.

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Articles

Central Banks Move to Adjust Liquidity Programs

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 changes will address concerns over the potential for excessive usage of securitized debt for ECB collateral as well as the programs' long-term sustainability.

Light Mortgage Volume Starts Off September

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. Flows were directed toward better selling as Treasurys sold off and then even as they recovered following strong performance gains made in the last two weeks of August. The widening did interest money managers, hedge funds, and servicers - primarily in 5.5s and 6s. Still, sellers reportedly outnumbered buyers by 3:1. Supply averaged $2 billion, mostly in 6% coupons, which was a factor in Tuesday's weakness given the lack of buyers. Spreads ended wider to the curve by seven and six ticks in 5s and 5.5s, and by five and four ticks in 6s and 6.5s. Versus swaps, spreads ranged from four ticks wider in 5s to two ticks weaker in 6.5s.

Northern Rock Risk Surfaces

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. Monthly losses as of July 2008 were £2.9 million ($5.16 million), compared with £0.2 million a year ago, according to figures reported by Merrill Lynch. Northern Rock's Granite master trust has reported a much higher number of possessions than its peers, with a severe acceleration in the last three months.

FDIC Loan Mod Plan May Increase Delinquencies

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. The plan is initially aimed at helping 4,000 IndyMac borrowers who are either seriously delinquent or have defaulted on their loans, and then later extending help to thousands beyond that number.

Deal Flow Unchanged Post Labor Day

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. This is despite a successful offering by the GSEs of over $5 billion in short-term debt.

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