A look at the major activity in structured finance over the past seven days

Pipeline
Many deals entered the pipeline last week only to price by the end of it. Only two transactions remained on Friday: a £1.01bn whole business securitisation sponsored by Center Parcs (CPUK Finance) and a US$75m ILS from Munich Re (Queen Street V Re).

Pricings
The week saw eleven deals pricing, including two auto floorplan ABS (US$1.6bn Ford Credit Master Owner Trust A 2012-1 and US$747.7m Ford Credit Master Owner Trust A 2012-2) and three auto loan ABS (US$970m CarMax Auto Owner Trust 2012-1, €750m Red & Black Auto Germany 1 and €460m FCT TitriSocram 2012-1). In addition, RBC issued a combined US$950m of credit card ABS (US$500m Golden Credit Card Trust Series 2012-1 and US$450m Golden Credit Card Trust Series 2012-2). One RMBS (€450m Caja Ingenieros Ayt 2) and two CMBS (US$1.02bn Freddie Mac SPC series K-706 and £210m DECO 2012-MHILL) also printed.

Markets
The ABS secondary market remained firm last week, with buyers again outnumbering sellers, according to consumer ABS analysts at Barclays Capital. "Despite some small profit taking in the esoteric space, the general tone of the market remained strong, with secondary positions trading 5bp through new issue levels," they say. "Investors have shown an increasing appetite for short-term paper with some spread as the search for yield continues. Also, interest in FFELP ABS has started to pick up with more investors poking around the sector."
Most CMBS sectors continued their year-to-date rally, according to Citi securitised products analysts. Generic 2007 dupers are now at 205bp (65bp inside of their year-end level), GG10 dupers are at 247bp (28bp tight to year-end), while 2007 AMs are at 510bp (190bp tighter). CMBS 2.0 triple-As are at 130bp (25bp inside of the year-end level), while 10/9.5 DUS and 2.0 super-seniors are at 60bp and 105bp respectively (each 15bp inside of their year-end levels).
"The only major CMBS sector that has not tightened since year-end is CMBS 2.0 triple-Bs, which is now at 685bp, 10bp wider than at year-end," the Citi analysts add.
In RMBS, residential credit analysts at Barclays Capital note: "Technical fears have taken a back seat, at least for now, as sentiment in the broader markets is much improved - especially with respect to Europe. However, the weaker credit sectors (especially subprime LCFs and option ARMs) remain subject to near-term volatility related to sentiment shifts and details of the AG settlement, HAMP expansion and other events."
On the week, non-agency prices rose slightly, with prices up by a quarter point in jumbo hybrids, alt-A and negam. Jumbo fixed prices remained flat.
ABX prices were also marginally higher, with prices up by less than a quarter point. PrimeX outperformed, rising three-quarters to one point week on week.
At the same time, supply surged last week in the CLO secondary market, with BWIC volumes in excess of US$1bn for Thursday and Friday alone, according to CLO research analysts at Bank of America Merrill Lynch. "In particular, the issue of scarcity of supply in CLO equity experienced major resolution to the upside, with around US$250m for the bid in visible volumes. To put things in perspective, this weekly run rate is consistent with the turnover of half of all equity outstanding over one year," they explain.
Triple- and double-A spreads came in by 10bp on the week, while lower down the stack they tightened by around 25p.

Deal news
• The New York Fed sold another slug of assets, with a current face value of US$6.2bn, from its Maiden Lane II portfolio through a competitive process to Goldman Sachs. Proceeds from this sale and last month's (SCI 20 January) will enable the repayment of the entire remaining outstanding balance of the senior loan to ML II on the next payment date in early March.
• CIFC Corp has sold the equity and class D mezzanine tranches issued by DFR Middle Market CLO, together with the rights to manage the CLO, for an aggregate sale price of US$36.5m. This sale represents the completion of the firm's intention to reposition its core business as a fee-based asset manager and free up capital to support further growth.
• In a rare positive turn for the CMBS, Fitch has upgraded REC Plantation Place's class B to E notes. The agency attributes the move to the asset's improving market value since March 2011, which ultimately increases the refinancing prospects of the £421.83m Plantation Place loan at maturity in July 2013.
• Fitch says it continues to monitor Empresas Hipotecario TDA CAM 3, a Spanish SME CLO whose reserve fund experienced a €11.5m drop to €1.3m in October. The deal illustrates that the misalignment of the provisioning mechanism and the default definition may lead to abrupt reductions in the reserve fund balance without a corresponding increase in the defaulted notional, the agency says.

Regulatory update
• European Parliament and Council representatives last week agreed on the text of the European Market Infrastructure Regulation (EMIR), which will regulate trade in OTC derivatives. The rules require OTC derivatives to be cleared through CCPs, with all derivative contracts to be reported to trade repositories.
• Fitch says that although some of the changes to the US residential mortgage market recently proposed by President Obama could be positive, it also believes that some will be neutral and some potentially negative. Most could face fierce political opposition, the agency says.
• New Irish personal insolvency legislation proposed in January and expected to come into force in 2013 will see the introduction of debt forgiveness for borrowers deemed to have unsustainable mortgage debt. Moody's views the proposal as credit negative for Irish RMBS because many mortgage loans will be written down and many borrowers will become discouraged from maintaining their mortgage loan repayments.

Deals added to the SCI database last week:
ALM V
AmeriCredit Auto Receivables Trust 2012-1
Arkle Master Issuer series 2012-1
BAA Funding
Discover Card Execution Note Trust 2012-1
Embarcadero Re Series 2012-I
Kibou Series 2012-I
LCM X
Lowland Mortgage Backed Securities No. 1
Mercurio Mortgage Finance series 2012-7
PFS Financing Corp series 2012-A
SLM Student Loan Trust 2012-A

Top stories to come in SCI:
Emergence of index CCDS
Special servicer fees
Euro ABS portfolio management trends
Difficulties in hedging DVA
RangeMark Analytics profile