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

Pipeline
Last week saw several deals enter the pipeline and price within days, although a few new names remained on Friday. Domino's is in the market with a US$1.675bn whole business securitisation (Domino's Pizza Master Issuer Series 2012-1), while two student loan ABS (US$824m SLM Student Loan Trust 2012-2 and US$393m Edsouth Indenture No 2 2012-1) are also marketing. Additionally, Doral Leveraged Asset Management is marketing a US$400m CLO.

Pricings
There were over a dozen pricings last week, including two large CMBS and five auto-related deals. Two credit card ABS, one timeshare ABS, one ILS and two CLOs rounded out the issuance.
The CMBS comprised US$941m COMM 2012-LC4 and US$1.1bn Freddie Mac SPC Series K-017. Two auto lease (US$1.175bn Ford Credit Auto Lease Trust 2012-A and €1.275bn VCL 15) and three prime auto loan (US$1.3bn Huntington Auto Trust 2012-1, US$1.354bn Hyundai Auto Receivables Trust 2012-A and US$154m TruckLease Compartment No 2) ABS made up the auto issuance.
In credit card ABS, US$425m Cabela's Credit Card Master Note Trust 2012-I and US$450m Gracechurch Card Programme Funding Series 2012-1 both printed. Those transactions were joined by US$160m Orange Lake Timeshare Trust 2012-A and US$75m Queen Street V, the timeshare ABS and ILS respectively.
Finally, the two CLOs were US$410m AMMC CLO X and US$362m ING IM CLO 2012-1.

Markets
The US ABS secondary market saw another week of tightening, according to ABS analysts from JPMorgan. Single-A rated fixed credit card ABS spreads tightened by 5bp, while subprime auto subordinates tightened by 10bp to 50bp. Triple-A FFELP student loan spreads narrowed by 5bp across the board and triple-A three-year and seven-year private credit student loan ABS spreads tightened by 10bp and 50bp respectively.
"Bids have been getting stronger across asset classes. In particular, off-the-run ABS bonds have seen better demand consistent with the broader rally in the credit markets," the JPM analysts add.
At the same time, US CMBS spreads continued to tighten sharply this week in line with broader credit and equity markets, say US CMBS research analysts at Barclays Capital. Generic 2007 LCFs ended Thursday at 175bp over swaps, levels last seen in mid-2011. The benchmark GG10 dupers tightened nearly 25bp over the week to finish at 216bp over swaps.
"Spread compression was also in evidence lower down the capital structure: 2007 vintage AMs tightened by more than 30bp over the week and were pricing at 485bp over swaps, as of Thursday's close. After moving sideways for the past couple of weeks, AJ bonds also resumed their climb: 2007 vintage AJs gained 3-4 points over the week to finish at 70c to the dollar," the Barcap CMBS analysts note.
There was less movement in US RMBS, where residential credit analysts at Barclays Capital say that - despite continued strong sponsorship in the sector - non-agency cash prices were generally flat again. However, the synthetic indices rallied in tandem with the broader markets, with the ABX indices up by 0.5-1 point week on week, while the PrimeX indices were higher by 0.5-1.5 points over the same timeframe.
Most of the market's focus during the first half of the week was on the third round of sales from the Federal Reserve's Maiden Lane II portfolio, the Barcap analysts say. "Trading volumes were heavy in the second half of the week as the Maiden Lane II assets were digested by the market and investors continued to express demand for non-agency cashflows."
Last week was another relatively uneventful week in the US CLO market, according to CLO research analysts at Bank of America Merrill Lynch. "CLO product has seen the continuation of the same themes as in previous sessions, namely: robust liquidity across the entire capital structure, range-bound spreads with a tightening bias and the beginning of a standard bullish compression move - whereby investors reach for yield further down the quality spectrum, leading out-of-favour shelves to gain back some of the ground lost to the upper tier performers in the space," the BAML analysts say.

Deal news
• US special servicer activity has risen over the past two months, resulting in approximately US$3.7bn newly-modified loans. With term extensions being the most common modification strategy, investors are increasingly looking to CMBS extension trades to boost yields.
• The remaining securities in the Maiden Lane II portfolio have been sold. The New York Fed's management of the ML II portfolio will result in full repayment of its US$19.5bn loan and generate a net gain for the benefit of the public of approximately US$2.8bn, including US$580m in accrued interest.
• The Carlyle Group has completed the acquisition of four management contracts on €2.1bn in European CLO assets from Highland Capital Management. The acquisition brings Carlyle's CLO assets under management to US$16bn via 32 transactions. Financial terms were not disclosed.
• Kohlberg Capital Corporation has acquired Trimaran Advisors, along with equity interests in certain CLOs managed by the firm. Trimaran Advisors currently manages four CLOs with aggregate assets under management of approximately US$1.5bn.
• ISDA's EMEA Determinations Committee unanimously decided that a credit event has not occurred in respect of the two questions relating to the Hellenic Republic restructuring.
• Bank of America's US$8.5bn Countrywide RMBS settlement case has returned from federal court to New York state court, likely hastening its approval. A resolution of the settlement is expected to provide a blueprint for similar cases against other large originators.
• Traccr has announced that a Swiss client executed a US$5m bespoke CLN via its electronic platform. The client benefited from live CLN axes posted by dealers to their respective networks of clients - a unique feature recently added to the Traccr offering.
• An auction is set to be conducted on 20 March in respect of Capital Guardian ABS CDO I collateral. However, the sale will only be consummated if the trustee receives two or more bids to purchase all of the securities.

Regulatory update
• The securitisation industry remains hopeful that highly rated ABS will ultimately be eligible under the Basel 3 liquidity coverage ratio (LCR). In the meantime, steps are being taken to address the treatment under the LCR of unused bank commitments that support ABS structures.
• The US Federal Reserve has released action plans for supervised financial institutions to correct deficiencies in residential mortgage loan servicing and foreclosure processing. It also issued engagement letters between supervised financial institutions and independent consultants retained by the firms to review foreclosures that were in process in 2009 and 2010.
• The IOSCO Technical Committee has published a report detailing its recommendations that authorities should follow in establishing a mandatory clearing regime for standardised OTC derivatives in support of the G20's commitments to improve transparency, mitigate systemic risk and protect against market abuse in these markets.
• The UK Supreme Court on 29 February upheld the UK Court of Appeal's 2 August 2010 ruling regarding the scope of, and participation in distributions from, the Lehman Brothers International (Europe) pool of client money. This landmark decision applies to all customers who agreed with their investment firm counterparty that their money would be treated as client money under the UK's FSA rules, regardless of whether such money was actually segregated by the investment firm.

Deals added to the SCI database last week:
Avalon IV Capital
Exeter Automobile Receivables Trust series 2012-1
IM Cajamar Empresas 4
John Deere Owner Trust 2012-A
Lanark Master Issuer series 2012-1
OCP CLO 2012-1
Octagon Investment Partners XII
Queen Street V

Top stories to come in SCI:
Focus on emerging market ABS
Focus on German multifamily CMBS
Impact of principal reduction across European RMBS