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

Pipeline
The largest deal to enter the pipeline last week was FREMF 2012-K501, a US$1.1bn CMBS from Freddie Mac. It was joined by a US$377.5m equipment lease ABS (Great America Leasing Receivables Funding Series 2012-1) and a US$38.1m tobacco settlement ABS (Suffolk Tobacco Asset Securitization Corp series 2012). In addition, two auto lease deals - Bumper 5 Finance and FCT Eurotruck Lease II - began marketing.
The week also saw two CLOs join the pipeline (US$416m ICE Global Credit CLO and £825m Sandown Gold 2012-1), along with whispers of CLOs to come from Apollo Global Management, BlueMountain Capital Management, GoldenTree Asset Management and Marathon Asset Management.

Pricings
The rate of pricings cooled off a little last week. Three auto ABS deals (US$201.25m Credit Acceptance Auto Loan Trust 2012-1, US$230.07m Prestige Auto Receivables Trust 2012-1 and £384m Turbo Finance 2) printed, as well as a drug royalties deal (US$195m Drug Royalty 1 series 2012-1) and a student loan ABS (US$17.94m Rhode Island Student Loan Authority 2012 Senior Series A).

Markets
ABS investors were largely focused on secondary trading last week as new issuance took a breather from the very heavy volumes seen recently, according to ABS analysts at JPMorgan. Themes from the last few weeks were unchanged, they say, with demand remaining strong for higher spread ABS sectors such as subprime auto and UK RMBS.
This increased demand was reflected in tighter spread levels across most sectors. However, the JPM analysts add that demand for credit cards was slightly softer this week, with spreads widening out by 2bp to 4bp. "This is most likely due to the heavy supply seen in this space in the secondary market," they say.
As SCI noted on Tuesday, the BWIC onslaught also continues in the European ABS sector. However, while bid-lists are keeping participants busy for now, one trader reports that the market is crying out for some more variety.
Equally, as reported in SCI on Friday, US CMBS is continues to perform strongly. "It is certainly an active market. It is encouraging to see that, even despite the level of issuance, spreads have not widened," one trader says.
At the same time, Bank of America Merrill Lynch non-agency MBS analysts say that in US RMBS improved investor sentiment combined with the search for yield kept investors looking for bonds. "There were several lists with larger block sizes that traded well earlier in the week. Bonds on those lists traded 1-2 points higher. On the follow, other investors came into the market looking for the same execution but instead saw pricing flat," they report.

Deal news
• The final price of the Hellenic Republic bonds for the purpose of settling CDS transactions was determined to be 21.5%. A realised recovery rate of between 20%-25% had been expected, with the final figure more likely to be at the lower end of the range.
• Maguire Properties has filed its 10-K statement with the US SEC, shedding light on a number of CMBS properties sponsored by the company. Several loans are either in, or heading for, receivership - although not all properties are set for disposal.
• Ischus Capital Management has been appointed successor collateral manager for GSC ABS CDO 2006-4u. The new collateral management agreement essentially follows the key terms and provisions of the existing agreement.
• In an unusual move, a majority of the controlling class in Belle Haven ABS CDO 2006-1 has waived the deal's existing EODs, as well as rescinded and annulled its acceleration. As a result, the EODs are deemed to be cured, with the trustee and the noteholders restored to their former positions and rights under the indenture.
• Noteholders in the RMAC 03-NS1, 03-NS2, 03-NS3, 03-NS4, 04-NS1 and 04-NS2 RMBS have voted to ignore certain rating-related triggers in the deals, following the downgrade of Barclays - acting as liquidity facility provider - to A-1 from A-1+. Securitisation analysts at S&P view the move as a short-term positive for transaction cashflow but a negative for counterparty risk.
• Chamartín Meermann Immobilien, portfolio company no. 41 in the H.E.A.T. Mezzanine I-2006 SME CLO, has filed for insolvency. However, the insolvency event will not have an immediate effect on the transaction as the principal amount of the SOLA obligation (€4m) will only be recorded to the principal deficiency ledger in case of a principal deficiency event.
• The £175.66m Reference Loan no. 3 in the synthetic CMBS Estate UK-3 has been restructured. European asset-backed analysts at RBS note that successful CMBS loan restructurings have been less common in Europe than may be expected, so the result could prove to be a good template for other stressed loans.
• Dock Street Capital Management has been retained to act as liquidation agent for Ipswich Street CDO. The collateral will be sold to the best qualified bidders in two public sales on 27 March.
• The Bank of Scotland has announced tender offers at par for the class 5A notes from its MFPLC 4 and PENDE 2007-1 RMBS, which close on 2 April. The MFPLC 4 5A tranche is the last outstanding publicly placed note from the Mound Master Trust, due to be redeemed in November 2012.

Regulatory update
• The American Securitization Forum has submitted a letter to the Senate Committee on Banking, Housing and Urban Affairs and the House Committee on Financial Services, as well as the joint regulators requesting a correction to the statutory implementation date of the Volcker Rule. The rule is currently expected to become effective on 21 July 2012, pursuant to statutory requirements under Section 619 of the Dodd-Frank Act.
• The CFTC recently published final rules governing the standards by which swap dealers and major swap participants must conduct their dealings with counterparties under the Dodd-Frank Act. Firms will need to comply with the new rules by the later of 14 October 2012 or the date on which they are required to apply for registration.
• The DTCC has urged US Congress to pass new bipartisan legislation to prevent fragmentation of global swaps data and ensure the highest degree of transparency into OTC derivatives markets. Indemnification and a second issue - known as 'plenary access' - need to be addressed concurrently otherwise data fragmentation is likely to occur, the firm says.
• Stifel Financial has settled with five Wisconsin school districts in a lawsuit regarding mis-sold CDO investments (SCI 10 February 2010). The case concerns investments created by RBC and purchased by the districts, with Stifel acting as the districts' public finance investment banker.
• A panel of the Second Circuit Court of Appeals last week granted the SEC's motion to stay proceedings of its action against Citigroup, pending resolution of the parties' appeal seeking to set aside Judge Rakoff's rejection of the settlement agreement. The SEC had accused Citi of selling a US$1bn CDO called Class V Funding III, without disclosing that it was betting against US$500m of those assets.
• A consultation paper on covered bonds issued by the Monetary Authority of Singapore (SCI 12 March) includes proposals that would provide protection to investors in terms of quality covered assets, as well as through specifying minimum overcollateralisation levels and a requirement for ongoing monitoring of risk, according to Moody's.

Deals added to the SCI database last week:
BAA Funding
ALBA 2012-1
Avis Budget Rental Car Funding series 2012-1
Avis Budget Rental Car Funding series 2012-2
Babson CLO 2012-1
Carlyle Global Market Strategies 2012-1
Civitas
CNH Equipment Trust 2012-A
CPS Auto Receivables Trust 2012-A
FTA Santander Empresas 11
GE Equipment Transportation series 2012-1
JGWPT XXV series 2012-1
Madison Park Funding VIII
Mars 2600 series IV
Mercedes-Benz Auto Lease Trust 2012-A
NewStar Commercial Loan Funding 2012
Nissan Auto Lease Trust 2012-A
OZ Wing II Cayman
Santander Drive Auto Receivables Trust 2012-2
Sierra Timeshare 2012-1 Receivables Funding
Silverstone Master Issuer series 2012-1
Swiss Auto Lease ABS 2012-1

Deals added to the SCI CMBS Loan Events database last week:
BACM 07-1; BACM 2007-3; COMM 2007-FL14; CSMC 2007-C1; DECO 14; DECO 2006-C3X; DECO 2007-E5X; DECO 7-E2X; EMC VI; ESTAT UK-3; EURO 26X; EXCAL 2008-1; GECMC 07-C1; GSMS 2007-GG10; JPMC 2007-FL1; JPMCC 07-LDP10 ; JPMCC 07-LDP11; JPMCC 2004-CBX; JPMCC 2006-CB15; LBUBS 2007-C2; LBUBS 2007-C7; MSCI 2006-HQ10; OPERA GER1; TITN 2006-4FSX; WBCMT 2006-C27; WBCMT 2007-C34; WINDM IX; & WINDM XI.

Top stories to come in SCI:
Impact of RMBS litigation on valuations
Structured credit recruitment trends