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

Pipeline
A few new deals hit the pipeline last week only to price by Friday. Still standing at the end of the week were two RMBS transactions (Saecure 11 and A$696.75m SMHL Series Securitisation Fund 2012-1). Finally, Oxford Finance is also in the market with Oxford Finance Funding Trust 2012-1.

Pricings
It was a busier week for pricings. Five auto deals printed, along with four credit card ABS, two RMBS, a CMBS, an ABS and an ILS.

The auto deals were US$1.1bn AmeriCredit Automobile Receivables Trust Series 2012-2, US$2.37bn Bank of America Auto Trust 2012-1, €700m Bumper 5 UK, US$235m DT Auto Owner Trust series 2012-1 and US$1.5bn Toyota Auto Receivables 2012-A Owner Trust.

The largest credit card deal was US$1bn Discover Card Execution Note Trust 2012-2. It was joined by US$750m Penarth 2012-A, US$412.5m World Financial Network Credit Card Master Note Trust Series 2012-A and US$496m GE Capital Credit Card Master Note Trust Series 2012-3.

The US$1.25bn Holmes Master Issuer Series 2012-2 and A$744m IDOL Trust Series 2012-1 accounted for the RMBS issuance, while the CMBS was US$1.313bn FREMF 2012-K707 Mortgage Trust. The ABS that printed was US$400m Textainer Marine Containers series 2012-1 and the ILS was US$130m Akibare II.

Markets
Easter resulted in the European secondary market seeing lighter volumes than usual, although with "little of the weakness seen in the broader credit markets", say JPMorgan ABS analysts. Five transactions have been sold to investors in the European ABS primary market over the last couple of weeks, albeit with some on a private basis.

A quiet European CMBS market retained appetite for multifamily assets, as SCI reported on Thursday. BWICs have become somewhat hit-and-miss, although appetite for multifamily remains strong and fresh primary issuance is expected to provide a boost.

Although Maiden Lane III concerns are decreasing, the US CMBS market is still volatile. "Up and down, up and down; the CMBS market remains on a roller coaster ride but unlike an amusement park version, there does not appear to be anyone behind the control board," note Deutsche Bank CMBS analysts. BWIC volume is decreasing, with 25% last week not trading.

Uncertainty is also dominating the US RMBS market, according to securitisation analysts at Bank of America Merrill Lynch. It was a mixed week for the agency market as Fannie 6s outpaced Treasury hedges by 11 ticks, but performance at the other end of the stack was more subdued. While there was a bit of activity in the second half of the week for non-agency RMBS, the analysts note prices are weakening and expect that trend to continue.

Recent new issue US CLOs have pushed year-to-date supply above US$8bn, with primary spreads for triple-As tightening in to 125bp over Libor, report JPMorgan CLO analysts. 

Deal news
• The US$81m Grand Traverse Mall loan securitised in GECMC 2005-C4 has taken a US$19m loss. The loss looks to be due to a modification associated with Rouse Properties' purchase of the GGP-sponsored asset in February.
• The US$246m Atrium Hotel Portfolio loan has been put on Morningstar's watchlist because of worryingly low debt service coverage and the expiration of the loan's IO period. The loan is the largest in the ML-CFC 2006-3 transaction and represents 11% of the pool by unpaid balance.
• Apollo Capital Management (formerly Stone Tower Debt Advisors) has been retained to act as liquidation agent for Millstone II CDO. The collateral will be auctioned in six public sales in New York, four of which will take place on 19 April and the remainder on 26 April.
• VCAP Securities has been retained to act as liquidation agent for Manasquan CDO 2005-1. The collateral will be auctioned in two public sales taking place on 19 April.
• Fitch has downgraded 145 RMBS classes and affirmed one, following the transfer of certain mortgage servicing rights (MSRs) from Saxon Mortgage Services to Ocwen Financial Corporation. At the same time, all classes were removed from negative watch and assigned a negative outlook.
• Performance indicators for Portuguese mortgage loans securitised in RMBS transactions are misleading, says Fitch. The agency notes that originating banks' support for borrowers is masking the trust extent of past underperformance.
• Fitch has downgraded three classes of notes from the Preps 2005-2 and Preps 2007-1 SME CLO deals, due to the increased balance of the principal deficiency ledger (PDL). At the same time, the agency has affirmed the transactions' remaining three classes of notes, as well as the ratings of Preps 2005-1 and Preps 2006-1.

Regulatory update
• FHFA acting director Edward DeMarco has commented on the use of Treasury incentives to forgive principal on underwater borrowers, affirming a preference for forbearance over forgiveness. The announcement effectively rules out any principal forgiveness for GSE loans.
• A recent AFME survey of securitisation investors shows that the proposed Solvency II capital charges are likely to cause a permanent drop in securitisation funding, which could seriously reduce future growth in Europe. AFME is urging policymakers to delegate the assessment of securitisation capital charges to the EIOPA Technical Expert Group, or alternatively conduct further research.
• The Basel Committee has published the results of its Basel 3 monitoring exercise. A total of 212 banks participated in the study, including 103 Group 1 banks (those that have Tier 1 capital in excess of €3bn and are internationally active) and 109 Group 2 banks (all other banks). Under the study, average common equity Tier 1 capital ratio (CET1) of Group 1 banks was 7.1%, compared with the Basel 3 minimum requirement of 4.5%.

Deals added to the SCI database last week:
Akibare II
Ally Master Owner Trust series 2012-2
BAA Funding
Blue Danube 2012-1
Bumper 5
CSMC Trust 2012-CIM1
Doral CLO II
ECP CLO 2012-3
Freddie Mac SPC series K-501
Galaxy XII
Gemgarto 2012-1
GoldenTree Loan Opportunities VI
GreatAmerica Leasing Receivables Funding series 2012-1
Pelican Re
Penarth Master Issuer series 2012-1
Performer Financing 2012-1
Private Driver 2012-1
Private Driver 2012-2
Prudential Covered Trust 2012-1
Rayo Finance Ireland 1 (tap)
Sandown Gold 2012-1
Sequoia Mortgage Trust 2012-2
SLM Private Education Loan Trust 2012-B
STORM 2012-II
World Financial Network Credit Card Master Note Trust series 2012-A

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; BACM 2005-4; BACM 2005-5; BACM 2007-5; BSCMS 2006-PW14; CD 07-CD4, WBCMT 05-C17 & CGCMT 06-C4; CGCMT 2007-C6; CSFB 2006-TFL2; DECO 2007-E6A; EMRF-2007-GIBR; EPICP DRUM; EURO 24A; FHSL 2006-1; GECMC 2005-C4; JPMCC 2005-CIBC12; JPMCC 2006-LDP9; JPMCC 2007-FL1; JPMCC 2008-C2; LBFRC 2007-LLFA; LBUBS 2007-C7; MESDG CHAR; MLCFC 2006-3; MSC 2005-HQ6; MSC 2007-XLF9; MSCI 2007-IQ16; OPERA FR-01; OPERA GER1; REC 3 ; TITN 2006-3X; TITN 2006-CT1A; TMAN 7; UBS 2007-FL1; Various (Best Buy closures); Various (New auctions); VEST 2; and WB 2007-C32.

Top stories to come in SCI:
US CMBS underwriting trends
Credit hedge fund activity
Counterparty risk management survey
Outlook for US private label RMBS
Structured credit recruitment trends