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

Pipeline
Four new deals joined the pipeline and remained there last week. A US$400m CLO from Sankaty Advisors is marketing (Race Point VI), while there is also a US$103.68m ABS in the market (Conn's Receivables Funding I series 2012-A). In Europe, a €400m auto lease ABS from Athlon Car Lease Nederland (Highway 2012-I) and a UK RMBS deal (Leofric No.1) are also circulating.

Pricings
Once again it was a busy week for pricings. Five auto ABS deals printed last week: US$1bn BMW Vehicle Lease Trust 2012-1; US$1bn FCT Eurotruck Lease II; US$2.038bn Ford Credit Auto Owner Trust 2012-B; US$1.5bn Honda Auto Receivables 2012-2 Owner Trust; and US$514m Wheels SPV 2012-1. One US$753.14m equipment ABS (CIT Equipment Collateral 2012-VT1) also priced.
Three CLOs printed as well: US$356m Marathon CLO IV; US$307.86m NXT Capital CLO 2012-1; and US$623.75m Symphony CLO IX. Finally, two CMBS priced: US$412m Fontainebleau Miami Beach Trust 2012 Series 2012-FBLU and US$1.1bn JPMorgan Chase 2012-C6 Commercial Mortgage Pass-Through Certificates.

Markets
It was "a bumper week" for the CLO market, say JPMorgan CLO analysts. The primary market saw three CLOs totalling US$1.3bn pricing. CLO credit performance is improving in the US, while they note that European CLO deterioration also appears to be stabilising.

Meanwhile, the agency RMBS market remained roughly flat over the week, leading Barclays Capital securitised products analysts to view non-agencies more favourably. In the agency space, they note: "Origination was on the heavier side early in the week and real money buyers remained on the sidelines. Fed purchases remained strong, with purchases of US$7bn over the week."

The US CMBS market saw legacy spreads tighten last week, largely reversing the widening that was seen earlier in the month, report Bank of America Merrill Lynch CMBS strategists. This tightening has come despite light bid-list volume and appears to be dealer-driven. They add that investors "appear to be waiting for next week's MAX CRE CDO sale by the NY Fed before adding any significant risk".

All eyes in the European CMBS market were on the Opera Finance (Uni-Invest) vote last week. Deutsche Bank CMBS analysts believe the credit bid option was the inevitable choice, but are reluctant to draw too many lessons from the resolution for the broader market. A new €625m Vesteda multifamily issuance also caused some excitement in the sector.
 

Deal news
• The New York Fed has initiated a competitive bid process in response to several reverse inquiries for the MAX CDO holdings in the Maiden Lane III portfolio. The move comes amid surging interest in the ABS CDO sector.
• Opera Finance (Uni-Invest) class A noteholders approved the credit bid option presented by TPG and Patron Capital, following their rejection of the consensual restructuring option. Class B, C and D noteholders voted in favour of the latter proposal, but the resolution required approval by 75% of each class.
• Of the large German multifamily CMBS portfolios, only Grand will extend, suggest ABS analysts at Deutsche Bank. The analysts cite GAGFAH's recent upbeat conference call on both the €1.1bn WOBA loan (split equally between WINDM IX and DECO 2007 E5X) and the €2.2bn GAGFAH 1 loan (securitised in GRF 2006-1), which mature in 2013, as a basis for this view.
• The sale of the final remaining two properties under the Keops loan, securitised in Juno (Eclipse 2007-2), has resulted in the full repayment of the outstanding amount of the senior loan. The loan was outstanding by €13.35m-equivalent - accounting for 3.09% of the pool - before the repayment.
• THL Credit Advisors is set to acquire McDonnell Investment Management's Alternative Credit Strategies (ACS) group. ACS manages approximately US$2.5bn in broadly syndicated bank loan and high yield bond assets in CLOs, separate account, long-only and opportunistic fund formats.
• Torchlight Debt Opportunity Fund II, the directing certificate holder on GECMC 2007-C1, intends to exercise its rights pursuant to Section 7.01(c) of the Pooling and Servicing Agreement (PSA) to replace LNR Partners as the special servicer and to appoint Torchlight Loan Services as the successor special servicer.
• A €6m senior bond issued by Geipel, which was purchased by PULS CDO 2007-1, has been declared as a defaulted obligation under the transaction's definitions. The move is in response to the lack of clarity around the company and whether it will meet its payment obligations in the future.
• HCA, the fourth largest CLO holding, is launching a loan extension. Securitisation analysts at S&P view the move as a credit negative for some transactions.

Regulatory update
• The SEC has adopted a new rule to define a series of terms related to the OTC swaps market. The rules, written jointly with the CFTC, implement provisions of the Dodd-Frank Act that established a comprehensive framework for regulating derivatives.
• In a comment letter filed with the CFTC on its proposed Volcker Rule, SIFMA and other financial trade associations reiterated the view that the proposal may unnecessarily constrain permitted activities, including market making, reducing liquidity in many markets and thus harming the US economy.
• IOSCO has asked for comments on a series of questions about structured finance surveillance, one of which is whether variations in disclosure increase uncertainty and lack of comparability for investors. Fitch believes differences in the quality and quantity of information reported, as well as the definitions used, makes it harder to directly compare performance.
• IOSCO and CPSS have published three documents that promote global efforts to strengthen financial market infrastructures (FMIs). These are: a report entitled 'Principles for financial market infrastructures'; a consultation paper on an assessment methodology for these new standards; and a consultation paper on a disclosure framework for the standards.

Deals added to the SCI database last week:
A5 Funding CLO
AmeriCredit Auto Receivables Trust 2012-2
Bank of America Auto Trust 2012-1
Centro delle Alpi series RMBS 2012-1
Discover Card Execution Note Trust 2012-2
EMOT 2012-1
Fraser Sullivan CLO VII
GE Capital Credit Card Master Note Trust series 2012-3
Holmes Master Issuer series 2012-2
ICE Global Credit CLO
Rialto Capital series 2012-LT1
Springleaf Mortgage Loan Trust 2012-1
Textainer Marine Containers series 2012-1
Toyota Auto Receivables Owner Trust 2012-A

Deals added to the SCI CMBS Loan Events database last week:
BACM 07-2, BSCMS 07-PW16, MSC 07-IQ14 & 07-HQ12, WBCMT 07-C31 & 07-C32; CGCMT 07-C6 & 06-C5, CWCI 06-C1 & 07-C2, CD 06-CD3 & 07-CD4; CSFB 2003-CPN1; ECLIP 2007-2A; GCCFC 2002-C1; GSMS 2007-GG10; JPMCC 2007-LD11; LBUBS 06-C6 & 05-C7; LBUBS 2007-C6; Lehman 2007-LLF C5; MLCFC 2006-4; MLCFC 2007-6; OPERA UNI; TITN 2007-3X; TMAN 7; and WINDM XIV.

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