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

Pipeline
Last week saw half a dozen new deals join the pipeline. The transactions were varied, comprising two UK RMBS (Darrowby No.2 and Tenterden), one credit card ABS (Canadian Credit Card Trust series 2012-1), one auto ABS (US$145m CarNow Auto Receivables Trust 2012-1), one CLO (US$302.5m Cedar Funding) and an ILS (US$400m Mythen 2012-1 ILS).

Pricings
Once again there was a plethora of pricings during the week. RMBS led the way with four prints, while two CMBS, one CLO, two auto ABS and two student ABS deals were also issued.
The RMBS transactions comprised £330m Kenrick and £920m Leofric, both UK deals, as well as A$1bn SMHL Securitisation Fund 2012-1 and US$111m Vericrest Opportunity Loan Trust 2012-NPL1. In CMBS, the US$1.4bn GSMS 2012-ALOHA and US$1.1bn UBSCM 2012-C1 priced. The CLO was US$673.7m OHA Credit Partners VI.
Finally, the auto ABS prints were US$795m Enterprise Fleet Financing 2012-1 and €482m SCF Rahoituspalvelut, while the student loan issues were US$1.145bn Montana Higher Education Assistance Corporation 2012-1 and US$1.25bn SLM Student Loan Trust 2012-3.

Markets
The heavy flow of BWICs during Q1 seems to have caught up with the European ABS market. As reported last week in SCI, spreads have generally widened slightly, but with notable tightening seen in prime RMBS. One trader notes that BWICs are becoming slightly less competitive, with dealers backing away from the market.

It has been an interesting couple of weeks for European CMBS. Deutsche Bank CMBS analysts note that April was "the first occasion in European CMBS where there was a significant number of loans coming due [25] ...yet there was a clean sweep of every one failing to refinance". A €300m BWIC on Friday received good execution with covers around or exceeding initial price talk.

All eyes in US CMBS were on the New York Fed's Maiden Lane III MAX CDO auction, won by Barclays and Deutsche Bank (SCI 27 April). New supply has been well absorbed by the market, note Barclays Capital securitisation analysts.

They add: "Spreads rallied, as investor interest was focused on the large bid-list, with generic 2007 LCF compressing 10bp over last week and AM spreads coming in about 20bp. 2007 AJ tranches also gained, up 1-2 points from last Thursday's close."

US RMBS was also quiet as investors focused on the MAX CDO sale, say Bank of America Merrill Lynch analysts. After the sale, the non-agency market seems to have rallied slightly, but prices could still come under pressure in the near future from uncertain macro conditions. In the agency space, GN/FN 5 and 5.5 swaps are down by six and eight ticks respectively.
 

Deal news
• The Federal Reserve last week disclosed the amount it received from Credit Suisse and Goldman Sachs in the Q1 Maiden Lane II auctions. Credit Suisse paid US$6.81bn (52%) on the US$13bn in current face that it purchased in the first and third auctions, while Goldman Sachs paid US$3.53bn (57%) on the US$6.2bn in current face that it purchased in the second auction, according to Barclays Capital figures.
• Lloyds TSB has reportedly purchased at par plus accrued interest its target amount, which was undisclosed, of Mound and Pendeford RMBS notes under the recent tender offer (SCI 20 March). Together with the redemption of a number of Lothian bonds, the move is expected to result in the number of UK master trusts dropping from eight to five by the end of the year.
• The Supreme Court of the State of New York determined, at a hearing held last Tuesday on the US$8.5bn Countrywide settlement, that BNY Mellon can move ahead with an Article 77 proceeding. The alternative would have seen the case being heard through a plenary action.
• Morningstar has added the US$340m Maryland Multifamily Portfolio to its watchlist for near-term maturity. The senior debt is pari passu across two CMBS transactions - GCFC 2005-GG5 (accounting for US$200m of the deal) and GSMS 2006-GG6 (US$140m).
• Information about Credit Suisse's derivatives-linked bonus bonds, dubbed the 2011 Partner Asset Facility (PAF2), was included in its 1Q12 financial release. The transaction was designed to hedge the counterparty credit risk of a referenced portfolio of derivatives and their credit spread volatility, according to the release.
• Banco Santander has announced the results of its 33-bond tender offer, which comprised 12 RMBS, six ABS and 15 CLOs. In total, the bank indicated it would consider purchasing up to €750m and in the end bought €450.2m.
• The final property in the Gullwing Portfolio, securitised in the Eclipse 2007-1 CMBS, was sold on 18 April. Trepp expects the loan to be hit with a loss of more than 75% as a result.
• A sale agreement with the noteholders of Clio European CLO has been completed, pursuant to which all of the debt assets in the portfolio were sold to the noteholders. Noteholders surrendered to the issuer €179.27m class A1 notes, €59.38m class B notes, €39.1m class C notes and €134.71m subordinated notes with a principal amount outstanding equal to €412.47m. These notes were subsequently cancelled.

Regulatory update
• The CFTC/SEC final rule on swap dealer designation (SCI 19 April) exempts CDPCs and DPCs, at least during its phase-in period. The rule is credit positive for existing CDPCs as it exempts them from collateral posting requirements, but the rule is credit negative for DPCs because it eliminates regulatory minimum capital requirements that the market had expected would apply, according to Moody's.
• The US SEC has charged Egan-Jones Ratings Company (EJR) and its owner and president, Sean Egan, for material misrepresentations and omissions in the company's July 2008 application to register as an NRSRO for issuers of ABS and government securities. EJR and Egan are also charged with misrepresentations in other submissions to the SEC and with NRSRO record keeping and conflict of interest violations.
• The US SEC has charged H&R Block subsidiary Option One Mortgage Corporation with misleading subprime RMBS investors in several offerings by failing to disclose its deteriorating financial condition. Option One, now known as Sand Canyon Corporation, has paid US$28.2m to settle the charges.

Deals added to the SCI database last week:
BMW Vehicle Lease Trust 2012-1
CIT Equipment Collateral Notes series 2012-VT1
DT Auto Owner Trust 2012-1
FMBT 2012-FBLU
Ford Credit Auto Owner Trust 2012-B
Freddie Mac SPC series K-707
Honda Auto Receivables Owner Trust 2012-2
JPMCC 2012-C6
Marathon CLO IV
NXT Capital CLO 2012-1
Symphony CLO IX
Wheels 2012-1

Deals added to the SCI CMBS Loan Events database last week:
BACM 07-1, JPMCC 07-LDP1X & GECMC 07-C1; BACM 2004-4; BACM 2006-5; BACM 2007-1; CD 07-CD4, WBCMT 05-C17 & CGCMT 06-C4; CD 2006-CD2; CSMC 2006-C5; CSMC 2008-C1; CWCI 2007-C3; DECO 2005-E1X; DECO 2007-C4X; DECO 2007-E5X; DECO 2007-E7; DECO 9-E3X & EMC IV; ECLIP 2005-1; ECLIP 2005-2; ECLIP 2006-3; ECLIP 2007-1A; ECLIP 2007-2A; EMC VI; EPICP DRUM; EPRE 1-A; EURO 22A; EURO 24A; EURO 27; FLTST 3; GCCFC 07-GG11 & CGCMT 08-C7; GCCFC 2006-GG7; GECMC 2007-C1; GSMS 07-GG10 & JPMCC 07-LD11; GSMS 2007-GG10; JPMCC 2005-LDP2; MALLF 1; MLCFC 2007-6; MSC 2007-HQ12; OPERA UNI; TAHIT 1; TITN 2006-1A; TITN 2006-2A; TITN 2006-5; TITN 2007-2X; TITN 2007-CT1X; TMAN 3; TMAN 4; TMAN 7; UBS 2007-FL1; WBCMT 2006-C29; WBCMT 2007-C30; WINDM VIII; and WINDM XIV-A.

Top stories to come in SCI:
April EMEA CMBS maturity outcomes
Counterparty risk management survey