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

Pipeline
Three new deals entered the pipeline last week and remained there on Friday. Leading the way was a US$1bn CMBS originated and arranged by Goldman Sachs, Citigroup and Jefferies (GSMS 2012-GCJ7), which was joined by a US$150m DPR ABS from Banrisul (BRSR Diversified Payment Rights Co series 2012-1).

Pricings
The week also saw plenty of pricings, with three CLOs, two RMBS and five ABS prints.

By far the largest transaction to price was Mercurius Funding Compartment Mercurius-1, a €4.124bn CLO. It was joined by US$307.25m Atlas Senior Loan Fund 2012-1 and €674.28m Asti Finance PMI 1. The RMBS prints comprised A$300m Pepper Residential Securities No. 9 and £439m Tenterden Funding 2012.

The ABS prints were US$642.7m Chesapeake Funding 2012-1 (auto fleet), US$698.5m EFS Volunteer No. 2 series 2012-1 (student loans), US$750m GE Dealer Floorplan Master Note Trust 2012-2 (auto floorplan), US$1.249bn Santander Drive Auto Receivables Trust 2012-3 (auto non-prime) and US$250m TAL Advantage 2012-1 (containers).

Markets
The US RMBS market last week saw significant price action for higher coupon agency mortgages, according to Barclays Capital securitisation analysts. They say: "After several weeks of steady tightening, super-premiums widened sharply, with 4.5s-6s down 5-9 ticks versus swap hedges week-on-week. This was in the aftermath of yet another pick-up in higher coupon speeds in the May prepayment print." FNCL 3.5-4.5 cohorts fell by 3-6 CPR and 4.5s-6s came off by one to three ticks.

The US ABS sector had a relatively good week, with spreads ending the week either unchanged or tighter, say Bank of America Merrill Lynch ABS analysts. FFELP ABS tightened by 3bp, for example. Even against wider economic concerns, they believe strong technicals and fundamentals in the ABS market - coupled with the success of the recent Maiden Lane sales - should be supportive of spreads.

After a relatively busy period, the European ABS pipeline has now run dry, suggest JPMorgan analysts. Last week saw good flow across the majority of European securitisation asset classes in the secondary market, with a broad range of investors looking to add risk.

Granite triple-Bs are off by 1.5 points on the week in the European RMBS market, with Deutsche Bank analysts also noting softening in GRANM seniors. While the pipeline is "relatively threadbare for this time of year", they believe the anticipated Fosse issuance will prove a much more important pricing point for the sector than last week's Tenterden issuance.

Meanwhile, the Deutsche Bank analysts believe the US CMBS market remains highly susceptible to headline risk, with JPMorgan's US$2bn loss impacting spreads even more than the Maiden Lane III auctions. Bid-list activity remained elevated for the week. European CMBS also saw significant bid-list activity, with a £200m list on Thursday exhibiting particularly strong execution. 

Deal news
• SCI has launched a BWIC service covering auctions in Europe and the US for the four main structured finance asset classes - ABS, CDOs/CLOs, CMBS and RMBS. The platform has been updated on a daily basis with BWIC prices/covers representing a range of collateral since 1 May. It already includes nearly 500 prices and the SCI site now has a price search facility based on this BWIC information.
• Bradford & Bingley's Aire Valley UK RMBS master trust has breached its non-asset trigger, after the collateral balance fell below the £10.7bn minimum. Secondary market liquidity for the paper is consequently expected to rise, as repayment prospects for different note series become aligned.
• The New York Fed has sold the entirety of the TRIAXX CDO holdings from its Maiden Lane III portfolio to Merrill Lynch, following a competitive bid process. Consistent with the current investment objective of ML III, the Fed - through BlackRock Solutions - will continue to explore the sale of assets held by the vehicle.
• The New York state court hearing the US$8.5bn Countrywide RMBS settlement case reached an agreed discovery schedule that reduces the possibility of a protracted legal process. Interveners in the case, such as Walnut Place, had requested thousands of loan files from Countrywide in the discovery process to help bolster their case that the settlement amount agreed on by BNY Mellon was too low.
• Dock Street Capital Management has been retained to act as liquidation agent for the West Trade Funding CDO II and III transactions. Two public auctions are to be held for each deal, with the former's sale scheduled for 15 May and the latter's a day later.
• The trustee for Dillon Read CMBS CDO 2006-1 has posted a notice advising that the transaction is to be liquidated via a public auction. An EOD occurred in September 2010 and, pursuant to Section 5.2(a) of the indenture, the majority holders of the controlling class can declare the principal of the notes to be immediately due.
• Dock Street Capital Management has been retained to act as liquidation agent for Jupiter High-Grade CDO VI. Qualified investors are invited to bid on the collateral at two sales held on 17 May.
• S&P reports that the US Federal Housing Finance Agency's REO-to-rent programme has captured the attention of the securitisation market. The programme began soliciting bids from qualified investors on approximately 2,500 properties in eight of the hardest-hit metropolitan areas earlier this year.
• AnaCap Financial Partners has reached a final closing on its AnaCap Credit Opportunities Fund II, successfully hitting its £350m hard cap. The fund was oversubscribed after just six months.
• Cheyne Capital Management has launched two UCITS IV-compliant funds - the Cheyne Global Credit Fund and the Cheyne European Real Estate Bond Fund. The UCITS funds have been launched in response to investor demand and their investment portfolios are based on those of two existing flagship Cheyne strategies.

Regulatory update
• The Reserve Bank of India's guidelines on securitisation transactions - published on 7 May - could promote the long-term growth of the Indian securitisation market, pending clarity on the tax treatment of pass-through-certificates (PTCs), Fitch says. The agency believes that the requirement for a minimum holding period for each loan before it becomes eligible for securitisation is a credit positive, as this would eliminate first-payment default risk.

Deals added to the SCI database last week:
American Home Mortgage Servicer Advance Revolving Trust 1 series 2012-1
BAA Funding A19
Beluga Master Issuer series 2012-1
CarNow Auto Receivables Trust 2012-1
Cedar Funding
Credico Finance 10
Darrowby No. 2
Enterprise Fleet Financing series 2012-1
Everglades Re
FREMF K-018
Golub Capital Partners CLO 11
GSMS 2012-ALOHA
Highway 2012-I
Kenrick No. 1
Kimi 1 (SCF Rahoituspalvelut)
Leofric No. 1
Missouri Higher Education Loan Authority series 2012-1
Montana Higher Education Assistance Corporation 2012-1
Nelnet Student Loan Trust 2012-1
OHA Credit Partners VI
Performer Financing 2012-2
Race Point VI
Saecure II
SLM Student Loan Trust 2012-3
Trafigura Securitisation Finance series 2012-1
UBSCM 2012-C1
Vesteda Residential Funding II (tap)
VOLT 2012-NPL1

Deals added to the SCI CMBS Loan Events database last week:
BSCMS 2007-PWR16; BACM 2003-1; BACM 2005-1; BACM 2007-5; BSCMS 2002-TOP6; BSCMS 2004-TOP16; BSCMS 2006-PW14; BSCMS 2007-PWR17; CD 2006-CD2; COMM 06-FL12 & CSMC 06-TF2A; COMM 2006-C8; COMM 2006-FL12; CSFB 2004-C3; CSMC 2007-C3; DECO 2007-C4X; DECO 2007-E5X; DECO 9-E3X; ECLIP 06-1 & ECLIP 06-4; ECLIP 2005-2; EURO 26; FHSL 2006-1; FLTST 3; GCCFC 2006-GG7; GMACC 2004-C2; GSMS 2007-GG10; JPMCC 07-C1 & JPMCC 08-C2; JPMCC 2006-LDP9; LBCMT 2007-C3; LBUBS 2003-C8; LBUBS 2005-C2; Lehman 2007-LLF C5; MESDG CHAR; MLCFC 2007-5; MLCFC 2007-6; MSCI 2007-IQ16; OPERA FR-01; REC 5; REC 6; Several; TAURS 2007-1; TITN 2006-2; TITN 2006-3; TITN 2006-4FS; TITN 2006-CT1; TITN 2007-2X; TITN 2007-CT1; TMAN 6; TMAN 7; USAF 2006-1A; WBCMT 07-C32 & 07-C33; WBCMT 2005-C19; WBCMT 2007-C30; WBCMT 2007-C34; WFRBS 2011-C2; WINDM IX & DECO 14; WINDM XIV-A; WTOW 2006-3.

Top stories to come in SCI:
April EMEA CMBS maturity outcomes
EMEA ABS issuance trends
US student loan ABS update
Valad Europe profile
Leadenhall Capital Partners profile
Counterparty risk management survey