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

Pipeline
It was a fairly busy week for the pipeline, with several new deals appearing. Among them is a US$1.54bn student loan ABS from Sallie Mae (SLM Student Loan Trust 2012-4) and a €560m auto ABS (FCT Autonoria Compartment Autonoria 2012-1). Those deals were joined by a US$150m ILS (Long Point Re III) and a US$270m CMBS (JPMCC 2012-WLDN). Finally, there are also two new CLOs: US$368m Babson CLO 2012-II and US$595.5m OHA Credit Partners VI.

Pricings
It was an even busier week for pricings. Seven ABS deals, two RMBS transactions and five CLOs printed last week.
The ABS prints were led by US$1.6bn Chase Issuance Trust 2012-A1, together with US$600m Gracechurch Card Programme Funding series 2012-3, US$500m Triton Container Finance III series 2012-1 and US$250m Cronos Containers Program I series 2012-1. Three auto ABS deals also priced: US$1bn Nissan Master Owner Trust Receivables Series 2012-A; US$250m Nissan Master Owner Trust Receivables Series 2012-B; and C$540m Ford Asset Securitization Trust 2012-R1.
The RMBS deals were the US$4bn-equivalent Fosse Master Issuer 2012-1 and A$500m Progress 2012-1 Trust. Finally, the five CLO prints were US$409.8m BlueMountain CLO 2012-1, US$353m Kramer Van Kirk CLO 2012, US$485.5m LCM CLO XI, US$283.5m Sugar Creek CLO 2012 and US$425m Venture X CLO.

Markets
The European ABS primary market "continues to see a steady, albeit comparatively thin, flow of deals", according to ABS analysts at JPMorgan. Secondary spreads on vanilla asset classes such as credit cards have tightened, but peripheral ABS moved wider over the week as Greek and Spanish concerns predominated.

The European CMBS market saw Friday deliver significant BWIC activity for the third week running, say CMBS analysts at Deutsche Bank. One list saw nearly £200m circulating and execution remained strong, with covers around the 300 DM level, barely wider than the execution seen in earlier weeks.

BWIC activity was also strong for European CLOs, as SCI reported on Thursday. The gulf between buyers' and sellers' valuations proved too great to overcome in some cases, but mezzanine bonds were generally popular. "I think buyers are expecting things to drop, whereas the sellers are fast money accounts who picked up bonds over the last few months and are looking to make a gain. Something will have to give," notes one trader. Double-B paper traded at 2100 DM, which caught the trader off guard.

It was a relatively good week for US ABS, although the secondary market was rather quiet, according to securitised products strategists at Bank of America Merrill Lynch. Spreads on auto ABS sponsored by Ally Financial were largely unchanged, despite the ResCap bankruptcy filing.

Private student loan ABS saw spreads widen by 5bp-10bp, with subordinated classes widening by as much as 100bp. Spreads on shorter-dated private student loans outperformed the CDS levels for Sallie Mae, which widened over the week.

In a familiar story, the US RMBS market was last week characterised by heightened risk aversion because of Europe, say MBS analysts at Barclays Capital. Lower agency coupons "performed well into the sharp bull-flattening in the Treasury curve over the week". Fannie 30-year 3s-4s were up four to seven ticks versus swaps. Higher coupons continued to perform poorly.

Finally, the US CMBS market saw spreads widen. CMBS analysts at Citi note that dupers widened from 20bp to 30bp across vintages.

They say: "Along with broader markets, CMBS experienced a steep sell-off this week. GG10s widened by 30bp, equities were down by about 3.9% and the VIX increased over five points to 24.5. Investors moved into the safe-haven of Treasuries, as the 10-year Treasury yield declined by 17bp."
 

Deal news
• Rescap's Chapter 11 filing is being seen as an overall positive for holders of MBS issued by Rescap entities. MBS analysts at Barclays Capital note that the sale of the Rescap mortgage servicing rights to Fortress means bondholders are highly unlikely to see any significant disruption in cashflows.
• Deutsche Bank CRE debt analysts suggest that the recent modification of the Glenborough Portfolio loan, securitised in COMM 2007-FL14, may be "one of the more questionable modifications to date". They indicate that the modification affords the borrower an explicit financing advantage at the bondholders' expense.
• Deutsche Annington appears to be making progress in respect of its restructuring proposal for the GRAND CMBS, with an announcement expected by the end of 3Q12. It is now almost a year since discussions with noteholders commenced (SCI 30 June 2011).
• Fitch has commented on the question of whether the extension of the Kerzner International Portfolio loan violated the terms of the COMM 2006-FL12 deal documents. The recent modification of the Kerzner loan included a three-year extension until 9 September 2014.
• The container ABS sector has had an active second quarter. So far, four new deals have hit the market, while secondary trading in pre-crisis, floating-rate transactions picked up during the first two weeks of May.
• Auction.com has released details of two large note and REO sales scheduled for this month. MBS analysts at Barclays Capital estimate that the auctions account for nearly US$375m of CMBS loans out for bid.
• Banco Sabadell has announced the results of its 41-bond tender offer. Investors appear to have participated strongly, driven largely by eurozone concerns.
• Enterprise Inn's first-half results reveal - perhaps earlier than expected - that the pub operator has bought back and cancelled £29m of class A4 notes from its Unique securitisation, plus an additional £10m A4 and £2m A3 notes since end-March. The average price for the A4 notes was 76p, according to European asset-backed analysts at RBS.
• Morningstar has added the US$168m Lakeside Mall to its watchlist for a decline in occupancy. The senior debt is pari passu across two CMBS transactions - COMM 2005-LP5 and GE Commercial Mortgage Corporation 2005-C1.
• Indicus Advisors has assigned the investment management rights for the Queen Street CLO I and II transactions to Ares Management. The agreement has received the consent of the controlling class and Moody's confirms the move won't result in ratings downgrades on the notes.

Regulatory update
• SIFMA has responded to the request for comment on FINRA's proposed rule to begin disseminating data for agency MBS traded as specified pools. The association believes the proposal has the potential to negatively impact participant confidentiality and therefore participant desire to transact in the market.
• The Senate Insurance and Investigations & Government Operations Committees are considering conducting an inquiry and holding hearings related to MBIA Insurance Corp's 2009 restructuring that was approved by the former New York State Insurance Department. The move is in connection with litigation alleging that MBIA withheld material information from the State Insurance Department when the monoline sought the Department's approval for its restructuring.
• The Spanish government last week announced the second phase of the Royal-Decree-Law of 3 February, which details its plan to resolve the country's banking crisis. Among the proposed measures is that general provisions on real estate exposure will increase to 30% from 7%, an extra €30bn, before year end. This is in addition to the €53.8bn already announced.
• A hearing in the Rehabilitation Court relating to Ambac Assurance's motion concerning a settlement with the US Internal Revenue Service over the tax treatment of CDS contracts (SCI 28 February) is scheduled for 13 June. Another hearing in the Rehabilitation Court has been scheduled for 4 June, which could see the monoline begin making interim policy claim payments to segregated account policyholders.
• The OCC has directed Allonhill to cease reviewing files related to the Independent Foreclosure Review as a primary independent consultant or subcontracted consultant. The OCC took this action after Allonhill reported work for third parties that the OCC determined to be inconsistent with the independence requirements for independent consultants.

Deals added to the SCI database last week:
Asti Finance PMI
Atlas Senior Loan Fund
Chesapeake Funding series 2012-1
EFS Volunteer No. 2 series 2012-1
GE Dealer Floorplan Master Note Trust series 2012-2
Mercurius Funding Compartment Mercurius-1
Santander Drive Auto Receivables Trust 2012-3
TAL Advantage IV series 2012-1
Tenterden Funding

Deals added to the SCI CMBS Loan Events database last week:
EXCAL 2008-1; GCCFC 2007-GG9; GECMC 2006-C1; GECMC 2007-C1; JPMCC 07-C1 & JPMCC 08-C2; JPMCC 2007-LDP11; MLCFC 2006-4; MLCFC 2007-9; MLMT 2005-MKB2; MSC 2006-IQ12; OPERA SCOT; PROMI 2; REC 6; TAURS 4; TITN 2007-2; TITN 2007-3; Various (auctions on auction.com); WBCMT 2006-WH7A; WBCMT 2007-C30; WBCMT 2007-C34; WBCMT 2007-WHALE 8; & WINDM X

Top stories to come in SCI:
US student loan ABS update
Hybrid ARM investment strategies
Valad Europe profile
Leadenhall Capital Partners profile
Counterparty risk management survey