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

Pipeline
A handful of new deals entered the pipeline last week. The only such European transaction is €1.4bn BBVA RMBS 11 FTA, but it was joined by a US$1.24bn CMBS from Freddie Mac (FREMF 2012-K709), a US$511.96m CLO (Gramercy Park CLO), a US$700m student loan ABS (EFS Volunteer No. 3) and a US$761m auto lease deal (World Omni Automobile Lease Securitization Trust 2012-A).

Pricings
Several more deals departed the pipeline, with nine ABS pricing as well as one RMBS and three CLOs. The RMBS was €890m Phoenix Funding 5, while the CLOs comprised US$514m ALM VI, US$406.85m Babson CLO 2012-II and US$510m Carlyle GMS 2012-2.

Four auto ABS deals printed: US$92.63m Ally Auto Receivables Trust 2012-A; US$940m CarMax Auto Owner Trust 2012-2; US$500m SMART ABS Series 2012-2US Trust; and US$150m SNAAC Auto Receivables Trust series 2012-1. Issuance was rounded off by two student ABS transactions (US$323m Nelnet Student Loan Trust 2012-2 and US$1.491bn SLM Student Loan Trust 2012-4) and three credit card deals (US$800m Discover Card Execution Note Trust 2012-3, US$650m Discover Card Execution Note Trust 2012-4 and US$725m Gracechurch Card Programme Funding 2012-4).

Markets
Macro pressures are setting the agenda once again for US CMBS, say Citi analysts. Volatility has increased on the back of "the worsening European situation, prospects of slowing global growth and our own domestic macro worries", they say.

From as low as 14 in Q1, the VIX was as high as 28 last week, eventually dropping to the 21-23 area in response to the Chinese rate cut. CMBS spreads have widened in tandem with the VIX, with GG10 dupers hitting 275bp and 2007 AMs at 580bp.

Meanwhile, US CLO BWIC volume last week jumped to US$593m from US$125m the previous week, say Bank of America Merrill Lynch CLO strategists. They note: "The market remains bifurcated, with greater tiering based on managers, deals and duration. Top-tier managers and shorter-duration paper continue to trade well, along with equity. This week also saw a large block of equity that traded well in the mid-teen context." Spreads generally held in, although there was little mezzanine activity.

At the same time, Barclays Capital securitised products analysts report that the US ABS market experienced another busy week. "The non-mortgage ABS secondary market was active, with good two-way flows dominating trading for most of the week. In general, the tone was strong, despite the exceptional noise and volatility emanating from Europe," they note.

Finally, the European ABS market appears to be waiting for Global ABS in Brussels this week before taking firm views, say Deutsche Bank ABS analysts. They report low BWIC volume of just €270m and suggest that short-dated and front-pay prime paper continue to see robust demand in the secondary market, with spreads mostly unchanged.
 

Deal news
• Moody's has published updated assumptions and methodology used in its MILAN RMBS collateral analysis model, following its RFC on the proposals (SCI 9 December 2011). The ratings of 27 EMEA RMBS transactions are negatively affected as a result.
• Moody's has updated its approach to analysing set-off risk in relation to Italian structured finance transactions and covered bond programmes. Five deals have been placed on review as a result.
• Fitch has reviewed over 10,000 classes in 751 US Alt-A RMBS transactions. The agency is also set to release a revised mortgage loss model for the Alt-A sector within the next two months.
• Moody's has downgraded to Caa2 the ratings of the most senior securities in nine Greek structured finance transactions and to Caa3 the ratings of subordinated securities in six transactions. Moody's also placed all the Caa2 and Caa3 ratings of Greek SF securities under review for further downgrade.

Regulatory update
• The US Federal Reserve has invited comment on three proposed rules intended to help ensure banks maintain strong capital positions. Taken together, the proposals would establish an integrated regulatory capital framework, implementing the Basel 3 reforms and changes required by the Dodd-Frank Act.
• The Consumer Financial Protection Bureau (CFPB) is seeking public comment on new data and information that it has received as part of the Dodd-Frank Act's requirement for lenders to assess consumers' ability to repay mortgage loans before extending them credit.
• IOSCO has published a consultation report entitled 'Global Developments in Securitization Regulation', which seeks public comment on policy issues arising from the work of its Task Force on Unregulated Markets and Products (TFUMP). The paper is in response to a request from the Financial Stability Board as part of its work to strengthen oversight and regulation of the shadow banking system.
• New York state judge Justice Barbara Kapnick has granted a motion by the Attorneys General of New York and Delaware to intervene in the litigation relating to Bank of America Merrill Lynch's proposed US$8.5bn RMBS settlement with the Bank of New York Mellon (SCI 30 August 2011). The New York and Delaware AGs moved to intervene on the grounds that the settlement was an unfair and inadequate resolution of investors' claims against Bank of America.
• The Systemic Risk Council will convene this month to monitor and encourage reform of US capital markets, focusing on systemic risk. The council intends to issue a call to action on 18 June detailing its objectives and future plans.

Deals added to the SCI database last week:
Ally Auto Receivables Trust 2012-3
ARI Fleet Lease Trust 2012-A
Candide Financing 2012-1
Chase Issuance Trust 2012-A2
Cronos Containers Program I series 2012-1
ECP CLO 2012-4
FCT Autonoria Compartment Autonoria 2012-1
FREMF 2012-K708
GE Equipment Small Ticket series 2012-1
Holmes Master Issuer 2012-3
JPMCC 2012-WLDN
Kion CLO Finance No. 1
Kion Mortgage Finance No. 3
Long Point Re III
Malatesta Finance series 2012
REDS EHP Trust series 2012-1E
Residential Re 2012
S2 Hospitality series 2012-LV1
SLM Private Education Loan Trust 2012-C
Storm 2012-III

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; BACM 2007-2; CD 2005-CD1; CD 2007-CD5; CGCMT 2007-C6; CSMC 2007-C3; DBUBS 2011-C2; DECO 2007-C4; DECO 2007-E5 & WINDM IX; ECLIP 2007-1; EPRE 1; ESTON 2006-1; EURO 24; EURO 29; FTST 06-4TS & LBUBS 07-C1; GCCFC 2007-GG11; GCCFC 2007-GG9; GMACC 03-C1 & MSC 03-IQ4; GMACC 2003-C3; GMACC 2004-C2; GSMS 06-GG6 & GCCFC 05-GG5; GSMS 2003-C1; GSMS 2007-GG10; JPMCC 2004-C1; JPMCC 2007-LD11; JPMCC 2007-LD12; JPMCC 2007-LDP12; JPMCC 2007-LDPX; LBCMT 2007-C3; LBFRC 2007-LLFA; LBUBS 2003-C1 & GSMS 2004-GG2; LBUBS 2006-1; LBUBS 2006-C3; MALLF 1; MLCFC 2006-4; MLCFC 2007-9; MSC 2006-HQ8; MSDWC 03-HQ2 & 03-TOP9; NEMO 2006-2; PROMI 1; REC 6; TAURS 2006-1; THEAT 07-1 & 07-2; TITN 2006-2; TITN 2006-3; TITN 2007-CT1; TMAN 3; TMAN 4; TMAN 6; TMAN 7; UBSCM 2007-FL1; WBCMT 2006-C27; WBCMT 2007-C30; WBCMT 2007-C31; WBCMT 2007-C32.

Top stories to come in SCI:
REIT investment activity
CDS market infrastructure developments
Leadenhall Capital Partners profile
Corporate trust survey