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

Pipeline
Several deals came and went last week for the pipeline. Come Friday evening, the only two remaining new arrivals were a US$1.24bn CMBS (JPMCC 2012-CIBX) and a US$219.9m FFELP student loans ABS (Scholar Funding Trust 2012-A).

Pricings
It was the busiest week in a long time for pricings. A total of 13 ABS, three RMBS, two CMBS and two CLOs printed over the course of last week.

The ABS included a US$225m container deal (CLI Funding V series 2012-1) and €999m lease ABS (Green FCT Lease 2012-1). They were joined by a pair of equipment ABS transactions (US$951.9bn CNH Equipment Trust 2012-B and US$705.4m MMAF Equipment Finance 2012-A).

Additionally, two FFELP student loan ABS deals (US$538.17m Academic Loan Funding Trust Series 2012-1 and US$679.2m EFS Volunteer No.3 2012-1) and three credit card transactions (US$1.5bn Chase Issuance Trust 2012-A3, US$400.49m GE Capital Credit Card Master Note Trust series 2012-4 and US$675.71m GE Capital Credit Card Master Note Trust series 2012-5) printed. The other ABS deals were all auto-related, comprising two auto loan ABS (€936m Cars Alliance Warehouse Italy and US$141.5m CPS Auto Receivables Trust 2012-B) and two auto lease ABS (US$801.31m Hyundai Auto Lease Securitization Trust 2012-A and US$1.25bn Volkswagen Auto Lease Trust 2012-A).

The RMBS prints consisted of €1.4bn BBVA RMBS 11 FTA, US$5bn-equivalent Gracechurch Mortgage Financing series 2012-1 and €13.641bn Stichting Orange Lion VII. The CMBS were €163m Credit Suisse European Mortgage Capital series 2012-1 and US$1.24bn FREMF 2012-K709.

The issuance was rounded off by a pair of CLOs - US$370.83m Apidos CLO IX and US$311.55m Slater Mill Loan Fund 2012.

Markets
Activity in the US CLO market was fairly slow last week, with participants focusing on the New York Fed's Altius CDO and Davis Square/West Coast CDO sales on Wednesday and Friday, report securitised product analysts at Bank of America Merrill Lynch. BWIC volume roughly halved from the week before, decreasing to US$282m through Thursday.

Investors are still favouring triple-A, shorter-duration paper. Secondary spreads for double-A tranches widened by 5bp, while triple-B and double-B tranches each widened by 25bp. Triple-A paper remained unchanged at 170bp.

Meanwhile, the US RMBS market is still being driven by European events, note Barclays Capital analysts. They report that lower coupon agency MBS were roughly flat on the week, with slower supply after the previous week's spike.

Real money activity has picked up and purchases by the US Fed remain steady. Higher coupon performance was positive, despite rolls ending the June-July cycle "very poorly", the analysts note.

Finally, US CMBS investors remain wary, note Citi securitised products analysts. They report that sentiment is still jittery, with "the volatility, macro turmoil and regulatory uncertainty" continuing to dominate. Considering balance sheet lenders' underwriting criteria, the analysts believe that maturing CMBS loans will have to rely on conduits to secure financing at balloon maturity. 

Deal news
• The New York Fed says that its loans to the Maiden Lane and Maiden Lane III vehicles have been fully repaid with interest. The original amounts of these loans were US$28.82bn and US$24.3bn respectively. Maiden Lane II repaid all of its obligations earlier this year (SCI 29 February).
• Further details about the revival - following its suspension in 2008 - of China's Credit Asset Securitisation Pilot Programme have emerged (SCI 4 April). The size of the programme is understood to be RMB50bn.
• The US$172m Larken Portfolio loan, securitised in LBCMT 2007-C3, has been modified. The loan transitioned to special servicing in May 2009, after NCF DSCRs slipped below 1x and occupancy declined to 86%.
• Morningstar has added the US$420m 1301 Avenue of the Americas loan - securitised in LBUBS 2006-C1 - to its watchlist, following the bankruptcy filing of the property's second largest tenant, Dewey & LeBoeuf. The law firm represents roughly 23% of the gross leasable area.
• Residential Capital has moved for permission to settle put-back claims held by approximately 392 RMBS trusts. Under the proposed settlement, the securitisation trusts would drop potential breach of representation and warranty claims - which are worth an estimated US$221bn - and in return would receive a US$8.7bn bankruptcy claim against debtors Residential Funding Co and GMAC Mortgage.
• US District Court Judge Robert Sweet last week ruled in the ongoing Ocala Funding litigation (SCI passim) that ABCP investors can sue over claims arising in documents, even though they were not parties to those documents, when their agent refuses to sue or allow the investors to sue. The decision is seen as credit positive as it holds that investors can step into a recalcitrant agent's shoes to enforce their rights.
• S&P has taken various credit rating actions on the Greek RMBS and ABS notes it rates. All ratings are now capped at single-B minus as a result of the agency's updated assessment of Greece's country risk and the implications of the country leaving the eurozone.
• Fitch has downgraded 234 tranches related to 156 Spanish structured finance (SF) transactions, following the downgrade of Spain's long-term foreign currency issuer default rating to triple-B from single-A. The affected tranches comprise 150 RMBS, 58 structured credit, 23 ABS and three CMBS classes from across 101 RMBS, 40 structured credit, 14 ABS and one CMBS deals.
• Last month's Maiden Lane III activity appears to have had "little to no" impact on spreads, according to Interactive Data, supporting the New York Fed's objective of not being an overtly disruptive market force. Indeed, the auctions seem to have been comfortably absorbed by the market.
• ZAO Raiffeisenbank (RBRU) has established a new diversified payment rights (DPR) securitisation programme in Russia. The first issuance under the programme - dubbed ROOF Russia DPR Finance Company - comprise US$125m series 2012-A and series 2012-B notes, which have been assigned single-A minus ratings by Fitch.
• A €7m Meyer & John senior bond, purchased by PULS CDO 2007‐1, has been declared a defaulted obligation in accordance with the transaction's prospectus. The move follows the company's inability to meet its April 2012 interest payment and the deferral of its other financial obligations.
• Following a hearing held on 4 June, the Circuit Court for Dane County, Wisconsin approved the two motions submitted by the Wisconsin Commissioner of Insurance, acting as the rehabilitator of the Ambac Assurance segregated account (SCI 18 May).

Regulatory update
• AFME and the European Financial Services Round Table have launched the Prime Collateralised Securities (PCS) initiative. The non-profit project aims to develop a label for high quality securitisations that meet best practice for quality, transparency, simplicity and standardisation.
• The US Federal Reserve's final market risk capital rule (SCI 8 June) has generally been welcomed for reflecting industry feedback, albeit some concerns remain. Crucially, the final rule modifies the simplified supervisory formula approach (SSFA) by replacing the flexible floor with an adjustment to risk weightings based on delinquencies of the underlying assets.
• The Bank of England is to commence operations under the extended collateral term repo (ECTR) facility, which was introduced in December 2011. Activation of the facility is intended to mitigate prospective risks to financial stability arising from a market-wide shortage of sterling liquidity by lending to the banking system against a range of collateral, including securitisations and covered bonds.
• The Basel Committee has published its report to the G20 on the implementation of its banking standards across member countries, ahead of the G20 Leaders Summit on 18-19 June. "With this report, the Basel Committee is following up on the commitments made by the G20 Leaders in Cannes to have Basel 3 implemented fully and consistently, and within the agreed timetable," comments Stefan Ingves, chairman of the Committee and governor of the Sveriges Riksbank.
• The US SEC has issued a policy statement describing the order in which it expects Dodd-Frank rules to take effect. It is requesting public comment on its plan to phase in final rules regulating security-based swaps and security-based swap market participants.

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