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

Pipeline
Three RMBS deals remained in the pipeline at the end of last week - the $235m Tamweel Residential RMBS (Cayman) IV, $272m Sequoia Mortgage Trust 2012-3 and €848.3m Dutch Mortgage Portfolio Loans X. They were joined by two auto ABS - €800m Bavarian Sky Compartment 3 and €500m Red & Black Auto France 2012 - and one consumer loan ABS, €800m FCT Ginkgo Sales Finance 2012-1. Two CLOs - Madison Park Funding IX and CIFC Funding 2012-I - and one CMBS, $415m UBS-BAMLL Trust 2012-WRM, were also marketing.

Pricings
A trio each of auto ABS and credit card ABS priced last week. The auto transactions were: €852m Cars Alliance Auto Loans France 2012-1, $502m Navistar Financial 2012-A and $1.2bn AmeriCredit Automobile Receivables Trust 2012-3. The credit card deals were: $500m American Express Credit Account Master Trust series 2012-1, $857m-equivalent Turquoise Credit Card Backed Securities (Series 2012-1) and $425m Cabela's Credit Card Master Note Trust series 2012-II. The remaining prints comprised: $237.8m Marriott Vacation Club Owner Trust 2012-1, a timeshare deal; $219.9m Scholar Funding Trust 2012-A, a student loan ABS; and €1.19bn ELIDE FCC Compartiment 2012-1, an RMBS.

Markets
Despite the ups and downs in the broader markets, most structured finance secondary markets continued to be range-bound last week.
The US ABS market finished another solid week, with spreads firm to narrower, according to analysts at JPMorgan. "Bonds traded well and bid-lists saw strong demand," they say. "Of note, there was plenty of interest in FFELP, subprime auto subordinate and private credit student loan ABS."
Securitised product analysts at Bank of America Merrill Lynch report that US CLO volumes remained light as investors hold on to positions to retain their higher yield. They suggest that this is probably reflective of the start of summer and expect BWIC volumes to remain fairly muted in the coming weeks, especially as 4 July approaches.
At the same time, the US CMBS market got off to a slow start on Monday before picking up mid-week, according to CRE debt analysts at Deutsche Bank. "Activity picked up a bit from last week's conference-induced lull and the strong real money bid for good quality senior bonds remained. One of the more active names of late has been the EPOP ARL2 A," they note.
Meanwhile, as SCI reported on 21 June, the European CMBS market recovered last week from the softening seen in over the past month. "Activity has definitely picked up lately, especially in senior CMBS. The real money guys have been looking for paper and we have sold decent sized positions to them," reports one trader.
He goes on to suggest that there could be a link between CMBS market gains and RMBS activity, specifically the Granite and Aire Valley tenders (see below). "It is not entirely clear why they should be linked, but it may be that it is the same buyer base for Granite triple-Bs as senior CMBS, because the yields are not that different," he says. 

Deal news
• The New York Fed has scheduled two further Maiden Lane III auctions for this month: the first sale will take place on 25 June and the second on 28 June. They follow the successful sale of US$5.2bn of Maiden Lane III CDO assets on 15 June.
• Northern Rock Asset Management and Bradford & Bingley have announced tender offers for Granite, Whinstone 1 and 2 and Aire Valley subordinate notes. The two firms intend to purchase approximately £500m of notes via a modified Dutch auction by 3 July.
• Managers of rated US CLOs reduced their trading activity again in 1Q12, furthering a trend that began four quarters ago. Part of the declining activity can be attributed to CLOs exiting their reinvestment periods over the last 12 months, which has generally limited their managers' ability to reinvest.
• The US$90m Lembi portfolio, securitised in JPMCC 2007-LDP11, has been liquidated out of REO with full recovery. Both the associated US$25m B-note and US$17m mezzanine debt were held by Nomura.
• S&P reports that rating actions on banks and sovereigns were once again the major factors affecting its European structured finance ratings in 1Q12. Both downgrades and upgrades increased, with most downgrades affecting RMBS transactions.
• Fitch says that Asia-Pacific (APAC) structured finance (SF) tranches remain largely stable, with 85% of the tranches maintaining their ratings in 2011, unchanged from 2010. Downgrades outnumbered upgrades for the fourth year in a row and by an eight-to-one margin in 2011.

Regulatory update
• The European Commission earlier this month finalised its proposed bank recovery and resolution directive, reigniting concerns in the CDS market that forced write-downs may negate the application of the restructuring credit event to senior bank debt. However, it has emerged that ISDA is in the early stages of updating some sections of the credit derivative definitions, with the 'bail-in' mechanism forming part of that project.
• Evolution in the CDS industry is taking longer than many participants expected. Some blame the market's opacity, but the implementation of new rules is also being delayed by the complexity of clearing requirements.
• Different interpretations of simplified supervisory formula approach (SSFA) inputs under the Fed's market risk rule could result in significant variation in capital requirements. Recommendations have consequently been put forward on how SSFA inputs for CMBS should be calculated to optimise capital requirements.
• The European Parliament's Economic and Monetary Committee has voted in favour of draft legislation to regulate credit rating agencies and reduce reliance on their ratings. The legislation seeks to inject more responsibility, transparency and independence into credit rating activities, as well as help to enhance the quality of ratings issued in the EU.
• The OCC has adopted an interim final rule amending its lending limit rule to apply to certain credit exposures arising from derivative transactions and securities financing transactions.
• Thomas Butler has been appointed director of the SEC's new Office of Credit Ratings. The office was created by the Dodd-Frank Act and is responsible for overseeing the nine registered NRSROs.

Deals added to the SCI database last week:
A-Best 7; Academic Loan Funding Trust 2012-1; Ally Auto Receivables Trust 2012-A; ALM VI; Apidos CLO IX; AyT Celeris Hipotecario II ; BAA Funding A20; Babson CLO 2012-II; BBVA RMBS 11 ; Carlyle Global Market Strategies CLO 2012-2; CarMax Auto Owner Trust 2012-2; Cars Alliance Warehouse Italy; Chase Issuance Trust 2012-3; CLI Funding V series 2012-1; CNH Equipment Trust 2012-B; CPS Auto Receivables Trust 2012-B; Credit Suisse European Mortgage Capital series 2012-1 ; Discover Card Execution Note Trust 2012-3; Discover Card Execution Note Trust 2012-4; EFS Volunteer No. 3 series 2012-1; FCT Eurotruck Lease II; GE Capital Credit Card Master Note Trust series 2012-4; GE Capital Credit Card Master Note Trust series 2012-5; Gracechurch Card Programme Funding series 2012-4; Gracechurch Mortgage Financing series 2012-1; Green FCT Lease 2012-1; Hyundai Auto Lease Securitization Trust 2012-A; MMAF Equipment Finance 2012-A; Nelnet Student Loan Trust 2012-2; Phoenix Funding 5 (retained); Roof Russia DPR Finance Company series 2012; Series 2012-1 WST Trust; Slater Mill Loan Fund; SLM Student Loan Trust 2012-4; SMART Trust series 2012-2US; SNAAC Auto Receivables Trust 2012-1; Stichting Orange Lion VII RMBS ; Swiss Credit Card Issuance No. 1 (series 2012-1); Volkswagen Auto Lease Trust 2012-A; WFRBS 2012-C7; & World Omni Auto Lease Securitization Trust 2012-A.

Deals added to the SCI CMBS Loan Events database last week:
BACM 07-1 & 07-2; BACM 2006-3; BACM 2007-5; CGCMT 2006-C4; CGCMT 2007-C6; COMM 2006-FL12; CSMC 2007-C1; CSMC 2007-C2; CSMC 2007-TFL2; CSMC 2007-TFLA; DECO 2005-C1; ECLIP 2006-1; ECLIP 2007-1; ECLIP 2007-2; EPICP DRUM; EURO 21; EURO 24; GCCFC 05-GG3 & GSMS 04-GG2; GSMS 06-GG6 & GCCFC 05-GG5; GSMS 2007-GG10; JPMCC 2005-LDP5; JPMCC 2006-CB16; JPMCC 2007-CB18; JPMCC 2007-LDP11; LBCMT 2007-C3; LBUBS 2006-C3; LORDS 1; MALLF 1; MSC 2007-HQ13; MSC 2007-IQ16; OPERA UNI; REC 6; Several; TIAA 2007-C4; TITN 2007-2; TITN 2007-CT1; TMAN 7; WBCMT 07-C32 & 07-C33; WBCMT 2006-C27; WINDM X; WINDM XI; WINDM XIV; & WTOW 2007-1.

Top stories to come in SCI:
Pricing and valuations survey
TriMont Real Estate Advisors profile