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

Pipeline
Three transactions remained in the pipeline at the end of last week. They comprised a student loan ABS (US$21.19m Vermont Student Assistance Corporation series 2012A), an Australian non-conforming RMBS (A$300m Liberty Series 2012-1 Trust) and a catastrophe bond (Queen Street VI Re).

Pricings
Last week also saw prints from a variety of asset classes. RMBS was the most represented, with the €857m Dutch Mortgage Portfolio Loans X, £950m Gosforth Funding 2012-1, €1.2bn Marche Mutui 5, €153.8m Dolphin Master Issuer 2012-1 and US$293.59m Sequoia Mortgage Trust 2012-3 all pricing.

The CLO market was the next best represented, with the US$510.7m OZLM Funding, US$523m Madison Park Funding IX, US$356.9m Dryden XXIII Senior Loan Fund and US$464m CIFC Funding 2012-1 all printing. In addition, three auto-related transactions (US$1.4bn Santander Drive Auto Receivables Trust 2012-4, US$109m Flagship Credit Auto Trust 2012-1 and €800m Bavarian Sky 3), one consumer loan ABS (€794m FCT Ginkgo Sales Finance 2012-1) and one CMBS (US$1.22bn UBS-Barclays 2012-C2) were issued.

Markets
For the most part the global structured finance markets last week saw secondary spreads stay steady on light volumes as traders waited on developments in the EU.
One exception was the US CMBS market, which, according to analysts at Bank of America Merrill Lynch, saw two-way flows outside of BWIC activity - particularly in the AM and AJ space - that were noticeably higher than they have been in the last few weeks as yield buyers returned to the market. Increased activity and an improved market tone helped spreads on 2006-2007 vintage last cashflow triple-As and AMs to tighten by approximately 10bp and 35bp respectively, they say. In addition, renewed interest and liquidity in the AJ space pushed prices higher.
Elsewhere, in ABS markets either side of the Atlantic spreads were mostly unchanged. European ABS analysts at Deutsche Bank note: "For now, secondary ABS markets continue to hold steady, with Granite triple-Bs being quoted at 69/69.75, higher post last week's tender announcement."
The US CLO market also saw secondary spreads unchanged on the week. There, BAML CLO analysts say: "Investors continue to show a preference for triple-A shorter-duration paper with quality management, which offers attractive spread relative to safe-haven government bonds. We believe that CLOs will continue to perform well amidst broader economic uncertainty heading into the second half of the year."

Deal news
• Pearsanta, the junior lender in REC 6, has begun High Court proceedings to confirm the appointment of Solutus Advisors as special servicer on the deal. In what is believed to be a first for the European CMBS market, the judge will be asked to decide between the legal enforcement of a contract and fiduciary duty towards the outstanding noteholders.
• Picton Property Income has refinanced its ING (UK) Listed Real Estate Issuer CMBS via £209m debt facilities provided by Aviva and Canada Life.
• The New York Fed last week sold the Davis Square Funding I and VI, Jupiter High-Grade CDO I, II and III, Kleros Preferred Funding I and II, Lakeside CDO II, Monroe Harbor CDO 2005-1, Sheridan ABS CDO and Streeterville ABS CDO assets from the Maiden Lane III vehicle.
• The process to approve the ResCap stalking-horse bidder suggests that it will be a fairly competitive final auction. Berkshire Hathaway and Fortress Investment Group submitted multiple bids during the process, with Fortress finally approved after it raised its original offer and cut its break-up fee. Berkshire successfully replaced Ally's stalking horse bid for the loan portfolio, however.
• The likelihood of the Pelican 2 and 3 transactions being called has jumped, following Caixa Economica Montepio Geral's recent tender offer. The bank offered to purchase up to €300m across 10 Portuguese RMBS bonds and one bank capital security via an unmodified Dutch auction.
• Coast Capital Asset Management is proposing to transfer the collateral management agreement for Coast Investment Grade 2002-1 to Crescent Capital Group.
• The expected servicing transfer date for 160 US RMBS from Aurora Loan Services to Nationstar Mortgage is 1 July. Moody's confirms that the move won't result in a reduction or withdrawal of the current ratings on the affected transactions.
• Almost €2.5bn of outstanding European CMBS debt - across 32 loans - falls due in July, the largest monthly volume to date in 2012. Thirteen loans extended over the last year have inflated this total by €1.5bn.
• Moody's has downgraded a number of structured finance notes directly exposed to the declining credit quality of certain US and European firms with global capital market operations that the agency downgraded on 21 June. At the same time, the ratings on approximately US$37bn of ABCP have been impacted.
• S&P has placed on credit watch negative its credit ratings on 30 tranches in 30 funded synthetic CDO transactions. The actions are in connection with the agency's recently published counterparty criteria.

Regulatory update
• The ECB is set to reduce the rating threshold and amend the eligibility requirements for certain ABS, thereby broadening the scope of the measures to increase collateral availability that were introduced on 8 December 2011.
• Continued uncertainty relating to aspects of the Dodd-Frank Act appears to have caused many traditional RMBS issuers to delay their issuance plans. Of particular concern are the details surrounding the definition and creation of an exemption from the risk retention requirements for qualified residential mortgages. Some further clarity on the matter is hoped for in the third quarter of this year.
• ESMA has launched a consultation on its technical standards under EMIR. The measures are designed to reduce risks in the OTC derivatives market, improve transparency and ensure that sound and resilient central counterparties will be applied in practice.
• The US SEC has adopted rules that establish procedures for its review of certain clearing agency actions, in line with the Dodd-Frank Act. The rules detail how clearing agencies will provide information to the agency about security-based swaps that the clearing agencies plan to accept for clearing.

Deals added to the SCI database last week:
American Express Credit Account Master Trust series 2012-1
AmeriCredit Automobile Receivables Trust 2012-3
BAA Funding A21
Cabela's Credit Card Master Note Trust series 2012-II
ELIDE FCC Compartiment 2012-1
FCT Cars Alliance Auto Loans France 2012-1
FREMF 2012-K709
Marriott Vacation Club Owner Trust 2012-1
Navistar Financial 2012-A
Scholar Funding Trust 2012-A
Turquoise Credit Card Backed Securities (Series 2012-1)

Deals added to the SCI CMBS Loan Events database last week:
BACM 07-1 & JPMCC 07-LDPX; BACM 2000-1; BSCMS 2007-PW15; BSCMS 2007-PWR17; CD 2007-CD4; CGCMT 2007-C6; CSMC 2007-C1;CSMC 2007-C4; EMC VI; EPOP ARL 2; GCCFC 2007-GG11; GSMS 2005-GG4; ING (UK) Listed Real Estate Issuer; JPMCC 06-LDP8 & WBCMT 06-C28; JPMCC 2005-LDP2; JPMCC 2006-LDP9; JPMCC 2007-LD11; JPMCC 2007-LDP11;JPMCC 2007-LDP12; LBCMT 2007-C3; LBUBS 2007-C1; LBUBS 2007-C7; LBUBS 2008-C1; MLCFC 2007-6; MSC 2007-HQ13; MSC 2007-IQ13; MSC 2007-IQ16; OPERA UNI; PROMI 2; RBSCF 2010-MB1; REC 6; TITN 2007-CT1; & WINDM XII

Top stories to come in SCI:
Pricing and valuations survey
US CLO market update
TriMont Real Estate Advisors profile
Brevan Howard Credit Catalysts profile