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

Pipeline
Last week saw a great number of deals join the pipeline and price by Friday, but four transactions remained come the end of the week. These included a €1.08bn auto lease ABS (Auto ABS FCT Compartiment 2012-1), an ARS110m consumer loan deal (Supervielle Personales 6), a US$150m ILS (Embarcadero Re 2012-2) and one CMBS (US$625m GSMS 2012-SHOP).

Pricings
It was a very busy week for pricings, with a particularly large volume of ABS deals printing, alongside RMBS, CMBS and CLO transactions.

Auto-related deals dominated in ABS, with US$731m Ally Master Owner Trust Series 2012-3, US$175m Ally Master Owner Trust Series 2012-4, US$211m American Credit Acceptance Receivables Trust 2012-2, US$247m DT Auto Owner Trust 2012-2, US$1.61bn Ford Credit Auto Owner Trust 2012-C, US$675m Harley-Davidson Motorcycle Trust 2012-1 and US$1.5bn Honda Auto Receivables 2012-3 all pricing. Three credit card deals (US$1.5bn Chase Issuance Trust 2012-A4, US$650m Golden Credit Card Trust Series 2012-3 and US$500m Golden Credit Card Trust Series 2012-4) and two consumer loan deals (€5.075bn Sunrise 2012 and €227m Atlantes Finance No. 5) were also issued.

The remaining ABS prints were: C$515m CIT Canada Equipment Receivables ULC Series 2012-1 (equipment), US$158m JGWPT XXVI (structured settlements), US$300m Sierra Timeshare 2012-2 (timeshare), US$1.25bn SLM Student Loan Trust 2012-5 (student loans) and US$76m TAL Finance I 2012-A (container ABS). The two RMBS joining those ABS deals were A$333.7m Buloke Funding Trust No. 1 Repo Series No. 1 and US$1.325bn Lanark series 2012-1, while the CMBS deals consisted of US$1.17bn UBS-Barclays Commercial Mortgage Trust 2012-C2 and US$1.05bn WFRBS 2012-C8.

Finally, the CLOs that printed last week included: US$409m Fortress Credit Funding V, US$174m Fortress Credit Funding VI, €1.884bn FTA PYMES Santander 3, US$313m JFIN 2012 and US$400m Neuberger Berman CLO XII.

Markets
Activity in the US CLO market picked up this week as investors continued their hunt for yield, according to Bank of America Merrill Lynch securitised products strategists. BWIC volumes topped US$590m, making it one of the busiest weeks in the past three months.

"There was a large triple-A list that came to market on Wednesday that was met by strong demand, particularly due to the larger block sizes. More recently, the market has seen an increase in end customer bids lending further support to the strength of the latest rally," they say.

It was also a busy week for US CMBS, as SCI reported on Tuesday. The market continues to see strong primary issuance, although the secondary market has been quiet.

"Spreads in the secondary market have been holding in, even when equity widened. I think people are coming to the realisation that basically rates are going to stay low and there are not too many places you can get yield, so as that sinks in we should see more stabilisation," says a trader.

Weekly BWIC supply was the highest since May for non-agency US RMBS as well, securitised products analysts at Citi note. "The market has absorbed the increased supply well, with a significant fraction of the bonds trading and cash prices increasing across all sectors. Synthetics began to see some weakness on Tuesday and Wednesday as dealers looked to hedge the increased supply."

Elsewhere in US ABS, Barclays Capital securitised products analysts report that primary issuance reached US$8bn, while the secondary market was also busy. "After a slow start to the week, secondary market activity picked up rapidly in the past few days. Investors continue to search for yield, resulting in strong bids for many off-the-run asset classes."

Activity in European CMBS was more muted, according to Deutsche Bank CMBS analysts. They see continued investor interest in participating in loan restructure plays and note that both the Orange and Peach loans backing TMAN 6 failed to qualify for extensions, increasing the likelihood of enforcement and therefore price appreciation in the senior bonds.

European RMBS has also been searching for a spark, as SCI reported on Thursday. There is a steady supply of primary issuance, but the recent Granite tender has removed a lot of paper from the secondary market, slowing activity right down. 

Deal news
• Fannie Mae issued US$6.7bn of multifamily MBS in 2Q12 backed by new multifamily loans, slightly less than the first quarter total of US$7.1bn. It also resecuritised US$1.2bn of DUS MBS through its Fannie Mae Guaranteed Multifamily Structures (Fannie Mae GeMS) programme.
• Credit card ABS could be negatively affected by a recent agreement between credit card companies and merchants that accept card payments. The agreement allows merchants to introduce surcharges for paying by credit card. Fitch believes the likely increased costs for consumers could negatively affect credit card ABS pools in the future.
• The occurrence of mortgage delinquencies in Japan during the global financial crisis was more closely correlated with employment status than with high LTV ratios. Japanese lending criteria places more emphasis on occupation and income than on LTV ratios.
• The share of HARP refis as a percentage of total refinancings reached an all-time high of 20% in May. The average from January to April had been 16% and for the whole of 2011 had been 13%.
• Fitch has updated its US tobacco settlement ABS criteria and placed 150 of the 230 tobacco tranches it rates onto rating watch negative. The agency expects to resolve these watches within a month, with most downgrades expected to be by one or two notches.

Regulatory update
• Mortgage Resolution Partners' proposal to use eminent domain to acquire mortgage loans would be unconstitutional, says SIFMA. The association has released a legal memo drafted by O'Melveny & Myers, which says the proposal would not survive a legal challenge.
• The US SEC has charged Mizuho Securities USA and three former employees with misleading CDO investors. The commission says dummy assets were used to inflate the credit ratings of a deal backed by subprime bonds.
• MERSCORP has reached a settlement with Delaware Attorney General Joseph Biden. MERSCORP has agreed not to file as plaintiff any mortgage foreclosure actions in the state and agreed to quality control and transparency requirements. Under the settlement, MERSCORP will more closely monitor the integrity of its signing officer process to avoid a repeat of robo-signing and will conduct semi-annual audits, which will be provided to Delaware's Department of Justice consumer protection unit.
• Syncora Guarantee has reached a US$375m settlement with Countrywide Financial and its parent Bank of America. The settlement ends an RMBS suit that Syncora and MBIA brought in 2009, in which Syncora alleged Countrywide had misrepresented the quality of loans securitised in order to induce the insurers to insure the securitisation.
• ICE Clear Credit has been designated as a systemically important financial market utility by the Financial Stability Oversight Council. The announcement follows the US SEC's adoption of rules for systemically important clearing houses last month (SCI 29 June).

Top stories to come in SCI:
REO-to-rent securitisation potential
ILS market update
Structured credit recruitment trends