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

Pipeline
One new deal remained in the pipeline at the end of last week. It is an auto ABS: the ZAR891m Torque Securitisation.

Pricings
Three auto ABS also priced last week, as well as a handful of student loan ABS and others. The auto deals were €723.6m FCT Auto ABS Compartiment 2012-1, US$689.7m AESOP Funding II 2012-3 and US$612.6m GE Dealer Floorplan Master Note Trust 2012-3.

The largest number of prints was in the student loan sector. These included: US$526m Educational Funding of the South Series 2012-1; US$531m Iowa Student Loan Liquidity Corporation; US$424.3m Nelnet Student Loan Trust 2012-3; US$463.2m North Texas Higher Education Authority Series 2012-1; and US$640m SLM Private Education Loan Trust 2012-D.

The issuance was rounded off by an ARS 110m consumer loan deal (Supervielle Personales 6), US$250m container ABS (Global SC Finance II series 2012-1), £650m RMBS (Silk Road No.3), US$610m wireless tower ABS (SBA Tower Trust Secured Tower Revenue Securities Series 2012-1) and a pair of CMBS - US$1.2bn FREMF 2012-K019 and US$625m GSMS 2012-SHOP.

Markets
A slight slowdown in new issue volume and some near-term pressure in other securitised products helped to move spreads in all US ABS sectors tighter, according to Bank of America Merrill Lynch securitised products strategists. Primary issuance was down from US$8.6bn to US$2.7bn on the week.

Private student loan ABS moved 10bp-20bp tighter for senior classes, with subprime auto loan ABS up to as much as 10bp tighter. "The private student loan sector benefited from a better-than-expected report released by the CFPB and the Department of Education. For the first time in weeks, the private student loan ABS market outperformed CLOs and CMBS A4 [tranches]," they note.

US CMBS spreads joined in the broader rally. Barclays Capital securitised products analysts believe the fact that dealers continue to add to their CMBX AJ short positions could be a sign of higher dealer cash inventory in the credit space.

They add: "Generic 07 LCF spreads were marginally tighter from last Thursday's close, coming in 2bp to finish the week at 191bp over swaps. There was some tightening in the AM part of the curve as well, as 07 AMs were trading at 425bp over swaps, about 5bp lower than [the previous] week."

It was a week of strong BWIC activity for US non-agency RMBS, as SCI reported on Wednesday and Friday (27 and 29 July). Prime hybrid, Alt-A hybrid and option ARM bonds were all particularly well represented in bid-lists during the week. Tuesday saw particularly large BWIC volumes, with US$2.72bn of names out for bid, including a glut of Countrywide senior bonds.

European CMBS has been trading up as the market continues "a near relentless search for yield", according to Deutsche Bank asset-backed analysts. The recent publication of CMBS 2.0 best practices (SCI 24 July) should provide a useful framework for future CMBS deals and the analysts believe they will encourage a return of confidence and further market development.

Finally, a lack of activity in European ABS is not down to a lack of potential buyers, as SCI reported on Thursday (SCI 26 July). One trader says: "There is a lot of buying interest in the market right now, but it is not translating into a lot of buying activity. There just are not a lot of bonds around, so things have been staying pretty quiet." The gulf between buyers' and sellers' expectations is widening, although the market is expected to snap out of its quiet spell shortly. 

Deal news
• Maguire Properties has released its second-quarter results, shedding light on a number of CMBS properties sponsored by the company. Among the results' highlights is Maguire's confirmation that it has agreed with the special servicer to keep title of Two California Plaza, which secures a US$470m loan securitised in GSMS 2007-GG10, until a buyer for the property is found or a foreclosure is completed.
• Credit Suisse has emerged as the successful bidder on six CDO tranches offered in recent Maiden Lane III sales. The deals are: Broderick CDO 1 (for a face amount of US$724.58m), Mercury CDO II (US$620.86m), Adirondack 2005-1 (US$689.19m), Adirondack 2005-2 (US$949.3m), Laguna ABS CDO (US$679.57m) and Toro ABS CDO I (US$699.71m).
• Western Asset Management Company has begun winding down its legacy securities PPIF, pursuant to an agreement with the US Treasury. The firm opted to end the fund's investment period on 15 July, rather than extend it to 5 November.
• Fortress Investment Group is seeking to liquidate the remaining assets in the Eurocastle CDO II and III transactions, prior to redeeming the notes on 20 September. For it to proceed, written resolutions must be executed by the holders of at least 75% in principal amount of each class of notes.

Regulatory update
• The Basel Committee has issued interim rules for the capitalisation of bank exposures to central counterparties (CCPs), effective from January. It has also revised paragraph 75 of the Basel 3 rules as regards its application to derivatives.
• CRE Finance Council Europe has published a consultative document outlining principles for new CMBS issuance. Entitled 'Market Principles for Issuing European CMBS 2.0', the document aims to help bring confidence back to the European real estate capital markets and stimulate the further development of European CMBS.
• Moody's has welcomed the Australian Prudential Regulation Authority's (APRA) requirement for banks to deduct from their common equity Tier 1 holdings subordinated tranches of securitisations originated by a third party. The rating agency suggests that such a conservative measure will support bank stability by ensuring there is adequate capital to cover first-loss positions.
• The Walnut Place investor group has withdrawn as intervenor in the Article 77 proceedings to ratify the Countrywide RMBS settlement. The group had previously sought to extend the scope of the discovery by reviewing thousands of loan files, while BNY Mellon - as trustee - had argued that this was not required.
• ICE Clear Credit has launched real-time, trade-date clearing of the Markit CDX.EM index for buy-side and dealer-to-dealer trades. The launch of CDX.EM series 16 and 17 augments the list of over 40 cleared North American indexes available for client clearing at the CCP.

Deals added to the SCI database last week:
Ally Master Owner Trust Series 2012-3; Ally Master Owner Trust Series 2012-4; American Credit Acceptance Receivables Trust 2012-2; Arran Cards Funding series 2012-2; Atlantes Finance No. 5; BAA Funding A22; Belgian Lion RMBS II; Chase Issuance Trust 2012-4; CIFC Funding 2012-1; CSMC Trust 2012-CIM2; Dryden Senior Loan Fund XXIII; DT Auto Owner Trust 2012-2; FCT Auto ABS Compartiment 2012-1; Ford Credit Auto Owner Trust 2012-C; Fortress Credit Funding V; Fortress Credit Funding VI; FREMF 2012-K710; FTA PYMES Santander 3; Golden Credit Card Trust Series 2012-3 ; Golden Credit Card Trust Series 2012-4 ; Gramercy Park CLO; Harley-Davidson Motorcycle Trust 2012-1; Honda Auto Receivables 2012-3 Owner Trust ; Hyundai Auto Receivables Trust 2012-B; IBL CQS series 2012-2; Icaro Finance ; JGWPT XXVI series 2012-2; JPMCC 2012-HSBC; Lanark Master Issuer series 2012-2; Liberty Series 2012-1 Trust; Madison Park Funding IX; Mortgage Agent Uralsib 01; MSBAM 2012-C5; Neuberger Berman CLO XII; OZLM Funding; Red & Black Auto France 2012; Sequoia Mortgage Trust 2012-3; Sierra Timeshare 2012-2 Receivables Funding ; SLM Student Loan Trust 2012-5; SME Grecale; Sunrise series 2012; TAL Finance I series 2012-A; UBS-BAMLL 2012-WRM; UBS-Barclays 2012-C2; World Financial Network Credit Card Master Note Trust series 2012-B; World Financial Network Credit Card Master Note Trust series 2012-C; and World Omni Auto Receivables Trust 2012-A.

Top stories to come in SCI:
July EMEA CMBS maturity outcomes
CLO documentation
Securitisation of counterparty credit risk