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

Pipeline
A good number of deals joined the pipeline last week with two ABS, one RMBS and one CMBS remaining on Friday. The ABS comprised a music royalties deal (US$300m SESAC series 2012-1) and a student loan transaction (US$402m North Carolina State Education Assistance Authority Series 2012-1). The RMBS was A$300m FirstMac Mortgage Funding Trust Series 1-2012, while the US$336.25m WFRR 2012-IO accounted for the CMBS.

Pricings
Over three times as many deals went on to price last week. Six ABS deals dominated the prints, but one ILS, three RMBS, two CMBS and two CLOs were also issued.

The ABS comprised an auto deal (US$1.4bn Nissan Auto Receivables 2012-B), onestudent loan transactions (US$115.2m Brazos Education Loan Authority Series 2012-1), two credit card ABS (US$650m Discover Card Execution Note Trust 2012-5 and US$1bn Discover Card Execution Note Trust 2012-6), a consumer loans deal (A$242.5m Flexi ABS Trust 2012-1) and a tax receipts deal (US$66.75m New York City Tax Lien 2012-A).

The ILS was US$275m Vita Capital V Series 2012-1, while the RMBS consisted of A$750m Medallion Trust Series 2012-1 and US$970m Springleaf Mortgage Loan Trust 2012-2. The CMBS prints comprised US$340m MSC 2012-STAR and C$230m Institutional Mortgage Capital 2012-2, while issuance was rounded out by the two CLOs - US$188.3m Muir Woods CLO and US$417.75m Symphony CLO X.

Markets
US ABS spreads were flat to slightly tighter over the week, according to securitised products strategists at Bank of America Merrill Lynch. Private student loans tightened a full 10bp, marking the second consecutive week in which the private student loan ABS market outperformed CLOs and CMBS A4 tranches. The incremental spread offered over CLOs is now 25bp and over CMBS A4s is 75bp.

Spreads in US CMBS were marginally tighter last week. Deutsche Bank CMBS analysts note that this was driven by disappointment at Mario Draghi's latest comments and the FOMC statement. "Bid list volumes in the US remained around US$1.5bn this week and LCFs comprised half the volume and several large lists increased agency CMBS volume. European activity slowed dramatically after last week's rally, volumes were minimal and prices were largely unchanged," they add.

In US RMBS, agency mortgages tightened in the days leading up to the FOMC meeting and held their gains after it, say Barclays Capital RMBS analysts. "FNCL 3s and 3.5s outperformed Treasury hedges by hedged by 1-2 ticks and swaps by 2-4 ticks," they note.

Non-agency prices rallied in both the cash and synthetic spaces, with cash prices up a point and the ABX indices up by between a point and a point and a half.

Deal news
• Transaction notices for the Titan Europe 2006-1, 2006-2, 2006-3 and 2006-5 CMBS shed some light on how parties to the transactions expect the cash management agreements to operate going forward (SCI 25 May). The cash manager, servicer, special servicer, liquidity facility provider and note trustee for all four deals entered into an MOU, whereby they agreed on the interpretation of certain "ambiguous" provisions of the liquidity facility, cash management and servicing agreements.
• Moody's has downgraded to A2 the ratings of 257 securities across 169 Italian ABS and RMBS. It has also placed on review for downgrade the ratings of 83 Italian ABS and RMBS securities and confirmed the ratings of four Italian RMBS securities.
• The volume of US CMBS earmarked for auction via note sales in August appears to have dropped compared with previous months. About US$236m of CMBS conduit loans are out for bid this month, compared with US$815m in July.
• Fitch has updated its criteria assumptions for assessing credit risk for Irish residential mortgage loan pools. The updated criteria assumptions are expected to result in negative rating actions on a number of RMBS transactions, especially those that were rated prior to the onset of the credit crisis and have a relatively low level of credit protection.
• Moody's has placed on review for upgrade the ratings of 34 US RMBS tranches guaranteed by Syncora Guarantee, impacting approximately US$1.4bn of securities. The action is due to the review for possible upgrade of the monoline's Ca insurer financial strength rating, following its recent settlement with Countrywide.
• The results of the final Maiden Lane III CDO auction for July have been announced. The New York Fed unloaded assets from across nine transactions on 31 July, bringing the total for the month to 20.

Regulatory update
• The FHFA has outlined various initiatives currently being pursued by the agency, two of which likely have near-term implications for MBS markets. First, gradual adjustments in the guarantee fee structure will be introduced, with further details to be released towards the end of this month. The second initiative involves clarifying rep and warranty guidelines.
• Freddie Mac has announced plans to amend its Relief Refinance Mortgage Program, which includes HARP 2.0, by aligning requirements for mortgages LTV ratios that are equal to or less than 80% with those for mortgages with LTV ratios greater than 80%. The alignment change is designed to eliminate many representation and warranty responsibilities on the original loans being refinanced, regardless of the borrower's LTV ratio.
• The Federal District Court in Kansas has denied the majority of the defendants' motions to dismiss in connection with the NCUA's lawsuits over losses from MBS purchased by US Central Federal Credit Union. As liquidating agent for the failed US Central, the agency filed two lawsuits against RBS, Wachovia and nine other defendants that were involved in issuing 29 RMBS bonds purchased by the bank.
• The CPSS and IOSCO have published for public comment a consultative report on the recovery and resolution of financial market infrastructures (FMIs). It follows a report on principles for FMIs published in April, which called for FMIs to have effective strategies, rules and procedures to enable them to recover from financial stresses (SCI 16 April).

Deals added to the SCI database last week:
Avis Budget Rental Card Funding series 2012-3; FREMF 2012-K19; GE Dealer Floorplan Master Note Trust 2012-3; Global SC Finance II series 2012-1; Golden Bar (Securitisation) 2012-1; GSMS 2012-SHOP; Nelnet Student Loan Trust 2012-3; Silk Road Finance No. 3; SLM Private Education Loan Trust 2012-D; & WFRBS 2012-C8.

Deals added to the SCI CMBS Loan Events database last week:
CSFB 2001-CKN5; DECO 2005-C1; DECO 2007-C4; DECO 9-E3; ECLIP 2006-3; EMC 6; FHSL 2006-1; FLTST 2; JPMCC 2007-CIBC20; MSC 2006-IQ12; MSCI 2007-XLF; OPERA SCOT; RIVOL 2006-1; TITN 2005-CT1; TITN 2006-CT1; TITN 2007-3; TITN 2007-CT1; TMAN 3; TMAN 4; TMAN 7; WINDM VII; WINDM XI; & WTOW 2007-1.

Top stories to come in SCI:
CDS basis trade opportunities
July EMEA CMBS maturity outcomes
CLO documentation
Non-performing loan CMBS