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

Pipeline
A number of US transactions entered the pipeline last week, only to rapidly price. European deals remain thin on the ground.

Pricings
The week's pricings were dominated by CLOs and auto ABS. But two RMBS, a student loan deal and a CMBS printed as well.

Five CLOs hit the market last week: US$362m ACAS CLO 2012-1; US$359m Halcyon Loan Advisors Funding 2012-1; US$362m ING IM CLO 2012-2; US$400m Schackleton CLO; and US$160m TICC CLO 2012-1. The auto ABS prints comprised US$1.274bn Ally Auto Receivables Trust 2012-4, US$175m First Investors Auto Owner Trust 2012-2 and US$1.025bn Santander Drive Auto Receivables Trust 2012-5. In addition, the US$600m North Carolina State Education Assistance Authority Series 2012-1 student loan ABS priced.

The £482m Albion No. 1 and A$300m FirstMac Mortgage Funding Trust Series 1-2012 RMBS rounded out the issuance, along with the US$1.32bn COMM 2012-CCRE2 CMBS.

Markets
US CMBS secondary market activity stayed at the same level as for the last few weeks, report Deutsche Bank analysts. "Spreads ended the week tighter and significantly so for legacy AMs and AJs. The high point of the week was undoubtedly the COMM 2012-CCRE2 transaction, which reset pricing in the new issue market," they note.

Citi securitised products analysts note that US RMBS was quieter. Lower-coupon agency RMBS strongly outperformed treasuries, while dealers were able to place non-agencies with bond prices flat to higher for the week.

Meanwhile, US ABS investors are expected to shift their attention more firmly to the secondary market over the coming weeks, according to strategists at Barclays Capital. "The tone in the secondary market remained firm this week, as investors eagerly scooped up any offerings with a hint of yield. As the new issue market cools over the next few weeks, we expect investors to turn to secondary to source paper. However, given the historical slowdown in activity in late August, volumes are likely to be low," they say.

The US CLO market saw only US$3.6m of triple-As offered on BWICs last week - although about US$50m of mezzanine tranches were out for bid, as well as a lot of equity. Bank of America Merrill Lynch securitised products strategists report that secondary mezzanine spreads tightened by about 10bp for legacy double-As and by about 25bp for triple-Bs and double-Bs.

Finally, the European CLO market tightened quickly early in the month, as SCI reported on Wednesday (SCI 8 August). One trader says that even "average" deals are being covered "very, very tight".

Triple-B tranches are around 1150-1400, which the trader notes is as tight as they have been for almost a year. A bumper BWIC on Thursday saw several names circulated, with SCI's PriceABS data showing strongly elevated supply (SCI 10 August). 

Deal news
• Shanghai Pudong Road & Bridge Construction Co, Ningbo Urban Construction Investment Holding Co and Nanjing Public Holdings (Group) Co have become the first Chinese local government infrastructure firms to issue asset-backed notes (ABNs) under the country's revived pilot securitisation programme.
• The first post-financial crisis non-performing loan CMBS - Rialto 2012-LT1 and S2H 2012-LV1 - have proved popular with investors looking for short duration, high coupon bonds. However, the growth of the sector is expected to be limited by the paucity of distressed assets coming onto the market at present.
• Redefine International has reached an in-principle agreement to restructure and extend the £114.6m Government Income Portfolio loan, securitised in UK CMBS Windermere XI, ahead of its October maturity. The move is viewed as positive, albeit it is likely to result in a principal loss.
• The latest Maiden Lane III sale - which saw US$4.45bn of current face across nine high grade ABS CDOs trade (SCI 1 August) - was met with strong demand from retail accounts looking to add exposure to the sector, especially given the recent rally in non-agency RMBS. AIG has also emerged as a large acquirer of assets from the sales.
• The New York Fed has scheduled two Maiden Lane III auctions for August, comprising 35 ABS CDO tranches. Barclays Capital, Citi, Credit Suisse, Guggenheim Securities, Bank of America Merrill Lynch, Morgan Stanley and RBS have all been invited to bid for the assets.
• The August GNMA issuer report could mark a high watermark for pre-May 2009 prepayment speeds. Several factors indicate that pre-May 2009 speeds should moderate going forward.
• Fitch has downgraded 10 tranches from six Irish RMBS transactions and affirmed a further 29 tranches from nine transactions. The downgrades affect Celtic 11, Emerald 4, Kildare, Pirus and Lansdowne 1 and 2, given that more recent deals benefit from higher levels of credit enhancement.

Regulatory update
• US banking regulators have extended the comment period on three notices of proposed rulemaking on capital rules (SCI 8 June) until 22 October. Comments were originally due by 7 September, but this has been extended to allow for more time to evaluate and prepare comments on the proposals.
• The Federal Housing Finance Agency has sent to the Federal Register a notice indicating its concern with the proposed use of eminent domain to restructure performing home loans and inviting public input. The agency says it has significant concerns about the use of eminent domain to revise existing financial contracts and the alteration of the value of the companies' securities holdings.
• Goldman Sachs has disclosed in its latest 10-Q filing that the SEC has dropped its investigation of the bank's role in selling US$1.3bn of subprime mortgage securities.
• ISDA has published its Recommendation for FpML version 5.3, with the aim of establishing a robust technical framework for global regulatory reporting requirements. The focus in this version is coverage of the CFTC reporting requirements to swap data repositories and for real-time reporting purposes.

Deals added to the SCI database last week:
Civitas 2012-2; Creso 2; Discover Card Execution Note Trust 2012-5 ; Discover Card Execution Note Trust 2012-6 ; Flexi ABS Trust 2012-1; Iowa Student Loan Liquidity Corp series 2012-1; JFIN CLO 2012; Morgan Stanley Capital I Trust 2012-STAR; New York City Tax Lien Trust 2012-A; Nissan Auto Receivables 2012-B; North Texas Higher Education Authority series 2012-1; Ocwen Servicer Advance Receivables Funding Co II series 2012-1; Queen Street VI Re; Symphony CLO X; & Vita Capital V Series 2012-I.

Deals added to the SCI CMBS Loan Events database last week:
BACM 07-2, BSCMS 07-PW16, MSC 07-IQ14 & 07-HQ12, WBCMT 07-C31 & 07-C32 ; BSCMS 2005-PWR10; CD 2006-CD2; CSMC 2006-C4; CSMC 2007-C1; CWCI 2007-3; DECO 2007-C4; DECO 9-E3; ECLIP 2006-1; ECLIP 2006-3; ECLIP 2007-2; EMC 4; EPICP DRUM; EURO 19; EURO 21; EURO 24; FLTST 3; GCCFC 2005-GG3; GCCFC 2007-GG9; GSMS 2005-GG4; GSMS 2006-GG6; INFIN SOPR; JPMCC 2005-LDP4; JPMCC 2006-LDP7; LBUBS 2007-C6; NEMUS 2006-1; PROMI 1; PROMI 2; TAURS 2006-1; TAURS 2007-1; TITN 2007-2; TITN 2007-CT1; WBCMT 2003-C9; WBCMT 2005-C18; WBCMT 2006-C25; WINDM VII; & WINDM XI.

Top stories to come in SCI:
July EMEA CMBS maturity outcomes
CLO documentation