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

Pipeline
The pipeline grew considerably last week, with several new deals announced. Despite the shorter week in the US, eight ABS, an RMBS, a CMBS and two CLOs were added before the week was out.

Alaska Student Loan Corp Series 2012A, 2012B-1 and 2012B-2 (sized at US$54.42m, US$78.4m and US$15m respectively) kick off the ABS that hit the market last week. They were joined by two auto deals - US$759.4m Ally Auto Receivables Trust 2012-SN1 and €718.5m VCL 16 - a US$1bn credit card ABS (CARDS II Trust Series 2012-4), US$250m equipment lease deal (LEAF Receivables Funding 8 Series 2012-1) and RUB3.2bn consumer loans ABS (Life Consumer Finance).

The RMBS was £200m RMS 26 and the CMBS was US$1.3bn FREMF 2012-K20. Rounding off the issuance was a pair of CLOs - US$259.2m Crown Point CLO and US$400m Galaxy XIV.

Pricings
Issuance was dominated by ABS, but there was also a solitary RMBS. That RMBS print was €2.127m Storm 2012-4.

The ABS was accounted for by a US$1.3bn auto deal (AmeriCredit Auto Receivables Trust 2012-4), US$100m timeshare ABS (BXG Receivables Note Trust 2012-A), a pair of credit card transactions (US$1.15bn Chase Issuance Trust 2012-A5 and US$700m Chase Issuance Trust 2012-A6) and a US$390m aircraft lease securitisation (Willis Engine Securitization Trust 2012-A).

Markets
SCI's Price ABS BWIC data shows that the European CLO market dominated activity early in the week as the US shut down for Labor Day, as SCI reported on Tuesday (SCI 4 September). Noteworthy names such as BACCH 2006-1 A1 and PULS 2006-1 A2B were circulating, while the WODST III-X D tranche was talked slightly higher than it was covered at a month earlier.

The European RMBS secondary market continued to tighten, with JPMorgan credit analysts noting that even peripherals gapped tighter. They note: "Dutch RMBS, 25bp outside UK prime RMBS at the senior level, looks increasingly attractive on a relative basis; similarly, the ECB move announced last week in an attempt to resolve the European sovereign crisis led to a significant rally in Spanish and Italian paper, currently RMBS seniors are trading at 550/450bp respectively - 50/20bp inside last week's levels."

Meanwhile, the US RMBS market saw stable performance for non-agency cash bonds, according to RMBS analysts at Barclays Capital. Synthetic indices moved higher, with ABX prices up by 0.5 to two points.

"Real money has been showing a strong interest in non-agency paper, given the improvement in credit performance and the attractive loss-adjusted yields that can still be found in this market. We continue to prefer high-carry, stable yield profile prime/alt-A FRM SSNRs," note the analysts.

US CMBS has calmed down somewhat from a very active August and become more muted around the Labor Day holiday. Citi CMBS strategists note that the week ending 17 August actually saw the highest trading since early May.

However, activity did pick back up in mid-week, as SCI reported on Thursday (SCI 6 September). Volume increased and the benchmark GSMS 2007-GG10 A4 tranche was one example of the broadly observed tightening.

Finally, the US CLO secondary market is continuing to see strong interest as investors hunt yield, say Bank of America Merrill Lynch securitised products analysts. "Some market participants took the opportunity to sell into the latest rally. Among the bonds that traded, there were several equity pieces, with some at very high dollar prices well above par, as well as two large triple-A lists that came into the market on Friday," they note.

Those triple-A lists pushed secondary triple-A spreads 5bp tighter. Impressive BWIC volume of US$1bn was still not sufficient to meet investor demand, despite being one of the heaviest weeks of supply of the year.

Deal news
• S&P has issued two criteria articles it will use to rate US and Canadian CMBS: a methodology for deriving credit enhancement levels; and global property evaluation criteria. The move follows the agency's request for comment on the proposals in June (SCI 6 June) and has resulted in 744 classes from 188 CMBS being placed on credit watch.
• TPG and Patron Capital have closed their joint venture acquisition of Uni-Invest, following approval by the Dutch courts. The properties - which comprise 142 offices, 54 warehouses and seven retail outlets - will be held in an SPV dubbed Utrecht Holdings.
• NordLB has placed the mezzanine tranche of a risk transfer trade, dubbed Blue Rock, with a single institutional investor. The transaction provides credit protection on a £307m portfolio of 20 high grade UK infrastructure loans.
• S&P has announced a number of rating actions resulting from the implementation of its updated criteria for monitoring the performance of pre-2009 US RMBS (SCI 16 August).
• GGP has closed US$1.5bn of new financing on seven properties across the US. Two of the properties have outstanding CMBS debt and are expected to see pay-offs in the near term.
• One of the strongest US residential mortgage vintages is now increasingly susceptible to rating downgrades. Increased adverse selection has recently resulted in higher delinquencies for pre-2005 loans.
• Three European CMBS loans recorded losses following the July 2012 reporting cycle. The largest of these loans was the Orange loan, securitised in Fleet Street Finance Three. While losses are yet to be allocated to the notes, the servicer reports that a sale price of €50m has been accepted for the collateral - some way short of the €67m senior debt outstanding.
• HEAT Mezzanine I-2005 class B1, B2 and junior notes remain unpaid on their scheduled maturities, with principal amounts outstanding of €3.41m, €1.13m and €28.50m respectively. As such, an event of default has been declared on the transaction.

Regulatory update
• The FHFA has directed Fannie Mae and Freddie Mac to raise guarantee fees on single-family mortgages by an average of 10bp, moving GSE pricing closer to the level expected if mortgage credit risk was borne solely by private capital.
• Joseph Smith, the monitor of the US$25bn mortgage servicing settlement between 49 state attorneys general and the five largest bank servicers, released his first progress report detailing how the banks are meeting their obligations under the agreement. So far, the banks have granted US$10.56bn in consumer relief to 137,846 borrowers between 1 March and 30 June.
• ISDA has published amendments to the Credit Derivatives Determinations Committees (DC) Rules with respect to release of information regarding DC meetings. The association - in its capacity as secretary to the determinations committees - will now draft a Determinations Committee Meeting Statement at the conclusion of each DC meeting, which will describe the issues considered and any resolutions or next steps.
• Fitch believes that the US banking regulators' proposed capital rules could be a positive credit event for senior noteholders and potentially negative for subordinate tranches in Trups CDOs. The agency notes, however, that the regulations need to be clarified, as their criteria for some Trups is different from those under the Dodd-Frank Act.
• The NCUA has filed suit against UBS Securities in Federal District Court in Kansas, alleging misrepresentations in the sale of RMBS to US Central Federal Credit Union (US Central) and Western Corporate Federal Credit Union (WesCorp). US Central and WesCorp paid more than US$1.1bn for the securities and each subsequently failed.
• The US SEC has filed court papers indicating that it's investigating whether Residential Capital committed fraud related to its mortgage lending and underwriting practices. The investigation began on 22 February in an effort to compel R.R. Donnelley & Sons to produce due diligence reports prepared for investment banks that underwrote the investments, according to a recent Lowenstein Sandler client alert.
• Moody's reports that China's regulators are making steady progress towards establishing a securitisation market in the country. However, as has been the case with other jurisdictions, the process will be long and involved.
• Following the recent manipulation of Libor, the European Commission has launched a consultation - which will run until 15 November - on possible new rules for the production and use of indices serving as benchmarks in financial and other contracts. It says it is essential that steps are taken to ensure the integrity of benchmarks and the benchmark-setting process.

Deals added to the SCI database last week:
Ares XXIV CLO; CARS Net-Lease Mortgage Notes series 2012-1; CENT CLO 16; GoldenTree Credit Opportunities 2012-1 Financing; Institutional Mortgage Capital 2012-2; John Deere Owner Trust 2012-B; Magnetite CLO VI; Medallion Trust Series 2012-1; and Shackleton I CLO.

Deals added to the SCI CMBS Loan Events database last week:
BACM 2003-1; BSCMS 2005-T20; CSMC 2006-C4; DECO 2006-E4; ECLIP 2006-3; ECLIP 2007-2; EMC VI; FLTST 3; JPMCC 2006-LDP9; LBUBS 2002-C7; MLMT 05-LC1 & 05-CKI1; NEMUS 2006-2; OPERA UNI; PROUL 1; TITN 2006-1; TMAN 7; and WINDM XI.

Top stories to come in SCI:
Focus on Irish distressed debt
Recent iTraxx index trends
Counterparty de-linkage frameworks