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

Pipeline
Activity last week was dominated by deals pricing, but a few names also joined the pipeline. These included two Australian securitisations and three CMBS.

The Aussie deals comprised: Impala Trust No.1 - Sub Series 2012-1, a A$232.5m medical equipment ABS; and SMHL Securitisation Fund 2012-2, a A$500m RMBS. The CMBS consisted of US$259m COMM 2012-LTRT, US$195m Oaktree Real Estate Investments/Sabal Series 2012-LV1 and US$1.154bn Wells Fargo Commercial Mortgage Trust 2012-LC5.

Pricings
New issuance was extensive last week, with no fewer than 11 auto ABS, six further ABS prints, an RMBS, two CMBS and four CLOs pricing.

The auto deals were: US$1.265bn Ally Auto Receivables Trust 2012-SN1; S$750m BMW Floorplan Master Owner Trust 2012-1; US$147m CPS Auto Receivables Trust 2012-C; US$252m Credit Acceptance Auto Loan Trust 2012-2; US$300m Exeter Automobile Receivables Trust 2012-2; US$1.351bn Ford Credit Master Owner Trust A Series 2012-4; US$747m Ford Credit Master Owner Trust A Series 2012-5; US$1.546bn Mercedes-Benz Auto Receivables Trust 2012-1; US$1.6bn-equivalent Motor 2012-1; US$500m USAA Auto Owner Trust 2012-1; and €1.03bn VCL Multi-Compartment 16.

The remaining ABS consisted of Alaska Student Loan Corp series 2012A (US$54.42m), 2012B-1 and 2012B-2 (US$93.44m), US$1.249bn SLM Student Loan Trust 2012-6, €855m FCT Copernic 2012-1 and US$400m PFS Premium Finance Series 2012-B - the latter two consumer and insurance ABS respectively.

The RMBS print was A$1bn Apollo Series 2012-1, while the CMBS were US$335m BAMLL Trust 2012-CLRN and US$1.8bn UBS-Barclays 2012-C3. Finally, the CLO issues comprised US$166m Crown Point CLO, US$518m LCM XII, US$465m Marea CLO and US$564m Marine Park CLO 2012-1A.

Markets
The US CMBS market saw secondary spreads tighten dramatically last week, as SCI reported on Thursday (SCI 13 September). PriceABS BWIC data showed several names each being talked comfortably inside their levels of a few days earlier. GG10 dupers were also said to have tightened from 195 on Tuesday to 188/186 on Wednesday.

Meanwhile, securitised products strategists at Bank of America Merrill Lynch believe the Fed's most recent policy announcement has significantly reduced potential tail scenarios for the US CLO market. "As in other markets, interest in CLOs remains strong, especially now as investors adapt their strategies to an even more extended period of low rates. BWIC volumes remained elevated at US$650m [last] week, following [the previous] week's US$1bn. In particular, some investors have been taking advantage of the big run-up in equity prices, with US$150m in for the bid," they say.

The US RMBS secondary market also saw tightening, as SCI reported on Tuesday (SCI 11 September). Increased supply since Labor Day seems to have brought out additional buyers and fuelled a grab for yield.

The European ABS market saw €2.5bn of paper sold into the primary market, bringing issuance to date for the year up to €170m (€50m of which has been placed), note ABS analysts at JPMorgan. Secondary spreads continued to grind tighter, with big gains seen in peripheral jurisdictions as market confidence returned.

Deal news
• Most of the revised transaction documents have been settled between Deutsche Annington (DAIG) and the advisors to the ad-hoc group of noteholders in connection with the proposed GRAND restructuring. DAIG intends to complete a second restricted period for the ad-hoc group and commence a lock-up solicitation process by 19 October, with the first court hearing anticipated for the third week of November. On that basis, the proposed plan is expected to be effective prior to the end of 2012.
• Pearl Diver Capital has closed its third CLO opportunity fund, a Guernsey-based private equity-style GP/LP structure. The fund - dubbed Pearl Diver Capital Fund III - closed with US$234.1m in commitments, with the capital locked in over several years.
• The September remittance for BACM 2005-3 includes a new appraisal for the US$114.4mn Marley Station loan. The underlying property is one of the malls that had been left out of Simon Property's acquisition of Farallon's stake in the Mills portfolio in March 2012.
• Unicredit has announced a tender offer for 22 Cordusio RMBS, F-E Mortgages, Capital Mortgages, Locat and F-E Gold bonds. The liability management exercise will be undertaken via an unmodified Dutch auction. The offer period will expire on 24 September, with settlement expected on 27 September.
• Permanent TSB has launched a tender offer for Fastnet Securities 2 notes across the capital structure via a modified Dutch auction. The early tender deadline is 28 September, with a final deadline of 5 October.
• A proposal to replace Invesco Senior Secured Management with 3i Debt Management Investments as collateral manager on Theseus European CLO has been terminated. Noteholders of the class A1, A2A and A2B notes outstanding were asked in July to consent to a written resolution approving the appointment. The notes will become unblocked, effective from 10 September, following the termination.
• Moody's has downgraded to A3 the ratings of 24 securities across 12 Irish RMBS, of which seven were also placed on review for further downgrade. The agency has also placed on review for downgrade an additional 15 Irish RMBS senior and subordinated notes.
• Moody's has downgraded to Baa3 the ratings of 47 securities across 32 Portuguese ABS and RMBS. The agency has also placed on review for downgrade the ratings of a further 90 Portuguese ABS and RMBS securities.

Regulatory update
• The US Fed announced that it will now be focusing solely on agency MBS purchases, with a new Operation Twist target of US$40bn each month . The Fed also gave its strongest indication yet that interest rates will be kept low, even if the economic outlook begins to improve.
• Certain non-traditional ABS sectors are vulnerable to spiking to 100% risk-based capital requirements under the new US bank trading book rules, owing to their non-conformity with classic consumer ABS structures, performance measurement and regulatory definitions. Citi securitisation strategists argue that stranded assets, dealer floorplan, rental car, franchise, aircraft and container ABS represent secured corporate credit risk and so the associated trading book risk-based capital should reflect this.
• The FHFA has launched a new representation and warranty framework for Fannie Mae and Freddie Mac conventional loans sold or delivered on or after 1 January 2013. The new approach - which is part of a broader series of strategic initiatives called seller-servicer contract harmonisation - aims to clarify lenders' repurchase exposure and liability on future deliveries.
• Mortgage Resolution Partners (MRP) has written to the FHFA contesting the agency's right to stop MRP's eminent domain plan (SCI passim). The firm argues that FHFA lacks oversight rights with regard to the purchase of loans not owned by Fannie Mae and Freddie Mac.
• SIFMA has sent a letter to Representative Spencer Bachus, chairman of the House Financial Services Committee, in response to his request for comment on legislative alternatives to the Volcker Rule. The letter was co-signed by the Financial Services Roundtable.
• ICP Asset Management and its founder and president Thomas Priore have agreed to settle the US SEC's charges that they defrauded several CDOs they managed. A settlement in principle had been agreed last month (SCI 17 August).

Deals added to the SCI database last week:
AmeriCredit Auto Receivables Trust 2012-4; BXG Receivables Note Trust 2012-A; Chase Issuance Trust 2012-A5; Chase Issuance Trust 2012-A6; FirstMac Mortgage Funding Trust No.3 series 2-2012; Progress 2012-2 Trust; SMART ABS series 2012-3EQ Trust; Storm 2012-IV; and Willis Engine Securitization Trust II 2012-A.

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; BACM 2007-2; BACM 2007-5; BSCMS 2005-T20; CSFB 2004-C1; DECO 2007-C4; EMC VI; EURO 25; GCCFC 2005-GG3; GCCFC 2005-GG5; GCCFC 2006-RR1; GECMC 05-C4 & GMACC 06-C1; GRAND; LBUBS 2006-C1; LORDS 1; MLCFC 2006-2; MSC 07-XLF9, BALL 07-BMB1 & UBSCM 07-FL1; MSDWC 2003-HQ2; TMAN 6; TMAN 7; WBCMT 07-C32 & 07-C33; and WBCMT 2007-C34.

Top stories to come in SCI:
European RMBS issuance trends
Relative value implications of CLO calls
Counterparty de-linkage frameworks