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

Pipeline
A few new deals joined the pipeline last week. CLOs make up the majority, but ABS, ILS and CMBS are also represented.

The CLOs include Benefit Street Partners CLO I, ING IM CLO 2012-3 and OZLM Funding II. The ABS is a lease deal (€78m TDA Lico Leasing III FTA), while the ILS is US$300m Multicat Mexico 2012-1 and the CMBS is US$876m COMM 2012-CCRE 3.

Pricings
ABS accounted for the bulk of the week's prints. Two auto deals (US$833m Ford Credit Auto Lease Trust 2012-B and A$151m Liberty Funding 2012-1A), one container deal (US$250m Beacon Container Finance 2012-1) and three credit card deals (US$500m Citibank Credit Card Issuance Trust 2012-A1, US$700m Golden Credit Card Trust series 2012-5 and US$500m Golden Credit Card Trust series 2012-6) priced.

In addition, two RMBS and two CLOs were issued. The RMBS comprised €12.5bn Dolphin Master Issuer 2012-II and €959m Holland Mortgage Backed Series 18, while the CLOs were US$523m Dryden XXIV and US$520m Venture XI CLO. Finally, a US$1.13bn CMBS - JPMCC 2012-C8 - rounded the supply out.

Markets
US CMBS spreads changed very little last week, report Barclays CMBS analysts. "The post-QE3 rally in the duper space took a breather [last] week, with spreads in the duper part of the curve roughly unchanged from [the previous] Thursday's levels. Even then, the CMBS market held up better than broader equity markets, where the latest rumblings from Europe pushed the S&P 500 index 10 points lower over the week." AMs and AJs continued to rally, however, with 2007 vintage AMs tightening by around 10bp over the week.

Meanwhile, BWIC supply for the US non-agency RMBS market was unchanged last week, say Citi securitised products analysts. They note that prices were flat across all sectors and 1-2 points lower in ABX on small selling. In agency RMBS, 30-year production MBS outperformed duration hedges by 10-14 ticks.

The US CLO market saw US$600m in BWIC volumes through Thursday, with several sellers looking to take advantage of the recent tightening, according to structured products strategists at Bank of America Merrill Lynch. "The BWIC volumes were concentrated primarily in mezz and equity. CLO secondary spreads tightened across most of the capital structure. Legacy triple-A spreads tightened by 5bp, double-A remained flat and single-A tightened 10bp. Triple-B and double-B spreads tightened by another 25bp," they note.

European ABS was unscathed by the softening in broader credit markets, Deutsche Bank ABS analysts report. They note that ABS primary and secondary activity both point to further tightening.

"Given the extent of the rally in core vanilla sectors - auto ABS now pricing at 25bp, UK prime RMBS c.50bp for new issue in size - we see limited scope for tightening beyond current levels," they add.

Dutch paper was the flavour of the week for the European RMBS market, as SCI reported on Tuesday (SCI 25 September). SCI's PriceABS BWIC data shows the week starting with a couple of lists featuring Dutch near-prime paper, including a single-name list for a €3.118m slice of EMFNL 2008-1X A2, covered at 94. Analysts at JPMorgan add that, by the end of the week, UK prime triple-As had moved to levels not seen since January 2008. 

Deal news
• Several large rent-regulated US multifamily CMBS loans could see long resolution processes and uncertain workout outcomes, according to CMBS strategists at Citi. Limited disclosure on specific rent regulation complicates valuing and projecting financials for such properties.
• Banco Santander Totta has announced an unusual exchange offer for investors in three senior tranches of its RMBS, as part of a liability management exercise. The lender is proposing to switch holders of the HIPOT 1 A, 4 A and 5 A2 bonds into a Santander covered bond (SANTAN Float 01/12/14).
• Unicredit has published the results for all bonds subject to its recent tender, apart from four Cordusio tranches - CORDR 1 C, 2 C, 4 C and 4 D - whose offer deadline was extended to 27 September. The bank accepted €571.96m nominal value of notes out of the €985.75m offered via an unmodified Dutch auction.
• Arbor Realty Trust has privately placed a US$125m CLO, becoming the first commercial mortgage REIT to tap the sector. Dubbed Arbor CLO 2012-1, the notes are secured by 18 whole loans and A-notes.
• Blackrock is set to be removed without cause as collateral manager for Toro ABS CDO II. A majority-in-interest of preference shareholders has directed the issuer to appoint Vertical Capital as successor collateral manager on the transaction.
• Deutsche Bank priced its hotly anticipated Vitus CMBS. The €754m transaction, dubbed Florentia, refinances the Vitus Immobilien German multifamily portfolio securitised in Centaurus (Eclipse 2005-3).
• The proceedings in the High Court of England initiated by Pearsanta, the junior lender in the Alburn Real Estate Capital (REC 6) CMBS (SCI 27 June), have been struck out without further order of the Court. The move follows Pearsanta's failure to pay the joint defendants a second instalment of security for costs on 31 August.
• It has emerged that GRAND CMBS noteholders which were not part of the ad-hoc group involved in discussions with DAIG chose the REF note servicer as a separate conduit for providing comments on the restructuring proposal. The REF note servicer received comments from approximately 15% of noteholders expressing a desire for improvements to certain elements of the heads of terms, but DAIG says it will not be undertaking any further negotiation of the heads of terms.

Regulatory update
• The FHFA is seeking to increase GSE guarantee fees for single-family mortgages that they acquire in five states - Illinois, Connecticut, Florida, New Jersey and New York. Such state level pricing not only marks a change from the desire to smooth out regional differences in mortgage pricing, but also indicates that certain local factors - such as foreclosure timelines - could play a role in determining borrowing costs for otherwise perfectly creditworthy borrowers.
• The US federal banking regulatory agencies have reopened the comment period on the Dodd-Frank rule establishing margin and capital requirements for swap dealers, major swap participants, security-based swap dealers and major security-based swap participants. The comment period - which originally ended on 11 July 2011 - was reopened to 26 November 2012 to allow interested parties more time to analyse the issues and prepare their comments.
• The European Securities and Markets Authority (ESMA) has published its technical standards on the Regulation on OTC derivatives, central counterparties and trade repositories (EMIR), which set out the specific details of how EMIR's requirements are to be implemented. They have been sent to the European Commission for their adoption as EU regulations.
• The NCUA has filed suit in Federal District Court in Kansas against Barclays Capital, alleging that the bank violated federal and state securities laws through misrepresentations in the sale of MBS to US Central Federal Credit Union and Western Corporate Federal Credit Union. The price paid for the securities by US Central and WesCorp exceeded US$555m.

Deals added to the SCI database last week:
AMMC CLO XI; Apollo Series 2012-1 Trust; Atrium VIII; Carlyle Global Market Strategies CLO 2012-3; CNH Equipment Trust 2012-C; Cronos Containers Program I series 2012-2; Crown Point CLO; Dutch MBS XVII; Education Loan Asset-Backed Trust I series 2012-1; Enterprise Fleet Financing Series 2012-2; Eurus III; Flatiron CLO 2012-1; Florentia; FREMF 2012-K20; FREMF 2012-KP01; GE Equipment Midticket Series 2012-1; LCM XII; RMS 26; Scholar Funding Trust 2012-B; Sequoia Mortgage Trust 2012-4; Sound Point CLO I; Toyota Auto Receivables 2012-B Owner Trust; United Auto Credit Securitization 2012-1; Westlake Automobile Receivables Trust 2012-1; and WFRBS 2012-LC5.

Deals added to the SCI CMBS Loan Events database last week:
CD 2006-CD3; COMM 07-C9 & CD 07-CD5; CSMC 07-C5 & 08-C1; DECO 9-E3; ECLIP 2005-3; EPICP DRUM; EURO 21; EURO 24; GCCFC 2006-GG7; GRND 1; JPMCC 06-LDP7 & JPMCC 06-CB16; JPMCC 2006-LDP9; LORDS 1; OPERA GER2; REC 6; TMAN 6; and WBCMT 2007-C30.

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