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

Pipeline
Two ABS entered the pipeline last week, with one RMBS, one CMBS and one CLO joining them. The ABS were student loan deals: US$344.6m EdLinc Student Loan Funding Trust 2012-1 and US$686.6m NorthStar Student Loan Trust I 2012-1.

The RMBS was a UK buy-to-let deal (Paragon Mortgages No.17), the CMBS was a US$1.05bn multiborrower transaction (WFRBS Commercial Mortgage Trust 2012-C9) and the CLO is CIFC Funding 2012-II.

Pricings
ABS also accounted for the bulk of the week's prints. Issuance comprised three auto and two credit card deals, as well as a student loan ABS, a container ABS and a servicing advances transaction. One RMBS and one CLO also priced.

The auto deals were: US$1bn Honda Auto Receivables 2012-4 Owner Trust, US$1.511bn Hyundai Auto Receivables Trust 2012-C and US$527.36m Porsche Innovative Lease Owner Trust 2012-1. The credit card ABS consisted of US$563m GE Capital Credit Card Master Note Trust Series 2012-7 and US$466.667m World Financial Network Credit Card Master Note Trust Series 2012-D.

The student loan ABS was US$976m SLM Private Education Loan Trust 2012-E, while the container transaction was US$171m CAL Funding II series 2012-1 and the servicing advances deal was US$700m HLSS Servicer Advance Receivables 2012-T2.

The RMBS was A$983m Idol Trust 2012-2 and the CLO was €644m Etruria Securitisation 2012.

Markets
Activity in the US CLO secondary market slowed down during the shortened holiday week, according to securitised products strategists at Bank of America Merrill Lynch. BWIC volumes were only US$250m, as opposed to US$725m for the week before.

"Interest in equity tranches remains elevated as investors look for higher yielding assets and as holders look to monetise returns. There was another US$100m of equity tranches up for the bid on top of US$130m last week. Controlling equity classes remain especially sought-after tranches," they add.

Meanwhile, US CMBS spreads "continued their steady march tighter" last week, report Barclays Capital CMBS analysts. Generic 2007 dupers and AMs were 5bp tighter by the end of the week, with AJs up by half a point. SCI's PriceABS BWIC data showed busy trading sessions for the week, with slight tightening evident.

In the US RMBS market, Citi RMBS analysts note that non-agency prices were flat for the fourth consecutive week, with BWIC supply dropping slightly to US$4.3bn. In the agency space, downward pressure on dollar rolls contributed to 30-year production coupon MBS underperforming duration hedges by 3-6 ticks.

Finally, European RMBS spreads remained broadly stable for the week. JPMorgan ABS analysts note that Italian RMBS and UK non-conforming and BTL RMBS actually tightened. A raft of UK RMBS paper circulated on the secondary market early in the week, as SCI reported on Wednesday (SCI 10 October), with vintage prime senior bonds appearing to widen from their summer tights. 

Deal news
• The recently-priced Florentia agency CMBS has several striking features. It is being seen as a positive return to the early days of the European market and could provide a blueprint for future issuance.
• The take-up for Banco Santander Totta's (BST) offer to exchange three RMBS bonds into a covered bond has been limited. HIPOT 1R A saw no bonds accepted, while only €3m of amortised principal was accepted across HIPOT 4 A and HIPOT 5 A2.
• Moody's has released an unsolicited comment on JPMCC 2012-C8, JPMorgan and CIBC's CMBS that priced on 27 September. Based on a review of publicly available information, the agency believes that all classes of the transaction below the ASB tranche lack sufficient credit enhancement relative to the ratings four other rating agencies have assigned it.
• Moody's has downgraded to A1 the ratings of 56 securities across 17 South African RMBS and ABS, prompted by the weakening of the South African government's credit profile. The agency recently downgraded South Africa's government bond rating to Baa1 from A3 and lowering its local currency ceiling to A1.
• The assets and obligations of the Harrier Finance Funding SIV have been assigned from West LB/Portigon (WLP) to Erste Abwicklungsanstalt (EAA), acting as sponsor bank. The move follows the cessation of WLP's banking activities.

Regulatory update
• The SIPC trustee for Lehman Brothers Inc (LBI) and the joint administrator of Lehman Brothers International (Europe) (LBIE) have agreed in principle to resolve all claims - approximately US$38bn in the aggregate - between their respective entities. The proposed settlement is subject to approval by the US bankruptcy court and the English High Court, but sets the stage for distributions that are expected to provide 100% recovery of customer property.
• A federal court in New York recently ruled that investors in the failed Cheyne SIV - including named plaintiff Abu Dhabi Commercial Bank - could go forward with negligent misrepresentation claims against Morgan Stanley, which arranged and marketed the vehicle. US District Judge Shira Scheindlin dismissed plaintiffs' fraud claims against Morgan Stanley in August, but ordered them to show cause as to why their negligent misrepresentation claims should proceed, given her finding that Morgan Stanley made no direct misstatements.
• FINRA has fined Guggenheim Securities US$800,000 for failing to supervise two CDO traders who engaged in activities to hide a trading loss. Guggenheim and the traders have neither admitted nor denied the charges but have consented to the entry of FINRA's findings.

Deals added to the SCI database last week:
Ally Master Owner Trust Series 2012-5; Benefit Street Partners CLO I; CarMax Auto Owner Trust 2012-3; Chase Issuance Trust 2012-7; COMM 2012-CCRE3; Credico Finance 11; FREMF 2012-KF01; Huntington Auto Trust 2012-2; ING IM CLO 2012-3 ; MSBAM 2012-C6; National ABS Trust 2012-1M; Nelnet Student Loan Trust 2012-4; Oaktree Real Estate Investments/Sabal series 2012-LV1; OZLM Funding II; Santander Drive Auto Receivables Trust 2012-6; SMART ABS Series 2012-4US Trust; Storm 2012-V; TDA Lico Leasing III; Volkswagen Auto Loan Enhanced Trust 2012-2; and World Financial Network Credit Card Master Note Trust Series 2012-D.

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; BACM 2006-2; BSCMS 2004-PWR4; CGCMT 2007-C6; COMM 2006-7; DECO 2007-C4; DECO 2007-E5; DECO 2011-CSPK; EPICP BROD; EURO 21; EURO 22; FTST 06-FTS & LBUBS 07-C1; GMACC 2004-C2; GRND 1; JPMCC 2005-CB13; JPMCC 2006-CIBC14; JPMCC 2006-LDP9; JPMCC 2007-LD12; MLCFC 2006-1; MLCFC 2007-6; MLMT 05-LC1 & 05-CKI1; MLMT 2006-C2; MSC 2007-HQ13; OPERA CMH; REC 4 RETAIL PARKS; TITN 2006-2A; TMAN 3; and TMAN 4.

Top stories to come in SCI:
US CMBS spread trends
CCP margin developments