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

Pipeline
Last week was fairly busy for the pipeline, although ABS was in the minority, with only one new deal announced. An RMBS, two CMBS and four CLOs also hit the market.

The ABS deal was Silverleaf Finance XV series 2012-D, a US$191.258m timeshare securitisation. The RMBS was the Russian RUB2.4bn Mortgage Agent ITB 1.

The CMBS deals entering the pipeline comprised US$835m BB-UBS Trust 2012-SHOW and US$1.111bn COMM 2012-CCRE4. Finally, the CLOs consisted of US$189m Gallatin CLO IV 2012-1, US$412m ING IM CLO 2012-4, US$400m KKR Financial CLO 2012-1 and US$350m Vibrant CLO.

Pricings
Considerably more ABS deals printed last week. Along with four new ABS, two RMBS, one CMBS and six CLOs were issued.

One of the ABS pricings was an auto securitisation (€809m Cars Alliance Auto Loans France V 2012-I), while the others were a student loan deal (US$471m Edsouth Indenture No.3 Series 2012-2), a timeshare deal (US$275m Sierra Timeshare 2012-3 Receivables Funding) and a credit card deal (US$777.78m Master Credit Card Trust II Series 2012-2). The RMBS comprised A$300m RESIMAC Bastille Trust Series 2012-1NC and US$1.16bn Springleaf Mortgage Loan Trust Series 2012-3, while the CMBS was US$351.4m NorthStar 2012-1 Mortgage Trust.

Finally, the CLO new issues consisted of: US$308m Golub Capital Partners CLO 14, US$461.2m Jamestown CLO I, US$374m Oaktree Enhanced Income Funding Series I, US$770m OHA Credit Partners VII, €721.9m Promise Neo 2012-1 and £1.51bn Sandown Gold 2012-2.

Markets
The US CLO market began last week slowly as IMN's ABS East conference took centre stage. Bank of America Merrill Lynch securitised products strategists note that the tone of the conference was particularly positive for CLOs. Over US$2bn in new deals priced during the week and secondary spreads remained flat.

The US ABS market saw supply really take off towards the end of the week, as SCI reported on Friday (SCI 26 October). Credit card paper was covered at very tight levels, with SCI's PriceABS BWIC data showing tranches such as BOIT 2003-A4 A4 covered at 2bp over Libor.

US CMBS was pretty stable over the week. Barclays Capital CMBS analysts report that tiering based on collateral quality has declined at the top of the capital structure, but "bond selection remains of paramount importance in the AJ and mezzanine space". Generic 2007 vintage LCF and AMs widened about 5bp to finish at swaps plus 140bp.

The US RMBS market also started slowly, although activity did pick up as the week went on, as SCI reported on Thursday (SCI 25 October). Prices were largely steady, with fixed-rate bonds particularly popular. Price talk for subprime paper was also up slightly.

However, fortunes were mixed for the European RMBS market, as SCI reported on Tuesday (SCI 23 October). JPMorgan RMBS analysts note that peripheral spreads tightened over the week, with core spreads largely unchanged.

They observe: "Italian and Spanish RMBS seniors are now 100bp tighter than at the beginning of September, at 350bp and 450bp respectively. Amongst the more plain vanilla asset classes, UK prime RMBS triple-As and Granite seniors also closed the week marginally tighter, while Dutch RMBS seniors were unchanged." 

Deal news
• Ocwen Loan Servicing and Walter Investment Management Corp were jointly awarded the highest and best bid for the mortgage servicing and origination platform assets of Residential Capital in last week's bankruptcy court-sponsored auction (SCI passim). The bid, with a purchase price of US$3bn, is subject to definitive documentation and bankruptcy court approval. Nationstar was the only other bidder for the assets.
• The Peter Cooper Village/Stuyvesant Town Tenants Association has confirmed its intention to bypass the special servicer and buy the property. Such a move would be a considerable positive for CMBS bondholders, but the fact that any resolution would have to be negotiated with the servicer provides a sticking point.
• Confirmation that an interest rate swap remains in place for the Mapeley loan, securitised in the European Loan Conduit No. 22 CMBS, has surprised the market. The news has prompted questions about the loan's recent restructuring.
• Two auctions were concluded on Auction.com last week for 12 of 16 properties collateralising the US$180.9m DRA-CRT Portfolio I loan, securitised in JPMCC 2005-CB13 (see also SCI's loan events database). The outcome indicates that the trust will see heavy losses as a result.
• Finance documents for the £114.61m Government Income Portfolio loan, securitised in the Windermere XI CMBS, have been amended to reflect an extension of the final repayment date for up to three additional periods (SCI 10 August). The restructure is subject to the satisfaction of various conditions.
• Ramius Structured Credit Group has replaced NIBC Credit Management as collateral manager for Belle Haven ABS CDO 2005-1. Moody's has determined that the move will not result in the withdrawal, reduction or other adverse action with respect to the deal's ratings.
• MJX Asset Management has been retained to act as liquidation agent for Independence III CDO. The collateral will be sold in two auctions, to be held in New York on 30 October.

Regulatory update
• SIFMA has submitted comments to the OCC, the Federal Reserve and the FDIC regarding the agencies' proposals to implement new capital standards under Basel 3. The letter was co-signed by the American Bankers Association and the Financial Services Roundtable.
• The Reserve Bank of Australia is introducing new eligibility criteria for RMBS in its operations. Issuers of RMBS will be required to provide more detailed information than is currently the case, covering both transaction-related data as well as information on the underlying assets.
• The US SEC has adopted a rule that establishes standards for how registered clearing agencies should manage their risks and run their operations, in accordance with the Dodd-Frank Act. The new rule requires registered clearing agencies that provide central counterparty services to maintain certain standards with respect to risk management and operations.
• The US government has filed suit against Bank of America, Countrywide Financial Corporation and Countrywide Home Loans. The government alleges Fannie Mae and Freddie Mac were sold fraudulent and defective mortgage loans by Bank of America and Countrywide that later defaulted, causing over US$1bn in losses.
• A group of Alabama homeowners has filed a putative antitrust class action in federal court in New York against a number of financial institutions for allegedly conspiring to manipulate Libor. According to the complaint, the alleged manipulation increased the interest rates on plaintiffs' mortgages, which were securitised in RMBS that the defendants backed or purchased.
• The Consumer Financial Protection Bureau (CFPB) has released its first annual report on private credit student loans. The agency's proposals are largely benign for the student loan ABS market, although there are some areas of concern.
• RBS Financial Products has settled with Nevada Attorney General Catherine Cortez Masto to resolve an investigation into the purchase and securitisation of subprime and option ARM mortgages in the state. RBS will pay US$42m and neither admits nor denies any wrongdoing.
• ISDA has announced its support of the Clearing Connectivity Standard (CCS) by working with Sapient Global Markets to provide programme management, governance and industry oversight. Sapient developed the standard to help improve OTC derivatives reporting and communication for asset managers, futures commission merchants (FCMs), central counterparties (CCPs) and custodians (SCI 15 August).
• The effects of a short-term White House plan intended to relieve some pressure on student borrowers are starting to surface in the student loan ABS sector. Fitch believes an up-tick in consolidation prepayments in some recent FFELP transactions is largely the result of students taking advantage of the Direct Loan Consolidation Program that President Obama invoked by executive authority in 2011.
• FINRA has ordered David Lerner Associates (DLA) to pay approximately US$12m in restitution to affected customers who purchased shares in Apple REIT Ten and who were charged excessive mark-ups. The agency alleges that DLA sold the illiquid REIT without performing adequate due diligence to determine whether it was suitable for investors and used misleading marketing materials that presented performance results without disclosing to customers that income from the REIT was insufficient to support the distributions to unit owners.

Deals added to the SCI database last week:
Ally Auto Receivables Trust 2012-5; ARI Fleet Lease Trust 2012-B; Chesapeake Funding series 2012-2; CIFC Funding 2012-II; COMM 2012-FL2; COMM 2012-LTRT; FREMF 2012-K21; Galaxy XIV CLO; GE Equipment Transportation Series 2012-2; Macquarie Equipment Funding Trust 2012-A; MSBAM 2012-CKSV; MultiCat Mexico series 2012-1; Nissan Auto Lease Trust 2012-B; NorthStar Student Loan Trust I series 2012-1; Paragon Mortgages 17; Svensk Autofinans 1; SVO 2012-A VOI Mortgage; West CLO 2012-1; WFRBS 2012-C9; World Omni Auto Receivables Owner Trust 2012-B.

Deals added to the SCI CMBS Loan Events database last week:
BACM 2006-4; BSCMS 2006-PW14; CSMC 2006-3; DBUBS 2011-LC2; DECO 2005-UK1; DECO 2006-C3; DECO 2007-C4; DECO 8-C2; DECO 9-E3; EPICP BROD; EURO 19; EURO 24; EURO 25; EURO 27; FLTST 3; GCCFC 2007-GG9; GRF 2006-1; GRND 1; INFIN CLAS; INFIN SOPR; JPMCC 06-LDP7 & 06-CB16; JPMCC 2005-CB13; JPMCC 2006-CB15; JPMCC 2006-LDP7; JPMCC 2007-CIBC18; JPMCC 2007-LD11; JPMCC 2007-LDPX; LBCMT 2007-C3; MSC 2007-IQ14; PROMI 2; TITN 2005-CT1; TITN 2005-CT2; TITN 2006-1; TITN 2007-2; TITN 2007-CT1; WBCMT 03-C8 & WBCMT 03-C7; WBCMT 2007-WHL8; WINDM VII; WINDM X; WINDM XI; WINDM XIV; WTOW 2006-3.

Top stories to come in SCI:
Opportunities in CLO equity
Cross-sector relative value analysis
Focus on Australian RMBS