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

Pipeline
It was another reasonably active week for the pipeline. Four new ABS deals, one ILS, one RMBS, two CMBS and two CDOs were added last week.

The ABS were all European auto deals. The largest was €952.5m Private Driver 2012-3, which was joined by the €765m-equivalent Bilkreditt 3, €425m FTA Santander Consumer Spain Auto 2012-1 and €531m Globaldrive Auto Receivables 2012-A.

The ILS was US$250m Residential Reinsurance Series 2012-II and the RMBS was SAECURE 12. The CMBS comprised US$1.39bn GSMS 2012-GCJ9 and US$950m VNDO 2012-6AVE.

Finally, the CDOs consisted of US$412.5m Anchorage Capital CLO 2012-1 and US$291m RCMC 2012-CREL 1.

Pricings
ABS once more dominated new issuance. Last week's prints comprised 11 ABS, one whole business securitisation, three RMBS and four CLOs.

Auto deals accounted for five of the ABS pricings, while there were also two equipment deals, two credit card deals and one student loan deals. The auto ABS consisted of: US$1bn AmeriCredit Automobile Receivables Trust Series 2012-5, €560m FCT Autonoria Compartment 2012-2, US$1.073bn Ford Credit Auto Owner Trust 2012-D, US$159.8m Tidewater Auto Receivables Trust series 2012-A and £332m Turbo Finance 3.

The equipment ABS were US$112.46m Ascentium Equipment Receivables 2012-1 and US$677m CNH Equipment Trust 2012-D; the credit card ABS were US$650m Chase Issuance Trust 2012-8 and US$350m Chase Issuance Trust 2012-9; and the student loan ABS was US$786m Vermont Student Assistance Corporation 2012-B. The WBS was US$600m Icon Brand Holdings Series 2012-1.

Meanwhile, the RMBS issued last week included: A$1bn-equivalent Series 2012-1E REDS Trust, A$450m Light Trust No.4 and US$301.47m Sequoia Mortgage Trust 2012-6. The new issue CLOs were US$497m Cerberus Offshore Levered I, US$524m Dryden XXV, US$425m Halcyon Loan Advisors Funding 2012-2 and US$802m Madison Park Funding X.

Markets
Secondary market activity was up for US CLOs last week. Securitised products strategists at Bank of America Merrill Lynch put BWIC volume at about US$530m.

"We expect trading volumes will pick up after Thanksgiving and then taper off as we move into December as investors close their books. With volatility in the broader credit markets including the loan space, secondary CLO spreads widened out slightly with triple-A and double-A spreads out 5bp and triple-B and double-B spreads wider by 25bp," they note. The analysts add that the equity bid remains strong, while the primary market has continued to exceed expectations.

Activity in the US CMBS market picked up towards the end of the week, as SCI reported on Friday (SCI 16 November). Thursday's session saw BWIC volume up by almost 50% on the previous day, with 2012 paper particularly prevalent. A US$10m slice of WFRBS 2012-C9 XA was covered at 175, while names such as COMM 2012-CR4 AM and MSBAM 2012-C6 AS were also covered.

The US ABS secondary market saw a bit of widening ahead of expected primary issuance, report Barclays Capital ABS analysts. They note: "Investors were selling ahead of the new issue pipeline to make room for new product. This resulted in dealers adding to inventory and a slight widening in front-end and higher-quality paper. Investor demand for yield also contributed to continued tightening pressure in the off-the-run and esoteric sectors."

Non-agency US RMBS got off to a slow start, as SCI reported on Wednesday (14 November). Prices on Tuesday were down on where they had finished the week before, although still high relative to levels in previous weeks.

Finally, the European RMBS secondary market was particularly strong, as SCI reported on Thursday (15 November). Granite triple-B spreads reached their best levels since the crisis and large BWICs circulated on both Wednesday and Thursday.

Deal news
• The Prime Collateralised Securities (PCS) initiative (SCI passim) has officially opened for business with a series of board appointments. The Irish Stock Exchange, True Sale Initiative and KPMG have also been confirmed as screening partners to assist in checking key documentation.
• FINRA has begun disseminating TBA transaction information - including CUSIP, time of transaction, price and size - via TRACE. The US SEC has also approved a FINRA proposal to publicly disseminate transaction information in specified agency pass-through MBS, with the effective date of this proposal to be announced in a forthcoming Regulatory Notice.
• SIFMA has revised its standard master securities forward transaction agreement (MSFTA), in conjunction with the Treasury Market Practices Group (TMPG). The aim was to create a more broadly acceptable document that can support the TMPG recommendation that forward-settling agency MBS transactions be margined by both parties in order to mitigate counterparty and systemic risk.
• An EU initiative to provide subordinated debt instruments for large infrastructure projects is likely to stimulate the European infrastructure project bond market by allowing for higher bond ratings than previously seen in the markets, according to S&P. Under the Europe 2020 Project Bond Initiative, the European Investment Bank will provide either loans or letters of credit - called project bond credit enhancements (PBCE) - to underpin the credit quality of senior debt issued by project finance issuers, so as to make them more attractive to institutional investors (SCI passim).
• Early indications are that damage to CMBS collateral caused by Hurricane Sandy is limited, based on information that S&P has received from servicers. The damage to many properties is still in the early stages of assessment, however.
• The impact of Hurricane Sandy on the catastrophe bond market is likely to be muted based on current estimates, with little impact on new pricing, according to Willis Capital Markets & Advisory (WCMA). The scope and scale of the storm means it is unlikely that any bonds will be triggered solely by Sandy.
• AerCap Ireland, the servicer on Aircraft Lease Securitisation (ALS), has sold its equity interest in the transaction to a subsidiary of Guggenheim Partners as part of a portfolio management strategy. Under the agreement, AerCap will continue to service and manage the aircraft portfolio.

Regulatory update
• In light of the volume of comments received following the release of three notices of proposed rulemaking in connection with regulatory capital, the Fed, FDIC and OCC have stated that they do not expect any of the proposed rules to become effective on 1 January 2013. The proposals suggested this date as an effective date for the regulations, but many industry participants have expressed concern that they will have insufficient time to understand the rule or to make necessary systems changes by then.
• CREFC Europe's ICA Committee has released a consultation document entitled 'Guidelines for intercreditor agreements in UK commercial real estate finance transactions - 2013'. The guidelines have two key aims: to promote consideration of a common set of issues in intercreditor agreements; and to engender confidence in market participants that an acceptable arrangement between the different and frequently conflicting interests of different creditors is achievable.
• CRE Finance Council Europe has released its 'Market Principles for Issuing European CMBS 2.0' (SCI 24 July). The principles aim to help re-establish confidence in the European real estate capital markets and stimulate the further development of European CMBS by addressing a number of legacy issues.
• The FHFA is set to proceed with most of its claims against Bank of America Merrill Lynch, Deutsche Bank and JPMorgan regarding losses suffered by Fannie Mae and Freddie Mac related to the purchase of RMBS. The FHFA filed lawsuits against 17 financial institutions last year in connection with approximately US$200bn of securities sold to the GSEs (SCI 5 September 2011).
• The US SEC has issued its second annual staff report on the findings of examinations of credit rating agencies registered as Nationally Recognized Statistical Rating Organizations (NRSROs). The agency determined that with one exception, all NRSROs appropriately addressed the staff's recommendations in the first annual report in 2011 (SCI 3 October 2011).

Deals added to the SCI database last week:
Adriatico Finance RMBS series 2012-1; American Express Credit Account Master Trust Series 2012-4; American Express Credit Account Master Trust Series 2012-5; Atlas Reinsurance VII; Atlas Senior Loan Fund II; California Republic Auto Receivables Trust 2012-1; COMM 2012-CCRE4; Discover Card Master Trust 2012-B3; Dryrock Issuance Trust 2012-1; Dryrock Issuance Trust 2012-2; FCT Ginkgo Private Compartment 2012-1; FREMF 2012-K711; FTA PYMES Santander 4; Gallatin CLO IV 2012-1; GE Dealer Floorplan Master Note Trust series 2012-4; Golden Bar (Securitisation) series 2012-2; ING IM CLO 2012-4 ; JGWPT XXVII series 2012-3; MOTEL 2012-MTL6; Nelnet Student Loan Trust 2012-5; PHEAA Student Loan Trust 2012-1; Race Point VII CLO; RESIMAC Series 2012-1NC; Shackleton II CLO; Silverleaf Finance XV series 2012-D; SLM Student Loan Trust 2012-7; UBI BBS 2012; UBI BPA 2012; UBI BPCI 2012.

Deals added to the SCI CMBS Loan Events database last week:
BACM 2006-6; CGCMT 12-GC8 & WBCMT 05-C16; CGCMT 2006-5; CSMC 2006-C4; CSMC 2007-C1; CSMC 2007-C3; DECO 2005-C1; DECO 2006-C3; DECO 2006-E4; DECO 7-E2; DECO 9-E3; ECLIP 2005-2; ECLIP 2006-3; EMC IV; EMC VI; EPICP CASP; EURO 21; EURO 23; EURO 25; FUNBC 2002-C1; GCCFC 06-GG7 & LBUBS 06-C4; GMACC 2004-C2; GRND 1; JPMCC 2003-CIBC7; JPMCC 2005-CIBC11; JPMCC 2006-CB15; JPMCC 2007-FL1; JPMCC 2007-LD12; JPMCC 2007-LDP11; LBUBS 2007-6; LBUBS 2007-C2; MLCFC 2007-9; MLMT 2003-KEY1; MLMT 2005-CK11; MSC 2007-HQ13; PROMI 1; RIVOL 2006-1; TITN 2006-3; TITN 2007-CT1; TMAN 4; TMAN 5; TMAN 6; WINDM VII; WINDM XI; WINDM XIV.

Top stories to come in SCI:
CDS short selling regulatory impact
US CMBS note auctions