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

Pipeline
Last week was the busiest the pipeline has been for a while, largely due to five new CMBS being announced. There were also four new CLOs, three ABS, two ILS and an RMBS.

The CMBS were US$240m Citigroup Commercial Mortgage Trust 2013-SMP, US$342m COMM 2013-GAM, US$1.07bn FREMF 2013-K502, US$275m LCCM 2013-GCP and US$160m MSC 2013-ALTM. The newly-announced CLOs consisted of US$400m Denali Capital CLO X, €315.8m Dryden CLO XXVII, US$350m NXT Capital CLO 2013-1 and US$576m Venture XIII CLO.

The ABS were US$20.9m Newtek Small Business Loan Trust 2013-1, US$67.5m RISLA 2013 Senior Series A and €549m SC Germany Auto 2013-1 UG and the ILS were US$250m Merna Re IV series 2013-1 and US$200m Tar Heel Re series 2013-1. Finally, the RMBS was A$500m RESIMAC Premier Series 2013-1.

Pricings
It was also a decent week for CMBS issuance. There were four CMBS prints, four CLOs, four ABS, an ILS and two RMBS.

The CMBS were US$500m and US$1.3bn American Tower Trust I Secured Tower Revenue Securities Series 2013-1A and Series 2013-1B, as well as the £800m Intu (SGS) Finance 2013 series 1 and US$1.2bn WFRBS 2013-C12.

The CLOs were US$898.7m Ares XXVI CLO, US$413m Greywolf CLO II, US$791m ICE 3 Global Credit CLO and US$512m OCP CLO III.

US$250m CLI Funding V Series 2013-1, US$100m Collateralized Servicer Advance Receivables Trust Series 2013-MM1, US$700m Enterprise Fleet Financing Series 2013-1 and US$1.27bn Santander Drive Auto Receivables Trust 2013-2 accounted for the ABS. The ILS was US$200m Caelus Re 2013.

Lastly, the RMBS were US$600.2m Sequioa Mortgage Trust 2013-3 and A$500m Triton Trust No.2 Bond Series 2013-1.

Markets
The US RMBS market saw non-agency secondary supply tail off towards the end of the week, as SCI reported on Friday (SCI 8 March 2013). SCI's PriceABS data revealed a good deal of Countrywide paper circulating during Thursday's session and showed tranches such as CWL 2005-4 MV5 and CWL 2006-12 M1 talked in the mid/high-20s and in the low single-digits, respectively.

The US CMBS market ended the week slightly tighter, with 2007 LCFs compressing 2bp and 2007 AJs up half a point. Barclays Capital CMBS analysts note that 3.0 spreads went lower during the week, but remain well wider than the January tights. 2007 Dupers finished the week at swaps plus 118bp, 2bp tighter than they started the week. Generic 2007 AMs tightened 5bp to swap plus 235bp.

A slow start to the week also affected US ABS, as SCI reported (SCI 5 March 2013). There were several student loan tranches out during Monday's limited session, with PriceABS showing a large piece of GCOE 2006-1 A11L being talked in the low/mid-90s.

It was a case of mild mezzanine weakening for the European CLO market. One trader reports that single-As are now trading about 50DM wider, although more senior paper and strong equity both remain well bid.

"In February, everything was below 400DM. But now we have also seen a Euro Galaxy single-A being offered at 450DM. That is a good bond, so there has been definite weakening in the market. In February you would never have seen anyone putting an offer at 450DM on a good single-A," the trader says.

Deal news
• Fitch has downgraded Alburn Real Estate Capital (REC 6)'s class A, B and C notes and affirmed the class D and E notes. The CMBS tranches are now all rated single-C, reflecting the insufficient residual collateral value in the transaction to repay the class A notes in full by their maturity in October 2016.
• Provisional changes to the Markit CDX IG index constituents have been published ahead of the roll to Series 20. The new index is scheduled to start trading on 20 March.
• Seasoned Sallie Mae private student loan subordinated paper, having recently traded in the 675bp-700bp area, is expected to gap in on the back of last week's pricing of a subordinated SLMA tranche. Described as an "excellent" print by ABS analysts at JPMorgan, the US$132m 5.66-year A2/A rated SLM Private Education Loan Trust 2013-A class Bs came at swaps plus 238bp, notably tighter than initial guidance.
• Investors last week received monies from the redemption of nine of the outstanding Lehman Brothers Dante Series CDOs, bringing a 4.5-year legal battle to an end. The average pay-out was 99.8 cents on the dollar, with individual security redemptions varying between 86 and 112, according to a recent Structured Credit Research & Advisory client memo.
• Northern Rock (Asset Management) last week filed a lawsuit in the Supreme Court of the State of New York against several UBS entities in connection with the Kleros Preferred Funding VI CDO. The firm alleges that UBS sold it US$48.5m of Kleros VI notes knowing that the underlying assets were 'toxic'.

Regulatory update
• Mandatory swap clearing in the US for four categories of CDX and iTraxx CDS will begin next week. Even with that deadline looming large, a significant number of managers are understood to remain unready for the changes.
• The final hearing on Bank of America's proposed US$8.5bn settlement over alleged rep and warranties breaches on Countrywide loans is scheduled for 30 May. The New York State Supreme Court has given all parties until 3 May to file briefs in support or opposition of the settlement.
• Bank of America last week made public a July 2012 settlement agreement with the New York Fed, in which the bank was released from all fraud claims on mortgage securities that the Fed purchased when it bailed out AIG in 2008. Bank of America filed the settlement agreement in a Los Angeles federal court, where it is a defendant in a lawsuit that AIG filed accusing the bank of misrepresenting the quality of more than US$28bn of securities that AIG purchased.
• The regulatory technical standards under the European Market Infrastructure Regulation (EMIR) were published last week, with the deadline for a number of requirements under the regulation confirmed as 15 March. Under the rules, non-financial end users will be required to clear transactions if their derivatives activity exceeds thresholds of €1bn-€3bn (after hedging), depending on the asset class.
• The OCC and the US Federal Reserve have released amendments to their enforcement actions against 13 mortgage servicers for deficient practices in mortgage loan servicing and foreclosure processing. The amendments require the servicers to provide US$9.3bn in payments and other assistance to borrowers.
• SIFMA, ISDA and the Managed Funds Association (MFA) have released a summary of results from a member survey, where over 84% of respondents indicated that the five request for quotes (RFQ) rule proposed by the CFTC would result in increased transaction costs. Additionally, nearly 70% of respondents indicated they would migrate to other markets if required to post five RFQs.

Deals added to the SCI database last week:
ACIS CLO 2013-1; ALBA 4; Cabela's Credit Card Master Note Trust Series 2013-I; Caelus Re 2013; CIFC Funding 2013-I; CSMC Trust 2013-TH1; Direct Capital Funding IV series 2013-1; Fortress Credit BSL; Hyundai Auto Lease Securitization Trust 2013-A; IM Grupo Banco Popular Empresas V; Institutional Mortgage Capital series 2013-3; Medallion Trust series 2013-1; Sequoia Mortgage Trust 2013-3; SGE Funding Trust No. 1 Repo Series No. 1; SLM Private Education Loan Trust 2013-A; TICC CLO 2012-1; Triton Trust No.2 Bond series 2013-1.

Deals added to the SCI CMBS Loan Events database last week:
BACM 2006-2; BSCMS 2006-PW12; CSFB 2004-C5; CSFB 2005-C2; CSMC 2006-C4; ECLIP 2006-2; GRND 1; GSMS 07-GG10, LBUBS 04-C1 & BACM 06-3; JPMCC 2003-CIBC7; JPMCC 2004-CB8; LBCMT 2007-C3; MSC 2011-C1; OPERA CMH; RIVOL 2006-1; TAURS 2006-2; TITN 2006-3; TMAN 6; TMAN 7; Various; WBCMT 2006-C27; WFRBS 2011-C3; WFRBS 2012-C6.

Top stories to come in SCI:
Focus on European CLOs
Progress report on European OTC derivatives regulation
Credit fund strategies update
The relationship between CVA and single-name CDS