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

Pipeline
A CMBS (US$1.09bn WFRBS 2011-C5), a catastrophe bond (US$50m Successor X series 2011-3), a prime RMBS (A$480m Torrens Series 2011-2) and an SME CLO (€1.3bn IM Banco Popular FTPYME) remained in the pipeline at the end of last week.

Pricings
Consumer ABS dominated last week's pricings, with the US$900m AmeriCredit Auto Receivables Trust 2011-5, the US$757.84m Ford Credit Auto Lease Trust 2011-B and the US$223.54m Navistar Financial Dealer Note Master Owner Trust II series 2011-1 all hitting the market. In addition, the US$825m Golden Credit Card Trust 2011-2 printed.
A couple of more esoteric deals were also issued: the US$199.8m SVO VOI Mortgage Corp 2011-A (time share) and US$250m CLI Funding 2011-2 (containers). And a couple of jumbo RMBS printed: the US$4.2bn-equivalent Permanent Master Issuer 2011-2 and the US$20.37bn-equivalent Oceanarium Master Issuer 2011-1. Finally, two SME CLOs priced: the €1.5bn IM FTPYME Sabadell 9 and the €9.29bn Impresa One 2011.

Markets
Most structured finance secondary markets, US ABS aside, were boosted to a greater or lesser extent last week by the eurozone deal announcement on Thursday.
The ABS market remained bifurcated, with cash surrogates firm or improving and down-in-credit bonds under supply pressure, according to ABS analysts at JPMorgan. In particular, they note that non-benchmark asset classes and subordinate bonds in the primary market continued to offer concessions due to the combination of soft demand and sizeable supply. "Our indicative ABS spreads stood mostly unchanged on the week," the JPM analysts add.
The US CMBS market saw a dramatic rally on the back of the announcement, according to Citi securitised products analysts. They report that GG10 dupers were trading at around 300bp over swaps late Friday, 85bp tighter than a week before, and generic legacy dupers at 265bp - 90bp tighter compared to the previous week.
"AMs are also up a few points (775bp over swaps compared to 950bp a week ago). CMBS 2.0 triple-As are now trading around 155bp over swaps, compared to 190bp last week," the Citi analysts say.
In European CMBS BWIC volumes remained muted at just under €20m current face for the week, with weaker names not trading, according to CRE debt analysts at Deutsche Bank. However, they add that volumes in OTC trading were significantly stronger compared to prior weeks, both in the run up to and after Thursday's sovereign debt agreement.
"The majority of activity was in mezzanine names, with arguably the biggest relative widening since May being the basis between A1 and A2. Currently, the basis in many transactions is 20 points, when in the past 10 points would be much more common," the Deutsche analysts note.
At the same time, MBS analysts at Bank of America Merrill Lynch say that non-agency MBS prices were up on the week. "Bids, offers and clearing levels indicate a 2-3 point uptick in bonds backed by dirtier alt-A collateral, for instance," they comment.
However, the BAML analysts add: "To be clear, the strong move in prices pales in comparison to the beating that the non-agency sector has taken over the summer and into the fall, especially in the more distressed sectors. There, we think a bond-by-bond analysis should yield fruitful investment opportunities for investors. Indeed, our sense from the investment community is that sentiment bears more resemblance to the end of 2008 and start of 2009 than at any time since: most investors agree that there is opportunity to achieve very good returns over a longer horizon, but relatively few have the penchant to commit capital given poor price action."
Meanwhile, the steady run-up in loan prices over the past three weeks continues to bring back the CLO undervaluation theme, note BAML CLO analysts. "With the cloud of uncertainty out of Europe lifted for now, we expect investors will refocus on the still robust performance story and on cheapened valuations, and this should support prices across the capital structure. We move back to an overweight on CLOs," they say.

Deal news
• Demand for simple Australian structured credit products is increasing - albeit from a low level - as investors search further afield for yield. At the same time, issuance of these products offers banks an opportunity to attract a new source of funding while other avenues, such as securitisation, remain relatively subdued.
• The UK commercial real estate lending market is built on convention and at present the convention is for floating rate loans. But limited refinancing options and the emergence of a new breed of originators are driving increased acceptance of fixed rate loans in European CMBS.
• The number of 'problem banks' monitored by the FDIC dropped in the second quarter from 888 to 865 - the first decrease since the financial crisis began - which should mean fewer new defaults in Trups CDOs. Although the market is not declaring a recovery just yet, questions are being asked about the accuracy of current ratings in the sector.
• Apollo Global Management has named the approved replacements to the key persons in the collateral management agreements for the 10 CLOs it acquired via its purchase of Gulf Stream Asset Management (SCI 8 July).
• Miramax Film NY is to refinance its outstanding indebtedness with a film rights and contracted receivables ABS dubbed Miramax Film-Library Securitization. The transaction is expected to close in 4Q11.

Regulatory update
• The FHFA and GSEs Fannie Mae and Freddie Mac announced a long-anticipated series of changes to HARP (SCI passim), designed to encourage more eligible borrowers to refinance. Up to three million borrowers could take advantage of the changes, with prepayment speeds expected to rise dramatically as a result.

Deals added to the SCI database last week:
Arran Cards Funding 2011-A
Atrium VII
Cabela's Credit Card Master Note Trust 2011-IV
Carismi Finance 2011
Empresas Banesto 6
FCT Domos 2011-A
FCT Domos 2011-B
FCT Ginkgo Sales Finance 201-1

Top stories to come in SCI:
US auto ABS issuance
US RMBS servicing
Development of European loan-level data
European CMBS refinancing trends