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

Pipeline
A handful of transactions entered the pipeline last week. Of these deals, two were SME securitisations (€3.1bn Foncaixa Consumo 1 and €5.64bn Santander Empresas 10), one was a CLO (US$419m Liberty Island Funding 2011-1) and the remainder were RMBS (A$750m Apollo series 2011-1 Trust and Lanark Master Issuer series 2011). Meanwhile, Investec is believed to have postponed Gemgarto 2011-1.

Pricings
The bulk of last week's prints were in the ABS sector, but two CLOs also priced - the US$275m Mill Creek CLO and the US$450m AMMC CLO IX. The ABS new issues comprised: €995m Cars Alliance Auto Loans Germany 2011-1; €600m SC Germany Auto 2011-2; Nkr5.77bn Bilkreditt 2; US$721m SLM Private Education Loan Trust 2011-C; and €287.6m Iccrea SME Cart.

Markets
A shortened trading week in the US due to Thanksgiving, combined with volatility elsewhere led to a quiet week in nearly all the European and US secondary structured finance markets.
Across the European ABS/MBS markets, expectations are that it will remain quiet until year-end, according to one trader. But he warns that there is too much volatility in the system at the moment to be certain about what the weeks ahead will bring.
He says: "One of those big uncertainties is whether or not a legacy holder might come out and have to move a big chunk of bonds by the end of the year. It is such a thin market that something like that could just blow it completely out."
US CMBS bucked the static trend, however, and in the three full trading days of last week the market's widening trend continued. By Wednesday's close, according to Treppwire, the benchmark GSMS 2007-GG10 A4 bond stood at 340bp over swaps, having closed the previous week at 321bp over.

Deal news
• RBS is currently marketing a synthetic CDO-like structure referencing the bank's counterparty credit risk from a portfolio of OTC derivatives trades. The deal - dubbed Score 2011-1 - is its first public counterparty risk securitisation since 2008.
• October was a busy month for European CMBS loan maturities, with 27 loans - totalling €2.71bn by balance - scheduled to repay. Only four repaid in full and on time, creating a number of considerations ahead of the glut of maturities expected next year.
• Moody's has completed its review of all European CLOs, which the rating agency initiated on 22 June in relation to its global CLO methodology update. The agency analysed 1067 tranches from 171 European CLO transactions originally totalling €46bn and upgraded 969 tranches originally totalling €40bn.
• Kroll Bond Rating Agency is seeking public comment on its US auto loan ABS rating methodology. The agency says its approach focuses on prevailing industry and credit trends, the integration of originator and servicer evaluations with the transaction analysis, and timely post-issuance surveillance of pool performance, servicer operations and market conditions.
• Enterprise is considering strategies to mitigate a financial covenant breach in the Unique securitisation once the fixed rate debt starts to amortise in 2014. Analysts suggest the fact that a number of options are available to the pub operator should be supportive for investors, even if the deal isn't working quite as expected.
• The special servicer for the Keops loan, securitised in Juno (Eclipse 2007-2), has confirmed that 129 of the 130 properties that were sold via auction have completed. The remaining property - valued at Skr78m - will be re-auctioned.
• In a move rarely seen in the CMBS market, HSBC has commenced a tender offer for all outstanding NEMUS 2006-1 class A to E bonds at a fixed price for each. Noteholders are required to tender by 2 December.
• RBS is seeking to modify the terms and conditions of Skye CLO 1, Solar Funding I and Lunar Funding I to allow it to purchase all of the notes outstanding before 31 January. The bank has announced a tender offer for the notes, with the amount to be paid for the notes determined via a modified Dutch auction procedure.
• The Bank of Ireland has announced tender offers for up to €1bn-equivalent, or 30% of the total outstanding amount, of Kildare Securities and Brunel Residential Mortgage Securitisation No.1. The move is aimed at providing liquidity to investors following the bank's decision not to call either deal on its step-up dates in March and April 2012.
• Cowen has been retained to act as liquidation agent for Diogenes CDO II. The collateral will be sold at six public sales on 6 December in New York.

Deals added to the SCI database last week:
Bella Trust 2011-3
Cronos Containers Program I series 2011-1
Discover Card Master Trust 2011-A4
Freddie Mac SPC Series K-704
GE Equipment Small Ticket series 2011-2
IM BES Empresas 2011-1
Iowa Student Loan Liquidity Corp series 2011-1
Ivy Hill Middle Market Credit Fund III
JPMCC 2011-FL1
Nordstrom Credit Card Master Note Trust II series 2011-1
Penarth Master Issuer 2011-2
Record Lion RMBS 2011-1
Volkswagen Auto Lease Trust 2011-A

Top stories to come in SCI:
2012 outlooks
European ABS relative value
US CLO manager trading strategies
Profile of Four Point Alliance