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

Pipeline
A variety of deals joined the pipeline last week. In ABS there are two new deals: a US$494.1m deal secured by drugstore leases (CVS Lease-Backed Pass-Through Series 2011 Trust) and a A$90m Australian auto loan transaction (Liberty Series 2011-1 Auto). Additionally, Freddie Mac SPC Series K-016 (a US$1bn CMBS) and Tramline Re series 2011-1 (a US$75m catastrophe bond) hit the market.

Pricings
There was also a variety of pricings, including three US ABS deals (US$811m CNH Equipment Trust 2011-C, US$119.4 CPS Auto Receivables Trust 2011-C and US$189m JGWPT XXIV). In European ABS, a €913m auto ABS (FTA Santander Consumer Spain 2011-1) and a €1.93bn consumer loan ABS (Scandinavian Consumer Loans 2011-2) printed.
RMBS issuance comprised A$1.25bn Apollo Series 2011-1 Trust and €2.1bn Royal Street 2011-3, while there was also a single US CMBS (US$774m CCFRE CMT 2011-C2). Finally, four CLOs priced: US$320m Dryden XXII CLO, US$354m Flatiron CLO 2011-1, US$419m Liberty Island Funding 2011-1 and US$200m Start CLO VII.

Markets
Increasing focus on year-end appeared to be the main consideration across all structured finance sectors last week, despite the continuing volatility seen elsewhere in global markets on the back of economic and regulatory news. Consensus expectations appear to be that muted secondary structured finance flows will continue until next year, barring an unforeseen extreme event.
Indeed, the ABS market is maintaining the status quo heading into year-end, with pronounced bifurcation between benchmark and off-the-run names/sectors, according to JPMorgan ABS analysts. Over last week, they say: "We continued to see good secondary trading in high quality and liquid ABS, but weak spreads and minimal flows in everything else."
However, they add: "The FFELP ABS sector finally showed a few decent bids for longer 4-7 year bonds, but interest remained limited to the clean names and structures." Elsewhere, the JPM analysts highlight that stranded asset ABS spreads tightened across the curve by 3-5bp on the week, while US dollar UK RMBS widened by 5bp.
In the US, over the past few weeks the tone in non-agency RMBS has been modestly better, according to MBS analysts at Bank of America Merrill Lynch. "Investors have begun to return to some sectors where prices have fallen and fundamental value once again can be found. This has been primarily driven by hedge fund investors, who have returned to the alt-A floating rate and the option ARM sectors after prices there have come down by 20% in the worst cases since July," they say.
In US CMBS last week, Citi securitised products analysts say: "Spreads tightened a bit across the stack, but flows were muted as the market turned its attention to the final new issues of the year."
GG10 duper spreads opened the week with a 305/295 market and finished nearly unchanged at 310/295 by week's end. Yet, legacy dupers were marked 20bp tighter on the week, early 2.0 senior spreads tightened by 10bp and super-senior classes from more recent deals tightened by 5bp.
Meanwhile, the Citi analysts say that credit spreads were modestly tighter, albeit on very light flows. Generic AMs were marked in 25bp to 725bp, while new vintage triple-B spreads were in by 15bp to 665bp.
At the same time, in European CMBS there was not much BWIC activity, with total lists for the week comprised of three names, with a combined total outstanding face value of less than €10m, according to Deutsche Bank CRE debt analysts.
In the CLO sector, BAML CLO analysts say: "The erratic trading usually associated with year-end balance sheet repositioning means spreads have not moved materially, despite visibility obviously being hampered by the large quality differential in the bonds on offer. We see some early signs of compression within the mezz segment, with decent evidence of original triple-Bs settling in within the mid-to-high 800 DM range, while the top of the capital structure remained slightly heavier."

Deal news
• Having announced a fixed-price tender for all outstanding NEMUS 2006-1 bonds (SCI 22 November), HSBC in the end accepted purchase of only the class D note equal to £10m at the purchase price of 84% of par.
• Sandelman Partners is set to assign the collateral management agreement for Sandelman CRE CDO I to Petra Capital Management. Consent to the assignment from both the majority of the controlling class and the majority of the preferred shares holder has been obtained, as required by the transaction documents.
• Deerfield Capital Management is proposing to transfer its rights and obligations under the investment management agreement of Gillespie CLO to BNP Paribas. The transfer requires the consent of the controlling class (the class A1 and A2 notes together) and the subordinated noteholders, each acting by ordinary resolution.
• Plemont Portfolio Managers has entered into a transfer deed with respect to Kintyre CLO I, pursuant to which it has agreed to transfer the role of portfolio manager to BNP Paribas by way of novation. The move is subject to the satisfaction of a number of conditions, including the consent of the controlling class (class A noteholders) by extraordinary resolution.
• Stone Tower Debt Advisors has been retained to act as liquidation agent for Gulf Stream-Atlantic CDO 2007-1. The collateral will be sold to the best qualified bidders in one public sale, held in New York at 10am EST on 13 December.

Regulatory update
• Overly prescriptive swap execution facility (SEF) rules - specifically the 15-second rule and the five RFQ requirement - will have a negative impact on liquidity, according to a new TABB Group survey. Nevertheless, nearly three-quarters of respondents believe that SEF formation will be good for the swap market.
• A new Celent report suggests that the leading Asian economies have been quite active in pursuing centralised clearing for OTC derivatives. While trading will take place on a regulated platform and then be cleared by a CCP in the US and Europe, there are no regulations to move trading to regulated platforms in Asia and trading is still expected to occur on a bilateral basis.
• The ECB has increased the collateral available for use in its operations by extending its criteria for securitisations. RMBS and SME ABS may now be eligible if their 'second best' ratings are at least single-A.
• In light of the continuing stresses in financial markets, the Bank of England has introduced a new contingency liquidity facility, dubbed the Extended Collateral Term Repo (ECTR) Facility. UK banks and building societies will be able obtain liquidity against a wide range of collateral, including securitisations, under the scheme.
• The US federal bank regulatory agencies are seeking comment on a notice of proposed rulemaking (NPR) that would amend an earlier NPR, regarding references to credit ratings, announced in December 2010. The initial NPR proposed modifications to the agencies' market risk capital rules for banking organisations with significant trading activities.

Deals added to the SCI database last week:
AMMC CLO IX
Berica 10 Residential MBS
Bilkreditt 2
Cars Alliance Auto Loans Germany series 2011-1
Foncaixa Consumo 1
Fosse Master Issuer 2011-2
FTA Santander Empresas 10
Goldfish Master Issuer series 2011-1
IDOL Trust 2011-2
Mill Creek CLO
Miramax Film Library Securitization Trust 2011-1
Quadrivio Finance 2011-1
SC Germany Auto 2011-2
Siena SME 2011-1
SLM Private Education Loan Trust 2011-C
Stichting Orange Lion 2011-6
Voba 3

Top stories to come in SCI:
2012 outlooks: Asian ABS and structured credit; European ABS; US ABS; CLOs; CMBS; and credit derivatives.