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

Pipeline
The number of deals joining the pipeline last week was down on the week before as Thanksgiving arrived. The only newly announced ABS were NewDay Partnership Receivables Trust 2014-1 and NewDay Partnership Receivables Trust 2014-2.

There were also two ILS - US$200m Chesterfield Financial Holdings 2014-1 and US$200m Nakama Re Series 2014-2 - and five RMBS. The RMBS were: RUB2.5bn CJSC Mortgage Agent AkBars; Lanark Master Issuer 2014-2; RUB3.45bn Mortgage Agent ITB 2014; A$1bn Series 2014-2 WST Trust; and US$505m SWAY 2014-1.

€690m DECO 2014-BONN and C$224m MCAP CMBS 2014-1 accounted for the CMBS. Meanwhile, the new CLOs were US$497.295m ELM CLO 2014-1, US$400m ICG US CLO 2014-3 and US$510m Magnetite XI.

Pricings
While a reduced number of deals may have joined the pipeline, a remarkably high number priced. There were seven ABS, seven RMBS, five CMBS and seven CLO prints.

The ABS were: US$556.3m Apollo Aviation Securitization Equity Trust 2014-1; US$650m Citibank Credit Card Issuance Trust 2014-A9; US$350m KAL ABS 15; A$200m FP Turbo Series 2014-1 Trust; €798m FTA Santander Consumer Spain Auto 2014-1; US$152.5m Indiana Secondary Market Ford Education Loans Series 2014; and €1.5bn Sunrise Series 2014-2.

The RMBS were: €787m Arena NHG 2014-II; €700m BBVA RMBS 14 FTA; €2.072bn Fastnet Securities 10; US$285.9m FirstKey Mortgage Trust 2014-1; US$282.8m GSMBS 2014-EB1; A$460m Progress 2014-2 Trust; and US$644m RPMLT 2014-1.

The CMBS were: US$307.6m Colony 2014-FL2; US$1.3bn COMM 2014-UBS6; US$136.61m FREMF 2014-K717; US$1.25bn GSMS 2014-GC26; and US$510m Spirit Master Funding Securitization 2014-4.

Lastly, the CLOs were: US$410.79m ACAS CLO 2014-2; US$511m Ares XXXII CLO; €414m Avoca CLO XIII; €4.56bn FTA PYMES Santander 10; €310m Halcyon Loan Advisors European Funding 2014; US$415.6m KKR CLO 10; and US$405m Lockwood Grove 2014-1.

Markets
Last week marked the first week of the ECB's ABSPP, with the central bank understood to have made a modest start. The US Thanksgiving holiday impacted European activity, with BWIC volume at around half the level of the week before. Bank of America Merrill Lynch analysts note supply was high for European CMBS and UK RMBS.

In European RMBS, the successful placement of Arena NHG 2014-II was a significant boost for the Dutch market. Citibank analysts say it shows both that RMBS continues to be an attractive funding source with value to investors compared to Dutch covered bonds and that the ECB's purchase programme is likely to bring early benefits to core RMBS.

The US ABS market was active early in the week before shutting down for Thanksgiving, as SCI reported last week (SCI 26 November). There was more than US$100m out for the bid on ABS BWICs on Tuesday, with SCI's PriceABS data picking up a number of auto, credit card, equipment and student loan names in what proved a varied session.

Regulatory update
• The LSTA has filed suit against the US Fed and SEC, seeking relief for CLOs from the final risk retention rule and "to protect an important source of financing for American companies". The association says that it and the industry strongly believe that the agencies did not fulfil their legal responsibilities when finalising the rule.
• FIA Global has sent a letter to the Basel Committee urging it to consider how segregated margin is treated in the leverage calculations that determine bank capital requirements. FIA was joined on the letter by two other global trade associations - the World Federation of Exchanges and CCP12 - as well as four global central clearing counterparties: ICE, CME Group, LCH Clearnet Group and Eurex Group.
• The China Banking Regulatory Commission's (CBRC) decision to fine seven banks for violations in their credit card businesses signals its intent to tighten underwriting and risk management standards among commercial banks. This is positive for the performance of credit card portfolios and future credit card ABS in China, as it indicates that the regulator is moving pre-emptively to ensure portfolios supporting future ABS transactions will be kept pristine.
• The Hong Kong Monetary Authority (HKMA) and Securities and Futures Commission (SFC) have published the conclusions of a joint public consultation on the mandatory reporting and related record keeping obligations under the new OTC derivatives regime. The paper includes revised proposals following feedback from respondents.
• ISDA has published a set of key principles on the adequacy and structure of central counterparty loss-absorbing resources, and on CCP recovery and resolution. The paper identifies the key issues that need to be addressed and makes several recommendations on how to proceed.
• The ability of the ECB's ABSPP to provide capital relief to eurozone banks could hinge on its plans to buy mezzanine tranches. The capital impact of the ABSPP purchases at different parts of the capital structure is expected to vary with jurisdiction, underlying assets and the originating banks' approach to calculating credit risk.

Upcoming SCI events
• 12 December, London - SCI's 8th Annual Securitisation Pricing, Investment & Risk Seminar
Click here for more details

Deals added to the SCI New Issuance database last week:
Barclays Dryrock Issuance Trust Series 2014-4; American Credit Acceptance Receivables Trust 2014-3; American Express Credit Account Master Trust Series 2014-4; American Express Credit Account Master Trust Series 2014-5; AmeriCredit Automobile Receivables Trust 2014-4; Avoca Series 2014-1 RMBS; Barclays Dryrock Issuance Trust Series 2014-5; Cavalry CLO V; Cerberus Onshore II CLO-2; Chase Issuance Trust 2014-8; CIT Equipment Collateral 2014-VT1; CVC Cordatus Loan Fund IV; Diamond Resorts Owner Trust 2014-1; Dryden 36 Senior Loan Fund; Figueroa CLO 2014-1; Ford Credit Auto Owner Trust 2014-C; Golub CLO 21(M); Gracechurch Card Programme Funding Series 2014-2; Greywolf CLO IV; Hildene CLO III; Honda Auto Receivables 2014-4 Owner Trust; Jamestown CLO V; JGWPT XXXIII Series 2014-3; Navient Student Loan Trust 2014-8; Neuberger Berman CLO XVIII; Northwoods Capital XIV; Ocean Trails CLO V; Octagon Investment Partners XXII; OHA Loan Funding 2014-1; Precise Mortgage Funding 2014-2; Santander Drive Auto Receivables Trust 2014-5; Synchrony Credit Card Master Note Trust series 2014-1; TAL Advantage V Series 2014-3; Voya CLO 2014-4.