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

Pipeline
August ended with a quiet week, as just three new deals joined the pipeline. These consisted of two ABS and one CLO.

The ABS were US$275m California Republic Auto Receivables Trust 2014-3 and €800m Silver Arrow Compartment 5. The CLO was the US$349m Symphony CLO VIII refinancing.

Pricings
There were a few more deals leaving the pipeline, with two ABS, an RMBS, a CMBS and four CLOs pricing.

The ABS comprised US$675.57m Capital Auto Receivables Asset Trust 2014-3 and US$1.01bn John Deere Owner Trust 2014-B. The RMBS was A$4bn Medallion Trust Series 2014-2.

€237mn Pangea Funding 1 was the sole CMBS print. Finally, the US$612.05m BlueMountain 2014-3, US$626.5m CIFC Funding 2014-4, US$879.1m ECP CLO 2014-6 and US$413m Octagon Loan Funding CLOs rounded the new issuance out.

Markets
US CMBS BWIC volume was generally light last week ahead of the Labor Day holiday, as SCI reported on Friday. Thursday's bid-list volume came to around US$72m as a mixed bag of bonds were out for the bid, with SCI's PriceABS data capturing several 2006-vintage names in particular.

The US non-agency RMBS market was steady last week, despite lighter market activity, according to Wells Fargo MBS analysts. The FHFA's settlement with Goldman Sachs (SCI 26 August) is expected to have only a limited impact on the market, as the analysts predict most of the securities purchased by Goldman Sachs will not be traded in the secondary market.

US ABS spreads widened again last week, continuing to reverse the tightening that has occurred for most of the year. "Across traditional ABS sectors, spreads are now in line with where they started the year. Nevertheless, year-to-date ABS returns are still respectable, with excess returns versus Treasuries through August 27 at 46bp and 152bp for the Barclays fixed- and floating-rate ABS indices," note Barclays Capital ABS analysts.

The European CMBS market was also fairly subdued, Bank of America Merrill Lynch securitisation analysts observe, as a result of many market participants leaving for holiday and others holding inventory in expectation of greater demand in September. "Even though volumes are light, we think bidders are closing the gap towards offer prices and we expect pricing to rally on stronger demand in September, barring new macro concerns," they add.

Deal news
• ECB president Mario Draghi's Jackson Hole address has reinvigorated the QE debate. Confirmation that preparations for outright ABS purchases are progressing quickly is being seen as a clear positive for senior peripheral European RMBS bonds, for which the summer correction has provided attractive levels for investors to re-enter the trade.
• The Countrywide shelf could face the brunt of increased principal modification rates, if Bank of America pursues a strategy of aggressively modifying loans in RMBS deals to fulfil the requirements of its Department of Justice settlement (SCI 27 August). This is because the bank has sold the servicing rights for most of the BOAMS, BAFC, FFML, FFMER and MLMI shelves.
• A recent Wells Fargo analysis suggests that cash-out loans with lower FICO scores show the highest delinquencies across GSE risk-sharing securitisations. By taking the cash-out delinquency trend into consideration and applying a pre-defined historical credit event rate to the remaining collateral, RMBS strategists at the bank estimate that cumulative credit events for risk-sharing deals will range from about 3.4% to 6%.
• Five firms have so far completed eight transactions for US$4.4bn in the single-family rental (SFR) securitisation market's first year. Growth in the sector is slowing, however, as the stock of distressed properties lessens and foreclosure timelines in judicial states lengthen.
• The liquidation last month of the US$19.5m Acropolis Gardens Realty Corp loan, securitised in WFRBS 2013-C15, is being seen as an unwelcome precedent for the CMBS market. The loan was resolved with a 1.3% loss, while repaying US$1.5m of prepayment penalties to the XA tranche - about half of the US$3.2m yield maintenance penalty due (see SCI's CMBS loan events database).
• The EMF-UK 2008-1 non-conforming RMBS has been restructured. Up until July 2014, the issuer had received distributions in respect of stipulated claims totalling US$35m and the remaining claims were monetised in an auction on 24 July, culminating in sales proceeds worth US$15.3m.
• Amortisation across US CLO 1.0 deals is positively impacting overcollateralisation cushions, according to a recent JPMorgan study. The US 2005-2006 vintage average senior/subordination level stands at 33.4%/6.8% versus US 2007 vintage at 16.5%/4.7%.
• Staples confirmed in its 2Q14 earnings results that it expects to close approximately 140 stores in North America this year, 80 of which have already been closed during the second quarter. Around 13 of the properties identified are believed to collateralise CMBS conduit loans.

Regulatory update
• The US SEC last week unanimously adopted final rules under Regulation AB 2 that substantially revise the offering process, disclosure and reporting requirements for registered offerings of ABS. It also adopted new requirements for nationally recognised statistical rating organisations to enhance governance, protect against conflicts of interest and increase transparency around credit ratings.
• The US SEC has approved amendments to TRACE dissemination rules, stipulating that CUSIP-level prices and trade sizes be publicly disclosed on ABS trades starting on 27 April 2015. CMBS, RMBS, CLOs, CDOs and SBA deals are excluded from the rules.
• The US Fed is to hold an open meeting on 3 September to vote on final regulations implementing the liquidity coverage ratio (LCR) requirement in the US. Proposed rulemaking regarding margin requirements for non-cleared swaps will also be discussed during the meeting. The FDIC is to also discuss changes to the supplementary leverage ratio (SLR).
• The FHFA has reached a settlement with Goldman Sachs, related companies and certain named individuals. The settlement addresses claims alleging violations of federal and state securities laws in connection with private-label MBS purchased by Fannie Mae and Freddie Mac between 2005 and 2007.
• Ocwen disclosed in its 2Q14 10-Q that it had received an SEC subpoena related to its dealings with and interests in Altisource, HLSS and AAMC. The filing also stated that the SEC plans to issue the servicer with another subpoena related to the recent amendments to its financial filings (SCI 19 August).

Deals added to the SCI New Issuance database last week:
American Residential Properties 2014-SFR1 Trust; AmeriCredit Automobile Receivables Trust 2014-3; Arena NHG 2014-1; Arrowpoint CLO 2014-3; Babson CLO 2014-II; BAMLL 2014-520M; BBCMS 2014-BXO; BHMS 2014-ATLS; Black Diamond CLO 2014-1; Catamaran CLO 2014-2; Cavalry CLO IV; COMM 2014-FL4; Ford Credit Floorplan Master Owner Trust A Series 2014-4; KVK CLO 2014-3; Macquarie Equipment Funding Trust 2014-A; Medallion Trust Series 2014-2; Monroe Capital CLO 2014-1; Taurus 2014-FR1.

Deals added to the SCI CMBS Loan Events database last week:
BACM 2006-4; BACM 2006-5; BSCMS 2006-PW13; BSCMS 2007-PW15; CD 2006-CD3; CD 2007-CD4; CD 2007-CD5; CGCMT 2007-C6; CSFB 2001-CP4; CSMC 2006-C4; EPC 3; GCCFC 2005-GG3; GECMC 2005-C1; GSMS 2007-GG10; GSMS 2010-C1; GSMS 2012-GCJ7; JPMCC 2006-LDP9; JPMCC 2007-LDPX; LBUBS 2005-C5; LBUBS 2005-C7; LEMES 2006-1; MLCFC 2006-3; MSC 2007-T25; MSC 2011-C2; PNCMA 2000-C2; TITN 2007-CT1; WBCMT 2005-C17; WBCMT 2005-C18; WBCMT 2006-C26; WBCMT 2006-C28; WINDM X.