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

Pipeline
The pace of deals joining the pipeline noticeably slowed last week. At the final count there was one new ABS and one RMBS as well as three CMBS and three CLOs.

The ABS was US$302m Edsouth Indenture No.8 Series 2014-4 and the RMBS was RUB4bn Mortgage Agent Uralsib 03, while the CMBS were US$432.6m BAMLL 2014-FL1, US$615m BAMLL 2014-INLD and US$1.4bn JPMBB 2014-C26. The CLOs were US$500m Bowman Park CLO, US$500m Highbridge Loan Management 5-2015 and US$412.85m York CLO I.

Pricings
While a limited number of deals joined the pipeline, a significant number priced. There were eight ABS prints as well as one ILS, eight RMBS, nine CMBS and seven CLOs.

The ABS were: US$1bn AART 2014-3; US$325m California Republic Auto Receivables Trust 2014-4; US$268m CPSART 2014-D; US$267.5m CPS Auto Receivables Trust 2014-D; US$380.5m Eagle I Series 2014-1; US$90m FNA 2014-1 Trust; US$144m Gold Key Resorts 2014-1; and £293m NewDay Partnership Receivables Trust 2014-1. The solitary ILS was US$300m Chesterfield Financial Holdings 2014-1.

The eight RMBS consisted of: RUB6.588bn CJSC Mortgage Agent KHMB-2; A$300m ConQuest 2014-2 Trust; US$402.8m JPMMT 2014-IVR6; RUB5.92bn Mortgage Agent Absolut 3; RUB3.45bn Mortgage Agent ITB 2014; US$527m New Residential Mortgage Loan Trust 2014-3; A$600m Torrens Series 2014-2 Trust; and US$263m WinWater Mortgage Loan Trust 2014-3.

The CMBS were: US$650m Carefree Portfolio Trust 2014-CARE; US$512m CGCCRE 2014-FL2; C$283.7m CMLS Issuer Corp Series 2014-1; US$824.8m COMM 2014-CCRE21; €680m DECO 2014-BONN; US$1.38bn FREMF 2014-K41; US$504m JPMCC 2014-FL6; US$1.5bn MSBAM 2014-C19; and US$1.1bn WFCM 2014-LC18.

Lastly, the CLOs were: €375m Arbour CLO II; US$510m BlueMountain CLO 2014-4; US$412m Cutwater 2014-II; US$686m Madison Park Funding XV; US$561m Magnetite XI; €362m Rye Harbour CLO; and US$413.2m West CLO 2014-2.

Markets
US ABS secondary supply varied over the week, as SCI reported on Thursday (SCI 11 December). The mid-week session saw an increase of activity, yet total BWIC volume was still only US$266m, with SCI's PriceABS data clearly illustrating a strong bias toward auto ABS supply.

US non-agency RMBS supply started the week slowly but hit bid-list volume of more than US$800m on Tuesday (SCI 10 December). It was subprime and Alt-A collateral leading the way, although there were several DNTs.

In the US agency RMBS space, MBS underperformed as rates continued to rally amid an increase in risk aversion, note Barclays Capital analysts. They add: "Implied vols have also been drifting upwards, hurting mortgages further. Rates are not yet low enough to trigger significant supply, but further significant declines could do so."

US CMBS volume was over US$200m on Monday, after quiet sessions in the prior week. Secondary spreads were mixed and supply was split between pre- and post-crisis names.

US CLO BWIC volumes totalled around US$650m over the course of the week, with legacy deals accounting for around 60% of that. "In the 2.0 space, price action in the energy sector has led mezzanine tranches of deals with high concentrations to trade a bit wider. Overall, spreads remained unchanged compared to last week's levels," say Bank of America Merrill Lynch analysts.

Most of the European CLO secondary market supply was either front pay or mezzanine tranches close to becoming front pay. After a few weeks of relatively high supply in this part of the capital structure, and some spread widening, spreads held firm this week, despite some large blocks appearing," the BAML analysts add.

Deal news
• In what is believed to be the first case of a US CMBS 2.0 downgrade, Moody's has lowered five and affirmed seven classes of JPMCC 2010-C1. Approximately US$469m of bonds is affected by the move, which has been triggered by performance concerns.
• The Merrill Lynch RMBS MANA 2007-A2 and MLMI 2007-MLN1 respectively saw over US$8m and US$15m of subsequent recoveries in November's remittance. Most of the recoveries comprised make-whole loss payments, according to Barclays Capital RMBS analysts, and were made on only one of the collateral groups - group 2 for MLMI 2007-MLN1 and group 3 for MANA 2007-A2.
• While the disposed US CMBS loan balance continued to fall in November, a bounce in loss severity countered the drop, according to Trepp. JPMCC 2007-CB19 contributed the highest severity to the end-of-month numbers, with total losses for the deal reaching almost US$99.8m out of the US$129.8m outstanding balance for the liquidated loans.

Regulatory update
• A new report from the BIS states that a simple and transparent asset pool does not translate into mezzanine tranches that are simple to assess. The report sets out the view of policymakers that mezzanine securitisation tranches therefore require substantial safeguards, which should be proportionately much larger than those for the underlying assets.
• The Basel Committee has issued revisions to the securitisation framework that aim to address a number of shortcomings in the Basel 2 securitisation framework and to strengthen the capital standards for securitisation exposures. This framework, which will come into effect in January 2018, raises the risk weight floor for securitisation exposures to 15%.
• The Basel Committee and IOSCO have published a consultative document on criteria for identifying simple, transparent and comparable securitisations. The purpose of the criteria is to assist the financial industry's development of simple, transparent and comparable securitisations structures, as well as to help parties involved in a securitisation evaluate the risks of a particular transaction as part of their due diligence.
• The European Commission has adopted an implementing act that will extend the transitional period for capital requirements for EU banking groups' exposures to central counterparties (CCPs) under the Capital Requirements Regulation (CRR). The original transitional period was set to expire on 15 December.
• The Basel Committee has published a report assessing, under its regulatory consistency assessment programme (RCAP), the implementation of the Basel capital framework in the US and Europe. A key component of this programme is to assess the consistency and completeness of a jurisdiction's adopted standards and the significance of any deviations in the regulatory framework.
• Fitch says that it remains uncertain if securitised assets under China's Asset Backed Specific Plan (ABSP) can achieve bankruptcy remoteness from project managers. This is despite the China Securities Regulatory Commission (CSRC) publishing new provisions relating to the ABSP, effective in November (SCI 20 November).