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

Pipeline
Two ABS, two RMBS, two CMBS and six CLOs entered the pipeline last week. The ABS comprised FCT Ginkgo Compartment Sales Finance 2014-1 and Glacier Credit Card Trust Series 2014-1, while the RMBS were US$374m Agate Bay Mortgage Trust 2014-2 and STORM 2014-III.

The newly-announced CMBS were US$1.4bn CSMC 2014-USA and €250m DECO 2014-TULIP. The CLOs consisted of: US$510.5m ACIS CLO 2014-5; €308.25m Contego CLO II; US$500m Cent CLO 22; US$411.56m Flagship VIII; US$600m Octagon XXI; and US$450m Sound Harbor 2014-1.

Pricings
It was a very busy week for pricings. Together with 10 ABS and 10 CMBS, six CLOs printed.

The ABS pricings were: US$1.52bn Ally Auto Receivables Trust Series 2014-2; US$154.87m CarNow Auto Receivables Trust 2014-1; US$1.028bn Chrysler Capital Auto Receivables Trust 2014-B; US$1.1bn Citibank 2014-A8; US$349m Credit Acceptance Auto Loan Trust 2014-2; US$300m OSCAR US 2014-1; US$850m Porsche Innovative Lease Trust 2014-1; US$2.62bn SpringCastle Funding Asset-Backed Notes 2014-A; Turbo Finance 5; and US$215m Westgate Resorts 2014-1.

The CMBS prints comprised: US$1.236bn COMM 2014-LC17; US$425m COMM 2014-PAT; US$1.173bn FREMF 2014-K716; US$1.1bn GSMS 2014-GC24; US$1.162bn JPMBB 2014-C23; US$516.7m JPMCC 2014-FL5; US$911m MSBAM 2014-C18; US$525m MSC 2014-150E; US$473m Progress Residential 2014-SFR1; and US$871m WFRBS 2014-C23.

Finally, the €927.4m Atlantes SME No.4, US$461m Cedar Funding IV, US$400m LCM XVII, €361m Newhaven CLO, the refinanced US$349m Symphony CLO VIII and US$515m Thacher Park CLO transactions were issued.

Markets
The European ABS, MBS and CLO markets have been busy recently as they continue to benefit from the ECB bounce, although caution has begun to creep in (SCI 19 September). Bid-lists are including more DNTs and investors appear to be waiting to see whether there will be any surprises when the ECB clarifies its ABSPP plans in early October.

Meanwhile, US ABS BWICs included a variety of names last week, with Wednesday's session seeing aircraft, auto, credit card, student loan and timeshare ABS bonds out for the bid (SCI 18 September). SCI's PriceABS data captured paper from a range of vintages, including the ACAP 2000-1A A1 tranche and SOFI 2014-A A1 tranche.

US CMBS spreads tightened as there was strong new issue demand: a post-crisis record of five conduit transactions priced during the week. Barclays Capital CMBS analysts note that 2014 LCF tranches tightened by 2bp to swaps plus 84bp. In the vintage space, 2007 LCF duper tranches were flat at swaps plus 82bp and credit-levered AJ bonds tightened by 7bp to swaps plus 464bp.

US CLO secondary market activity was moderate, with BWIC volumes totalling about US$630m, report Bank of America Merrill Lynch analysts. Supply was split evenly between pre- and post-crisis deals, with bids for 2.0 bonds moving slightly weaker. Demand for 1.0 bonds and shorter-WAL notes remained strong as both real and fast money continued to search for shorter cashflows.

Deal news
• DSB Bank's Chapel and Monastery securitisations remain attractive following an update on their performance. CHAPE seniors have factored down more than 25% since late 2012, while MONAS has factored down 15%, with the bonds now trading three or four points higher.
• The US$19.5m Acropolis Gardens Realty Corp loan, securitised in WFRBS 2013-C15, has had its recently reported US$246,887 realised loss reversed (see SCI's CMBS loan events database). The loan was secured by a 612-unit cooperative residential building located in Astoria, New York.
• Natixis Factor expects the senior funding base for its FCT Factoring Asset Securitisation Transaction (FAST) to fall below the outstanding class A1 note balance this month, due to a combination of seasonality and temporary effects. A waiver of the class A1 note amortisation is therefore being contemplated.
• Punch bondholders have voted in favour of restructuring its capital structure. Most bonds are expected to rally strongly as a result.

Regulatory update
• FHFA director Mel Watt has reaffirmed the agency's intention to create a single TBA market for GSE securities. Although the industry has voiced concerns over the proposal, it could be a step towards rebuilding the private-label RMBS market.
• Trading under the new 2014 ISDA Credit Derivatives Definitions is now expected to begin for most standard credit default swap (CDS) contracts on 6 October. The new date was recommended by ISDA's Credit Steering Committee (CSC) to match the day on which the changes to existing trades under the ISDA 2014 Credit Derivatives Definitions Protocol take effect (SCI 15 September).
• IOSCO has published a consultation report, entitled 'Risk Mitigation Standards for Non-centrally Cleared OTC Derivatives', which proposes nine standards aimed at mitigating the risks in the non-centrally cleared OTC derivatives markets. The proposed risk mitigation standards would contribute to the G20 effort to strengthen the OTC derivatives market in the wake of the financial crisis.
• RAIT Financial Trust has agreed in principle to resolve a US SEC investigation concerning its subsidiary Taberna Capital Management (TCM). The investigation concerned exchange transactions conducted by TCM between March 2009 and November 2012 and on restructuring fees from issuers of securities held by Taberna securitisations relating to these transactions.
• A group of underwriters for IndyMac Bank RMBS have agreed to settle class-action claims concerning underwriting misrepresentations for US$340m. The underwriters in the case are Credit Suisse, Deutsche Bank, JPMorgan, RBS, Morgan Stanley and UBS.
• The US FHFA has agreed a settlement of US$550m with HSBC North America Holdings, related companies and specifically named individuals. The settlement resolves claims in the lawsuit 'FHFA v. HSBC North America Holdings Inc., et al.', alleging violations of federal, Virginia and District of Columbia securities laws in connection with private-label MBS purchased by Fannie Mae and Freddie Mac during 2005-2007.
• The US House of Representatives has passed a bill which includes the Barr Bill and three others. The Barr Bill was originally passed in April (SCI 30 April), yet while its reintroduction demonstrates continued support for it, the Senate is still not expected to agree to pass the bill.