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

Pipeline
A lot of deals joined the pipeline in the last full week before Thanksgiving. Unlike previous weeks it was not ABS leading the way - there were two new ABS deals added, along with two ILS, six RMBS, seven CMBS and six CLOs.

US$159m DFCF 2014-1 and €800m FTA Santander Consumer Spain Auto 2014-1 were the two ABS. They were joined by the US$300m Tradewynd Re Series 2014-1 and US$150m Tramline Re II Series 2014-1 ILS deals.

The RMBS were: A$276m Barton Series 2014-1; €700m BBVA RMBS 14 FTA; US$285.9m FirstKey Mortgage Trust 2014-1; US$344m Nationstar HECM Series 2014-1; A$460m Progress 2014-2 Trust; and RPMLT 2014-1.

The CMBS were: US$512m CGCCRE 2014-FL2; C$283.7m CMLS Issuer Corp Series 2014-1; US$557.1m COMM 2014-FL5; 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.

As for the CLOs, those consisted of: US$500m Ares XXXII CLO; Carlyle Global Market Strategies Euro CLO 2014-4; Halcyon Loan Advisors European Funding 2014; US$400m KKR CLO 10; US$510.215m OZLM IX; and US$410.5m West CLO 2014-2.

Pricings
Even more deals priced during the week. In this regard ABS did lead the way with 11 prints, while there was also an ILS as well as four RMBS, three RMBS and six CLOs.

The ABS were: US$178m American Credit Acceptance Receivables Trust 2014-3; US$1bn CHAIT 2014-A8; US$750m CIT Equipment Collateral 2014-VT1; US$250m Dryrock Issuance Trust Series 2014-4; US$250m Dryrock Issuance Trust Series 2014-5; US$1.57bn Ford Credit Auto Owner Trust 2014-C; US$1.025bn Honda Auto Receivables 2014-4; US$207.5m JGWPT XXXIII Series 2014-3; US$1.016bn Navient Student Loan Trust 2014-8; US$1bn SDART 2014-5; and US$266m TAL Advantage 2014-3.

US$100m Residential Re 2014-2 was the ILS. The RMBS, meanwhile, were US$1.449bn CAS 2014-C04, €897.6m FCT ELIDE Compartiment 2014-01, €7.5bn FTA RMBS Santander 3 and A$400m Liberty Series 2014-2 Trust.

The CMBS were US$530m American Homes 4 Rent 2014-SFR3, US$450m LCCM 2014-LKMD and US$900m WFRBS 2014-C25. Lastly, the CLOs were: US$368.5m Calvary CLO 2014-5; US$406m Cerberus Onshore II CLO 2014-2; €400m Cordatus Loan Fund IV; US$413m Figueroa 2014-1; US$361.2m Hildene CLO III; and US$507.3m Northwoods Capital XIV.

Markets
The US ABS market started to shift into year-end mode last week, according to JPMorgan analysts, with a final push to clear out the pipeline in the primary market and investors losing focus in secondary. "The last batch of 2014 vintage ABS was absorbed at decent spread levels, which were still back of the tights seen this year and in from the recent wides. In secondary, investor demand and focus were scattered and mixed with pockets of demand (very specific buy axes) as well as general disinterest (year-end malaise settling in)," they say.

As for US non-agency RMBS, several busy secondary market sessions saw significant BWIC supply, as SCI reported on Thursday (SCI 20 November). Tuesday's supply was boosted by a US$1.3bn list in the morning and a US$753m list in the afternoon, while there was also over US$1bn out for the bid on Wednesday.

US CMBS spreads widened as multiple deals came to market, with Barclays Capital analysts noting that the CMBS market was largely in line with the credit market, where spreads also leaked wider. "New issue dupers were flat at swaps 86bp and, lower in the capital stack, 2014 dupers were 2bp wider at swaps plus 329bp. In the legacy space, spreads were unchanged; 07 dupers are at swaps plus 86bp and 07 AJs are at swaps plus 488bp," they report.

European CMBS secondary supply was also elevated, as SCI reported (SCI 18 November). A degree of weakness appeared to be setting in, with one trader noting that clients were largely waiting for the ECB's Thursday update (SCI 20 November).

Lastly, the European CLO market was similarly focused on the ECB, but did have a large list due on Wednesday to look forward to, as SCI reported at the start of the week (SCI 17 November). "It has been really quiet again," says one trader. "We have been looking increasingly at US paper because the supply in Europe has been weak."

Deal news
• Enterprise Inns' latest results show income growth across the portfolio. With portfolio performance stabilised, the likelihood that the firm will look to reduce the amortisation profile on its Unique securitisation through a tender or exchange programme has increased, say Barclays Capital analysts.
• The US$240m Westfield Centro Portfolio, securitised in JPMCC 2006-LDP7, has received an updated appraisal at US$139m in November remittance after transferring to special servicing in May 2014. The appraisal represents a steep fall from the appraisal at origination in 2006 and threatens AJ shortfalls and heavy losses or a large hope note modification for the trust, according to Barclays Capital analysts.
• Cutwater Asset Management Corp will continue to manage its seven CDOs, despite a change in control being triggered by the purchase of ownership interests in Cutwater Holdings by Bank of New York Mellon. Fitch confirms that Cutwater will operate as part of BNY Mellon Investment Management and will be administered by Insight Investment Management. Cutwater is the collateral manager for Acacia CDO 6, Coronado CDO, Fulton Street CDO, Mulberry Street CDO, Mulberry Street CDO II, Oceanview CBO I and Reservoir Funding.
• A number of changes have been proposed to the Arkle and Permanent master trust programmes. The moves are not expected to have a negative rating impact on the rated notes of the programmes.
• Abengoa's five-year CDS spiked 128% last week, according to Fitch Solutions. This follows a results call in which the company's management said debt raised by its Abengoa Greenfield subsidiary would be considered non-recourse and would not be included in its corporate leverage metrics.
• Five-year CDS on Petroleo Brasileiro SA (Petrobras) widened out 21% last week to price at the widest levels observed since early 2009, according to Fitch Solutions. This follows a number of alleged improprieties among some of Petrobras' senior management.

Regulatory update
• The implementation of the ABSPP has entered into force, following yesterday's (19 November) publication of the ECB's decision regarding the programme. The decision outlines the scope and eligibility criteria of the central bank's outright purchases.
• Questions remain over whether Chinese securitised assets under the Asset Backed Specific Plan (ABSP) can be ring-fenced for the ABSP's creditors in a bankruptcy ruling, Moody's reports. This is despite proposed changes by the China Securities Regulatory Commission (CSRC) in September.
• IOSCO has published a consultation report which seeks to analyse the potential impact of mandatory post-trade transparency in the CDS market. The report reaches a preliminary conclusion that the introduction of mandatory post-trade transparency has not had a substantial effect on market risk exposure or activity for CDS products.
• A new ruling by the Nevada Supreme Court is forcing participants in the single-family residential market to examine their exposure to delinquent Homeowners Association (HOA) fees to ensure that fees, fines and assessments are paid on time. The ruling - SFR Investments Pool 1, LLC v. U.S. Bank - could be troubling for the single-family residential lending market, potentially affecting both agency and private-label securitisations, says Morningstar.

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 CMBS Loan Events database last week:
BACM 2006-2; BSCM 2006-PWR11; BSCMS 2006-PW14; BSCMS 2006-T22; BSCMS 2007-T28; COMM 2012-CR5; CSMC 2006-C5; CWCI 2006-C1; ECLIP 2006-4; ECLIP 2007-2; EURO 23; EURO 25; EURO 28; GSMS 2006-GG6; JPMCC 2001-CIB2; JPMCC 2006-CIBC15; JPMCC 2006-LDP7; JPMCC 2007-LD11; JPMCC 2007-LD12; LBUBS 2006-C1; MESDG CHAR; MLMT 2007-C1; MSC 2005-HQ7; MSC 2007-HQ11; MSC 2007-IQ16; TITN 2007-1; TMAN 6; TMAN 7; WBCMT 2006-C25