Monday 28 April 2014 11:15 London/ 06.15 New York/ 19.15 Tokyo

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

Pipeline
Several new deals joined the pipeline last week once Easter had passed. Among them were an ABS and two ILS, as well as three CLOs, five RMBS and five CMBS.

The newly-announced ABS was US$134m PFS Tax Lien Trust 2014-1, while the ILS were US$150m Armor Re Series 2014-1 and US$600m Sanders Re Series 2014-1. The CLOs, meanwhile, comprised €300m Arbour CLO, US$360.75m Ares XXX and US$518.91m LCM XVI.

The RMBS entrants consisted of: CAS 2014-C02; €1bn CFHL-1 2014; Genesis Trust II Series 2014-1; £510m Moorgate Funding 2014-1; and £242.5m Newstone Mortgage Securities No.1.

Finally, US$1.2bn COMM 2014-CCRE17, US$1.4bn JPMBB 2014-C19, US$535m PFP III 2014-1, US$126.2m RIAL Series 2014-LT5 and US$1.3bn WFRBS 2014-C20 joined the pipeline.

Pricings
Fewer deals priced post-Easter. Together with two ABS and one RMBS, four ILS printed during the week.

The ABS new issues were US$719.8m Nelnet Student Loan Trust 2014-3 and US$1.25bn Volkswagen Auto Loan Enhanced Trust 2014-1, while the RMBS was A$700m Integrity Series 2014-1 Trust. The ILS prints comprised: US$50m Citrus Re Series 2014-2; US$1.5bn Everglades Re Series 2014-I; US$250m Kilimanjaro Re Series 2014-1; and €190m Lion I Re.

Markets
US CMBS
secondary market spreads were largely unchanged last week, although legacy conduit fixed AMs and AJs tightened a little in the middle of the week, as SCI reported on 24 April. SCI's PriceABS data recorded a wealth of pre-crisis paper out for the bid during Wednesday's session, but also picked up more recently issued tranches, such as COMM 2014-UBS2 D and GSMS 2014-NEW D.

The dearth of US RMBS secondary market activity (SCI 25 April) continued last week, with Tuesday's session marking a slight pick-up in activity (SCI 23 April). Focus during that session was on Alt-A hybrids and option ARMs.

Meanwhile, the US ABS market started the week more positively, as SCI reported on 22 April. Monday's increase in supply was driven by auto ABS paper, with BWIC volume reaching around US$70m. Equipment and whole business tranches were also circulating on bid-lists.

Secondary market activity in the European CLO market was limited last week, note Bank of America Merrill Lynch analysts. "Much of the trading activity was in off-the-run bonds. Overall spreads appeared to move sideways at the double-A and single-A levels, based on the few bonds that traded, while triple-B spreads appeared to widen slightly," they add.

The European ABS and RMBS markets were also quiet. JPMorgan analysts comment: "Spreads closed the week unchanged on thinner flows, as the market remains in holiday mode after the long weekend."

Deal news
• Anticipation is growing over similar settlements occurring for Morgan Stanley and Wells Fargo RMBS shelves, following the US$1.13bn Gibbs & Bruns agreement with Citi (SCI 8 April). Some senior CMLTI RMBS bonds appear to already be pricing in a 60%-70% probability of trustees accepting the latter agreement.
• BNP Paribas, BPCE, Crédit Agricole, HSBC and SG have established Euro Secured Notes Issuer (ESNI). Billed as a new form of securitisation, the programme is secured by bank loans to SMEs meeting the eligibility criteria for Eurosystem refinancing operations.
• CRISIL has rated the first Indian CMBS, which is being issued by DLF Emporio and DLF Promenade. The transaction represents a milestone in the increasing sophistication of India's bond market and should open a new fundraising avenue for the real estate sector.
• An assignee of the controlling class representative for Taurus CMBS (Germany) 2006-1 has unexpectedly exercised a purchase option under the €114.19m Bewag Berlin loan. The senior tranche of the loan has consequently been acquired from the issuer for €78.3m.
• Properties backing US$188m of distressed CMBS loans are scheduled for sale via Auction.com in May and early June. The largest loan with assets out for the bid is the US$113m Trinity Hotel Portfolio, securitised in BACM 2006-5.
• Peter Goody has replaced Paul Carman as a key person on the Harvest CLO III to IV transactions. The replacement was confirmed for Harvest CLO II last month, when Moody's determined that the move would not cause its ratings on the notes to be reduced or withdrawn (SCI 24 March).
• The portfolio manager and portfolio verification agent for Athenée CDO series 2007-10 Hunter Valley CDO II are set to resign from their respective appointments. As such, the reference portfolio will become static.
• A couple of CDO auctions have been scheduled so far for next month. The first is for the Trups CDO Preferred Term Securities XII on 1 May, while the second auction is for Trainer Wortham First Republic CBO III on 14 May.
• Moody's has downgraded notes from both Punch Taverns' Punch A and Punch B securitisations. The downgrades are a result of the delay in the restructuring of the securitisations and the uncertainty accompanying it.

Regulatory update
• The US SEC has proposed new rules for security-based swap dealers and major security-based swap market participants. The proposal covers recordkeeping, reporting and notification requirements for security-based swap dealers and major security-based swap participants and would establish additional recordkeeping requirements for broker-dealers to account for their security-based swap activities.
• SFIG's Latin America and Canada Committee has submitted a comment letter to the Canadian Securities Administrators (CSA) in response to its request for comments on the proposed amendments to 'National Instrument 45-106 Prospectus and Registration Exemptions'. The proposed amendments would require short-term securitised products to comply with a number of new conditions and disclosure requirements, including extensive disclosure of ABCP transactions.
• The IASB is seeking public comment on its portfolio revaluation approach (PRA), which aims to better reflect dynamic risk management activities (macro hedging) in financial statements. Although IFRS 9 'Financial Instruments' is in the final stages of completion, the IASB has decided to treat as a separate project the macro hedging component of these reforms in order to elicit views from a broader range of constituents.
• The US Terrorism Risk Insurance Program Reauthorization Act (TRIPRA) expires at end-2014. Although Congress is expected to renew it, the new version might contain significant changes, including what is expected to be scaled-back coverage.
• Barclays Bank has settled a private-label mortgage-backed securities lawsuit brought by the FHFA for US$280m. The FHFA has now reached settlements in 13 of its 18 PLS suits (SCI passim).
• A stipulation of discontinuance has been filed in New York state court, ending a lawsuit brought by Allstate Insurance Company concerning US$167m of RMBS purchased from Merrill Lynch. The stipulation did not disclose a settlement amount.

Deals added to the SCI New Issuance database last week:
2013 Popolare Bari RMBS; AFG 2014-1 Trust; American Credit Acceptance Receivables Trust 2014-2; B&M CLO 2014-1; BMW Vehicle Lease Trust 2014-1; Capital Auto Receivables Asset Trust 2014-2; Cedar Funding III CLO; Chase Issuance Trust 2014-4; CIFC Funding 2014-II; Claris RMBS 2014; Colony American Homes 2014-1; Colony Mortgage Capital Series 2014-FL1; Credit Acceptance Auto Loan Trust 2014-1; Darrowby No.3; Driver Twelve; Dryden 33 Senior Loan Fund; DT Auto Owner Trust 2014-2; Element Rail Leasing I Series 2014-1; Flagship Credit Auto Trust 2014-1; FREMF 2014-KF03; Golub Capital Partners CLO 19; Great Lakes CLO 2014-1; Halcyon Loan Advisors Funding 2014-2; Harley-Davidson Motorcycle Trust 2014-1; Jubilee CLO 2014-XII; Kubota Credit Owner Trust 2014-1; Liberty Series 2014-1 Trust; Magnetite VIII; Marathon CLO VI; MMCA Auto Owner Trust 2014-A; Motor 2014-1; NewStar Commercial Loan Funding 2014-1; NXT Capital CLO 2014-1; Octagon Investment Partners XII; OneMain Financial Issuance Trust 2014-1; Penarth Master Issuer 2014-1; Pepper Residential Securities Trust No.12; Santander Drive Auto Receivables Trust 2014-2; Santander Drive Auto Receivables Trust 2014-S1; Santander Drive Auto Receivables Trust 2014-S1; Santander Drive Auto Receivables Trust 2014-S1; Santander Drive Auto Receivables Trust 2014-S1; Santander Drive Auto Receivables Trust 2014-S1; Santander Drive Auto Receivables Trust 2014-S2; Saranac CLO II; Shackleton 2014-V CLO; STACR 2014-DN2; Telos CLO 2014-5; Tombac No.1; Voba No. 5; Washington Mill CLO; WhiteHorse VIII; World Omni Auto Receivables Trust 2014-A.

Deals added to the SCI CMBS Loan Events database last week:
BACM 2001-1; BACM 2004-4; BACM 2006-5; BSCMS 2004-PWR3; BSCMS 2006-PWR14; BSCMS 2007-PW17; BSCMS 2007-PW18; BSCMS 2007-T26; CD 2006-CD2; CGCM 2007-C6; CGCMT 2004-2; CMLT 2008-LS1; COMM 2007-C9; CSFB 2005-C2; CSMC 2007-C1; CSMC 2007-C4; CSMC 2007-C5; ECLIP 2006-3; ECLIP 2007-1; GCCFC 2004-GG1; GCCFC 2007-GG9; GECMC 2003-1; GMAC 2002-C3; GMAC 2004-C1; GSMS 2007-GG10; GSMS 2013-GC10; JPMCC 2004-LN2; JPMCC 2006-CB17; JPMCC 2006-CIBC14; JPMCC 2006-LDP7; JPMCC 2007-CB20; JPMCC 2007-LDPX; JPMCC 2011-C3; LBCMT 2007-C3; LBUBS 2005-C2; LBUBS 2005-C3; LBUBS 2006-C1; LBUBS 2006-C6; LBUBS 2006-C7; LBUBS 2007-C1; MLCFC 2006-2; MLCFC 2007-5; MLMT 2005-CIP1; MLMT 2008-C1; MSC 2006-HQ9; MSC 2006-IQ12; MSC 2007-HQ12; MSC 2007-IQ16; MSC 2007-T25; MSDWC 2000-LIFE; OPERA GER2; PROMI 2; PROUL 1; TAURS 2006-1; TAURS 2006-2; THEAT 2007-1 & THEAT 2007-2; TITN 2007-1; TITN 2007-3; TITN 2007-CT1; TMAN 5; TMAN 7; UBS 2012-C4; VNO 2010-VNO; WBCMT 2003-C7; WBCMT 2005-C21; WBCMT 2006-C23; WBCMT 2006-C25; WBCMT 2007-C32; WCMT 2007-C33; WFCM 2013-BTC, MSC 2006-T21 & GCCFC 2006-GG7; WINDM X; WINDM XI; WINDM XIV.


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