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

Pipeline
The number of deals joining the pipeline increased markedly last week. Remaining at the end of Friday were seven ABS, an ILS, six RMBS, four CMBS and two CLOs.

The ABS were: US$743m Bank of the West Auto Trust 2014-1; €537m Bumper 6 (NL) Finance; US$1bn CarMax Auto Owner Trust 2014-4; US$150m GEMS 2014-A; US$165m Michigan Finance Authority Series 25-A; US$325m NextGear Floorplan Master Owner Trust Series 2014-1; and A$500m SMART ABS Series 2014-4.

US$350m Kilimanjaro Re Series 2014-2 was the only ILS. Meanwhile the RMBS consisted of: US$350.63m Agate Bay Mortgage Trust 2014-3; US$562.1m Invitation Homes 2014-SFR3; A$300m WB Trust 2014-1; Paragon Mortgages No.21; A$500m Securitised Australian Mortgage Trust 2014-1; and US$341.71m SEMT 2014-4.

US$350m CSMC 2014-TIKI, US$215.22m Impact Funding Affordable Multifamily Housing Mortgage Loan Trust 2014-1, US$1.01bn JPMBB 2014-C25 and US$725m SRPT 2014-STAR accounted for the CMBS. The two CLOs were US$600m Dryden 36 Senior Loan Fund and US$500m Ziggurat CLO.

Pricings
The number of deals pricing was around the same as it had been last week. The prints comprised three ABS, two RMBS, four CMBS and five CLOs.

The ABS were US$250m Navistar Financial Dealer Note Master Owner Trust II Series 2014-1, Private Driver 2014-4 and US$325m Sierra Timeshare 2014-3. The RMBS were US$989.13m JPMorgan Madison Avenue Securities Trust Series 2014-1 and A$209.35m Sapphire XIII Series 2014-1 Trust.

US$1.33bn FREMF 2014-K40, US$415m JPMCC 2014-CBM, US$219.4m RAIT 2014-FL3 and US$1.1bn WFRBS 2014-C24 made up the CMBS. Lastly, the CLOs were €411m ALME Funding III, US$523m Anchorage Capital CLO 5, US$461m Marathon VII, US$360m Telos CLO 2014-6 and US$338m Tennenbaum Senior Loan Funding III.

Markets
US ABS secondary volume took a dip on Thursday but still reached around US$160m, as SCI reported on Friday (SCI 31 October). Student loan bonds dominated supply in that session, with FFELP paper accounting for the majority of student loan tranches out for the bid.

The US non-agency RMBS market remained stable despite strong supply from a European legacy seller, note Barclays Capital RMBS analysts. "As has been the pattern this year, the market absorbed the large supply easily without any pressure on prices. Trading activity this week was dominated by the large list and as much as US$9.2bn changed hands on Tuesday," they add.

While most markets were quiet at the start of the week, US CMBS bid-list volume managed to reach around US$183m and was dominated by A4 securities, as SCI reported (SCI 28 October). SCI's PriceABS data recorded a cover at plus 85 for the COMM 2006-C8 A4 tranche and also recorded covers for other tranches such as CSFB 2005-C5 A4.

US CLO secondary activity picked up last week, with BWIC volumes up to around US$830m. Bank of America Merrill Lynch analysts note that supply was slightly tilted towards 2.0 and 3.0 deals, with over half of the week's line items from tranches which were originally rated triple-A.

"In Europe, secondary market supply was focused on 1.0 mezzanine and 2.0 equity this week, with a total of around €100m appearing on BWICs. Spreads appeared to soften on the debt tranches, retracing some of the gains from the previous week," say the BAML analysts.

Spreads closed the week unchanged for most European ABS, although Italian RMBS tightened slightly at both the senior and subordinated level, according to JPMorgan analysts.

Deal news
• JPMorgan is in the market with its inaugural risk-transfer RMBS, dubbed JP Morgan Madison Avenue Securities Trust Series 2014-1. The US$989.13m deal will simulate the behaviour of a US$989m pool of JPMorgan-originated mortgage loans, with the objective of private investors sharing credit risk with Fannie Mae.
• The €51.75m Mango loan, securitised in the Talisman 6 Finance CMBS, looks set to suffer a loss of over 89% of its outstanding balance. This comes after a sale and purchase agreement was notarised last month to dispose of the last remaining property (Magdeburg) for €5.5m.
• Fair Oaks Income Fund has acquired, in the primary market, US$26m notional of equity notes of Covenant Credit Partners CLO II. The acquisition represents 51% of the total equity of the US transaction.
• Auction.com and RealCapitalMarkets.com have 39 properties believed to back US$219m in distressed US CMBS loans listed for auction in November and December. The size of the loans out for bid is smaller than the US$450m on average per month seen in Q3 and early Q4, according to Barclays Capital CMBS analysts. They note that the deal with the most exposure to the auctions is GCCFC 2007-GG9, with US$124m in allocated loan balance listed.
• A recent Morgan Stanley analysis identifies over 210 Sears and Kmart stores that have closed or have been identified for closure this year. Of these stores, 32 are encumbered by over US$2bn of CMBS debt. Six of these properties are encumbered by nearly US$800m of debt securitised in seven CMBS 2.0 deals, while the remaining properties are encumbered by over US$1.2bn of debt securitised in 26 legacy CMBS.
• Five-year CDS on IBM widened by 22% over the past month to trade at the widest levels observed in three years, according to Fitch Solutions. After pricing historically at double-A minus levels, credit protection on IBM's debt is now pricing in single-A minus territory.

Regulatory update
• The final QRM standards provide meaningful incentives for banks to maintain quality underwriting and avoid certain riskier mortgage products, Fitch says. The agency believes that the rule should curb many practices that led to severe bank pressures during and after the financial crisis.
• The ECB has appointed four executing asset managers to conduct its ABSPP. The role of the executing asset managers will be to conduct eligible transactions on explicit instructions from the Eurosystem, which will undertake price checks and due diligence prior to approving the transactions.
• The European Commission has adopted its first 'equivalence' decisions for the regulatory regimes of central counterparties (CCPs) in Australia, Hong Kong, Japan and Singapore. The CCPs in these third-country jurisdictions will be able to obtain recognition in the EU and can therefore be used by market participants to clear standardised OTC derivatives as required by EU legislation, while remaining subject solely to the regulation and supervision of their home jurisdiction.
• Risk retention regulations that were approved last week by US federal regulators (SCI 22 October) will be credit positive for non-agency RMBS, according to Moody's. The impact on CLOs, on the other hand, is expected to be credit neutral.

Deals added to the SCI New Issuance database last week:
Ares CLO XXIII (refinancing); Ballyrock CLO 2014-1; Battalion CLO VII; Canyon Capital CLO 2014-2; CGCMT 2014-GC25; Elara HGV Timeshare Issuer 2014-A; Fifth Third Auto Trust 2014-3; Globaldrive Auto Receivables 2014-B; Hull Street CLO; Kimi 3 (SCF Rahoituspalvelut); NCF Dealer Floorplan Master Trust Series 2014-1; Symphony CLO XV; Textainer Marine Containers III Series 2014-1; Trafigura Securitisation Finance 2014-1; World Omni Auto Receivables Trust 2014-B

Deals added to the SCI CMBS Loan Events database last week:
BACM 2007-3; DECO 2007-E6; DECO 7-E2; ECLIP 2005-4; EMC VI; FLTST 3; GCCFC 2005-GG5; GCCFC 2007-GG9; GMACC 1997-C1; JPMCC 2005-CB12; JPMCC 2006-LDP7; JPMCC 2012-C6; MLCFC 2006-4; MLMT 2005-MCP1; TITN 2006-3; TITN 2006-5; TITN 2007-2; TMAN 5; TMAN 6; TMAN 7; UBSBB 2012-C3; WBCMT 2006-C29; WINDM XIV