Monday 6 October 2014 16:20 London/ 11.20 New York/ 00.20 (+ 1 day) Tokyo

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

Pipeline
A large number of deals joined the pipeline last week. At the last count there were seven ABS, four RMBS, seven CMBS and four CLOs announced.

The ABS were: £581m Dignity Finance; US$500m EART 2014-3; US$330m Flagship Credit Auto Trust 2014-2; US$1.081bn Ford Credit Auto Owner Trust 2014-REV2; €142.6m Master Credit Cards PASS Compartment France Series 2014-1; US$173m NEQ 2014-1; and US$400m WLAKE 2014-2. Meanwhile, RUB6.588bn CJSC Mortgage Agent KHMB-2, US$355m JPMMT 2014-OAK4, €1.567bn Saecure 15 and US$276.9m WIN 2014-2 accounted for the RMBS.

The CMBS were: US$1.3bn JPMBB 2014-C24; US$260m JPMCC 2014-PHH; US$182m ReadyCap 2014-1; C$280.615m REAL-T 2014-1; US$1bn SBA Tower Trust Series 2014-1C; US$540m SBA Tower Trust Series 2014-2C; and £750m Westfield Stratford City Finance. As for the CLOs, those were US$700m Babson CLO 2014-III, US$191m CAN Capital Funding Series 2014-1, US$650m GoldenTree Loan Opportunities IX and US$322.5m Regatta V.

Pricings
A fair number of deals also printed, with CLO prints leading the way. The week's issuance consisted of three ABS, four RMBS, two CMBS and eight CLOs.

The ABS were US$196.545m Grain Spectrum Funding II Series 2014-1, €287.8m Madeline and US$240m MVW Owner Trust 2014-1. The RMBS were €1.7bn Dolphin Master Issuer 2014-2, US$483.562m JPMMT 2014-IVR3, US$463m NRMLT 2014-2 and A$347m Pepper Residential Securities Trust No.13.

US$570m BLCP Hotel Trust 2014-CLRN and €250.04m DECO 2014-TULIP accounted for the CMBS. Finally, the CLOs were: US$361m BNPP IP CLO 2014-II; €877m BPM Securitisation 3; €359m Contego II; US$451m Flagship CLO VIII; US$713m Fortress Credit Opportunities V; €466.5m Harvest X; US$335m Ivy Hill Middle Market Credit Fund 2014-9; and US$511m Oaktree CLO 2014-2A.

Markets
Thursday's ABSPP update from the ECB was the big story of the week for European RMBS and activity following the bank's announcement was largely focused on Italian and Spanish bonds as buyers sought peripheral paper (SCI 3 October). One trader reports that there was also concern that some hedge funds may be holding paper with insufficient secondary ratings to meet the bank's buying requirements.

Across the Atlantic, the US non-agency RMBS market was fairly active, with BWIC volume of close to US$3bn and a number of primary issuances. "Trend trajectories for 2.0 transactions show greater gross WAC dispersions in the 2014 deals compared to the 2013 deals," comment Wells Fargo analysts.

US CMBS new issue spreads widened moderately last week in the face of a broad-based macro selloff, but with little sign of distressed selling, according to Barclays Capital analysts. They note that bid-list volume was also higher, with US$2bn in bonds listed, compared with US$1.4bn over the past four weeks. "However, the volume was concentrated in agency CMBS and legacy dupers, which represented 65% of trades this week," they note.

Lastly, the US CLO market saw a surge of activity as BWIC volume passed US$1.5bn, with a bias towards 2.0 triple-As. "US 2.0 triple-A transactions encountered a fair amount of headwind this week. A lot of line items did not end up trading and for those that did, the recent tightening we saw in this part of the capital stack was completely reversed with 2.0/3.0 triple-A DMs pushing out to about 152bp," say Bank of America Merrill Lynch analysts.

Deal news
• Fitch reports that the modified US$56.8m Colony IV A-note (securitised in JPMCC 2006-LDP9) has been transferred to special servicing, but Barclays Capital CMBS analysts believe the entire US$144m Colony IV portfolio has been moved into special servicing, based on cross-default and modification terms. Together with the A-note, the portfolio comprises a US$37.5m B-note and US$49.8m C-note, which modified in 2012 to be pari passu with the same December 2014 maturity date, two optional one-year extensions, target loan size deadlines and an interest rate reduction to 2% until January 2014.
• Freddie Mac is proposing to amend the intercreditor agreements for six of its CMBS to enable it to sell its interests in the trusts' junior loans to a depositor, which in turn will securitise the assets and issue CMBS notes. The affected transactions are FREMF 2010-K7, 2011-K702, 2011-K703, 2011-K704, 2012-K706 and 2012-K707.
• The attorneys for the Triaxx entities have withdrawn as intervenor-respondents in the US$8.5bn Countrywide settlement covering 530 RMBS trusts. The objection by Triaxx - consisting of Triaxx Prime CDO 2006-1, Triaxx Prime CDO 2006-2 and Triaxx Prime CDO 2007-1 - had been seen as the largest barrier to final court approval of the proceedings since the settlement agreement between AIG and Bank of America (SCI 17 July).
KBC says it has collapsed the two remaining CDOs in its portfolio, freeing up €300m in capital and increasing the bank's solvency by 0.4%. The move also releases KBC from the portfolio protection agreement it entered into with the Belgian Federal Government and completely eliminates the group's exposure to MBIA.
• The September remittance report for the US$14.1m Grand Mart Chicago Portfolio loan - securitised in MSCI 2007-TOP27 - shows a revised loss severity of 100% for the asset. The CMBS loan was resolved last month, but the August remittance reported a 140% loss severity, with a realised loss of US$19.8m - including US$5.7m in interest shortfalls.
• S&P has affirmed its double-B plus rating on Nakama Re Series 2013-1, after the probability of attachment was reset to a percentage consistent with the transaction documents and the current rating. The agency also reviewed the creditworthiness of the ceding company - National Mutual Insurance Federation of Agricultural Cooperatives (Zenkyoren) - and the rating on the collateral that, barring the occurrence of a covered event, will be used to redeem the principal on the redemption date.
• Talk of a possible leveraged buyout has sent Computer Sciences Corp credit default swap spreads to their widest level in nearly two years, according to Fitch Solutions' latest CDS Case Study Snapshot. The firm reports that five-year CDS on Computer Sciences widened by 81% on Monday alone.

Regulatory update
• The High Court in London has issued a judgment against Colliers International (UK) over its negligent valuation of a property in a test case that is expected to have major implications for the CMBS market. The case was brought by Titan Europe 2006-3, after the building in question lost nearly 90% of its stated value when the occupants - German mail order company Quelle - became insolvent and vacated the property.
US District judge Royce Lamberth has dismissed four lawsuits against Fannie Mae and Freddie Mac, two of which were brought by Perry Capital and Fairholme Funds. The lawsuits asserted that the US Treasury's full-sweep of the GSEs' profits amounted to an illegal seizure of private property without due compensation.
• The European Commission has adopted three regulatory technical standards (RTS) needed to implement key provisions of the Regulation on Credit Rating Agencies (CRAs). These RTS set out: the disclosure requirements for issuers, originators and sponsors on structured finance instruments; reporting requirements to CRAs for the European Rating Platform; and reporting requirements for CRAs on fees for the purpose of ongoing supervision by ESMA.
• Fitch says that the application of Italy's factoring law to portfolio transfers can increase transparency in Italian revolving securitisations, bringing Italian practice into line with all other European jurisdictions. The agency's comments come after it assigned its first ratings on an Italian securitisation that uses the factoring law to complete the sale of loans to the SPV, as provided for under amendments to Italy's securitisation law made earlier this year.

Upcoming SCI events
• 29 October, New York - SCI's 7th Annual Securitisation Pricing, Trading & Risk Seminar
Click here for more details

Deals added to the SCI New Issuance database last week:
Atrium XI; Carlyle Global Market Strategies CLO 2014-4; Carlyle Global Market Strategies Euro CLO 2014-3; Cent CLO 22; COMM 2014-PAT; FREMF 2014-K716; JPMBB 2014-C23; JPMCC 2014-FL5; Jubilee CLO 2014-XIV; MSC 2014-150E; Octagon Investment Partners XXI; Oscar US 2014-1; Progress Residential 2014-SFR1; Resimac UK RMBS No. 1 ; Sorrento Park CLO ; Sound Harbor Loan Fund 2014-1; STORM 2014-III; VCL 20; WFRBS 2014-C23

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-4; BACM 2006-4; BACM 2008-1; BSCMS 2005-PWR9; BSCMS 2007-T26; CMAT 1999-C1; COMM 2006-C7; CSMC 2006-C2; CSMC 2006-C5; CSMC 2007-C4; ECLIP 2007-2; EURO 28; FLORE 2012-1; GECMC 2006-C1; JPMCC 2004-C3; JPMCC 2004-LN2; JPMCC 2005-CB12; JPMCC 2006-LDP6; JPMCC 2006-LDP9; JPMCC 2007-CB18; JPMCC 2014-C20; LBUBS 2005-C1; LBUBS 2007-C6; MESDG CHAR; MLMT 2004-BPC1; MSC 2005-T17; MSC 2007-IQ15; MSC 2007-T27; TITN 2006-3; TITN 2007-1; UTREF 1


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