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

Pipeline
There was a steady flow of deals into the pipeline last week as five ABS, five RMBS and five CMBS were announced. There was however only the one new CLO, which was US$400m BlueMountain CLO 2014-4.

The ABS were: US$1bn AART 2014-3; US$540m ATLAS Series 2014-1; US$325m California Republic Auto Receivables Trust 2014-4; US$268m CPSART 2014-D; and US$380.5m Eagle I Series 2014-1.

The RMBS were: A$700m Firstmac Mortgage Funding Trust No.4 Series 3PP-2014; RUB5.92bn Mortgage Agent Absolut 3; US$527m NRMLT 2014-3; A$600m Torrens Series 2014-2 Trust; and US$263m WinWater Mortgage Loan Trust 2014-3.

The CMBS were: US$650m Carefree Portfolio Trust 2014-CARE; US$824.8m COMM 2014-CCRE21; US$1.38m FREMF 2014-K41; US$1.5m MSBAM 2014-C19; and US$1.1bn WFCM 2014-LC18.

Pricings
After the high number of prints the week before, last week there was a more modest number of deals pricing. The week's issuance consisted of three ABS, two ILS, three RMBS and four CLOs.

US$159m DFCF 2014-1, US$308m DT Auto Owner Trust 2014-3 and US$850m NAROT 2014-B accounted for the ABS. The ILS were US$300m Tradewynd Re Series 2014-1 and US$150m Tramline Re II Series 2014-1.

The three RMBS were £825m Lanark Master Issuer 2014-2, US$505m SWAY 2014-1 and A$2.7bn WST 2014-2 Trust. Lastly, the CLOs were €309m Cairn CLO IV, €415m Castle Park CLO, US$553m Oaktree EIF II Series A2 and US$518m TICP CLO III.

Markets
US CMBS secondary market bid-list volume fell below US$50m in the middle of the week as post-crisis names dominated supply, as SCI reported on Thursday (SCI 4 December). Many of the names out for the bid were new to SCI's PriceABS archive, including a trio of Ares tranches - ACR 2014-FL2 B, C and D - of which two were covered and one was a DNT.

The US non-agency RMBS market was slow to start the week but began to hit its stride on Tuesday, when BWIC supply rose sharply to US$630m (SCI 3 December). Supply in that session was skewed towards paper from the 2004-2007 vintages, with significant subprime supply.

Activity also picked up in the US CLO market, as BWIC volumes increased from less than US$200m in Thanksgiving week to more than US$700m last week. Bank of America Merrill Lynch analysts note that supply was evenly spilt between pre- and post-crisis deals, with short-WAL notes continuing to do well.

Auto paper led the way in a fairly busy first session of the week for US ABS (SCI 2 December). There were also several utility bonds out for the bid, including the likes of AEPTC 2006-A A4 and EAI 2010-A A1.

Meanwhile, the European ABS and RMBS markets remain quiet. JPMorgan analysts note that the primary market pipeline remains "very busy" as only a couple of deals priced last week; however, of the deals ready to price before the holiday season, only the re-marketed Italian RMBS Voba 5 would be eligible for the ECB's ABSPP. Secondary market spreads were unchanged as activity slows ahead of the festive season.

Deal news
• The ECB has disclosed that it purchased €368m of paper via its ABSPP in its first week, at least some of which is believed to have been Arena NHG 2014-II bonds bought in the primary market. In the secondary market, eligible Spanish RMBS tightened in excess of 10bp on the move.
• The recent decline in oil prices has potential implications for some US CMBS 2.0 loans secured by properties located in the Bakken formation. The largest absolute exposure is the US$27.9m loan secured by States Addition Apartments, which represents 1.88% of WFRBS 2014-C22.
• Blackstone/GSO Corporate Funding has priced the €415m Castle Park CLO, its third originator CLO. The fund has negotiated a rebate of Castle arrangement fees of €3.95m, which will be paid at closing.
• Five-year CDS on Petroleos de Venezuela (PDVSA) widened by 67% over the past month to price at the widest levels observed since early 2009, according to Fitch Solutions. Growing market concern over PDVSA is attributed to the ongoing impact of the drop in oil prices on the company's credit prospects.
• Five-year CDS on Lowe's Companies tightened by 28% over the past month to price at the tightest levels observed since 2007, according to Fitch Solutions. After pricing at double-A levels for much of the past year, credit protection on Lowe's debt is now pricing in the triple-A space.

Regulatory update
• The EBA held a public hearing in London on Friday (5 December) on a draft credit valuation adjustment (CVA) report to be submitted to the EU Commission. The report covers all aspects of the CVA framework, as well as the review on the application of CVA charges to non-financial counterparties established in a third country.
• The China Banking Regulatory Commission (CBRC) last month unveiled a new registration system for credit asset securitisation. Moody's notes in its latest Structured Thinking: Asia Pacific publication that the move is positive for the development of China's securitisation market because it will simplify issuance.
• The Bank of England and HM Treasury have extended the Funding for Lending Scheme (FLS) by one year. The extension is designed to provide lenders with continued certainty over the availability of cheap funding to support lending to SMEs during 2015, even in the event of stress in bank funding markets.
• CREFC Europe has welcomed the Bank of England's response to its consultation on improving credit information with regard to the UK CRE debt market. It says it strongly supports better information and transparency in CRE debt markets, having previously expressed support both for the central bank's proposal for a CRE loan database and for a broader package of recommendations put forward in a previous report by the Real Estate Finance Group (REFG).

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 New Issuance database last week:
Apollo Aviation Securitization Equity Trust 2014-1; Arena NHG 2014-II; Ares XXXII CLO; Avoca CLO XIII; Barton Series 2014-1 Trust ; BBVA RMBS 14 FTA; Citibank Credit Card Issuance Trust 2014-A9; Essence V; Fastnet Securities 10; FCT Autonoria Compartment Autonoria 2014; FCT Elide Compartiment 2014-01; Foncaixa FTPYME 5; FREMF 2014-K717; FREMF 2014-KF05; FTA PYMES Santander 10; FTA RMBS Santander 3; FTA Santander Consumer Spain Auto 2014-1; GSMS 2014-GC26; Halcyon Loan Advisors European Funding 2014; JPMBB 2014-C25; JPMCC 2014-CBM; KKR CLO 10; Liberty Series 2014-2 Trust; Lockwood Grove CLO; MSC 2014-MP; Oxford Finance Funding Trust 2014-1; OZLM IX; Progress 2014-2 Trust ; Sound Point CLO VII; Sunrise series 2014-2; Temese Funding 2; WFRBS 2014-C25

Deals added to the SCI CMBS Loan Events database last week:
BACM 2006-3; BRUNT 2007-1; BSCMS 2005-T20; COMM 2013-CR10; COMM 2013-LC13; CSMC 2006-C4; CWCI 2007-C2; DBUBS 2011-LC1; DBUBS 2011-LC2; DECO 8-C2; ECLIP 2007-2; EMC VI; EPICP DRUM; GECMC 2005-C4; GSMS 2006-GG8; JPMCC 2001-CIBC2; JPMCC 2005-LDP1; JPMCC 2005-LDP5; JPMCC 2007-CIBC18; JPMCC 2007-LDPX; JPMCC 2012-C8 & JPMBB 2014-C19; LBUBS 2006-4; MESDG CHAR; MLCFC 2006-3; MLMT 2005-CKI1; MLMT 2006-C1; MODA 2014-1; MSC 2006-HQ8; MSC 2006-T21; NEMUS 2006-2; TAURS 2006-3; TITN 2006-3; TITN 2007-1; TMAN 6; WBCMT 2006-C24; WFRBS 2011-C4