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

Pipeline
The first week of September saw the pace of deals joining the pipeline quicken. The week's additions consisted of eight ABS, one ILS, one RMBS, four CMBS and two CLOs.

The ABS comprised: US$273m CPS Auto Receivables Trust 2014-C; £100m E-CARAT 4; US$112.672m Foursight Capital Automobile Receivables Trust 2014-1; US$196.545m Grain Spectrum Funding II Series 2014-1; US$300m OSCAR US 2014-1; US$1.06bn Santander Drive Auto Receivables Trust 2014-4; A$500m Series 2014-1 REDS EHP Trust; and US$734m World Omni Automobile Lease Securitization Trust 2014-A.

The ILS entrant was US$150m Golden State Re II, while the RMBS was US$329.95m Sequoia Mortgage Trust 2014-3. US$513m American Homes 4 Rent 2014-SFR2, US$1.4bn COMM 2014-UBS5, US$1.33bn FREMF 2014-K39 and US$1.5bn WFRBS 2014-C22 accounted for the newly-announced CMBS, while the CLOs were €413m Harvest X and €400m Sorrento Park CLO.

Pricings
ABS accounted for the majority of last week's pricings. A couple of RMBS and three CLOs also printed.

The ABS new issues consisted of: €770m Bilkreditt 6; US$550m Capital One 2014-A4; US$275m California Republic Auto Receivables Trust 2014-3; £1bn Driver UK Two; and €1.075bn Silver Arrow Compartment 5. £150m Boston Mayflower Finance 2014 and £1.39bn Gosforth Funding 2014-1 accounted for the RMBS pricings, while the CLO prints were a €202m Dryden XXVII CLO tap, US$370.5m JMP Credit Advisors CLO III and US$518.5m Mountain View CLO 2014-1.

Markets
The US ABS market got back on track quickly after the Labor Day holiday, as SCI reported on 3 September. Bid-list volume on Tuesday was over US$250m, with SCI's PriceABS data showing credit card paper dominating supply. Among the names out for the bid was CCCIT 2014-A6 A6, which was talked in the low-20s.

US non-agency RMBS prices have been largely immune to macro volatility, but there could be weakness if broader markets fall again, note Barclays Capital ABS analysts. "Non-agencies stayed firm this week, even as broader markets fluctuated, and as per TRACE trading volumes remained low in the short post-Labor Day week. STACR/CAS LCF M2/M3s rallied and tightened another 5bp-15bp and are now trading 40bp-50bp below their month-ago levels, though still 50bp-70bp above their June tights," they observe.

The US CMBS secondary market was not as fast out of the traps as ABS, but did pick up on Wednesday (SCI 4 September). BWIC volume more than doubled to reach US$80m during the session.

European CMBS was also fairly quiet, even after the ECB's purchase programme announcement (SCI 5 September). "CMBS has not been very active over August, but we started to see a little more last week. Prices have moved up, but there has not been the same post-ECB rally in CMBS as there has been for example in the RMBS market," reports one trader.

Finally, while European CLOs will not benefit directly from the ECB's planned asset purchases, the market is expected to benefit indirectly. Volumes were up last week as spreads tightened across the capital structure, both before and after the ECB meeting, report Bank of America Merrill Lynch European securitisation analysts.

They add: "The spread tightening was most evident at the bottom of the capital structure for longer-duration bonds, with 2.0 double-Bs tightening around 30bp over the week, and with trades taking place at around 580-590bp DM."

Deal news
• Five UK non-conforming RMBS have cured their pro-rata triggers since May, taking the total number of deals in the segment paying on a pro-rata basis to 23, according to Morgan Stanley figures. Given continued improvement in arrears performance, the sustainability of these cures is believed to be high.
• IEF Capital, the sponsor of the €1.05bn Dutch CMBS transaction Leo-Mesdag, has completed the first refinancing under the restructuring terms agreed with noteholders in June (see SCI's CMBS loan events database). The amount refinanced is €218.6m, which exceeds the €200m target amount.
• Blackstone has reportedly purchased Solana Business Park - which secured a US$360m loan securitised in JPMCC 2007-LDPX and BACM 2007-1 - for US$180m. The liquidation is expected to result in interest shortfall reimbursements and a write-down reimbursement for the former transaction.
• CR Investment Management has sold three properties backing the Sunrise II/Treveria II loan, securitised in the EMC 6 and DECO 2006-E4 CMBS. All retail assets, the properties are located across Germany in Duderstadt, Kempten and Ranstadt.
• Chimera Investment Corp has acquired the rights to approximately US$4.8bn of seasoned residential mortgage loans through the purchase of subordinate notes and trust certificates in Springleaf Mortgage Loan Trusts 2011-1, 2012-1, 2012-2, 2012-3, 2013-1, 2013-2 and 2013-3. By purchasing these securities, the REIT may over time terminate the securitisation trusts by redeeming all outstanding bonds at par and obtain the underlying mortgage collateral in accordance with each respective trust indenture.
• Spirit's latest quarterly trading statement confirms strong performance for both the managed and tenanted businesses over the last fiscal year. With profit exceeding market expectations of £57.3m, Sprit's bonds are expected to be upgraded back to investment grade.
• More managers are expected to tap CLO 2.0 deals after Dryden XXVII Euro CLO 2013 (SCI 19 August) became the first European post-crisis transaction to tap its ability to issue additional notes. The Dryden tap yielded net proceeds of €194m, with the note terms remaining the same.
• Auctions will be conducted for Kleros Preferred Funding and Trainer Wortham First Republic CBO V on 22 September. The securities will only be sold if the proceeds are at least equal to auction call redemption amounts.

Regulatory update
• The US Fed, the FDIC and the OCC have released a notice of final rulemaking that implements minimum liquidity coverage ratio requirements for banks and depository institutions. They have also issued a final rule modifying the definition of the denominator of the supplementary leverage ratio.
• The US Fed, the Farm Credit Administration, the FDIC, the FHA and the OCC are seeking comment on a proposed rule to establish margin requirements for swap dealers, major swap participants, security-based swap dealers and major security-based swap participants. The proposed rule would establish minimum requirements for the exchange of initial and variation margin between covered swap entities and their counterparties to non-cleared swaps and non-cleared security-based swaps.
• The US SEC has approved amendments to TRACE dissemination rules, stipulating that CUSIP-level execution prices and original face values be publicly disclosed on ABS trades starting on 27 April 2015. The new rules are expected to have a limited impact on traditional ABS sectors, but could affect liquidity in non-traditional asset classes.
• The ECB is to modify the loan-level reporting requirements for ABS backed by auto loans, leasing receivables, consumer finance loans and credit card receivables that are used as collateral in Eurosystem monetary policy operations and are unable to satisfy the timeline announced on 27 November 2012. As of 1 October, bonds for which the mandatory level of compliance with reporting requirements has not been attained and for which the data provider has neither given an explanation for that non-compliance nor provided an action plan for achieving full compliance will become ineligible for use as Eurosystem collateral.