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

Pipeline
A number of transactions entered the pipeline last week and were swiftly priced. Five ABS deals remained by Friday, together with four CLOs and one catastrophe bond, CMBS and RMBS each.

The ABS announced last week comprise: US$223.37m California Republic Auto Receivables Trust 2014-1, US$192.2m CarFinance Capital Auto Trust 2014-1, US$34.76m Rhode Island Student Loan Authority 2014, $743.6m SLM Student Loan Trust 2014-2 and Volta II. The CLOs are: US$519.25m Apidos CLO XVII, US$411m BlueMountain CLO 2014-1, €414m CVC Cordatus III and €410mn Holland Park.

US$95m Riverfront Re series 2014-1, US$755.3m JPMCC 2014-FL4 and US$400m Springleaf Funding Trust 2014-A rounded out the deals entering the pipeline.

Pricings
All asset classes were well represented by the transactions that priced last week. Among the ABS that printed, eight were auto-related. These deals were joined by two esoteric ABS, seven RMBS, four CMBS and six CLOs.

The auto ABS new issues consisted of: US$900m Ally Master Owner Trust 2014-2, US$300m Ally Master Owner Trust 2014-3, US$750m AmeriCredit Automobile Receivables Trust 2014-1, US$764.5m Chrysler Capital Auto Receivables Trust 2014-A, US$180m CPS Auto Receivables Trust 2014-A, US$671.98m Hyundai Auto Lease Securitization Trust 2014-A, €601m SC Germany Auto 2014-1 and US$1.21bn Toyota Auto Receivables 2014-A Owner Trust. The US$515.6m Castlelake Aircraft Securitization Trust 2014-1 and US$425m Sierra Timeshare 2014-1 rounded out last week's ABS issuance.

RMBS pricings comprised: €484m Cartesian Residential Mortgage 1, US$902.07m-equivalent Lanark Master Issuer Series 2014-1, A$102m La Trobe Financial Capital Markets Trust 2014-1, US$508.6m New Residential Advance Receivables Trust Series 2014-T1, US$511.6m New Residential Advance Receivables Trust Series 2014-T2, US$41.5m New Residential Advance Receivables Trust Series 2014-VF1 and €1.52bn Saecure 14 NHG. US$300m COMM 2014-BBG, US$927.5m COMM 2014-LC15, US$1.36bn FREMF 2014-K37 and US$1.1bn WFRBS 2014-C19 accounted for the CMBS prints.

Finally, the CLO issuance consisted of: €412.5m Babson Euro CLO 2014-1, US$400.8m BNPP IP CLO 2014-1, US$640.98m Greywolf CLO 2014-1, US$533.88m Octagon Investment Partners XIX, U$1.21bn Northwoods Capital XI and US$479m TICP CLO I.

Deal news
• Up to US$30bn of US CLO 2.0 deals could be candidates for refinancing this year, with refinancing or repricing potentially saving equity holders 20bp-50bp in liability costs. However, the pace of such activity will depend on factors such as upfront cost and secondary CLO paper providing competition for buyers.
• Remittance reports for the GSMS 2007-GG10 CMBS cover another US$583m in liquidations from the CWCapital bulk liquidations, including a below-appraisal sale of the Two California Plaza property (see SCI's CMBS loan events database). Overall sales prices were below expectations.
• A further three CMBS with significant exposure to the CWCapital bulk sales last week reported US$146m in liquidations. The deals are BACM 2008-1, GMACC 2006-C1 and GMACC 2004-C3.
• US non-agency RMBS supply picked up last week ahead of a US$1.15bn Freddie Mac legacy bid-list, which was scheduled to trade on Thursday. Execution levels for the paper were said to be moderately strong.
• Fast-tracking of business plans among certain UK water companies is expected to drive tightening across their securitised bonds. The move follows the release of Ofwat's guidance on allowed weighted-average cost of capital (WACC) for the 2015-2020 regulatory period (PR14) (SCI 10 February).
• First stage restructuring proposals have been affected for the Eurosail-UK 2007-6NC RMBS, following the sale of the remaining Lehman Brothers claims, as per the extraordinary resolution passed by all noteholders on 10 February (SCI 10 January). The claims were sold to the winning bidder for US$32.88m.
• An auction was held for InCapS Funding II on 14 March, with Keefe, Bruyette & Woods engaged as auction call redemption agent. A separate auction is due on 31 March for Bluegrass ABS CDO II, while a special majority of Fourth Street Funding class A1 noteholders has directed the trustee to liquidate the collateral.

Regulatory update
• US Senate Banking Committee chairman Tim Johnson and ranking member Mike Crapo last week reached an agreement on a housing finance reform proposal. While most of the detail isn't new, the requirement for 10% private capital coverage upfront surprised some market participants.
• The US House Committee on Financial Services last week passed H.R. 4167, the 'Restoring Proven Financing for American Employers Act'. The bill was offered by Congressman Barr and provides a fix for certain CLOs that would otherwise be subject to the Volcker Rule when it is fully implemented on 21 July 2015.
• The US SEC is proposing new rules to enhance the oversight of clearing agencies that are deemed to be systemically important or that are involved in complex transactions, such as security-based swaps, in line with Dodd-Frank requirements. Clearing agencies covered by the proposed rules would be subject to new requirements regarding their financial risk management, operations, governance and disclosures to market participants and the public. The proposal also would establish procedures for the Commission to apply the new requirements to additional clearing agencies.
• The US SEC has charged Jefferies with failing to supervise employees on its MBS desk. The move follows the conviction by a federal jury in New Haven, Connecticut of former Jefferies md Jesse Litvak of multiple offences connected to a scheme to defraud customers.
• IOSCO has published a consultation report on prudential standards in the securities sector, looking at key capital frameworks for securities firms. It updates IOSCO's 1989 report on capital adequacy standards for securities firms.

Deals added to the SCI New Issuance database last week:
Ares XXIX CLO; Carlyle Global Market Strategies CLO 2014-1; Chesapeake Funding series 2014-1; Citibank Credit Card Issuance Trust 2014-3; Discover Card Execution Note Trust 2014-2; Dodeka II; East Lane Re VI series 2014-I; Gator Re series 2014-1; GoldenTree Loan Opportunities VIII; GP Portfolio Trust 2014-GPP; GSMS 2014-NEW; HBS Trust 2014-1; HERO Funding Series 2014-1; ING IM CLO 2012-1 (refinance); Kizuna Re II; KVK CLO 2014-1; Mountain Hawk III CLO; Nelnet Student Loan Trust 2014-2; OCP CLO 2014-5; Paragon Mortgages 19; PHEAA Student Loan Trust 2014-1; Progress 2014-1 Trust; SMART ABS Series 2014-1US Trust; St Paul's CLO IV.

Deals added to the SCI CMBS Loan Events database last week:
BACM 2004-6; BACM 2005-2; BACM 2006-3; BACM 2006-4; BACM 2007-2; BACM 2007-3; BACM 2008-1; BSCMS 2003-T12; BSCMS 2005-T20 & GSMS 2005-GG4; CD 2005-CD1; CD 2007-CD4; CGCMT 2008-C7; COMM 2003-LB1A; COMM 2006-C7; COMM 2006-C8; CSFB 2004-C4; CSFB 2005-C2 & MLCFC 2006-2; CSFB 2005-C4; CSMC 2007-C4; DECO 2007-E5; DECO 2007-E7; ECLIP 2006-1; FOX 1; GCCFC 2005-GG5; GCCFC 2006-GG7; GCCFC 2007-GG11; GCCFC 2007-GG9; GECMC 2004-C3; GECMC 2005-C3; GMACC 2003-C3; GMACC 2004-C3; GMACC 2006-C1; GSMS 2004-GG2; GSMS 2005-GG4; GSMS 2006-GG6; GSMS 2007-GG10; JPMCC 2004-PNC1; JPMCC 2005-LDP1; JPMCC 2006-CB15; JPMCC 2006-CB17; JPMCC 2007-LDPX; JPMCC 2011-C3; JPMCC 2011-C5; LBUBS 2004-C6; LBUBS 2006-C6; LBUBS 2007-C1; LBUBS 2008-C1; LEMES 2006-1; MLCFC 2006-3; MLMT 2005-CIP1; MSC 2006-IQ12; MSC 2007-HQ12; MSC 2007-IQ16; TITN 2007-3; TMAN 4; TMAN 6; WBCMT 2005-C18; WBCMT 2005-C22; WBCMT 2006-C23; WBCMT 2007-C31; WINDM XII.

Top stories to come in SCI:
Developments in Chinese ABS