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

Pipeline
Additions to the pipeline last week were fairly even distributed between ABS, RMBS, CMBS and CLOs. There were 11 new deals in total.

The ABS consisted of US$450m Drug Royalty II 2014-1, €372.3m Monviso 2014 and SC Poland Auto 2014-1. The RMBS were US$423m Citigroup Mortgage Loan Trust 2014-J1, US$303.75m JPMMT 2014-2, A$500m PUMA Series 2014-2 and US$1.62bn VOLT 2014-NPL4.

As for CMBS, those were US$863m COMM 2014-CCRE18, US$1.4bn COMM 2014-KYO, US$635m JPMCC 2014-INN and £210m Taurus UK 2014-1. Meanwhile, the CLOs were US$450m Adams Mill CLO, the refinanced US$379.5m Dryden Senior Loan Fund XXIII, US$518m MidOcean Credit CLO III and US$527m TICP CLO II.

Pricings
The number of deals leaving the pipeline was up strongly on the previous week. Last week there were 11 ABS, one ILS, four RMBS, three CMBS and seven CLO prints.

The ABS were: US$393.01m ARL Second; US$291.4m CLI Funding V Series 2014-1; A$255m Flexi ABS Trust 2014-1; US$1.6bn Ford Credit Auto Owner Trust 2014-B; C$500m Hollis II 2014-1; US$683.4m Hyundai Auto Lease Securitization Trust 2014-B; US$184.8m Massachusetts Education Financing Auth Issue I Series 2014; US$220m New Jersey Student Loan Revenue Bonds 2014-1; US$100m Progreso Receivables Funding 2014-A; US$93.1m Rhode Island Student Loan Authority Series 2014-1; and €1.4bn Sunrise Series 2014-1.

The ILS was US$400m Alamo Re Series 2014-1 and the RMBS were US$558.5m Colony American Homes 2014-2, A$735m-equivalent Firstmac Mortgage Funding Trust No.4 Series 1A-2014, €1.5bn FTA RMBS Santander 1 and US$250m WIN 2014-1. The CMBS were US$440m BAMLL 2014-IP, US$343m CG-CCRE 2014-FL1 and US$1.24bn FREMF 2014-K38.

Lastly, the CLOs were: A10 Term Asset Financing 2014-1; US$410m AMMC CLO XIV; US$528m Covenant Credit Partners CLO I; US$408.25m Magnetite IX; US$570m Neuberger Berman CLO XVII; US$825m OZLM VII; and US$581m Shackleton VI.

Markets
US non-agency RMBS volume reached around US$788m on Tuesday, ahead of a US$647m bid-list scheduled to trade on Wednesday, as SCI reported last week (SCI 18 June). SCI's PriceABS data recorded a mix of bonds out for the bid during the session, with several single-family rental names of particular interest.

US ABS spreads were flat, with lighter-than-usual trading activity in the secondary markets according to Barclays Capital analysts. "ABS trading volumes averaged US$930m during the first four days of the week, down from US$1.1bn during the prior week," they add.

In the US CMBS market, secondary spreads started the week unchanged, although BWIC volume was up strongly to over US$500m (SCI 17 June). SCI's PriceABS data recorded a number of agency tranches, including FHMS K006 A1 and FHMS K009 A1, which were both covered.

It was a busy week in the US CLO and European CLO markets. SCI's PriceABS captured 765 CLO and 93 CDO line items last week, with 156 and 44 respectively recorded on Thursday, suggesting strong secondary activity on both sides of the Atlantic (SCI 20 June). A range of bonds were out for the bid, including a couple of Trups CDO tranches that were affected by the recent American Bancorp case (SCI 11 June).

Deal news
• The US$5.7m The Cove at Southern loan, securitised in JPMCC 2011-C5, has become the first CMBS 2.0 conduit loan to take a loss - albeit a nominal one. According to June servicer data, the trust realised US$5.9m in gross proceeds from the sale of the property and a US$34,100 loss after fees and repayment of advances.
• The US$58.7m Citizens Bank Portfolio, securitised in BACM 2006-5, has paid off in full almost three years after its anticipated repayment date (ARD) of July 2011. The loan also received US$4.1m in other interest proceeds, which weren't applied to the typical interest waterfall but instead were diverted to the residual V tranche.
• The US$20m 4001 North Pine Island Road loan has been liquidated for US$7.5m, resulting in unusual pay-outs for the JPMCC 2006-CB15 CMBS. The loan generated US$7.5m, but the entire balance was used to pay expenses totalling US$7.8m, according to Barclays Capital CMBS analysts.
• Santander Consumer USA (SCUSA) last week made a US$71m capital contribution to correct a payment distribution error in the SDART 2013-5 class A2 notes. Moody's notes in its latest Credit Outlook that such servicer error and lapses in transaction governance are operational risks in securitisations that financially strong servicers can remedy, if necessary.
• Moody's has downgraded the ratings of seven classes of notes across seven UK CMBS sponsored by Tesco. Approximately £3.97bn of debt is affected by the move. The Baa1 rated tranches across Tesco Property Finance 1, 2, 3, 4, 5 and 6, as well as Delamare Finance have been lowered to Baa1.

Regulatory update
• Australian securitisation activity is on the rise but is not being helped by the attitude of the market's regulator. APRA appears to be dragging its heels on introducing master trusts and its cautious approach is attracting criticism.
• The 2014 ISDA CDS definitions have been published and will be implemented in September (SCI passim). One of the main changes from previous definitions is the adoption of a single standard reference obligation (SRO) for standard CDS contracts, which will apply to all trades on a reference obligation at a particular seniority level.
• The new Russian structured finance legislative platform is credit positive for the country's securitisation market, says Moody's. The agency notes that the new framework contains the key elements required for a broad range of securitisation and project finance structures and will provide onshore alternatives to securitisation transactions that were previously possible only via offshore issuing vehicles.

Deals added to the SCI New Issuance database last week:
A Voce CLO; ACAS CLO 2014-1; Ally Auto Receivables Trust 2014-1; ALM XIV; ALME Loan Funding II; AmeriCredit Automobile Receivables Trust 2014-2; BlueMountain CLO 2014-2; California Republic Auto Receivables Trust 2014-2; Carlyle Global Market Strategies Euro CLO 2014-2; Cerberus AUS Levered II; CGCMT 2014-388G; CIFC Funding 2014-III ; Citibank Credit Card Issuance Trust 2014-A5; CNH Equipment Trust 2014-B; CPS Auto Receivables Trust 2014-B; CSMC Trust 2014-ICE; Dominato Leonense; Fifth Third Auto Trust 2014-2; Flatiron CLO 2014-1; Fosse Master Issuer Series 2014-1; FREMF 2014-K38; Friary No. 2; Galaxy XVII CLO; GE Equipment Transportation 2014-1; Golden Bar (Securitisation) series 2014-1; GSMS 2014-GC22; Harvest CLO IX; Hilton Grand Vacations Trust 2014-A; IDOL 2014-1 Trust ; JPMCC 2014-C20; Kingsland VII; KVK CLO 2014-2; LCCM 2014-909; MARS 2600 series V; MMAF Equipment Finance 2014-A; MSBAM 2014-C16; Nelnet Student Loan Trust 2014-5; NewStar Arlington Senior Loan Program; Nissan Auto Lease Trust 2014-A; OHA Credit Partners X; PHEAA Student Loan Trust 2014-2; Residential Reinsurance series 2014-1; Santander Drive Auto Receivables Trust 2014-3; Scandinavian Consumer Loans IV; Series 2014-1 WST Trust; SMART ABS Series 2014-2E Trust; STORM 2014-II; Tidewater Auto Receivables Trust 2014-A; Toyota Auto Receivables 2014-B Owner Trust

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; BACM 2005-4; BACM 2006-2; BACM 2006-5; BACM 2007-5; BACM 2008-1; CD 2006-CD2; CD 2006-CD3; CD 2007-CD4; CMLT 2008-LS1; COMM 2007-FL14; COMM 2013-LC6 & COMM 2013-CR6; CSMC 2007-C1; DECO 7-E2; ECLIP 2006-4; ECLIP 2007-2; EMC VI; EPICP CULZ; EURO 28; FOX 1; FUCMT 1999-C1; GCCFC 2004-GG1; GCCFC 2005-GG3; GECMC 2004-C2; GECMC 2007-C1 & CD 2007-CD4; GMACC 1998-C1; GMACC 2000-C3; GMACC 2006-C1 & GECMC 2006-C1; GSMS 2005-GG4; GSMS 2006-GG6; GSMS 2010-C1; JPMCC 2006-CB15; JPMCC 2006-LDP9; JPMCC 2007-C1 & JPMCC 2008-C2; JPMCC 2007-CB18; JPMCC 2007-LD11; JPMCC 2007-LDP10; JPMCC 2011-C5; LBUBS 2005-C1; LEMES 2006-1; MESDG DELT; MLCFC 2007-5; MLMI 1998-C3; MLMT 2005-LC1; MLMT 2006-C1; MSC 2006-HQ9; MSC 2007-HQ13; RIVOL 2006-1; WBCMT 2005-C21; WBCMT 2005-C22; WBCMT 2006-C25; WBCMT 2007-C30 & WBCMT 2007-C31; WBCMT 2007-C33; WFRBS 2012-C7; WFRBS 2013-UBS1; WINDM VII; WINDM XIV