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

Pipeline
A mix of transactions remained in the pipeline at the end of last week. The US$250m Navistar Financial Dealer Note Master Owner Trust II Series 2014-1 and US$325m Sierra Timeshare 2014-3 deals made up the newly-announced ABS, while the US$207.56m Citigroup Mortgage Loan Trust 2014-J2 and US$263m JPMMT 2014-5 accounted for the RMBS.

Three CMBS also began marketing last week: US$415m JPMCC 2014-CBM, US$550m NYCHDC 2014-8SPR and US$1.1bn WFRBS 2014-C24. The US$425m Marathon CLO VII was the sole CLO entering the pipeline.

Pricings
Almost twice as many deals priced during the week. ABS accounted for the majority of prints, but a number of CMBS, CLOs and RMBS were issued as well.

Auto ABS had a good showing, with US$1bn Fifth Third Auto Trust 2014-3, €516.3m Globaldrive Auto Receivables 2014-B, €517.7m Kimi 3, US$216.47m NCF Dealer Floorplan Master Trust Series 2014-1 and World Omni Auto Receivables Trust 2014-B pricing. There were three esoteric ABS prints too: US$120.18m Elara HGV Timeshare Issuer 2014-A, US$301.4m Textainer Marine Containers III Series 2014-1 and US$300m Trafigura Securitisation Finance 2014-1.

The US$1.2bn COMM 2014-CCRE20, US$182m ReadyCap 2014-1 and US$335m TMSQ 2014-1500 made up the CMBS issuance, while the US$432m Ares CLO XXIII (a refinancing), US$409.18m Ballyrock CLO 2014-1, US$411.5m Battalion CLO VII and US$191m CAN Capital Funding Series 2014-1 accounted for the CLOs. Finally, a pair of risk-transfer RMBS - US$611m STACR 2014-DN4 and US$429m STACR 2014-HQ3 - rounded out the prints.

Deal news
• Recent rating agency criteria changes have re-focused attention on the European peripheral ABS markets. While all investors - including the ECB - will be affected, the importance attached to ratings varies.
• The New York Department of Financial Services has alleged that Ocwen backdated thousands of letters to borrowers relating to modifications and foreclosures. A large-scale disruption in servicing at the firm as a result of the move is unlikely, but the likelihood of a scenario that could have a significant effect on non-agency RMBS has increased.
• The US$25m Creekside Mixed Use Development loan, securitised in COMM 2014-UBS2, has become 60-days delinquent and entered foreclosure status. The loan was transferred to special servicing due to a legal dispute between the owner, Strathmore Development Co, and the loan trustee over unpaid reserve account funds.
• Lehman Brothers Holdings Inc has filed objections to both counts of a trustees' motion that had asked the bankruptcy court to increase the reserve to US$12.1bn and allow for estimation of the claims (SCI 14 October). LBHI argues that the trustees had expressly agreed to set a US$5bn reserve in February 2012 and that the reserve order should preclude attempts to adjust the reserve. Further, it suggests that the one-year time limit under rule 60(b) of the Federal Rule of Bankruptcy Procedure is applicable and so the trustees' motion should be disallowed on this basis.
• Pursuant to an order of the US District Court for the Southern District of New York, settlement funds resolving all claims for US$6m in the 'In re IndyMac Mortgage-Backed Securities Litigation' action against Blair Abernathy, John Olinski, Samir Grover, Simon Heyrick and Victor Woodworth are finally to be distributed. The court granted final approval to the individual defendant settlement on 18 December 2012, but distribution of the funds was delayed pending resolution of claims against remaining defendants, in an effort to avoid duplicative expenses.
• Moody's has realigned its definition of impairment for structured finance securities in Japan with that which it applies in all other geographical locations. The agency is also requesting feedback on a proposed update to its approach to rating Japanese RMBS to align its approach with its global RMBS rating methodology, while taking into account the unique characteristics of the Japanese market.

Regulatory update
• The FDIC, OCC, Fed, SEC and HUD have adopted final rules for credit risk retention under section 941 of the Dodd-Frank Act. The rule contains a number of exemptions, notably qualified residential mortgages (QRM), but concerns have been raised about the impact it will have on CLOs.
• In prepared remarks delivered at the annual MBA convention, FHFA director Mel Watt announced several key changes aimed at improving US mortgage credit conditions. Borrowers refinanced through the HARP process are expected to benefit the most from the proposals.
• The Office of Inspector General (OIG) for the US Fed and the CFPB has released its summary report of the supervisory activities related to the US$2.3bn credit derivatives losses of JPMorgan's chief investment office (CIO) in 2012. The report describes four findings and 10 recommendations that encourage the Fed to enhance its supervisory processes and approach to consolidated supervision for large complex banking organisations.
• The US SEC has published analyses of data on the reporting and dissemination of security-based swap transaction information. The analyses examine: the effect of the CFTC's mandated post-trade transparency in the CDS index market on total credit exposure, trading volume and trade size; and recent single-name CDS transactions, especially in terms of how dealers may hedge any large notional exposures that result from executing trades with their customers.

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:
A-Best 10; ACIS CLO 2014-5; Ally Auto Receivables Trust 2014-SN2; Apidos CLO XIX; Babson CLO 2014-III; BBVA Consumo 6; Benefit Street Partners CLO V; BMW Vehicle Owner Trust 2014-A; Brass No. 4; Capital One Multi-asset Execution Trust 2014-5; CLI Funding V series 2014-2; CNH Equipment Trust 2014-C; Discover Card Execution Note Trust 2014-5; Dolphin Master Issuer 2014-3; Exeter Automobile Receivables Trust 2014-3; Flagship Credit Auto Trust 2014-2; Ford Credit Auto Owner Trust 2014-REV2; GE Dealer Floorplan Master Note Trust Series 2014-2; GoldenTree Loan Opportunities IX; HarbourView CLO VII; HERO Funding Trust 2014-2; Limerock CLO III; MCF CLO IV; Navient Private Education Loan Trust 2014-A; Nissan Auto Lease Trust 2014-B; PFS Financing Corp series 2014-B; Regatta V Funding; SBA Tower Trust 2014-1; SBA Tower Trust 2014-2; Silverleaf Finance XVIII series 2014-A; Slate No. 1; Slate No. 2; Toyota Auto Receivables 2014-C Owner Trust; Volkswagen Auto Loan Enhanced Trust 2014-2; Westlake Automobile Receivables Trust 2014-2.

Deals added to the SCI CMBS Loan Events database last week:
BSCMS 2007-PW16; BSCMS 2007-T26; CD 2005-CD1; COMM 2012-CCRE1, 2012-CCRE2 & 2012-CCRE3; COMM 2014-UBS2; CSMC 2006-C3; CSMC 2006-C4; CSMC 2007-C5; DECO 2006-E4; DECO 2007-E7; DECO 8-C2; ECLIP 2007-1; EMC VI; EURO 28; FLTST 3; GECMC 2007-C1; GSMS 2012-ALOHA; JPMCC 2005-LDP1; JPMCC 2006-CB17; JPMCC 2007-CB18; LBUBS 2005-C2; LBUBS 2007-C1; MLCFC 2007-7; MLMT 2005-CKI1; MSBAM 2013-C7; MSC 2006-HQ8; MSC 2011-C1; SMPER 2007-1; TAURS 2007-1; TITN 2006-1; TITN 2006-3; TITN 2007-1; TITN 2007-CT1; TMAN 6; TMAN 7; WBCMT 2005-17; WBCMT 2006-C25; WINDM XIV.