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

Pipeline
Several deals joined the pipeline during the holiday-shortened week, including a Chinese auto loan ABS. In total there were nine new ABS as well as two RMBS and three CMBS.

The ABS were: €500m Driver France Two; US$750m Huntington Auto Trust 2015-1; US$747.76m Hyundai Auto Lease Securitization Trust 2015-B; CNY3.58bn Rongteng Individual Auto Mortgage-Backed Securitization 2015-1; RUB7.8bn Special Financial Organization Europa 14-1A; US$415.5m State Board of Regents of the State of Utah Series 2015-1; US$425m TCF Auto Receivables Owner Trust 2015-1; US$129.6m Welk Resorts 2015-A; and US$512.7m Wheels Series 2015-1.

RUB3bn Mortgage Agent Vozrozhdenie 4 and US$425.6m Structured Agency Credit Risk 2015-HQ2 made up the RMBS. The CMBS, meanwhile, were US$281.5m LSTAR 2015-3 Commercial Trust, US$984m JPMBB 2015-C29 and €480m-equivalent Mint 2015.

Pricings
There was a little more variety among the deals leaving the pipeline. At the final count there were five ABS prints as well as one ILS, eight RMBS and one CLO.

The ABS were: US$675m Ally Master Owner Trust Series 2015-3; C$500m BMW Canada Auto Trust 2015-1; US$390m California Republic Auto Receivables Trust 2015-2; £490m CPUK Finance (refinance); and €558m Pass Compartment France. The sole ILS was US$705m Compass Re II Series 2015-1.

The RMBS were: US$670m Colony American Homes 2015-1; €206m Dilosk RMBS No.1; £423m Gemgarto 2015-1; £500m Gosforth Funding 2015-1; US$380m JPMMT 2015-3; A$250m La Trobe Financial Capital Markets Trust 2015-1; US$705m LSTAR Securities Investment 2015-6; and A$2bn Series 2015-1 WST Trust. Lastly, the CLO was €335m Euro Galaxy IV.

Markets
US non-agency RMBS volumes were light last week, according to Bank of America Merrill Lynch analysts. "Spreads in the legacy non-agency and CRT space are mostly unchanged. With the issuance of the new SFR deal, the F tranches widened by about 10-20bp. Since 2015, the SFR E and F tranches tightened by 95-100bp. We think the tightening has been too fast," they say.

US CMBS spreads moved last week for the first time in nearly a month, report Barclays Capital analysts. "The CMBS market slipped in the Memorial Day-shortened week, in line with other securitised credit sectors in a week when rates rallied," they comment. "In secondary trading of recent issuance, LCF triple-A bonds were 2bp wider, to swaps plus 88bp. More credit exposed single-A rated mezzanine tranches were 3bp wider, to swaps plus 210bp, and triple-B rated mezzanine tranches were also 3bp wider, to swaps plus 341bp."

The picture remains the same in European ABS and RMBS, as ECB-eligible assets continue to leak wider. JPMorgan analysts say: "While ECB-eligible (and ineligible) bonds from Italy stand back at the levels last recorded at the time of ABSPP launch (74bp and 99bp), the Spanish equivalent are 10bp and 20bp wider than at unveiling. A similar story is also true for Portugal."

Editor's picks
Expanding horizons: The Chinese securitisation market continues to show promising signs of growth. The authorities are now exploring new ways to strengthen the market by involving foreign investment and reinvigorating secondary activity...
SFR market moves east: While the single-family rental securitisation market continues to grow, the profile of the underlying properties is changing. Where earlier deals were overwhelmingly backed by properties from the western US, more recent deals contain heavier concentrations of eastern properties...

Deal news
• Moody's reports that a total of 122 European CMBS loans were in special servicing at the end of April, securitised within 45 large multi-borrower and 36 single-borrower CMBS transactions. One European loan was newly transferred into special servicing in April, while six loans were worked out. The pace of workouts continues to exceed new transfers, with the Government Income Portfolio loan - the sole remaining loan in Windermere XI - the only transfer in April.
• The average appraised value for specially serviced US CMBS loans has increased slightly by 1%, according to Fitch. The three largest declines in appraised value for loans greater than US$20m are headed by the Coventry Mall in Pottstown, Pennsylvania, which saw the US$48.6m loan - securitised in MSC 2005-T17 - see its appraised value fall 55% to US$17.4m in March 2014 from its previous value one year earlier.
• Corinthian Colleges recently announced closures for the remainder of its 28 campuses. Morgan Stanley CMBS strategists identify five CMBS 2.0/3.0 loans totalling US$94m with exposure to the closures, potentially representing idiosyncratic risk. The largest of the loans is the US$47.4m Netpark Tampa Bay (securitised in COMM 2014-UBS4), where Corinthian Colleges is the third largest tenant representing 14.5% of the GLA.

Regulatory update
• The US SEC has charged Deutsche Bank with filing misstated financial reports during the financial crisis that failed to take into account a material risk for large potential losses on certain leveraged super senior (LSS) trades. The bank has agreed to pay a US$55m penalty to settle the charges.
• The UK FCA has published notices setting out its decision to fine and prohibit three former members of Keydata Investment Services' senior management from performing any role in regulated financial services. Stewart Ford, Mark Owen and Peter Johnson have received the notices on the accusation of misleading investors, as well as the UK FSA, regarding the performance of certain investment products. The FCA has decided to fine Ford, Owen and Johnson the sums of £75m, £4m and £200,000 respectively.

Deals added to the SCI New Issuance database last week:
Ares XXIV CLO (refinancing); Avis Budget Rental Car Funding series 2015-2; Bank of the West Auto Trust 2015-1; BlueMountain CLO 2015-2; Cairn CLO V; Chase Issuance Trust 2015-6; CSMC 2015-DEAL; CSMC Trust 2015-3; Dilosk RMBS No. 1; Doral CLO II (refinancing); Drive Auto Receivables Trust 2015-B; Dutch Residential Mortgage Portfolio I; Euro-Galaxy IV CLO; Ford Credit Auto Owner Trust 2015-B; Fortress Credit Funding V (refinancing); Fortress Credit Funding VI (refinancing); Galaxy XX CLO; Globaldrive Auto Receivables 2015-A; GO Financial Auto Securitization 2015-1; Golub Capital Partners CLO 23(B); Gosforth Funding 2015-1; Harley-Davidson Motorcycle Trust 2015-2; Magnetite XIV; Master Credit Cards Pass Compartment France 2015-1; MSG 2015-ALDR; Nelnet Student Loan Trust 2015-3; RAIT 2015-FL4; SMART ABS Series 2015-2 Trust ; Swiss Credit Card Issuance 2015-1; Swiss Credit Card Issuance 2015-2; Wendy's Funding series 2015-1

Deals added to the SCI CMBS Loan Events database last week:
CGCMT 2007-C6; COMM 2012-CR1; COMM 2014-UBS4; DECO 8-C2; ECLIP 2007-1; EURO 23 & EURO 28; EURO 28; LBUBS 2006-C4; MESDG CHAR; MLCFC 2007-5; MLCFC 2007-5 & JPMCC 2007-CB18; MLMT 2005-CKI1; MSC 2011-C3; TITN 2007-1; WBCMT 2007-C30; WFRBS 2011-C3