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

Pipeline
Pipeline activity picked up again last week, with significant ABS additions. There were also four new RMBS, three CMBS and three CLOs added.

The ABS were: US$1.064bn Capital Auto Receivables Asset Trust 2015-3; US$750m CNH Equipment Trust 2015-C; US$247m Credit Acceptance Auto Loan Trust 2015-2; US$260m DRB Prime Student Loan Trust 2015-B; Ford Credit Floorplan Master Owner Trust A Series 2015-4 and Ford Credit Floorplan Master Owner Trust A Series 2015-5; US$125.9m HASI SYB Trust 2015-1; US$600m NRZ Advance Receivables Trust 2015-ON1 Series 2015-T1, US$400m NRZ Advance Receivables Trust 2015-ON1 Series 2015-T2 and US$500m NRZ Advance Receivables Trust 2015-ON1 Series 2015-VF1; and CNY1.5bn VINZ 2015-1 Retail Auto Loan Securitization Trust.

US$300m Agate Bay Mortgage Trust 2015-5, A$500m RESIMAC Triomphe Trust Premier Series 2015-1, Shellpoint Co-Originator Trust 2015-1 and £302m Thrones 2015-1 accounted for the RMBS, while the CMBS were US$1.1bn COMM 2015-CCRE25, €485m Crescendo 2015 and US$1bn JPMBB 2015-C31. The CLOs were US$500m Anchorage Capital CLO 7, US$370.2m CENT CLO 24 and US$600m Madison Park Funding XVIII.

Pricings
There were six ABS prints last week, as well as four CMBS and four CLOs.

The ABS were: US$1.2bn AmeriCredit Automobile Receivables Trust 2015-3; US$450m-equivalent CARDS II Series 2015-2; US$1bn CarMax Auto Owner Trust 2015-3; US$255m MVW Owner Trust 2015-1; US$700m Navient Private Education Loan Trust 2015-B; and US$123.5m SolarCity LMC Series IV Series 2015-1.

US$1.035bn 1211 Avenue of the Americas Trust 2015-1211, US$1.1bn CGCMT 2015-P1, US$1.4bn CSAIL 2015-C3 and US$270m Resource Capital Corp 2015-CRE4 accounted for the CMBS. Meanwhile, the CLOs consisted of US$510m ACAS CLO 2015-2, US$412.7m Loomis Sayles CLO II, US$415.5m Mountain View X and US$512m Oaktree 2015-1.

Markets
US ABS prime auto and student loan spreads widened last week, while credit card and equipment spreads were unchanged. "The widening in prime autos was due partly to this week's wider pricing of CARMX 2015-3, which priced close to levels seen in some recent subprime auto ABS issuances. Although student loan ABS spreads have mostly stabilised, the prospect of significant FFELP downgrades continues to weigh on the sector," say Barclays ABS analysts.

The US RMBS market witnessed spread tiering for CAS and STACR deals, as on-the-run spreads on non-rated or double-B rated tranches widened 3bp-8bp for low-LTV paper, but tightened 5bp-15bp for off-the-run paper. "Excluding dealer-to-dealer transactions, weekly volumes were more than US$273m, with at least US$110m on CAS and US$162m on STACR, according to TRACE. BWIC volumes in the legacy non-agency space increased slightly to US$1.38bn this week dominated by the GSE list," say Bank of America Merrill Lynch analysts.

US CMBS LCF triple-A spreads widened to swaps plus 107bp last week, which is their widest level since October 2013. "Post-CREFC conference sentiment began the widening trend in June, with the benchmark spread increasing 12bp by the start of July," say Citi analysts, with high summer supply exacerbating the trend.

Editor's picks
Small strides: SMEs continue to be billed as the backbone of the European economy, as a number of initiatives seek to remedy the lack of traditional bank support for the sector. Securitisation is expected to play a key role in this process, but a number of obstacles must be overcome if it is to make a significant contribution...
Basis 'favours CDX hedging': The recent sharp divergence in the performance of cash and synthetic products has taken the cash-CDS basis on either side of the Atlantic to its most negative levels since 2012. Cash credit spreads are wide in Europe and close to two-year wides in the US, but CDX and iTraxx spreads are only 15bp off their tights for the cycle...
Ruling requires servicer replacement rethink: A recent UK legal ruling contradicts what had appeared to be an established precedent for European CMBS special servicer replacements. The ruling for DECO 15 - Pan Europe 6 will now add to the considerations that trustees, issuers and special servicers must make when a special servicer is being replaced...
Alpha alternative: Indus Valley Partners co-founder Bijesh Amin answers SCI's questions...

Deal news
• Freddie Mac has expanded its credit risk transfer programme with the introduction of SB certificates, a new form of multifamily MBS which are backed by small balance loans underwritten by Freddie Mac and issued by a third-party trust. Freddie Mac guarantees the senior securities issued by the FRESB 2015-SB1 Mortgage Trust and acts as mortgage loan seller and master servicer.
• AIG's mortgage insurance business United Guaranty Corp (UGC) has completed a novel ILS that funds US$298.9m of indemnity reinsurance for a portfolio of mortgage insurance (MI) policies issued from 2009 through 1Q13. Dubbed Bellemeade Re series 2015-1, the Bermuda-domiciled special purpose insurer issued three classes of 10-year notes.
• Hannon Armstrong Sustainable Infrastructure Capital (HASI) is marketing a US$125m securitisation that is backed by a pool of 80 contractual rights to payments associated with ground leases for utility scale projects. The contractual rights in HASI SYB Trust 2015-1's collateral pool include a mixture of variable and scheduled payments, 28.4% of which arise from wind projects and the remainder from solar projects.
• Gap recently released a list of 20 stores slated to close on 26 July, as part of its plans to shutter 175 of its North America specialty stores over the next few years (SCI 17 June). One property, the Destiny USA mall, is the sole asset securing the US$430m JPMCC 2014-DSTY transaction.
• ISDA's Americas Credit Derivatives Determinations Committee has resolved that a bankruptcy credit event occurred in respect of Alpha Appalachia Holdings. Alpha Natural Resources filed for chapter 11 bankruptcy relief on 3 August to "enhance the company's future as it weathers a historically challenged coal market."

Regulatory update
• The US CFTC has ordered Morgan Stanley to pay a US$300,000 penalty for failing to hold sufficient US dollars in segregated US accounts to meet all of its obligations to cleared swaps customers. The regulator has also ordered the bank to implement adequate procedures to prevent future regulatory violations.
• The US SEC has adopted new rules for supervising the business operations of security-based swap dealers and major security-based swap participants in their registration process with the regulator. The rules address all aspects of the registration regime, setting forth the extensive set of information required to be provided and kept up to date by a registrant.
• PIMCO has received a Wells Notice from the US SEC indicating that its staff have recommended that the regulator commence a civil action against the investment manager stemming from a non-public investigation relating to PIMCO's Total Return Active ETF. The matter principally pertains to the valuation of smaller sized positions in non-agency MBS purchased by the fund.
• A federal court has approved a US$235m settlement over a class action lawsuit brought forward by New Jersey Carpenters Health Fund on behalf of investors in MBS that were issued by Residential Accredit Loans (RALI) in 2006 and 2007. Judge Katherine Faila of the US District Court for the Southern District of New York gave final approval to the agreed settlement made with underwriters Citi, Goldman Sachs and UBS on 31 July.

Deals added to the SCI New Issuance database last week:
ALM V (refinancing); Ares XXXIV CLO; BAMLL 2015-HAUL; Bavarian Sky Compartment German Auto Loans 3; Bellemeade Re series 2015-1; CFCRE 2015-RUM; CGCMT 2015-SHP2; Citi Held For Asset Issuance 2015-PM1; Co-operative Bank RMBS Trust Series 2015-1; DECO 2015-Charlemagne; Driver China Two Trust; Flagship Credit Auto Trust 2015-2; Ford Credit Auto Owner Trust 2015-REV2; Freddie Mac Whole Loan Securities Trust 2015-SC01; FREMF 2015-K47; GLS Auto Receivables Trust 2015-1; Golub Capital Partners CLO 25(M); JG Wentworth XXXV series 2015-2; MSBAM 2015-C24; Navistar Financial Dealer Note Master Owner Trust II series 2015-1; NYCTL 2015-A Trust; Panda Re series 2015-1; PFP 2015-2; SoFi Professional Loan Program 2015-C; WP Glimcher Mall Trust 2015-WPG

Deals added to the SCI CMBS Loan Events database last week:
BACM 2007-1; CD 2007-CD5; COMM 2013-LC6; COMM 2014-CR14 & COMM 2014-LC15; CSMC 2007-C5; DBUBS 2011-LC1; DECO 2007-E6; FREMF 2011-K14; GSMS 2012-GCJ7; GSMS 2012-GCJ9; GSMS 2014-GC24; JPMBB 2014-C19; JPMCC 2005-LDP4; JPMCC 2006-LDP9; JPMCC 2011-C4; JPMCC 2013-C12 & JPMCC 2013-C13; JPMCC 2014-DSTY; JPMCC 2015-COSMO; LBUBS 2006-C1 & LBUBS 2006-C7; LBUBS 2006-C6; LBUBS 2007-C7; MLCFC 2007-8; MSC 2011-C3; TAURS 2006-1; UBSBB 2012-C4; VEST 2; WBCMT 2007-C33; WFRBS 2011-C4; WFRBS 2012-C9