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

Pipeline
Pipeline activity picked up again last week. There were 10 ABS additions, as well as an RMBS, two CMBS and two CLOs.

The ABS were: US$220.33m American Credit Acceptance Receivables Trust 2016-2; €549.1m Bumper 7; US$1.175bn CarMax Auto Owner Trust 2016-2; US$751.6m Chrysler Capital Auto Receivables Trust 2016-A; US$342.69m CPS Auto Receivables Trust 2016-B; A$500m Crusade ABS Series 2016-1 Trust; Hertz Fleet Lease Funding Series 2016-1; Master Credit Card Trust II 2016-1; Penarth 2016-1; and SPE PSB SME 2015.

£6.2bn Towd Point Mortgage Funding 2016-Granite 1 was the RMBS, while the CMBS were US$694.7m CGCMT 2016-GC37 and US$1.4bn FREMF 2016-K54. The CLOs were US$248m BlueMountain CLO 2016-1 and US$255m Regatta VI Funding.

Pricings
There were fewer deals departing the pipeline, however. Last week there were seven ABS prints.

These were: US$1.2bn AmeriCredit Automobile Receivables Trust 2016-2; US$300m DT Auto Owner Trust 2016-2; US$438m Hyundai Floorplan Master Owner Trust Series 2016-1; US$497m Navient Student Loan Trust 2016-2; US$382m Utility Debt Securitization Authority Restructuring Bonds Series 2016A; and €750m VCL 23.

Markets
The US CLO bid shows no signs of fading, as SCI reported last week (SCI 7 April). "The secondary rally continues to strengthen - this wave now really seems to have some power to it," says one trader.

European secondary activity is patchy, although the European CLO sector continues to attract strong interest, as SCI reported last week (SCI 7 April). "We're seeing a strong client bid for triple-As, but what little BWIC activity there is focuses on mezz where spreads remain firm - the bonds that traded on yesterday's single-B list went through in the low 1,000s," comments one trader.

The tone in the European RMBS secondary market continues to improve, say JPMorgan analysts. They add: "Spreads in the periphery continued to firm, with benchmark Italian, Spanish, and Portuguese senior RMBS spreads 3bp-5bp tighter, ending the week at 160bp, 220bp, and 330bp, respectively."

Editor's picks
Special forces: Credit Suisse's recent decision to exit securitised trading in Europe highlights the reshaping of the ABS frontier that is underway across the region. Against the backdrop of regulatory pressures and capital constraints, many dealers are adopting a narrower, more specialised approach...
Reckless driving?: Concern is mounting over rising US subprime auto ABS delinquencies. However, issuance in the sector remains vibrant and ratings are generally expected to remain stable to positive this year...
Granite resurfaces in unique RMBS: Cerberus European Residential Holdings is bringing to market a deal which is essentially a refinancing of the Granite portfolio it bought late last year (SCI 13 November 2015). Towd Point Mortgage Funding 2016-GR1 is the largest new issue in its sector since before the financial crisis, which is seen as widely positive for UK non-conforming RMBS, particularly so close to the Brexit referendum...
China NPL rules mooted: Chinese authorities are pushing to incorporate NPLs as a fully-fledged product within the country's growing securitisation market. The National Association of Financial Market Institutional Investors (NAFMII) is leading the initiative with a new set of guidelines for an NPL framework, which were opened for feedback last month...

Deal news
• A severance order and partial final judgment was last week filed in the New York State Supreme Court that would permit allocable shares under the Countrywide RMBS settlement to be distributed to 515 'initial release trusts'. The remaining 15 transactions - 12 CWALT and three CWHL deals - involved in the case continue to be contested.
• The final price of Pacific Exploration & Production Corp CDS has settled at 20 (SCI 24 March). At an auction held on 6 April, 11 dealers submitted initial markets, physical settlement requests and limit orders to settle trades across the credit derivatives market referencing the entity.

Regulatory update
• A list of potential pitfalls in the European Commission's STS framework has been published in a letter by 32 signatories, including some of the EU's largest banks. The signatories argue that the STS framework would not, in its current form, provide the solution for the securitisation market that it is intended to.
• The EBA has launched a public consultation on draft amending regulatory technical standards (RTS) on credit valuation adjustment (CVA) proxy spread, which aim to ensure a more adequate calculation of own funds requirements for CVA risk. The RTS propose limited amendments to the European Commission's Delegated Regulation (EU) No 526/2014 based on two policy recommendations contained in the EBA's CVA report published on 25 February 2015.
• The Basel Committee has released a consultative document on revisions to the Basel 3 leverage ratio framework, as well as responses to a third set of FAQs. The consultative document's proposals are the result of feedback from market participants and stakeholders and cover four key issues.
• The California Attorney General Kamala Harris has filed a lawsuit against Morgan Stanley over RMBS that it allegedly misrepresented when selling to California public pension funds. The complaint was filed in the San Francisco Superior Court. The funds lost millions of dollars on the RMBS investments.

Deals added to the SCI New Issuance database last week:
ALM VIII (refinancing); AMMC CLO XI (refinancing); Apollo Aviation Securitization Equity Trust 2016-1; Avis Budget Rental Car Funding Series 2016-1; Berica PMI 2; BlueMountain EUR CLO 2016-1; Bosphorus CLO II; Canyon CLO 2016-1; Chesapeake Funding II Series 2016-1; Citi Held For Asset Issuance 2016-PM1; Contego CLO III; DBJPM 2016-C1; Fastnet Securities 11; FREMF 2016-KLH3; Harvest CLO XV; Hyundai Auto Receivables Trust 2016-A; LCM XXI; MarketPlace Loan Trust series 2016-LD1; Merna Re series 2016-1; Mill Creek CLO; Octagon Investment Partners 26; Telos CLO 2016-7; Upland CLO; ;

Deals added to the SCI CMBS Loan Events database last week:
BACM 2006-3; CGCMT 2014-GC25; ECLIP 2006-1; ECLIP 2006-4; EPIC (Premier); EURO 26; EURO 27; EURO 28; FHSL 2006-1; GSMS 2007-GG10; JPMCC 2007-LDPX; JPMCC 2013-C10; MSC 2006-IQ12; TITN 2006-3; TITN 2006-5; WBCMT 2007-C31; WINDM X