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

Pipeline
Several deals were added to the pipeline last week as the market started up again after the Easter break. These included seven ABS, three ILS and three CMBS.

The ABS were: €455m Alba 7; US$554.45m ARI Fleet Lease Trust 2015-A; US$1bn Dell Equipment Finance Trust 2015-1; US$223.64m First Investors Auto Owner Trust 2015-1; US$1.169bn Hyundai Auto Lease Securitization Trust 2015-B; US$747.7m Navient Student Loan Trust 2015-2; and US$1.06bn Santander Drive Auto Receivables Trust 2015-2.

Alamo Re Series 2015-1, Benu Capital and Cranberry Re 2015-1 constituted the ILS. Meanwhile, the CMBS were US$1.4bn BAMLL Commercial Mortgage Securities Trust 2015-200P, US$1.31bn FREMF 2015-K44 and US$796.6m WFCG Commercial Mortgage Trust 2015-BXRP.

Pricings
It was another active week for deals leaving the pipeline. The week's prints consisted of five ABS, two ILS, three RMBS, five CMBS and four CLOs.

The ABS were: US$1.269bn AmeriCredit Automobile Receivables Trust 2015-2; US$732m Chrysler Capital Auto Receivables Trust 2015-A; US$1.4bn Nissan Auto Receivables 2015-A Owner Trust; US$350m PFS Financing Corp Series 2015-A; and €715.4m Purple Master Credit Card Note Series 2015-1. The ILS were US$150m Citrus Re Series 2015-1 and US$100m Pelican III Re Series 2015-1.

US$229m B2R 2015-1, US$297.17m Citigroup Mortgage Loan Trust 2015-A and US$240.8m FirstKey Lending 2015-SFR1 made up the week's RMBS. The CMBS were: US$1.1bn CGCMT 2015-GC29; US$632m Core Industrial Trust 2015-TEXW; US$822m Core Industrial Trust 2015-WEST; US$1.14bn JPMBB 2015-C28; and US$950m MSBAM 2015-C22.

Lastly, the CLOs were US$513.1m Babson CLO 2015-I, US$505m Mariner CLO 2015-1, US$436m Palmer Square CLO 2015-1 and US$409m Zais CLO 3.

Markets
US ABS secondary spreads were broadly unchanged last week, although Bank of America Merrill Lynch analysts note that some subordinate auto loan ABS and consumer ABS notes did tighten 3bp-5bp. "Secondary volume was somewhat spotty with light volume earlier in the week, although weekly volume was in line with this year's weekly average," they say.

Production coupon US agency RMBS outperformed hedges last week, according to Citi analysts. They add: "[Non-agency] dealer inventory increased by around US$300m for the week ending April 9, with a day-over-day increase on April 9 of around US$340m, implying that the around US$800m BWIC of subprime and POA bonds traded well."

US CMBS spreads tightened a little as the market rode a broader rally. "Secondary trading of recent issue LCF triple-A bonds was 1bp tighter, at swaps plus 83bp. Lower in the capital stack, single-A rated mezzanine bonds were 2bp tighter, to swaps plus 201bp, and triple-B rated mezzanine bonds were 3bp tighter, to swaps plus 330bp," note Barclays Capital analysts.

In European ABS, better two-way flows began to be seen towards the end of the week, but JPMorgan analysts note that overall conviction remains low. They add: "Unsurprisingly, spreads have drifted sideways over the Easter break, with trading flows very subdued-even into quarter end."

Editor's picks
CMBS market cuts froth: Despite accelerating last month, US CMBS 2.0 B-piece BWIC volumes remain significantly lower than they were this time last year...
Bouncing back: The US CLO equity market is rebounding from a spate of volatility...
Originator 'loophole' eyed: The Bank of England and the ECB have expressed concern over a "loophole" in the originator definition of the CRR...
Post-crisis performance issues highlighted: US$1.9bn of post-crisis CMBS loans were newly watchlisted in March...

Deal news
• Freddie Mac intends to pre-market its inaugural actual loss STACR offering, STACR 2015-DNA1, beginning 13 April. The RMBS will be similar to recent STACR deals, but instead of allocating losses to the debt notes based upon a fixed severity approach, losses will be allocated in this transaction based on the actual losses realised on the related reference obligations.
• Fannie Mae is marketing its first bulk-sale of non-performing loans, featuring an overall pool of approximately 3,200 loans that total US$786m in unpaid principal balance. This follows Freddie Mac's recent sale via auction of 5,398 deeply delinquent NPLs (SCI 1 April).

Deals added to the SCI New Issuance database last week:
Agate Bay Mortgage Trust 2015-2; American Homes 4 Rent 2015-SFR1; Apidos CLO IX (refinancing); Arbor Realty CRE 2015-FL1; BBCMS 2015-SLP; BBCMS 2015-VFM; Celeste Mortgage Funding 2015-1; CGCMT 2015-SSHP; Chase Issuance Trust 2015-2 (re-open); Citrus Re series 2015-1; COMM 2015-CCRE22; CSAIL 2015-C1; CSMC Trust 2015-1; CSMC Trust 2015-2; DECO 2015-HARP; E-CARAT 5; FirstKey Mortgage Trust 2015-1; Houston Galleria Mall Trust 2015-HGLR; Hypenn RMBS III; IM Grupo Banco Popular Empresas VI; IMSCI series 2015-6; JP Morgan Mortgage Trust 2015-IVR2; JPMCC 2015-COSMO; Kizuna Re II series 2015-1; Manatee Re series 2015-1; MSC 2015-420; MSC 2015-XLF1; NZCG Funding 2; Private Driver 2015-1; Quarzo CQS; Queen Street X Re; Shackleton 2015-VII CLO; Springleaf Funding Trust 2015-B; STACR 2015-HQ1; Treman Park CLO; WFCM 2015-LC20; WinWater Mortgage Loan Trust 2015-2; WinWater Mortgage Loan Trust 2015-3

Deals added to the SCI CMBS Loan Events database last week:
BACM 2007-1; COMM 2014-CR20; DBUBS 2011-LC1; EMC VI; GSMS 2011-GC3; GSMS 2012-GC19; JPMBB 2014-C24; JPMCC 2003-ML1; JPMCC 2005-CB13; JPMCC 2006-CB16; JPMCC 2007-CB18; JPMCC 2011-C3; JPMCC 2012-CBX; LBUBS 2006-C4; MLCFC 2006-4; MLMT 2005-CIP1; MSC 2007-IQ15; WBCMT 2006-C23; WFRBS 2011-C3; WFRBS 2013-C18; WINDM VII; WINDM X