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

Pipeline
The pace of pipeline additions slowed last week. The final count consisted of two ABS, an ILS, an RMBS, a CMBS, a CRE CDO and two CLOs.

US$160m CRG Issuer 2015-1 and US$185m SolarCity FTE Series 1 Series 2015-A accounted for the ABS, while the ILS was US$250m Atlas IX Capital 2016-1. The sole RMBS was US$272.04m Mill City Mortgage Loan Trust 2015-2.

US$613m NorthStar 2015-1 was the CMBS while the CRE CDO was US$349.1m RAIT 2015-FL5 Trust. The CLOs consisted of €780m BBVA-10 PYME FT and US$800m JPMCC 2015-JP1.

Pricings
There were considerably more deals printing, with ABS leading the way. As well as 12 ABS there were also two RMBS, two CMBS and three CLOs.

The ABS were: US$380m California Republic Auto Receivables Trust 2015-4; US$713m Castlelake Aircraft Securitization Trust 2015-1; US$265m CHAI 2015-PM3; US$333m DRB Prime Student Loan Trust 2015-D; R$808m Driver Brasil Three FIDC; US$216.5m Edsouth Indenture No.10 Series 2015-2; CNY3bn Fuyuan 2015-2 Retail Auto Mortgage Loan Securitization Trust; US$127m MPLT 2015-CB2; €1bn Noria 2015; €1.4bn SC Germany Consumer 2015-1; US$600m SPS Servicer Advance Receivables Trust Series 2015-T2; and US$400m SPS Servicer Advance Receivables Trust Series 2015-T3.

€900m IM Grupo Banco Popular MBS 3 and £1.5bn Trinity Square 2015-1 were the RMBS, while the CMBS were US$1.2bn FREMF 2015-K51 and US$1bn WFCM 2015-P2. Lastly, the CLOs were €416m CGMSE 2015-3, €2.94bn FT PYMES Santander 12 and US$606m OHA Credit Partners XII.

Markets
The tone of the US ABS market continued to improve last week, notes JPMorgan. "A prime auto ABS new issue came this week at the tight end of initial price guidance. Pricing in the secondary market firmed up on brisk activity and on the tapering-off of new issuance as we approach year-end."

Stabilisation was the theme for US CMBS. Barclays analysts say: "CMBS secondary trading spreads were slightly wider but issuance spreads came in a bit tighter. Part of the stability was simply to the result of reduced issuance, with two deals originally expected for 2015 now shelved until January."

The European ABS markets were not cowed by fixed income's reaction to the ECB's latest announcement, reports Bank of America Merrill Lynch. "European structured finance and covered bonds markets were busy in the beginning of the week, tapering off towards the end. A couple of BWICs containing high beta bonds seemed well received by the remaining few investors."

Editor's picks
Space for rent: Of the 26 single-family rental securitisations issued since the market's inception - totalling US$14bn - only three have been multi-borrower deals. However, a significant shift in issuance is underway...
Friend request: None of January's US CLOs were risk retention-compliant at issuance, but change has swept the market as 20% of those issued in September and 19% of those issued in October were. However, finding adequate solutions has proved tough enough for large managers, with smaller ones in an even more precarious position...
Euro CLOs BWIC-driven: The European CLO secondary market is being dominated by a spike in BWIC volume. "Everything is BWIC-driven this week - away from the auctions not a lot is happening," says one trader. "Things have widened, but we're still seeing strong execution..."

Deal news
• November saw a spike in US CMBS 2.0 remittance activity. Twelve loans totalling US$128.89m became newly delinquent last month, including three 2015 vintage loans (with two from JPMBB 2015-C3).
• The volume of US CMBS loans out for auction has decreased slightly this month, to US$190m. The deals with the highest exposure are BACM 2006-2, BACM 2006-5 and MLMT 2006-C1.
• Deutsche Bank has closed a US$3.5bn synthetic CLO, which it claims is the largest-ever securitisation of trade finance assets to hit the market. TRAFIN 2015-1 uses an innovative structure that enables it to hedge a globally diverse short-term trade finance portfolio of corporate and financial institutions via the sale of a first loss tranche.
• Freddie Mac has priced its largest small balance loan offering to date and the first to include collateral from multiple lenders. The GSE will provide approximately US$400m in SB9 Certificates, which are anticipated to settle on 22 December.
• The American Residential Properties and American Homes 4 Rent merger (SCI 4 December) is credit positive for ARP's single-family rental securitisation, according to Moody's in its latest Credit Outlook publication. The deal - American Residential Properties 2014-SFR1 - is expected to benefit from improved economies of scale and better refinancing opportunities.
• Sarana Multigriya Finansial has listed on the Indonesia Stock Exchange (IDX) the country's first ABS in the form of a participation certificate - known as Efek Beragun Aset Berbentuk Surat Partisipasi (EBA-SP) - an instrument introduced by the regulator last year. Dubbed SMF-BTN 01 - Kelas A, the IDR181.6bn transaction securitises housing loans provided by state-owned lender Bank Tabungan Negara.
• S&P has lowered to single-D from triple-C minus its rating on MultiCat Mexico series 2012-I class C notes and removed it credit watch negative. The downgrade is due to Swiss Re's request for an extension of the maturity of the notes, which were scheduled to mature on 4 December.
• Navient has extended the maturity dates of six FFELP student loan ABS trusts that it sponsors. The six trusts affected by the amendments are Navient Student Loan Trusts 2014-2, 2014-3, 2014-4, 2014-5, 2014-6 and 2014-7.
• ISDA's EMEA Determinations Committee has published a statement that details the background to its split decision regarding an Abengoa bankruptcy credit event (SCI 9 December). The statement reveals the DC's consideration of the nature of the filing of an Article 5bis communication and the effect it has on the debtor filing it.

Regulatory update
• The Basel Committee has issued a second consultation on revisions to its standardised approach for credit risk. The regulator says that its proposals are part of a broader review of the capital framework to balance simplicity and risk sensitivity, while reducing variability in risk-weighted assets across banks and jurisdictions.
• The European Commission has dropped proceedings against 13 investment banks over their alleged involvement in breaching antitrust standards in the CDS market. The Commission's decision comes nearly 2.5 years after it originally accused the banks of colluding to prevent the market from transitioning to regulated exchanges (SCI 1 July 2013).
• US mortgage lenders could face a tough time complying with the US CFPB's recently enacted TILA-RESPA Integrated Disclosure Rules (TRID), according to Moody's latest credit outlook publication. Several third-party review (TPR) firms have revealed to the agency that their reviews of more than 90% of the first pipeline of residential mortgage loans subject to the rules had TRID compliance violations.
• The NCUA has announced a US$225m settlement with Morgan Stanley to resolve claims arising from losses related to corporate credit unions' purchases of faulty RMBS. The settlement covers claims asserted in 2013 by the NCUA Board on behalf of US Central Federal Credit Union, Western Corporate Federal Credit Union, Members United Corporate Federal Credit Union and Southwest Corporate Federal Credit Union.

Deals added to the SCI New Issuance database last week:
Apidos XXIII; Bean Creek CLO; FREMF 2015-K721; KKR CLO 13; Lanterna Finance; Madison Park Funding XIX; Magnetite XVI; Navient Private Education Loan Trust 2015-C

Deals added to the SCI CMBS Loan Events database last week:
BACM 2006-2; BACM 2006-5; BSCMS 2007-T26; CD 2006-CD2; CD 2007-CD4; DBUBS 2011-LC1; DECO 2006-E4; DECO 2007-E6; ECLIP 2006-1; ECLIP 2006-1 & ECLIP 2006-4; ECLIP 2007-2; GCCFC 2005-GG3; GCCFC 2007-GG9; JPMCC 2005-LDP5; JPMCC 2007-LDP11; JPMCC 2011-C4; LBUBS 2006-C1; LBUBS 2006-C7; MLMT 2006-C1; MSC 2007-HQ11; TITN 2006-1, TITN 2006-2, TITN 2007-CT1 & TITN 2007-2; TITN 2006-3; TITN 2007-CT1; TMAN 5; TMAN 6; UBSBB 2013-C6; WBCMT 2007-C33; WFCM 2015-C27; WINDM XIV