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

Pipeline
It was an understandably quiet week for the pipeline as market participants attended the annual industry conference, ABS Vegas 2015. There were five new ABS announced, as well as three RMBS, two CMBS and two CLOs.

The ABS were: US$265.94m CarFinance Capital Auto Trust 2015-1; US$1bn CarMax Auto Owner Trust 2015-1; US$265.1m DT Auto Owner Trust 2015-1; US$750m Navient Student Loan Trust 2015-1; and US$1.06bn Santander Drive Auto Receivables Trust 2015-1.

US$1.5bn CAS 2015-C01, A$1bn Medallion Trust Series 2015-1 and Precise 2015-1 accounted for the RMBS, while the CMBS were C$325.4m IMSCI Series 2015-6 and US$871.25m MSBAM 2015-C21. Meanwhile, the CLOs were €308m Aurium CLO I and US$563.125m CIFC Funding 2015-I.

Pricings
Completed issuance was even more limited. Eventually one ABS, two RMBS, one CMBS and one CLO printed.

CNY2.99bn Fuyuan 2015-1 was the ABS, while €1.09bn-equivalent Guildford No.1 and A$750m Series 2015-1 Harvey Trust were the RMBS. The CMBS was US$913.5m GSMS 2015-GC28 and the CLO was €443m Dryden 35 Euro CLO.

Markets
The Vegas effect was felt throughout the markets, not least in US ABS. "Spreads were stable w/w amid below-average trading volumes, with an average of US$580m in ABS traded each day during the first four days of the week, significantly less than the US$1.7bn of average daily trading volume during the week-earlier period. ABS primary issuance was non-existent," comment Barclays Capital analysts.

US non-agency RMBS activity was slow last week. Wells Fargo analysts note: "Weekly trade and BWIC volumes were about US$2.5bn and US$1.3bn, respectively. On the heels of the conference, Fannie Mae announced its first CRT transaction of 2015, CAS 2015-C01, expected to close on Feb 26."

US CMBS spreads tightened for the second consecutive week, with triple-A LCFs about 5bp tighter from the beginning of the month, while double-A and triple-B minus spreads are how around plus 150bp and plus 360bp, respectively. "One potential headwind continues to be the heavy anticipated supply. The pipeline through March shows nearly US$25bn of new deals, including US$13bn of conduits," say Citi analysts.

The European CLO market largely resisted the wider trend of spread tightening, as levels held firm. "UK paper seems to have moved in more than the EZ paper, and senior tranche core more than the junior core," say Bank of America Merrill Lynch analysts.

Deal news
• The first static CLO 2.0 deal has been placed on the European market. The €233.4m Bosphorous CLO I is a transaction managed by Commerzbank Debt Fund Management and co-arranged by Sterne Agee & Leach and Sterne Agee UK.
• Jefferies Finance is set to transfer its responsibilities as portfolio manager for JFIN CLO 2013 and JFIN CLO 2012 to Apex Credit Partners. The transfers aren't expected to cause the downgrade or withdrawal of the current Moody's rating assigned to the class A notes issued.
• The US CMBS market was last week hit by a double-whammy of negative news, as RadioShack filed for bankruptcy and Staples announced plans to acquire Office Depot. The loan likely to be most affected by the merger is the US$49m OfficeMax Headquarters, securitised in MLMT 2007-C1.
• Around €4.4bn of EMEA CMBS loans are scheduled to mature in 2015, with about half of them expected to repay at maturity. Citi analysts put forward the class A and B bonds of ECLIP 2007-1 and RIVOL 2006-1 as high conviction trades.
• The auction to settle the credit derivative trades for Caesars Entertainment Operating Company Inc CDS and LCDS has been scheduled for 19 February. ISDA's Americas Determinations Committee anticipates holding the auction for RadioShack CDS during the week of 2 March.

Regulatory update
• The Monetary Authority of Singapore (MAS) has proposed legislative amendments to the Securities and Futures Act (SFA) to effect reforms to the regulation of OTC derivatives trading and the securities market. The consultation follows the feedback it received on these reforms.
• The US NAIC has released RFPs from vendors to produce valuations for state insurance regulators to set risk-based capital requirements for CMBS and RMBS owned by US-domiciled insurance companies. Responses to the RFPs are due on 10 March.
• The OCC, US Federal Reserve and FDIC have developed an automated tool to help national banks and federal savings associations calculate risk-based capital requirements for securitisation exposures. The agencies are making the tool available for all banks that use the simplified supervisory formula approach to help calculate associated capital requirements.

Deals added to the SCI New Issuance database last week:
Agate Bay Mortgage Trust 2015-1; Ally Master Owner Trust Series 2015-1; Ally Master Owner Trust Series 2015-2; Atlas IX Series 2015-1; BA Credit Card Trust 2015-1; Carlyle Global Market Strategies Euro CLO 2015-1; Chesapeake Funding Series 2015-1; Clear Creek CLO; Consumer Credit Origination Loan Trust 2015-1; Ford Credit Floorplan Master Owner Trust A Series 2015-1; Ford Credit Floorplan Master Owner Trust A Series 2015-2; JPMBB 2015-C27; MidOcean Credit CLO IV; NZCG Funding 2015-1; PUMA series 2015-1; Resource Capital Corp 2015-CRE3; SFAVE 2015-5AVE; Vibrant CLO III; WFCM 2015-C26

Deals added to the SCI CMBS Loan Events database last week:
BACM 2002-PB2; BACM 2006-3; BSCMS 2003-T12; CD 2005-CD1; COMM 2014-UBS5; CSMC 2006-C3; DECO 2007-E5; ECLIP 2006-1; ECLIP 2007-1; ECLIP 2007-2; EURO 23; EURO 28; GCCFC 2007-GG9; GECMC 2007-C1; JPMCC 2006-CB14 & JPMCC 2005-LDP5; JPMCC 2012-C6; LBCMT 2007-C3; LBUBS 2005-C1; MESDG CHAR; MLCFC 2006-1; MSC 2007-HQ11; TITN 2006-3; TITN 2007-CT1; UBSC 2011-C1