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

Pipeline
There were a few more additions to the pipeline last week. The final count consisted of two ABS, an ILS, two RMBS and three CMBS.

US$1.672bn Ford Credit Auto Owner Trust 2017-A and US$477.1m SoFi Consumer Loan Program 2017-1 accounted for the ABS, while the ILS was Vitality Re VIII. The RMBS were CAS 2017-C01 and €157.7m Delft 2017, while the CLOs were €320m Aqueduct European CLO 2, Aurium CLO III and Purple Finance CLO I.

Pricings
The first prints of the year have also started to come through. Last week there were four ABS, three RMBS, a CMBS and three CLOs.

US$206m CPS Auto Receivables Trust 2017-A, US$750m Discover Card Execution Note Trust 2017-A1, US$550m Discover Card Execution Note Trust 2017-A2 and US$1.106bn Hyundai Auto Lease Securitization Trust 2017-A were the ABS. The RMBS were €672m SapphireOne Mortgages 2016-3 (reoffer), US$340m Sequoia Mortgage Trust 2017-1 and €2.177bn STORM 2017-I.

US$1bn FREMF 2017-K724 was the CMBS. The CLOs were US$535m Limerock CLO 2014-2, US$644m Madison Park Funding CLO 2014-12 and US$490m Sound Point CLO 2014-1.

Editor's picks
Flawed logic: The regulatory drive to require multiple ratings for European structured finance products may not achieve its intended aims, despite necessarily adding costs. The findings of a recent Finance Research Letters study suggest that the regulatory initiative is based on an understanding of market practices that is not borne out by facts...
Green SRT emerging: The final panel at SCI's recent Capital Relief Trades Seminar struck an optimistic note regarding developments in new jurisdictions and asset classes. Indeed, 'green' lending is emerging as a consideration for some investors in the sector...
A nebulous concept: The challenges in defining the cost of capital were discussed extensively at SCI's recent Capital Relief Trades Seminar. Panellists agreed that it is a nebulous concept...
Euro CLOs start strongly: The European CLO secondary market has had a busy start to 2017, backed by strong price moves. "Since the start of the year, CLOs have shifted materially tighter across the board," says one trader. "That move is predominately a reflection of improving levels in other asset classes and most noticeable in triple- to single-Bs..."
Fair value credential introduced: A new credential intended to enhance the quality, consistency and transparency of fair value measurement results in financial reporting has been launched. The Certified in Entity and Intangible Valuations (CEIV) credential is a result of collaboration between the American Institute of CPAs (AICPA), the American Society of Appraisers (ASA) and the Royal Institution of Chartered Surveyors (RICS)...

Deal news
• Further details have emerged about Grafton CLO 2016-1, Santander's largest post-crisis corporate loan significant risk transfer deal and its second largest synthetic securitisation (SCI 3 January). The £1.25bn six-year CLN has a three-year replenishment period and provides protection for the first 8% of losses in the underlying portfolio.
• Morgan Stanley is in the market with the €157.7m Delft 2017, a Dutch non-conforming RMBS backed by loans originated by Lehman Brothers subsidiary ELQ Portefeuille I. The portfolio in its entirety is currently securitised in EMF-NL 2008-1.
• The US$8.7m Black Gold Suites Hotel Portfolio loan, securitised in COMM 2014-UBS6, has been modified. The loan was sent to special servicing early last year.
• Fitch has affirmed the Tradewynd Re Series 2014-1 class 3A and 3B notes, which are expected to mature on 8 January 2018, at double-B minus and single-B respectively. The agency confirms that no reported covered events exceeded the initial attachment levels of the notes within the annual risk period from 1 January 2016 through 31 December.
• All but six Freddie Mac STACR credit risk transfer bonds have received NAIC 1 designations for the 2016 filing year. The STACR 2015-HQA2, 2016-HQA1, 2016-DNA2 and 2016-DNA3 M3 tranches received NAIC 2 designations, while the STACR 2016-HQA2 and 2016-HQA3 M3s received NAIC 3 designations. All Fannie Mae CAS RMBS, except two, have also been assigned NAIC designations (SCI 6 January).

Regulatory update
• The FHA will reduce the annual mortgage insurance premium (MIP) most borrowers must pay for 30-year mortgages by 25bp for loans up to US$625,000 and by 45bp for larger loans. The new premium rates will affect most new mortgages with a closing/disbursement date on or after 27 January.
• The US SEC has partially overturned a decision penalising Wing Chau and his former firm Harding Advisory, which found Chau and Harding committed fraud in the selection of assets for two CDOs - Octans I CDO and Norma CDO I. Disgorgement and penalties previously imposed by a judge for Norma were upheld, but charges regarding Octans were dismissed.
• BNY Mellon has agreed to pay the US SEC a US$6.6m penalty to settle CLO-related charges. The SEC accused BNY Mellon of miscalculating its risk-based capital ratios and risk-weighted assets reported to investors.