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

Pipeline
There were fewer additions to the pipeline last week than there had been the week before. The final count consisted of two ABS, an RMBS, a CMBS and two CLOs.

The ABS were US$210.52m First Investors Auto Owner Trust 2015-2 and US$1.06bn Santander Drive Auto Receivables Trust 2015-4, while the RMBS was A$500m PUMA Series 2015-3. US$716.3m WFCM 2015-SG1 was the sole CMBS, while the CLOs were Avoca 15 and US$315.3m Shackleton 2015-VIII CLO.

Pricings
Several deals did price, however. The week ended with 11 ABS prints, along with an ILS, three RMBS, two CMBS and three CLOs.

The ABS were: €800m A-Best 12; US$682m Capital Auto Receivables Asset Trust 2015-3; US$750m CNH Equipment Trust 2015-C; US$300m Credit Acceptance Auto Loan Trust 2015-2; US$158.7m ENGS Commercial Finance Trust 2015-1; US$375m Ford Credit Floorplan Master Owner Trust A Series 2015-4; US$392m Ford Credit Floorplan Master Owner Trust A Series 2015-5; US$850m Honda Auto Receivables 2015-3 Owner Trust; €250m KMU Portfolio Compartment 2015-1; CNY1.5bn VINZ 2015-1 Retail Auto Loan Securitization Trust; and US$475m World Financial Network Credit Card Note Trust Series 2015-B.

US$100m Bosphorus Series 2015-1 was the ILS. The RMBS were €555m Asti RMBS 2015, €460m Abruzzo RMBS 2015 and A$500m RESIMAC Triomphe Trust Premier Series 2015-1.

US$660m BBCCRE Trust 2015-GTP and US$1.03bn COMM 2015-CCRE25 accounted for the CMBS. Lastly, the CLOs were €557m Abruzzo SME 2015, US$710m CENT CLO 24 and US$775m Madison Park Funding XVIII.

Markets
US ABS secondary spreads followed the primary market wider, with subordinated auto loan notes widening the most. "Spreads for most ABS sectors are trading at the wide end of three-year trading ranges and even five-year trading ranges. The exceptions include: sub-prime auto loans, private student loan ABS and certain esoteric ABS, which are currently trading closer to one year trading ranges," say Bank of America Merrill Lynch analysts.

The US CMBS market widened sharply last week, largely on the back of China's currency devaluation. Barclays analysts comment: "The CMBS market suffered its sharpest sell-off of the year this week, widening spreads to levels not seen in two years. The spread widening was driven partly by the weaker liquidity period and the upcoming supply but was also exacerbated by worries around China, which sparked a broad sell-off across equities, credit, and much of securitised products."

Editor's picks
FFELP fix: Market participants appear confident that a fix for a significant portion of the US$36.8bn of FFELP student loan ABS bonds on review for downgrade by Moody's can be found during the comment period for its proposed criteria update. At the same time, efforts are underway to increase transparency around the historically complex issue of modelling prepayments in the sector...
Greater supply, risks widen spreads: New issue spreads for RMBS and CMBS deals are widening on either side of the Atlantic as supply remains higher than demand. It appears to be a trend that will last beyond the usual summer slump...
Capacity gains: The ILS secondary market continues to see price volatility in non-peak risks, but certain peak catastrophe zones are witnessing some stabilisation. Insurance loss warranties are the latest product to be driven by a surge in demand as the US wind season kicks on...

Deal news
• All outstanding cumulative interest shortfalls for GCCFC 2005-GG5's AJ to E tranches have been repaid in full, following the liquidation of six loans totalling US$108m. However, the H tranche and vast majority of the G tranche have been written off.
• The class A noteholder of Carlyle Global Market Strategies Euro CLO 2013-1 has approved the reduction of the margin on the notes from 130bp to 115bp and the elimination of its right to remove/replace the collateral manager (SCI 31 July), with effect from the 17 August IPD. The move marks the first time that a European CLO has been 'Volckerised' and the first time that the coupon of a European CLO 2.0 bond has been lowered.
• Navient has exercised call options on three FFELP student loan ABS trusts that represent a total of US$216m in bonds. The three trusts - SLM Student Loan Trusts 2002-6, 2003-8 and 2003-9 - will now be repaid on 15 September.
• A settlement agreement has been reached with Ty Warner, sponsor of the US$96.4m Ty Warner Portfolio loan securitised in MSC 2012-C4, whereby the lender will waive the EOD and allow a partial defeasance of the Las Ventanas property to proceed. The loan defaulted in May after Warner failed to disclose at loan origination his potential tax liability associated with a guilty plea to tax evasion (SCI 6 May).

Regulatory update
• ESMA has published four reports that focus on how the EMIR regulatory framework has been functioning. Three of the reports cover non-financial counterparties (NFCs), pro-cyclicality and the segregation and portability for central clearing counterparties (CCP), while the fourth responds to the European Commission's review of EMIR by providing input and recommendations.
• The European Commission has adopted new rules that make it mandatory for certain OTC interest rate derivative contracts to be cleared through central counterparties (CCPs). This is the first clearing obligation that has been proposed by ESMA and it is expected that the mandate will be extended to other types of OTC derivative contracts in the near future, which may include CDS.
• IOSCO has published its final report on the potential impact of mandatory post-trade transparency in the CDS market. The organisation concludes that greater post-trade transparency in the CDS market - including making the price and volume of individual transactions publicly available - would be valuable to market participants and other market observers.
• CREFC Europe has submitted a response highlighting two primary concerns over the EBA's draft regulatory technical standards on assigning risk weights to specialised lending exposures. The association notes that the consultation is especially relevant to UK banks, which account for the majority of affected exposures in the EU, since the UK regulator required them to use 'slotting' for their real estate lending after the crisis.
• Guggenheim has agreed to pay a settlement fee of US$20m to the US SEC following charges that it breached its fiduciary duty. The settlement is believed to be the culmination of a four-year probe into the firm's relationship with Michael Milken.
• The US CFTC has ordered Morgan Stanley to pay a US$300,000 penalty for failing to hold sufficient US dollars in segregated US accounts to meet all of its obligations to cleared swaps customers. The regulator has also ordered the bank to implement adequate procedures to prevent future regulatory violations.

Deals added to the SCI New Issuance database last week:
ACAS CLO 2015-2; AmeriCredit Automobile Receivables Trust 2015-3; AOTA 2015-1211; BBCCRE 2015-GTP; Canadian Credit Card Trust II Series 2015-1 (re-open); CARDS II Trust Series 2015-2; CarMax Auto Owner Trust 2015-3; CGCMT 2015-P1; CSAIL 2015-C3; FREMF 2015-K719; Honda Canada Auto Receivables 2015-1 Owner Trust; JP Morgan Mortgage Trust 2015-4; JP Morgan Mortgage Trust 2015-5; Logistics UK 2015; Loomis Sayles CLO II; Mountain View CLO X; MVW Owner Trust 2015-1; Navient Private Education Loan Trust 2015-B; Oaktree 2015-1; Resource Capital Corp 2015-CRE4; Siena PMI 2015 (preplaced); SolarCity LMC series IV 2015-1; Towd Point Mortgage Trust 2015-3; VINZ 2015-1

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-4; BACM 2006-3; BACM 2007-3; BSCMS 2006-PW14; CD 2006-CD2; CSMC 2006-C4; GCCFC 2005-GG5; GCCFC 2007-GG9; JPMCC 2005-CB13; JPMCC 2007-CB20; LBUBS 2007-C7; MLCFC 2006-3; MSC 2006-T21; MSC 2007-1Q15; MSC 2012-C4; TAURS 2006-3; TITN 2006-1; WBCMT 2004-C11