Monday 18 April 2016 11:49 London/ 06.49 New York/ 19.49 Tokyo

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

Pipeline
Last week there were nine ABS deals added to the pipeline. A further three RMBS and two CMBS also joined.

The ABS were: A$260m Flexi ABS Trust 2016-1; US$1.316bn Ford Credit Auto Owner Trust 2016-B; CNY2.736bn Fuyuan 2016-1 Retail Auto Mortgage Loan Securitization Trust; US$400m Golden Credit Card Trust Series 2016-3; US$400m Golden Credit Card Trust Series 2016-4; US$1.2bn Nissan Auto Receivables 2016-B; £108.68m SBOLT 2016-1; SMART ABS Series 2016-1; and Swiss Car ABS 2016-1.

£367.23m Finsbury Square 2016-1, Gosforth 2016-2 and A$475m-equivalent RESMIAC Triomphe Trust - RESIMAC Premier Series 2016-1 were the RMBS. The CMBS were US$160m CCRESG Commercial Mortgage Trust 2016-HEAT and US$388.5m Palisades Center Trust 2016-PLSD.

Pricings
A large number of deals also priced. As well as 13 ABS prints there was also an RMBS, two CMBS and two CLOs.

The ABS were: US$220.33m American Credit Acceptance Receivables Trust 2016-2; €549.1m Bumper 7; US$1.175bn CarMax Auto Owner Trust 2016-2; US$944.61m Chrysler Capital Auto Receivables Trust 2016-A; CommonBond Student Loan Trust 2016-A; US$332.69m CPS Auto Receivables Trust 2016-B; US$550m Discover Card Execution Note Trust 2016-2; US$300m Discover Card Execution Note Trust 2016-3; US$385.5m Hertz Fleet Lease Funding Series 2016-1; US$476.19m Master Credit Card Trust II 2016-1; US$275m NCF Dealer Floorplan Master Trust Series 2016-1; US$500m Penarth 2016-1; and US$425m Sonic Capital 2016-1.

US$1.165bn CAS 2016-C03 was the RMBS while US$694.7m CGCMT 2016-GC37 and US$1.4bn FREMF 2016-K54 were the CMBS. The CLOs were US$424m BlueMountain CLO 2016-1 and €412m Cadogan Square CLO VII.

Markets
US ABS primary market activity picked up last week, as new issue volume of US$5.5bn confirmed the second-highest weekly issuance of the year so far. However, JPMorgan analysts note that issuance for the year-to-date is still lagging 2015's pace. They add: "While investor reception for off-the-run and non top-tier ABS has thawed, spread concessions remain substantial and conditions remain challenging. Secondary took a backseat to primary this week, with spreads mostly tighter to flat on low flows."

European ABS, RMBS and CMBS activity was skewed to the end of the week, as Bank of America Merrill Lynch analysts note that US$118m of the US$300m that appeared on the week's BWICs did so on Friday. They say: "Trading levels were generally strong for UK non-conforming and buy to let RMBS, particularly for 2.0 paper, while the gap between 1.0 triple-A and double-A spreads appeared to narrow over the week."

Editor's picks
Hedging operation: Credit Suisse is prepping a unique Sfr700m ILS deal. Referred to as OperationalRe, it will utilise catastrophe bond and ILS technology to hedge a portion of the bank's operational risk and is believed to be the first transaction of its kind...
Consolidation concerns: The consolidation of evaluated pricing firms poses a number of concerns for the securitisation and derivatives markets. A diminishing number of independent pricing points, the potential for higher service charges and a possible threat to innovation are at the top of the list...
US CMBS shaped by primary: New issuance pricing and trends are shaping what's happening in the US non-agency CMBS secondary market. "Primary is driving a lot of what's happening in secondary right now," says one trader. "New issuance spreads have come back a long way from recent wides - triple-As peaked at 173 and the latest JPM deal priced at 129 - and secondary levels have followed suit..."
On the rebound: The December to February period was the worst experienced by the US CLO market since the financial crisis, but the subsequent rally in commodities and high yield has enabled most of the returns lost during that period to be regained. Cleaner portfolios of new deals, together with tightening spreads, are expected to support a growing primary market for the rest of the year...

Deal news
• Funding Circle is in the market with its inaugural rated securitisation, the first ABS of marketplace loans originated in Europe. The £130m deal, dubbed Small Business Origination Loan Trust 2016-1 DAC, is backed by marketplace loans to UK SMEs.
• Justice Snowden last week handed down judgment of the English High Court in the Windermere VII Part 8 proceedings case. The plaintiffs' arguments have been dismissed.

Regulatory update
• The Italian government is proposing to create a €5bn fund capitalised by the strongest financial institutions in Italy, together with the government-owned entity Cassa Depositi e Prestiti. The move is part of new measures to support the banking market and legislation changes to enhance the underlying infrastructure.
ISDA has published an updated classification letter to enable counterparties to notify each other of their status for clearing and other regulatory requirements under EMIR. The updated letter covers the clearing obligation for certain CDS index classes, as well as some interest rate derivatives.
• Credit Suisse will pay the NCUA a revised US$50.3m sum for a case settled last month surrounding the bank's role in the sale of faulty pre-crisis RMBS (SCI 29 March). The original agreement had Credit Suisse paying out US$29m, but this has now been increased following prejudgement interest determined by a ruling court in Manhattan.
• The EBA has published a report identifying a number of recommended practices for market players to reach compliance within securitisation risk retention, due diligence and disclosure. The recommendations are based on the regulator's analysis of previous measures taken in 2014.
US Attorney General Eric Schneiderman has announced a US$5bn settlement with Goldman Sachs over the bank's deceptive practices leading up to the financial crisis. The settlement was negotiated through the RMBS Working Group.

Deals added to the SCI New Issuance database last week:
AmeriCredit Automobile Receivables Trust 2016-2; BAMLL 2016-ASHF; CGGS 2016-RND; DT Auto Owner Trust 2016-2; FREMF 2016-K54; FREMF 2016-KF15; GSMS 2016-ICE2; GSMS 2016-RENT; Hypenn RMBS V; Hyundai Floorplan Master Owner Trust Series 2016-1; Navient Student Loan Trust 2016-2; Towd Point Mortgage Funding 2016-Granite1; VCL 23

Deals added to the SCI CMBS Loan Events database last week:
BACM 2006-2; BACM 2006-3; BACM 2006-4; BACM 2006-4 & WBCMT 2006-C27; BACM 2007-1, JPMCC 2007-LDP10 & GECMC 2007-C1; BACM 2007-3; BSCMS 2006-PWR11; BSCMS 2007-PW15; COMM 2012-CR3; DECO 2007-E5; ECLIP 2007-2; GSMS 2012-GCJ7; MLMT 2004-BPC1; MSC 2007-HQ11; RIVOL 2006-1; TAURS 2014-FR1; TITN 2007-CT1; TMAN 7; WBCMT 2005-C12; WBCMT 2007-C33; WFRBS 2014-C22; WINDM VII; WINDM XIV


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