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

Pipeline
The pipeline continued to build last week as a number of new deals were added. At the final count there were eight new ABS, one ILS, three RMBS, one CMBS and two CLOs.

The ABS were: US$188.5m ACAR 2016-1; US$1.05bn Ally Auto Receivables Trust 2016-1; US$340m CPS Auto Receivables Trust 2016-A; US$750m Drive Auto Receivables Trust 2016-A; US$1.05bn Ford Credit Auto Owner Trust 2016-A; €1.47bn Siena Lease 2016-2; US$161.75m United Auto Credit Securitization Trust 2016-1; and US$663m Volvo Financial Equipment Series 2016-1.

US$200m Vitality Re VII was the sole ILS, while the RMBS were US$400m ASFR 2016-1, US$500m Home Partners of America 2016-1 and Puma Trust 2016-1. The CMBS was US$1.03bn COMM 2016-CCRE28 and the CLOs were US$400m Babson CLO 2016-I and US$500m Voya CLO 2016-1.

Pricings
The week's prints were concentrated in ABS and RMBS. There were six of the former and three of the latter.

The ABS were: US$1.2bn AmeriCredit Automobile Receivables Trust 2016-1; CNY2.79bn Driver China Three; US$340m DT Auto Owner Trust 2016-1; €663.8m Globaldrive Auto Receivables 2016-A; US$185m SolarCity FTE Series 1 Series 2015-A; and US$450m Westlake Automobile Receivables Trust 2016-1.

The RMBS were €750m IM BCC Cajamar 1, £1.55bn-equivablent Gosforth Funding 2016-1 and US$996m STACR 2016-DNA1.

Markets
A surge of US ABS issuance brought the market to life, aided by the first subprime auto ABS to hit the market since before Thanksgiving. Barclays analysts comment: "Despite the continued macro sell-off, spreads in the traditional ABS asset classes were stable or tightened week-over-week, as investors reallocated to shorter duration triple-A assets. As a result, it was a heavy week of ABS secondary market activity, with US$1.2bn traded on average each day during the first four days of the week, making it the busiest trading week since mid-October."

By contrast, secondary trading activity in the European CMBS market was subdued, as bid-lists totalled a mere US$20.4m by original face, all from CMBS 1.0 deals. "As we see it, there is limited supply of 2.0 paper outstanding, which is exceeded by the volume of investors keen to buy 2.0 paper at a price below par. Now that the would-be sellers of 2.0 have sold we do not see anyone willing to sell 2.0 paper below par," say Bank of America Merrill Lynch analysts.

Editor's picks
Finalised FRTB 'still punitive': The Basel Committee has released the final version of its fundamental review of the trading book (FRTB). While the final ruling remains punitive for securitisation, it is not as harsh as earlier drafts suggested it might be...
Distressed resolutions gather pace: January US CMBS remittance reports show that several larger loans from CWCapital's bulk liquidations have been resolved. JPMCC 2006-CB17, MLMT 2006-C1 and CD 2007-CD4 have so far been the main beneficiaries of the auctions, with the disposal of US$395m, US$231m and US$934m respectively across 60 loans...
US CLOs still searching: The US CLO secondary market is still searching for pricing clarity, but Trups CDOs are generating some interest. "We're still in an exploratory phase," says one trader. "There's a bit more activity today in terms of BWICs, but most players are still trying to figure out where things are going to go longer term. Shorter-term it's obviously difficult to ignore the macro headlines, so values are falling for now..."

Deal news
• MLCFC 2007-5 has become one of the first CMBS to report distributions from the pay-off of the US$3bn Stuyvesant Town/Peter Cooper Village loan, resulting in the largest liquidation in the market's history with no loss (SCI passim). However, Barclays CMBS analysts note that the remittance report fails to answer key questions about excess proceeds and the amount paid for a mezzanine debt settlement.
• Home Partners of America's (HPA) unique tenant-driven property acquisition and rent-to-own business strategy will benefit the performance of its first single-family rental (SFR) securitisation, Home Partners of America 2016-1, says Moody's. HPA 2016-1 hit the market on 12 January.
• XXIII Capital has launched its inaugural securitisation - a US$72.9m ABS backed by nine receivable purchases and loans tied to European football clubs. Kroll Bond Rating Agency has assigned a single-A rating to the US$64.2m of class A notes in XXIII Capital Financing I.
• Country Garden has brought a new ABS transaction to the market that packages part of its contract receivable rights, a deal that the Chinese property developer claims to be the first of its kind in the industry. The CNY2.95bn deal was issued via Zengcheng Country Garden and was approved by the Shanghai Stock Exchange on 25 December.
• In adjourned meetings, subordinate noteholders of Panther CDO III, IV and V last week passed an extraordinary resolution seeking to allow the issuers to pay legal costs in connection with a suit against Hayfin Capital Management. Class B and C noteholders of Panther CDO III and IV also passed the resolution.

Regulatory update
• A proposal by the French Ministry of Finance to modify the hierarchy of claims in liquidation during 2016 could boost the ability of French banks to issue loss-absorbing instruments, according to S&P. The agency says that the process would also subsequently protect more senior obligations.
• The US SEC has prohibited Steven Cohen from supervising funds that manage outside money until 2018 in order to settle charges that he failed to supervise a portfolio manager who engaged in insider trading while employed at his firm. Cohen's family office firms will also be subject to SEC examinations and must retain an independent consultant to review their activities.
• ISDA has voted to make a number of changes to its Credit Derivatives Determinations Committees (DC) rules. The trade organisation says the move is part of an effort to strengthen its process for determining whether a credit event has occurred in the credit derivatives market.

Deals added to the SCI New Issuance database last week:
ALM XVII; Driver China Three Trust; Globaldrive Auto Receivables 2016-A; MarketPlace Loan Trust series 2015-OD4; Palmer Square Loan Funding 2016-1; SCOF-2; STACR 2016-DNA1; Venture XXII CLO

Deals added to the SCI CMBS Loan Events database last week:
BACM 2004-6; BACM 2005-6; BSCMS 2005-PW10; BSCMS 2007-PW16; CD 2007-CD4; CMLT 2008-LS1; COMM 2006-C7; DECO 2006-C3; DECO 2006-E4; DECO 2007-E2; DECO 6-UK2; ECLIP 2006-1; ECLIP 2006-2; ECLIP 2006-4; EPIC (Premier); EPICP DRUM; GECMC 2005-C4; GSMS 2007-GG10; JPMCC 2006-CB17; JPMCC 2007-LD11; JPMCC 2008-C2; LBUBS 2006-C6; MLCFC 2007-5; MLCFC 2007-6; MLMT 2006-C1; MSC 2007-IQ14; WBCMT 2007-C32; WFRBS 2011-C4; WFRBS 2014-C21; WINDM VII