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

Pipeline
Last week's pipeline additions included a decent mix of MBS names. In the end there were six new ABS, three RMBS, three CMBS and two CLOs added.

The ABS were: €700m BBVA Consumo 8; US$318.5m CPS Auto Receivables Trust 2016-C; US$785m Ford Credit Floorplan Master Owner Trust A Series 2016-3; US$156.863m Ford Credit Floorplan Master Owner Trust A Series 2016-4; US$775m John Deere Owner Trust 2016-B; and US$184.9m Marlette Funding Trust 2016-1.

US$2.645bn Chase Mortgage Trust 2016-2, Fortified Trust Series 2016-1 and US$350m Freddie Mac Whole Loan Securities Trust Series 2016-SC01 accounted for the RMBS, while the CMBS were US$200m B2R Mortgage Trust 2016-1, US$721.2m CGCMT 2016-P4 and US$1bn WFCM 2016-C35. The CLOs were €412m Griffith Park CLO and €414m Jubilee CLO 2016-XVII.

Pricings
A relatively long list of deals priced last week. There were 10 ABS prints as well as an ILS, two RMBS, a CMBS and two CLOs.

The ABS were: US$1.25bn BMW Vehicle Owner Trust 2016-A; US$755m Capital Auto Receivables Asset Trust 2016-2; US$1.25bn CarMax Auto Owner Trust 2016-3; US$909m Dell Equipment Finance Trust 2016-1; US$1bn Enterprise Fleet Financing Series 2016-2; US$700m OneMain Direct Auto Receivables Trust 2016-1; US$375m Sierra Timeshare 2016-2 Receivables Funding; US$607m SMB Private Education Loan Trust 2016-B; US$1.08n Verizon Owner Trust 2016-1; and US$986.73m World Omni Automobile Lease Securitization Trust 2016-A.

US$225m Blue Halo Re Series 2016-2 was the ILS, while CNY3.8bn Jiamei 2016-1 and US$657m Progress Residential 2016-SFR1 were the RMBS. The CMBS was US$430m Waldorf Astoria Boca Raton Trust 2016-BOCA and the CLOs were US$408m Annisa CLO 2016-2 and US$723m Sound Point CLO 2016-2.

Markets
US CLO secondary market activity started the week strongly and continued in that vein, as SCI reported on Thursday (SCI 14 July). "The last few days have been the busiest that I've experienced since the UK's EU referendum vote," says one trader.

The European ABS, RMBS, CMBS and CLO secondary markets started last week with light flows, as SCI reported (SCI 12 July). CLOs were leading the way in terms of both activity and tightening across the capital structure.

Editor's picks
Financial worries: The UK's vote to leave the EU has ignited debate as to what deal the British government will carve out for its financial services industry, including the derivatives market. The need for counterparties to retain their passporting rights suggests that some harmonisation with EU regulations is the most likely scenario...
Reputation management: Side pockets are a portfolio management tool that can benefit both investors and managers alike. But having fallen from grace in the wake of the financial crisis, it is debatable whether they can regain their reputation as a viable liquidity management resource...
Step-up tranches refinanced: Four US CLOs - ACAS CLO 2013-2, Carlyle Global Market Strategies CLO 2014-3 and Neuberger Berman CLO XII and XVI - have been refinanced over the last two weeks. None of the refinancings were plain vanilla, with three having been driven by the desire to refinance step-up tranches...

Deal news
• Moody's has confirmed its rating of Ba3 on the class C notes issued by the Prosper-loan backed Citi Held for Asset Issuance (CHAI) 2015-PM1, 2015-PM2 and 2015-PM3 ABS deals. The rating agency had placed the notes on review for downgrade earlier this year due to concerns over an up-tick in delinquencies.
• Progress Residential plans to prepay the US$465.9m loan that serves as collateral for the Progress 2014-SFR1 securitisation, with the deal becoming the first single-asset single-family rental transaction to pay off in full as a result. The prepayment will be funded by a portion of the proceeds from the US$462.7m Progress 2016-SFR1 transaction that is currently marketing.
• Fitch has upgraded the Bosphorus Series 2015-A, 2015-B, 2015-C and 2015-D notes, as well as the Bosphorus Series 2012-B, 2012-C and 2012-D notes from triple-B plus to single-A minus. The upgrades are a result of originator Finansbank's ownership change.
• All membership interests in the DivCore CLO 2013-1 CRE CDO, together with the issuer's ordinary and preferred shares are set to be transferred from DivCore Sub Debt Club I REIT Holding to a newly established entity, LoanCore Capital Credit REIT (LCC REIT). Moody's notes that the move will not cause it to downgrade or withdraw its ratings on the notes.
• A second successor collateral manager has been rejected by Gramercy Real Estate CDO 2007-1 noteholders. The controlling class had directed the issuer to appoint C-III Investment Management as successor manager (SCI 23 June), but sufficient objections to the appointment were received and certain collateral management agreement conditions weren't satisfied.
• An auction date of 21 July has been scheduled to settle CDS trades referencing Portugal Telecom International Finance. The unanimous decision by the 15-member ISDA Determinations Committee comes after it was agreed earlier this month that a bankruptcy credit event occurred in connection with the company (SCI 4 July). ISDA has identified an initial list of seven euro-denominated bonds as deliverable obligations, with a final list set to be published by the trade association on 18 July.

Regulatory update
• The Basel Committee has scaled down the risk weights for 'simple, transparent and comparable' (STC) securitisations and reduced the risk-weight floor for senior exposures from 15% to 10%. The move had largely been expected and, in general, is viewed as catching up with European proposals for the STS securitisation framework.
• ISDA has launched a new protocol to help market participants meet the EU Bank Recovery and Resolution Directive (BRRD) requirement. The ISDA 2016 Bail-in Article 55 BRRD Protocol will allow Dutch, French, German, Irish, Italian, Luxembourg, Spanish and UK entities to meet the requirements of Article 55 of BRRD.
• The US SEC has adopted amendments and guidance related to rules regarding the regulatory reporting and public dissemination of security-based swap transactions. The new Regulation SBSR rules and guidance are designed to increase transparency.
• ESMA has published a consultation paper proposing to change the phase-in period for central clearing of OTC derivatives applicable to financial counterparties with a limited volume of derivatives activity under EMIR. The authority proposes to amend EMIR's Delegated Regulations on the clearing obligation to prolong, by two years, the phase-in for Category 3 financial counterparties.
• The US Fed has extended the conformance period for the Volcker Rule to 21 July 2017. While the extension was largely anticipated by market participants, the timing was later than most expected, coming only two weeks before the previous extension date expires on 21 July 2016.

Deals added to the SCI New Issuance database last week:
ACAS CLO 2013-2 (refinancing); Accunia European CLO I; Astrea III; BBSG 2016-MRP; Carlyle Global Market Strategies 2014-3 (refinancing); Cherrywood SB Commercial Mortgage Loan Trust 2016-1; CVC Cordatus Loan Fund VII; Driver Australia Master Trust series 2016-1; Driver China Four Trust; Driver UK Master Compartment 2 series 2016-1; Driver UK Master Compartment 2 series 2016-2; Evergreen Credit Card Trust Series 2016-2; FREMF 2016-KF18; FRESB 2016-SB18; Galaxy XXII CLO; JFIN CLO 2016; Jiamei 2016-1; JP Morgan Mortgage Trust 2016-1; JPMCC 2016-JP2; JSC Mortgage Agent BFCO; LSTAR 2016-4; Master Credit Card Trust II series 2016-3; Monroe Capital MML CLO 2016-1; Nationstar HECM Loan Trust 2016-2; Neuberger Berman CLO XII (refinancing); Purple Storm 2016; Rongteng 2016-2; SGCMS 2016-C5; SHOPS 2016-CSTL; Tax Ease Funding 2016-1; Top Commercial Auto I

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-5; BACM 2007-3 & JPMCC 2007-LD11; BSCMS 2006-PW11; CD 2006-CD3; CGCMT 2008-C7; COMM 2006-C8; COMM 2014-LC15 & COMM 2014-UBS2; CSMC 2007-C1; DECO 2007-E5; DECO 2014-GNDL; DECO 2015-HRP; EPIC DRUM; EURO 19; EURO 23; EURO 26; GCCFC 2007-GG9; GSMS 2004-GG2; GSMS 2007-GG10; INFIN CLAS; JPMCC 2006-CB16; JPMCC 2007-LDP10; LEMES 2006-1; MLCFC 2007-7; MSC 2006-HQ9; MSC 2006-T21 & BSCMS 2006-PW11; MSC 2007-IQ16 & BSCMS 2007-T28; NEMUS 2006-2; TITN 2007-CT1; TMAN 7; WBCMT 2006-C25; WBCMT 2007-C32; WFCM 2015-C26