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

Pipeline
Activity picked up last week as several deals joined the pipeline. These deals consisted of eight ABS, four RMBS, three CMBS and a CLO.

The ABS were: US$277m Ascentium Equipment Receivables 2015-2 Trust; BBVA Compass Auto Receivables Trust 2015-A; US$900m CarMax Auto Owner Trust 2015-4; US$873.15m Dell Equipment Finance Trust 2015-2; Ford Credit Auto Lease Trust 2015-B; US$140.68m Orange Lake Timeshare Trust 2015-A; €389.4m SCF Rahoituspalvelut I (Kimi 4); and SMART ABS Series 2015-3US Trust.

US$200m Green Tree Agency Advance Funding Trust I series 2015-T1, US$100m Green Tree Agency Advance Funding Trust I series 2015-T2, €1.05bn Penates Funding Compartment 5 and US$1bn SumitG Guaranteed Secured Obligation Issuer series 2015-1 accounted for the RMBS, while the CMBS were US$760.4m COMM 2015-CCRE27, US$1.6bn FREMF 2015-K49 and C$378.1m Real Estate Asset Liquidity Trust series 2015-2. The CLO was €1.12bn Foncaixa PYMES 6.

Pricings
ABS dominated the week's prints. As well as seven ABS deals there was also an RMBS and three CLOs.

The ABS were: US$759m Capital Auto Receivables Asset Trust 2015-4; US$1.3bn DPABS 2015-1; US$300m Exeter Automobile Receivables Trust 2015-3; €150m FADE Series 21 (tap); US$1.19bn Honda Auto Receivables 2015-4 Owner Trust; US$1.12bn Santander Drive Auto Receivables Trust 2015-5; and US$300m Sierra Timeshare 2015-3.

£3bn-equivalent Permanent 2015-1 was the RMBS. The CLOs were €414mn Harvest CLO XIV, US$400m ICG US CLO 2015-2 and US$509m LCM XX.

Markets
US ABS primary and secondary spreads both continue to widen. "A combination of factors have contributed to wider spreads including: volatility in the broader financial markets, uncertainty regarding the Fed's rate policy, spreads widening in other credit sensitive securitised products, tighter swap spreads, and concerns regarding liquidity," say Bank of America Merrill Lynch analysts.

Spreads for recently issued US CMBS conduits widened last week, having rallied in the week before, note Barclays analysts. They say: "As of Thursday's close, LCF 10-year triple-A bonds were 3bp wider to swaps plus 125bp. Lower in the capital stack, spreads sold off more sharply, with single-A minus rated C tranches 7bp wider to swaps plus 300bp and triple-B minus rated mezzanine tranches 13bp wider at swaps plus 475bp."

European RMBS spreads remained supported last week thanks to improved sentiment around the asset class and the increased willingness of investors to engage with securitised risk, as well as shallow primary supply, say JPMorgan analysts. They add: "Italian and Irish RMBS seniors moved in 3bp on a generic basis compared to last week, while Portuguese seniors gapped 10bp wider. UK BTL and NCF ended the week unchanged, while Dutch and UK prime tightened 1bp each."

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Deal news
• Belfius Bank is marketing Penates 5, the first Belgian RMBS to be publicly placed since the financial crisis. The structure is similar to the swapless Arena NHG and Dutch Residential Mortgage Portfolio transactions seen in the Netherlands (SCI 20 August 2014).
• Colony American Finance's (CAF) latest deal is the first single-family rental (SFR) transaction to include a parity feature, which accelerates principal payments under moderate-to-high collateral losses. Moody's says that CAF 2015-1's unique structural feature helps provide additional protection to senior bonds.
• The THEME 2 RMBS (with a mortgage factor of 7%) was called and the final distribution received this week, following last month's UCI 5 and 6 clean-up calls. Deutsche Bank European securitisation analysts note that the move underlines their view that peripheral RMBS calls are likely to gain pace.
• Goldman Sachs and Sumitomo Mitsui Trust Bank are marketing the first series of notes from an unusual total return swap (TRS) programme. The US$1bn SumitG Guaranteed Secured Obligation Issuer series 2015-1 has been assigned a preliminary double-A plus rating by S&P.
• The restructuring of the first European CLO 2.0 was completed last week (SCI 16 September). Cairn CLO III has been 'Volckerised' via a loan-only exemption and extended to enable the non-call and reinvestment periods to end two and four years after settlement respectively.

Regulatory update
• CREFC has adopted interim guidance for compliance with the US SEC's expanded reporting requirements in Form 10-D with regard to delinquent loans. This guidance is reflected in the latest iteration of the CREFC Investor Reporting Package (IRP) Version 7.2.
• The IRS ruling on the Countrywide RMBS settlement has been received, making the approval date 13 October. The move clears the way for settlement cashflows to be made to investors.
• Brazil's capital markets regulator Comissão de Valores Mobiliários (CVM) recently released guidance to trustees and auditors of fundos de investimentos em direitos creditórios (FIDCs) on procedures to determine non-performing loan (NPL) provisioning levels. Moody's notes in its latest Credit Outlook publication that the move is credit positive for senior tranches of securitisations because it will divert more collateral cashflow to them sooner when forward-looking measures of collateral credit quality are signalling increased expected losses.

Deals added to the SCI New Issuance database last week:
Ares XXXVII CLO; Atrium XII; BBCMS 2015-STP; BMW Vehicle Lease Trust 2015-2; Colony Mortgage Capital series 2015-FL3; DT Auto Owner Trust 2015-3; Eaton Vance CLO 2015-1; GM Financial Automobile Leasing Trust 2015-3; Golden Bar (Securitisation) series 2015-1; Nissan Auto Receivables 2015-C Owner Trust ; Permanent Master Issuer series 2015-1; Westlake Automobile Receivables Trust 2015-3; World Omni Auto Receivables Trust 2015-B

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; BSCMS 2007-PW18; CD 2007-CD4; CGCMT 2008-C7; COMM 2007-C9; COMM 2014-CR19; COMM 2015-DC1; CSMC 2007-C4; ECLIP 2006-2; FHSL 2006-1; GECMC 2005-C4; GECMC 2007-C1; GMACC 2004-C2; LBUBS 2007-C6; MSC 2006-HQ10; WFCM 2012-C6; WFRBS 2014-C23