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

Pipeline
Many of last week's pipeline additions priced briskly, leaving only a short list of new additions at the week's end. These consisted of five ABS, one RMBS and two CMBS.

The ABS were: US$350m California Republic Auto Receivables Trust 2015-1; US$280.725m Flagship Credit Auto Trust 2015-1; US$964.65m Hyundai Auto Lease Securitization Trust 2015-A; US$1.021bn John Deere Owner Trust 2015; and US$395.55m Westlake Automobile Receivables Trust 2015-1.

£351m RMS 28 was the sole RMBS. The CMBS were US$245m MSCI 2015-420 and US$1bn WFCM 2015-C27.

Pricings
It was the busiest week of the year so far for new issuance. There were 14 ABS prints, as well as six RMBS, three CMBS and four CLOs.

The ABS were: US$256m Ascentium Equipment Receivables 2015-1; C$325m CNH Capital Canada Receivables Trust Series 2015-1; US$800m CNH Equipment Trust 2015-A; A$500m Driver Australia Two Trust; C$405m Element Rail Leasing II Series 2015-1; US$950m Enterprise Fleet Financing Series 2015-1; US$500m Exeter Automobile Receivables Trust 2015-1; US$555.65m GE Equipment Transportation 2015-1; C$525m Golden Credit Card Trust Series 2015-1; C$602.4m Hollis Receivables Term Trust II Series 2015-1; US$134.6m Kentucky Higher Education Student Loan Corp 2015-1; US$1.5bn Toyota Auto Receivables 2015-A Owner Trust; US$1.45bn Volkswagen Auto Lease Trust 2015-A; and US$706m World Omni Auto Receivables Trust 2015-A.

The RMBS were: US$566.21m American Homes 4 Rent 2015-SFR1; A$1.25bn Apollo Series 2015-1 Trust; US$405.27m CSMC Trust 2015-1; US$293m FirstKey Mortgage Trust 2015-1; £210m Precise 2015-1; and US$372.361m WinWater Mortgage Loan Trust 2015-2.

US$1.4bn COMM 2015-DC1, US$1.45bn FREMF 2015-K43 and US$1.8bn Motel 6 Trust 2015-MTL6 accounted for the CMBS. Lastly, the CLOs were US$618m Betony CLO, US$414m Denali Capital CLO XI, €414.7m Harvest CLO XI and US$614m Madison Park Funding XVI.

Markets
US ABS secondary market volume was steady at around US$1.25bn last week, according to Bank of America Merrill Lynch analysts, with credit card and FFELP ABS spreads grinding tighter. "The year started with spreads in most sectors trading at the wide-end of 12-month trading ranges. Currently, spreads in several sectors have moved to the middle of 12-month trading ranges, including timeshares plus senior FFELP and private student loans. We expect these and other sectors will move to tighter levels," they say.

The US non-agency RMBS market has also witnessed robust activity, both in primary and secondary. "Week-over-week prices for legacy paper and CRT NR notes were firm, while SFR MBS triple-B rated notes tightened about 25bp and NPL notes widened about 15-20bp," comment Wells Fargo analysts.

In the European RMBS secondary market, "activity picked up and sentiment improved, in line with the broader credit and equity markets" according to JPMorgan analysts. "Spreads on peripheral ABSPP-eligible paper closed the week marginally wider after a number of large BWICs, while UK RMBS paper was tighter," they add.

US CMBS spreads rallied for a fourth week as primary issuance failed to meet expectations. Spreads at the top of the stack in recent vintage CMBS tightened to plus 86bp. "Lower in the capital stack, single-A rated tranches tightened 2bp, to swaps plus 206bp, and triple-B minus rated tranches were 3bp tighter, to swaps plus 339bp," say Barclays Capital analysts.

Deal news
• The latest single-family rental securitisation to hit the market provides new structural features in the form of an anticipated repayment date (ARD) and a longer term than previous SFR deals. Arranged by Goldman Sachs, the U$438.8m American Homes 4 Rent 2015-SFR1 transaction is backed by a single 30-year fixed rate loan with an ARD of 10 years.
• The latest Eurosail restructuring and remarketing of debt tranches provides investors with an interesting route into UK non-conforming RMBS. ESAIL 2007-4BL's shorter-dated A2a tranche, in particular, appears to offer a rare opportunity in the asset class.
• RadioShack has outlined a list of almost 1800 stores that it intends to close due to its bankruptcy (SCI 11 February), including 191 properties across 130 US CMBS backed by 185 loans with a balance of approximately US$2.4bn. Out of the 13 single-property loans, eight are currently in special servicing and five are currently in REO/foreclosure, according to Barclays Capital analysts. The largest loan is the US$81m City View Center, securitised in MSC 2007-IQ, which is currently in special servicing with a DSCR of -0.02x.
• Mizuho Bank has launched a tender offer for the six outstanding tranches of notes issued by Proventus European ABS CDO. The firm says the offer is aimed at supporting its strategy to optimise its financial structure and strengthen its balance sheet by purchasing the notes at below their par value.

Regulatory update
• Scope Ratings has dubbed the implementation of the European Resolution and Recovery Directive and similar regimes in other European countries as a "game changer" for the covered bond market. The improved credit characteristics and lower probability of default for covered bonds have been reflected in the agency's proposed new rating methodology for the sector, as a result.
• The EBA has addressed an opinion to the European Commission on several aspects related to the calculation of own funds requirements for credit valuation adjustment (CVA) risk. The 16 policy recommendations in the opinion build on an extensive technical analysis conducted by the EBA. Based on the findings of the report, the Commission may adopt a delegated act.
• ISDA has published a paper that outlines a number of key principles and initiatives that aim to further improve regulatory transparency of derivatives activity. The paper notes that a lack of standardisation within and across jurisdictions in reporting requirements remains a major challenge.
• A speech this week by acting deputy US Attorney General Sally Yates has illuminated the approach the Department of Justice (DOJ) will take to US auto ABS. Yates stated that experience from mortgage lending and RMBS will form the template for the investigation into autos, as the DOJ seeks to both explore past incidents and actively head off potential threats.
• Morgan Stanley disclosed in a recent Form 8-K filing that it has reached an agreement in principle with the US Department of Justice and the US Attorney's Office for the Northern District of California to pay US$2.6bn to resolve certain claims that they indicated they intended to bring against it. In connection with the resolution of this matter, the bank has increased legal reserves for this settlement and other legacy RMBS matters by approximately US$2.8bn.

Deals added to the SCI New Issuance database last week:
AIM Aviation Finance series 2015; Auto ABS 2012-3 (re-offer); Bosphorus CLO I; CarFinance Capital Auto Trust 2015-1; CarMax Auto Owner Trust 2015-1; COMM 2015-DC1; Dartry Park CLO; Discover Card Execution Note Trust 2015-1; DT Auto Owner Trust 2015-1; Flatiron CLO 2015-1; FREMF 2015-K43; Fuyuan 2015-1 Retail Auto Mortgage Loan Securitization Trust; GAHR 2015-NRF; Guildford No.1; LCM XVIII; Medallion Trust series 2015-1; Motor 2015-1; MSBAM 2015-C21; Navient Student Loan Trust 2015-1; Nelnet Student Loan Trust 2015-1; OZLM XI; Race Point IX CLO; Santander Drive Auto Receivables Trust 2015-1; Springleaf Funding Trust 2015-A; Westgate Resorts 2015-1

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-5; BSCMS 2007-PW15; CD 2006-CD2; CSFB 2005-C5; DBUBS 2011-LC3A; DECO 2007-E5; DECO 2007-E6; ECLIP 2006-2; ECLIP 2007-1; EPICP BROD; EQTY 2014-INNS; GCCFC 2005-GG3; GCCFC 2006-GG7; GSMS 2013-GC12; GSMS 2014-GC22; JPMCC 2006-CB15; JPMCC 2006-LDP9; MLCFC 2006-4; MSC 2007-IQ; MSC 2011-C3; TITN 2006-3; TITN 2006-5; TITN 2007-CT1; TMAN 5; TMAN 6; UBSBB 2013-C5; UBSCM 2012-C1; WFRBS 2012-C8; WFRBS 2013-C14