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

Pipeline
The number of deals joining the pipeline was steady last week, with more RMBS than the week before and less emphasis on ABS and ILS. At the final count there were five new ABS, one ILS, four RMBS and two CMBS added to the pipeline.

The ABS were: A$210m Flexi ABS Trust 2015-1; US$240m HERO Funding Trust 2015-1; US$1.126bn Ford Credit Auto Lease Trust 2015-A; US$365m LRF 2015-1; and US$637m PHEAA Student Loan Trust 2015-1. The ILS was US$250m Everglades Re II Series 2015-1.

US$241m Agate Bay Mortgage Trust 2015-3, Genesis Trust II Series 2015-1, US$720m STACR 2015-DNA1 and £1.8bn Warwick Finance 1 accounted for the RMBS. The CMBS, meanwhile, were €445m Taurus 2015-2 DEU and US$955m WFCM 2015-NXS1.

Pricings
It was a particularly busy week for ABS leaving the pipeline, as 11 deals priced. There were also four CMBS prints and seven CLOs.

The ABS were: US$554.45m ARI Fleet Lease Trust 2015-A; US$180m Axis Equipment Finance Receivables III Series 2015-1; US$1bn Dell Equipment Finance Trust 2015-1; US$223.64m First Investors Auto Owner Trust 2015-1; US$1.169bn Hyundai Auto Lease Securitization Trust 2015-B; US$475m Mercedes-Benz Master Owner Trust Series 2015-A; US$525m Mercedes-Benz Master Owner Trust Series 2015-B; US$997m Navient Student Loan Trust 2015-2; US$1.17bn Santander Drive Auto Receivables Trust 2015-2; US$704m SMB Private Education Loan Trust 2015-A; and US$360m World Financial Network Credit Card Master Note Trust Series 2015-A.

US$1.4bn BAMLL Commercial Mortgage Securities Trust 2015-200P, US$1.31bn FREMF 2015-K44, US$395m STORE Master Funding 2015-1 and US$796.6m WFCG Commercial Mortgage Trust 2015-BXRP constituted the CMBS.

Lastly, the CLOs were: US$552.5m ACAS CLO 2015-1; US$511m AMMC 16; US$477m Apollo Credit Funding IV; US$560m Jackson Mill CLO; US$764m OCP 2015-8; US$759m Octagon XXIV; and US$661m Stewart Park CLO.

Markets
US ABS spreads were stable to slightly tighter last week, with Barclays Capital analysts noting that prime auto and student loan ABS outperformed. "ABS trading in the secondary market was also very active, as an average of US$1.4bn traded each day during the first four days of the week, significantly higher than the US$850m average over the corresponding period last week," they add.

Citi US agency RMBS analysts note that larger Fed purchases and the recent pick-up in Asian buying supported the basis last week. They say: "Origination has also been fairly contained and the range bound 10-year has resulted in a fairly conducive environment for carry trades."

While nominal US CLO BWIC volumes totalled almost US$900m over the course of the week, nearly US$700m of that came from triple-A CLO 1.0. "Due to above-average supply, the secondary market saw some spread widening at the 1.0 triple-A level although part of this was also due to manager tiering. In the 2.0 space, risk-on sentiments and limited supply have boded well for mezzanine trading and we saw modest spread tightening over the week," comment Bank of America Merrill Lynch analysts.

In European ABS and RMBS, spreads continued to move slowly wider. "While weakness is peripheral govies provides some impetus for the weakening sentiment, the slow recalibration of clearing spread expectations on the back of underwhelming ABSPP activity volumes in the wider asset classes (i.e. peripheral) no doubt continues to weigh on the sectors," say JPMorgan analysts.

Editor's picks
ABSPP rethink proposed: While the ECB's ABSPP has brought benefits to the market, it has also underwhelmed. Increasing transparency could do more to support the recovery of eurozone ABS...
Growing appetite: US CLO managers are tapping strong demand from European investors for CRR-compliant paper. The originator route appears to be the most accessible structuring route for now...

Deal news
• Auction.com data indicates that 49 properties with US$320m in balance across 37 CMBS loans are out for the bid in late April and May. WBCMT 2006-C24 has the largest exposure to the auctions, accounting for three properties totalling US$63m, according to Barclays Capital CMBS analysts.
• Walgreens Boots Alliance plans to close 200 drugstores in the US, under a US$500m cost-cutting measure. The retailer is believed to be a tenant in 401 properties encumbered by 249 CMBS 2.0 loans with an allocated balance of US$1.5bn across 105 deals. The largest loan with exposure to a short-term lease is the US$98.8m Spirit Cole Portfolio, securitised in COMM 2013-LC13.
• April US CMBS remittances indicate that five loans totalling US$77.6m in balance have been liquidated from the MLCFC 2007-7 trust. The loans were previously listed for sale on Auction.com in February (SCI 4 February) and, together with an additional two properties from the US$15.5m Norcross Industrial Portfolio, generated US$62.2m in proceeds.
• Chotin Fund Management has resigned from its role as the collateral manager for Mercury CDO 2004-1 and designated Dock Street Capital Management as its replacement. Fitch says that terms of the proposed replacement collateral manager agreement have remained almost identical, with only minor differences that are not material to the ratings of the transaction.

Regulatory update
• BNY Mellon has presented the US$8.5bn Countrywide settlement agreement to the New York Supreme Court for final approval. The bank is seeking a modification of the language in the February 2014 judgment to bring it in line with last month's appellate division ruling (SCI 6 March), specifically by deleting any language regarding withholding the release of modification claims.
• First Tennessee, the regional bank for First Horizon National, has agreed in principle with the US Department of Housing and Urban Development and the US Department of Justice to settle claims related to the bank's underwriting and origination of FHA-insured mortgage loans from 1 January 2006 through to 31 December 2008. Under the agreement, First Tennessee has committed to pay US$212.5m.
• The London High Court has ruled in favour of Taberna Europe in a misrepresentation judgment against failed Danish financial institution Roskilde Bank. The court ordered the payment of damages in the amount of €26.42m, with €4.77m interest, plus costs to be assessed.

Deals added to the SCI New Issuance database last week:
A-BEST 11; AmeriCredit Automobile Receivables Trust 2015-2; Babson CLO 2015-1; Carlyle Global Market Strategies CLO 2012-1 (refinancing); Carlyle Global Market Strategies CLO 2015-2; Catamaran CLO 2015-1; CGCMT 2015-GC29; Chrysler Capital Auto Receivables Trust 2015-A; Citigroup Mortgage Loan Trust 2015-A; CORE 2015-CALW; CORE 2015-TEXW; CORE 2015-WEST; CSMC 2015-TOWN; CVC Cordatus Loan Fund V; Dolphin Master Issuer series 2015-1; Golub Capital Partners CLO 24(M); Invitation Homes 2015-SFR2 Trust; JFIN CLO 2015; JPMBB 2015-C28; Mariner CLO 2015-1; MSBAM 2015-C22; Nissan Auto Receivables 2015-A Owner Trust; Palmer Square CLO 2015-1; PFS Financing Corp Series 2015-A; Purple Master Credit Card Note Series 2015-1; RevoCar 2015; Symphony CLO X (refinancing); Zais CLO 3

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-1; BACM 2005-3; BACM 2007-3; CD 2005-CD1; COMM 2005-C6; DECO 2006-E4; DECO 8-C2; FTST 2006-4TS; GCCFC 2005-GG5; GECMC 2005-C1; GSMS 2007-GG10; JPMCC 2006-LDP7; JPMCC 2006-LDP9; LBUBS 2006-C7; MLCFC 2006-4; MLCFC 2006-4 & JPMCC 2006-LDP8 ; MLCFC 2007-7; MLCFC 2007-9; MSBAM 2012-C5; MSC 2007-IQ16; TAURS 2006-1; THEAT 2007-1 & THEAT 2007-2; TITN 2007-1; TITN 2007-2; TMAN 6; TMAN 7; WBCMT 2006-C24; WFRBS 2013-C11 & WFRBS 2013-C12; WINDM X; WINDM XIV