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

Pipeline
Pipeline activity continued to normalise last week. There were eight ABS, five RMBS and five CMBS additions.

The ABS were: US$203.1m Access Funding 2015-1; US$170m Diamond Resorts Owner Trust 2015-1; US$460m Driven Brands Funding Series 2015-1; E-CARAT 8; US$650.1m Enterprise Fleet Financing Series 2015-2; US$810m Ford Credit Auto Owner Trust 2015-REV2; US$476.19m NextGear Floorplan Master Owner Trust Series 2015-1; and US$687.59m World Omni Automobile Lease Securitization Trust 2015-A.

Auburn Securities 9, US$300m FWLS 15-SC01, JPMMT 2015-4, Lanark Master Issuer Series 2015-1 and A$460m SMHL Series Securitisation Fund 2015-1 accounted for the RMBS. The CMBS were US$140m CFCRE 2015-RUM, US$215m Citigroup Commercial Mortgage Trust 2015-SHP2, €316m DECO 2015-Charlemagne, US$1bn GSMS 2015-GC32 and US$935.4m MSBAM 2015-C24.

Pricings
A significant number of deals priced. This included 10 ABS, an ILS, six RMBS and four CLOs.

The ABS were: US$1.02bn Ally Auto Receivables Trust 2015-1; US$1.03bn American Express Credit Account Master Trust Series 2015-1; US$900m BMW Floorplan Master Owner Trust Series 2015-1; US$275m Capital One Multi-Asset Execution Trust 2015-4; US$700m Capital One Multi-Asset Execution Trust 2015-5; US$664m Drive Auto Receivables Trust 2015-C; CNY1.9bn Driver China Two Trust; US$1.5bn MBART 2015-1; US$1.3bn Nissan Auto Receivables 2015-B Owner Trust; and €646.3m Thetis Finance 1.

The ILS was US$300m Acorn Re Series 2015-1. The RMBS were: US$1.56bn CAS 2015-C03; €500m IM EVO RMBS 1; €139m Kingswood 2015-1; €5.235bn Orange Lion 2015-12; £310m-equivalent Paragon Mortgages No.23; and €225m Precise Mortgage Funding 2015-2B.

Lastly, the CLOs were US$1.12bn ALM XVI, €427m Black Diamond CLO 2015-1, €414m Carlyle Global Market Strategies Euro CLO 2015-2 and US$400m KKR CLO 12.

Markets
Spreads widened in US ABS, except for esoterics, report Bank of America Merrill Lynch analysts. "As we expected, secondary spreads for FFELP ABS have widened in recent weeks as investors digested Moody's and Fitch's rating actions. Additionally, private student loan ABS spreads have moved wider," they say.

US non-agency RMBS trading activity picked up, but remains below the yearly average. "Investors took risk off the table by selling more than US$700m in non-agency RMBS paper and then adopting a wait-and-see approach to the situations in Greece and China. This was the highest amount of net selling in a given week over the last three to four months. Dealer balance sheets began to reverse course after several weeks of decline as they absorbed the selling in below-investment-grade paper," say Wells Fargo analysts.

After steadily widening since mid-May, Barclay Capital analysts believe the US CMBS market showed signs of bottoming last week. "In secondary trading of recent issues, LCF triple-A bonds were 6bp tighter, to swaps plus 95bp. More credit-leveraged, single-A rated mezzanine tranches were 15bp tighter, to swaps plus 235bp, and triple-B rated mezzanine tranches compressed 18bp, to swaps plus 382bp. Agency CMBS spreads missed out on the rally, with the 10-year Freddie K A2 tranches flat at swaps plus 56bp on low volume," they say.

Editor's picks
FFELP repacks put forward: The FFELP student loan ABS sector could yet fend off downgrades if refinancing solutions come forward. Some novel ideas are already surfacing that expand the possible fixes beyond bondholder extensions or trust cash injections...
RMBS settlement resolutions 'years away': Several recent legal developments could affect cashflow distributions from ongoing settlements and lawsuits. These developments could also affect the likelihood of investors recouping any cash from future settlements...
CRT, NPLs 'both attractive': Macro developments over the last few weeks have pushed residential credit wider, with CRT spreads at the LCF level now around 40bp wider than in April. However, fundamentals in this space are unlikely to be affected by those macro events and so LCF bonds could present an attractive buying option...

Deal news
• Fannie Mae has completed an additional credit risk sharing transaction - CIRT 2015-1 - that aims to further diversify its counterparty exposure and reduce taxpayer risk by increasing the role of private capital in the mortgage market. The credit insurance risk transfer (CIRT) deal shifts credit risk on a pool of mortgage loans to a panel of reinsurers.
• Freddie Mac issued its first 15-year K programme CMBS last week under the ticker FREMF 2015-K1501, reports Wells Fargo. The 14.5-year WAL LCF A3 tranche priced 2bp tighter than the original price talk, in contrast to the week-over-week spread widening for most structured products.
• July remittance indicates that the US$62m Green Oak Village Place retail plaza in Brighton, Michigan, received a large hope note modification. The retail centre loan securitised in BACM 2007-5 had re-defaulted in December 2012 after receiving an earlier modification in 2009 that resulted in a partial pay-down, and the most recent appraisal of the property in March 2014 had placed it at US$28m.
• July remittances indicate that US$109.85m across 14 loans securitised in MLCFC 2007-7 has been disposed of at a 61% severity in a bulk liquidation. Four of the loans had previously been bid for auction in May.
• The latest update of CMBS auction listings includes 40 properties from 36 CMBS loans with an allocated balance totalling US$179m, according to Barclays Capital analysts. GCCFC 2007-GG11 has the largest exposure this month with four listings.

Regulatory update
• The ECB's recent ABSPP purchasing guidelines (SCI 8 July), which followed the EBA's proposed lower risk weights for certain qualifying securitisations (SCI 26 June), will likely shape the nature of new deals at least in the euro-area, according to Citi analysts. However, certain elements of the guidelines could actually work against the ECB's desire of reviving ABS markets.
• The implementation of a revised German deposit guarantee scheme is credit positive for SME securitisations in the country, reports Moody's. The new law, which came into effect this month, guarantees corporate deposits in the German public sector and cooperative banks for €100,000.
• ISDA has published a new classification letter that will enable counterparties to notify each other of their status for clearing and other regulatory requirements under EMIR. The letter allows counterparties to bilaterally communicate their status by answering a series of questions.

Deals added to the SCI New Issuance database last week:
Battalion CLO IX; Berica ABS 4; Cabela's Credit Card Master Note Trust Series 2015-II; Dolphin Master Issuer series 2015-2 ; Dryden 40 Senior Loan Fund; FCT Ginkgo Debt Conso 2015-1; Jefferson Mill CLO; Oportun Funding I series 2015-B; Palmer Square CLO 2015-2; Sierra Timeshare 2015-2 Receivables Funding; Vibrant CLO (refinancing)

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-1; BACM 2007-5; BSCMS 2007-T28; CMLT 2008-LS1; COMM 2008-LS1; CSFB 2006-TFL2; CWCI 2007-C2; DECO 2007-E5; DECO 2007-E6; DECO 6-UK2; ECLIP 2006-2; ECLIP 2006-3; EPICP BROD; EPICP DRUM; EURO 28; GCCFC 2006-GG7; GCCFC 2007-GG11; GCCFC 2007-GG9; GSMS 2006-GG8; GSMS 2007-GG10; INFIN SOPR; JPMCC 2008-C2; LBCMT 2007-C3; MESDG DELT; MLCFC 2006-4; MLCFC 2007-7; MLMT 2005-CIP1; MSC 2007-T27; MSCI 2007-IQ16; TAURS 2007-1; TITN 2006-3; TMAN 5; TMAN 6; TMAN 7; WINDM X; WINDM XIV