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

Pipeline
The pipeline grew very quiet last week. The only deal to be added without disappearing before Friday's close was US$176m Palmer Square Loan Funding 2016-1, a CLO.

Pricings
With Christmas nearly upon us, the pace of completed issuance also slowed considerably. There were just two ABS, an ILS, an RMBS, two CMBS, a CRE CDO and five CLOs.

€700m FCT Ginkgo Compartment Sales Finance 2015-1 and €370m HVL Bolzano 2015 accounted for the ABS, while the ILS was US$100m Vita Capital VI Series 2015-1. The RMBS was €1.24bn FT RMBS Santander 5.

US$430m BBCMS Trust 2015-SRCH and US$766.5m CSMC 2015-GLPA were the two CMBS, while the CRE CDO was US$349.1m RAIT 2015-FL5 Trust. Lastly, the CLOs were: €780m BBVA-10 PYME FT; US$355m Maranon Loan Funding 2015-1; US$435m Oaktree EIF I Series A1; US$505m Symphony Credit Opportunities Fund CLO 2; and US$507m Webster Park CLO.

Editor's picks
Liquid launch: A 25bp increase in the Fed funds target rate is widely expected to be announced later today (16 December). The pace of future interest rate hikes will impact the mortgage basis and the US agency market, which is strengthening investor appetite for liquid RMBS...
Black whole: The path to eligibility remains unclear for whole business bonds when it comes to the securitisation criteria under Solvency 2. This has stalled new issuance and prompted pricing instability...
US CLOs equity focused: Post Fed lift-off activity has picked up a little across the US CLO secondary market, but it is the equity space that is attracting the most focus today (17 December). "Everything with the Fed played through as expected, so it's factored in for the most part, but the rise will have the biggest impact on equity because of Libor floors," says one trader. "So, we're now into price discovery mode in the new rate environment for the bottom of the stack..."

Deal news
• Fannie Mae has completed its final Credit Insurance Risk Transfer deal of 2015 - the first to include adjustable-rate mortgages (ARM) in the loan pool. CIRT 2015-6 shifts credit risk on a pool of single-family loans to a panel of reinsurers.
• SolarCity is in the market with an inaugural securitisation backed by its MyPower loan product. The US$185m SolarCity FTE Series 1 Series 2015-A is secured by a pool of 11,583 solar loans used to install residential rooftop photovoltaic systems.
• The underperformance of the Delavaco loan backing FirstKey Lending 2015-SFR1 - the first multi-borrower single-family rental securitisation rated by Moody's - will have minimal impact on the deal's performance, according to the agency. This is due to the small size of the loan; the low LTV at closing (61.2%); and the cash-trap mechanisms in the transaction.

Regulatory update
• In a unanimous decision by the FOMC, the US Fed announced yesterday [Wednesday] that it is moving its target range for the federal funds rate up to 0.25% to 0.5% from zero to 0.25%. However, it stresses that it will maintain its existing policy of reinvesting principal payments from its holdings of agency debt and MBS.
• ESMA has published a consultation paper proposing to enhance the current functionalities offered by trade repositories (TRs) for data access under EMIR. The authority says current comparability of data is insufficient and rules for TR access should be improved significantly.
• The US CFTC has approved a final rule on margin requirements for uncleared swaps for swap dealers (SDs) and major swap participants (MSPs). The vote was split with two in favour and one opposed.
• The US SEC has proposed new rules that would limit the use of derivatives by registered funds. The proposal would also require funds to put risk management measures in place to ensure stronger investor protections.
• The FHFA has released its 2016 scorecard for the GSEs and Common Securitization Solutions (CSS). Highlights include the imminent end to HARP and an updated timeline for the implementation of the single security initiative, as well as credit risk transfer (CRT) changes.
• Canada Mortgage and Housing Corporation (CMHC) has announced a change to the guarantee fees it charges issuers, as well as the annual limits for new guarantees for 2016 for both National Housing Act Mortgage-Backed Securities (NHA MBS) and Canada Mortgage Bonds (CMB). The revised fee structure aims to encourage the development of private market funding alternatives by narrowing the funding cost difference between government-sponsored and private market funding sources.
• The Court of Appeal has overturned a decision at first instance that a valuer, Colliers, was liable for a negligent valuation of a commercial property that was collateral for a securitised loan while Quelle - the then biggest mail order company in Germany - was the tenant. In doing so, the Court of Appeal has made comments that an SPV issuer of CMBS would be entitled to rely on a valuation provided to the original lender.
• The Second Circuit Court of Appeals has reversed the conviction of former Jefferies md Jesse Litvak (SCI 12 March 2014) and remanded the case for retrial. A Haynes and Boone client memo notes that in doing so, however, the Court of Appeals rejected the broker's broad argument that lies concerning ancillary transaction fees could never form the basis for a securities fraud claim.
• The European Committee on Economic and Monetary Affairs is expected to start work on two key securitisation files as soon as the European Parliament reconvenes after the Christmas break, following the recent appointment of rapporteurs and shadow rapporteurs for the documents. The PCS Secretariat reports that for the STS securitisation file, the rapporteurship has been assigned to the S&D group while for the CRR file, the rapporteurship will be held by the EPP group.

Deals added to the SCI New Issuance database last week:
Anchorage Credit Funding 2; BlueMountain CLO 2015-4; California Republic Auto Receivables Trust 2015-4; Carlyle Global Market Strategies Euro CLO 2015-3; Castlelake Aircraft Securitization Trust 2015-1; Citi Held For Asset Issuance 2015-PM3; DRB Prime Student Loan Trust 2015-D; Driver Brasil Three; Edsouth Indenture No. 10 Series 2015-2; FREMF 2015-KS04; FRESB 2015-SB10; FRESB 2015-SB9; IM Grupo Banco Popular MBS 3; MSC 2015-UBS8; Newhaven II CLO; Noria 2015; OHA Credit Partners XII; OZLM XIV; PYMES Santander 12; Sound Point CLO X; SPS Servicer Advance Receivables Trust series 2015-T2; SPS Servicer Advance Receivables Trust series 2015-T3; Trinity Square 2015-1; WFCM 2015-P2

Deals added to the SCI CMBS Loan Events database last week:
BACM 2006-2; CD 2006-CD3; CD 2007-CD4; CGCMT 2007-C6; CSMC 2006-C4; GCCFC 2007-GG11; GSMS 2011-GC3; GSMS 2012-GCJ7; JPMCC 2005-CB13; JPMCC 2006-LDP8; JPMCC 2007-LD11; LBUBS 2006-C7; MLCFC 2007-5; MLCFC 2007-9; MSC 2005-HQ7; MSC 2007-HQ13; TIAA 2007-C4; UBSC 2011-C1 & UBSC 2012-C1; WBCMT 2006-C27