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

Pipeline
The pipeline was dominated by auto-related ABS entrants last week. A couple of CMBS and RMBS a piece were also marketing, as well as an aircraft ABS and a marketplace lending ABS.

The auto ABS comprise: US$300m Avis Budget Rental Car Funding Series 2016-1, US$600m Chesapeake Funding II series 2016-1, E-CARAT 6, US$750m Ford Credit Floorplan Master Owner Trust A Series 2016-2, Hyundai Auto Receivables Trust 2016-A and CNY2.374bn Silver Arrow China 2016-1. The US$510m Apollo Aviation Securitization Equity Trust 2016-1 and US$278.4m Citi Held for Asset Issuance 2016-PM1 deals rounded out the ABS announced last week.

The CMBS entrants consist of US$1.15bn CGGS 2016-RND and US$712m WFCMT 2016-C33, while the RMBS were US$1.89bn Chase Mortgage Trust 2016-1 and US$772.75m Towd Point Mortgage Trust 2016-1.

Pricings
Auto-related ABS also accounted for the lion's share of new issuance last week. Several consumer and esoteric ABS also priced, as well as a number of CLOs, CMBS and RMBS.

The auto prints were US$902m Ford Credit Auto Lease Trust 2016-A, US$122.9m OSCAR US 2016-1, US$312.08m Prestige Auto Receivables Trust 2016-1 and US$840.8m World Omni Auto Receivables Trust 2016-A. A couple of retained deals - €780m FT Santander Consumer Spain Auto 2016-1 and €551m RevoCar 2016 - also closed.

The esoteric ABS consisted of US$130.5m BXG Receivables Note Trust 2016-1, US$422.84m Element Rail Leasing II 2016-1 and US$425m Sierra Timeshare 2016-1. US$733.49m OneMain Financial Issuance Trust 2016-2 and US$750m Synchrony Credit Card Master Trust Series 2016-1 made up the remaining ABS pricings.

Meanwhile, US$405.48m ACAS CLO 2016-1, US$402.9m Carlyle Global Markets Strategies CLO 2016-1, €411m CVC Cordatus Loan Fund VI and US$500m Octagon Investment Partners 26 accounted for the CLO prints. US$1.1bn FREMF 2016-K53 and €317m Taurus 2016-1 DEU were the CMBS new issues, while A$871m IDOL 2016-1 and £475m Offa 1 were the RMBS.

Editor's picks
Final curtain?: The Basel Committee's finalised fundamental review of the trading book (FRTB) marks another milestone in regulators' long and conflicted relationship with securitisation. While the final draft is less punitive than early versions suggested it might be (SCI 15 January), it is still set to limit market liquidity and trading activity...
ABS bound: KPMG and Cambridge University's alternative finance centre both agree that securitisation will play a vital role in the continuing growth of marketplace lending. The bodies recently partnered on a report that highlights the growth seen to date in marketplace lending in the UK and Europe...
Euro secondary partly pauses: The bulk of the European securitisation secondary market took a pause yesterday, but CLOs continue to outperform...

Deal news
• JPMorgan is in the market with what is believed to be the first US RMBS structured to comply with the FDIC's 'safe harbour' rule, which became effective on 30 September 2010 (SCI 6 October 2010). The US$1.89bn Chase Mortgage Trust 2016-1 transaction also represents the first post-crisis cash RMBS issuance by a large money-centre bank of its own assets.
• Mercedes-Benz is bringing the first Chinese auto ABS deal to include a yield supplement overcollateralisation (YSOC) feature. The CNY2.5bn Silver Arrow China 2016-1 transaction is also the car manufacturer's debut transaction in the Chinese market.

Regulatory update
• The ECB has suggested changes to the new securitisation package proposed by the European Commission and adopted by the European Council in December. The package contains the new overarching European securitisation regulation - including STS - as well as the CRR amendment that sets banks' risk weights to securitisation exposures.
• In its 2016 Budget announcement last week, the UK government reinforced its commitment to establishing a fully functioning ILS market within the country. The government says it is consulting on proposals for a new, competitive framework for the asset class, which would entail the supervision, corporate structure and taxation of ILS vehicles.
• The Bank of Italy has updated its supervisory instructions for banks and financial intermediaries concerning loans granted by securitisation vehicles. There are now six key requirements.
• The US CFTC has approved a compliance framework for dual registered central counterparties located in the EU, further facilitating derivatives trading across the Atlantic. The European Commission has also approved the US regime as equivalent to that of the EU's. The announcement comes after an agreement was reached last month for a common approach that would enable an easier transatlantic working environment for both US and European CCPs (SCI 11 February).