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

Pipeline
Last week's pipeline additions were concentrated in ABS. There were six new ABS announced, as well as an ILS and a CMBS.

The ABS were: €800m Bavarian Sky Compartment German Auto Loans 4; €760.9m Cars Alliance Auto Loans Germany V 2016-1; US$350m Flagship Credit Auto Trust 2016-2; US$260m NP SPE II Series 2016-1; £300m RAC Bond Co; and US$2.1bn Taco Bell Funding Series 2016-1.

US$150m Residential Reinsurance Series 2016-1 was the ILS. The CMBS was US$358.6m Velocity Commercial Capital 2016-1.

Pricings
There was more variety in the week's prints. There were nine ABS, three RMBS, three CMBS and two CLOs.

The ABS were: US$184.22m Ascentium Equipment Receivables 2016-1; US$300.7m Avant Loans Funding Trust 2016-B; A$1.3bn Crusade ABS Series 2016-1 Trust; A$259m Flexi ABS Trust 2016-1; US$1.316bn Ford Credit Auto Owner Trust 2016-B; US$450m NextGear Floorplan Master Owner Trust Series 2016-1; US$1.5bn Nissan Auto Receivables 2016-B; A$901m SMART ABS Series 2016-1; and Sfr515.2m Swiss Car ABS 2016-1.

£367.23m Finsbury Square 2016-1, £1bn Gosforth 2016-2 and A$936m-equivalent RESIMAC Triomphe Trust - RESIMAC Premier Series 2016-1 were the RMBS, while the CMBS were US$160m CCRESG Commercial Mortgage Trust 2016-HEAT, US$809m MSBAM 2016-C29 and US$388.5m Palisades Center Trust 2016-PLSD. The CLOs were US$406.15m AMMC CLO 18 and US$502m OCP 2016-11.

Markets
It was the year's busiest week for non-US ABS, as European and Australian primary issuance surged, although secondary market activity was quieter. JPMorgan analysts comment: "Trading volumes remained moderate, although investors picked up peripheral opportunities resulting in ECB-eligible Italian and Spanish RMBS paper tightening 3bp each to close the week at 104bp and 105bp on average above three-month Euribor. Portugal, however, failed to benefit from investor engagement and ended the week unchanged at 227bp for ECB-eligible RMBS seniors."

The US CLO market continues to witness familiar trends, as SCI reported last week (SCI 21 April). Mezz paper continues to lead the way tighter, with one trader predicting that double-Bs could break the 700 threshold soon.

Editor's picks
Bidding goodbye?: BDCs and other listed vehicles are coming under increasing pressure - not least from their shareholders - to change the way they operate in the structured credit market. In some instances, they are being forced out of the sector altogether...
Green shoots: A combination of private placements and the banking market should be able to meet the European renewables sector's financing needs in the short term, according to a new SCI/Renovate America research report entitled 'Green securitisation: harnessing institutional investment to tackle climate change'. However, there is growing recognition that the ABS market could take a lead role in raising the €200bn a year that will be required over the next decade to meet the region's commitment under the terms of the Paris Agreement on climate change...
IMA-CVA abandoned: The Basel Committee's recent decision to drop the use of IMA-CVA from its proposed CVA risk framework has taken many in the industry by surprise. The move is also likely to disappoint institutions that were anticipating capital savings as a result of its use...
Chasing ubiquity: Representatives from Prosper Marketplace, MountainView Capital and Credit Suisse recently discussed the growth of marketplace lending during a live webinar hosted by SCI. This Q&A article highlights the main talking points from the session, including the impact of rising rates and the role of ABS in the sector...

Deal news
• Fannie Mae has completed its tenth Credit Insurance Risk Transfer transaction. CIRT 2016-3 shifts a portion of the credit risk on a pool of single-family loans with an unpaid principal balance of approximately US$5.7bn to a single insurer.
• Pursuant to a written resolution, the subordinated noteholders of Strawinsky I CLO have resolved to direct the trustee to appoint Dynamic Credit Partners Europe as successor investment manager, subject to controlling class (currently the class B noteholders) approval. IMC Asset Management tendered its resignation as investment manager for the second time on 15 April, having initially tendered its resignation on 31 December 2015.
• Navient has extended the maturity date on an additional US$1.2bn of bonds backed by FFELP student loans. The amendments include the A3 and B tranches of SLM Student Loan Trust 2013-6, which were respectively pushed back to 2055 and 2083.
• Moody's has downgraded an RMBS Mexican certificate after correcting an error in its cashflow modelling for the transaction. BRHSCCB 05U suffered the downgrade after the agency originally made an incorrect assumption that the deal was still protected through a partial credit guarantee (PCG).
• An auction to settle the credit derivative trades for Peabody Energy Corporation CDS is to be held on 4 May. ISDA's Americas Determinations Committee ruled that a bankruptcy credit event occurred with respect to the entity on 13 April.

Regulatory update
• The US SEC has adopted final rules implementing business conduct standards and chief compliance officer requirements for security-based swap dealers and major security-based swap participants. The final rules are adopted under the Dodd-Frank Act.
• The NCUA has had another of its recent successful RMBS settlements increased after UBS was ordered to pay the federal agency a post-interest total of US$69.8m. The decision was made by the US District Court for the Southern District of New York, after UBS recently agreed to dish out US$33m in compensation for its role in selling faulty deals to two failed corporate credit unions (SCI 1 March).

Deals added to the SCI New Issuance database last week:
American Credit Acceptance Receivables Trust 2016-2; BlueMountain CLO 2016-1; Cadogan Square CLO VII; Carlyle Global Market Strategies Euro 2016-1; CarMax Auto Owner Trust 2016-2; CAS 2016-C03; Chrysler Capital Auto Receivables Trust 2016-A; CPS Auto Receivables Trust 2016-B; Crusade ABS Series 2016-1 Trust; Discover Card Execution Note Trust 2016-2; Discover Card Execution Note Trust 2016-3; FREMF 2016-KP03; FRESB 2016-SB15; Hertz Fleet Lease Funding Series 2016-1; Master Credit Card Trust II series 2016-1; NCF Dealer Floorplan Master Trust series 2016-1; Penarth Master Issuer series 2016-1; Sonic Capital series 2016-1; ThunderRoad Motorcycle Trust 2016-1

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; BSCMS 2007-PW15; CD 2006-CD2; CD 2007-C4; CGCMT 2007-C6; COMM 2014-CR18; CSMC 2006-C4; DECO 2007-E5; DECO 6-UK2; ECLIP 2006-1; EURO 26; EURO 28; GECMC 2007-C1; GSMS 2007-GG10; GSMS 2013-GC10; GSMS 2014-GC22; INFIN SOPR; JPMCC 2005-LDP5; JPMCC 2006-CB15; JPMCC 2006-LDP7 & CD 2007-CD4; JPMCC 2006-LDP8; JPMCC 2007-C1; JPMCC 2011-C5; LBUBS 2006-C1; LBUBS 2006-C6; MLMT 2007-C1; MSC 2006-IQ12; MSC 2008-T29; MSC 2011-C2; TITN 2006-1; TMAN 5; WBCMT 2006-C23; WBCMT 2006-C26; WBCMT 2007-C32; WFRBS 2013-C16 & WFRBS 2013-C17; WFRBS 2013-C18 & WFRBS 2013-UBS1; WFRBS 2014-C21; WIND XIV