Monday 25 July 2016 12:43 London/ 07.43 New York/ 20.43 Tokyo

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

Pipeline
Last week's pipeline activity was largely in line with the week before it. There were four new ABS added to the list, along with three RMBS, three CMBS, a CLO and a CDO.

US$190m Earnest Student Loan Program 2016-C, €1bn IM BCC Cajamar PYME 1, US$600m Kubota Credit Owner Trust 2016-1 and US$480.55m SoFi Consumer Loan Program 2016-2 accounted for the ABS. The RMBS were US$348.5m Sequoia Mortgage Trust 2016-2, Torrens Series 2016-1 Trust and Towd Point Mortgage Trust 2016-3.

US$264m COMM 2016-GCT, US$800m DBJPM 2016-C3 and US$893.7m DBJPM 2016-SFC were the CMBS. The CLO was US$368m ICG US CLO 2016-1 and the CDO was US$333.75m Trups Financials Note Securitization 2016-1.

Pricings
A long list of deals priced last week. There were 15 ABS prints and a further five RMBS, a CMBS and five CLOs.

The ABS were: US$230m American Credit Acceptance Receivables Trust 2016-3; €700m BBVA Consumo 8; US$1.35bn Capital One Multi-asset Execution Trust 2016-3; US$750m CARDS II Trust Series 2016-1; US$850m Chase Issuance Trust 2016-4; US$318.5m CPS Auto Receivables Trust 2016-C; €800m FCT Ginkgo Compartment Personal Loans; US$836m Ford Credit Floorplan Master Owner Trust A Series 2016-3; US$200m Ford Credit Floorplan Master Owner Trust A Series 2016-4; US$755.21m John Deere Owner Trust 2016-B; US$184.9m Marlette Funding Trust 2016-1; US$750m Nissan Master Owner Trust Receivables Series 2016-A; US$422.6m SoFi Professional Loan Program 2016-C; €600m Tagus STC Volta IV; and US$683m World Financial Network Credit Card Master Note Trust Series 2016-A.

US$1.33bn CAS 2016-C04, C$780m Fortified Trust Series 2016-1, US$350m Freddie Mac Whole Loan Securities Trust Series 2016-SC01, £750m Lanark 2016-1 and A$350m Triton Trust No.7 Bond Series 2016-1 were the RMBS. The CMBS was US$200m B2R Mortgage Trust 2016-1.

Lastly, the CLOs were €361m Adagio CLO 2016-5, US$506m BlueMountain CLO 2016-2, US$410m Golub CLO 2016 (M), €452m Harvest CLO XVI and €414m Jubilee CLO 2016-XVII.

Markets
The US CLO secondary market maintained its momentum last week, particularly in the middle of the stack, as SCI reported on Thursday (SCI 21 July). "It's been a very fast, one-way express since Brexit," says one trader. "The rally has been particularly strong in mezzanine."

European CLO activity was more sporadic, as SCI reported earlier in the week (SCI 19 July). "Activity is fairly strong, but it feels dealer-led," says one trader. "2.0s are changing hands at quite high levels and seems like they will tighten further - so dealers are trying to get ahead of the market and position themselves now."

Elsewhere in the European ABS and RMBS secondary markets, spreads were holding firm (SCI 21 July). Wider market positivity fed into ABS/RMBS and generated improving market sentiment.

Editor's picks
CDQ development: The €1.47bn Towers CQ transaction, which closed last month, is the first Italian salary assignment loan ABS to be publicly placed in over a year. However, originator consolidation could spur increased volumes in the sector going forward...
Fragile China: Non-performing loan securitisations ended an eight-year hiatus in China in late May when Bank of China and China Merchants Bank both issued new deals. Both transactions have been deemed a success by market participants, but also highlight profound, underlying fears around the economy's exposure to poor quality loans...
Weighing it up: The European secondary ABS value proposition is changing. Increasingly, credit is not investors' primary concern as relative value considerations come to the fore, while potential future developments continue to weigh on traders' minds...
Volume growing: Australian primary ABS issuance has climbed steadily since 2008 - with a brief dip in 2012, when banks favoured covered bond issuance - and despite a slow start to 2016, this year is also expected to yield a healthy total. Full-year volume is predicted to reach A$20bn, with even more issuance likely in the future as the regulatory environment settles down and Australian master trusts potentially make their debut...

Deal news
• One of LBUBS 2006-C6's more storied assets, the Chapel Hill Mall (accounting for 5.7% of the pool), has been sold after being REO for nearly two years. The liquidation is the first of several anticipated dispositions linked to sponsor CBL & Associates Properties, including several specially-serviced loans in LBUBS 2006-C6, according to KBRA.
• Clydesdale is in the market with the UK's first post-Brexit vote RMBS. The Lanark 2016-1 transaction securitises Clydesdale and Yorkshire Bank Home Loans prime residential owner-occupied mortgages.
• ISDA's Americas Credit Derivatives Determinations Committee has resolved that a failure to pay credit event occurred in respect of the Commonwealth of Puerto Rico. The move follows Governor Alejandro Garcia Padilla's triggering of a moratorium in connection with US$911m of bond payments that were due.
• The final price for Portugal Telecom International Finance CDS was settled at 20. [Thursday]'s auction saw 10 dealers submit initial markets, physical settlement requests and limit orders to settle trades across the market referencing the entity, after a bankruptcy credit event occurred in connection with the company (SCI 12 July).

Regulatory update
• The European Commission (EC) has accepted commitments by ISDA and IHS Markit on CDS licensing (SCI 29 April). The EC had previously raised competition concerns relating to the licensing of intellectual property that is needed to offer trading services.
• The US FHA says it will now insure mortgages on certain properties that are subject to PACE assessments. The move is a boon to this growing sector of the US ABS market, which has already hit the billion dollar mark through a number of new deals this year (SCI passim).

Deals added to the SCI New Issuance database last week:
Annisa CLO; BMW Vehicle Owner Trust 2016-A; Capital Auto Receivables Asset Trust 2016-2; CarMax Auto Owner Trust 2016-3; Dell Equipment Finance Trust 2016-1; Enterprise Fleet Financing Series 2016-2; FREMF 2016-KJ06; Mariner CLO 2016-3; Nissan Master Owner Trust Receivables series 2016-A; OneMain Direct Auto Receivables Trust 2016-1; Sierra Timeshare 2016-2 Receivables Funding; Verizon Owner Trust 2016-1; WABR 2016-BOCA; World Omni Automobile Lease Securitization Trust 2016-A

Deals added to the SCI CMBS Loan Events database last week:
CGCMT 2007-C6; COMM 2015-CR22; CWCI 2007-C2; DivCore CLO 2013-1; ECLIP 2006-4; EPIC DRUM; JPMCC 2006-LDP9; JPMCC 2007-CB18 & JPMCC 2006-LDP9; JPMCC 2007-CB19; LBUBS 2006-C6; MSBAM 2015-C21; MSC 2011-C3; RIVOL 2006-1; TITN 2006-1, TITN 2006-2, TITN 2007-2 & TITN 2007-CT1; TITN 2006-5; TITN 2007-2; TMAN 5; TMAN 6; WFRBS 2011-C4; WINDM VII


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