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

Pipeline
A number of the deals which joined the pipeline last week then went on to price before the weekend. At the final count there remained one newly announced ABS, two ILS, two RMBS, four CMBS and one CLO.

The ABS was US$737.5m OneMain Financial Issuance Trust 2015-1 and the ILS were US$150m Atlas IX Capital Series 2015-1 and US$200m Galileo Re Series 2015-1. The RMBS were US$338.8m Sequoia Mortgage Trust 2015-1 and US$775m STACR 2015-DN1.

US$360m AOA 2015-1177, US$1.2bn CGCMT 2015-GC27, US$1.423bn COMM 2015-LC19 and €286m Taurus 2015-1 IT accounted for the CMBS. The CLO, meanwhile, was US$404.75m Golub Capital Partners CLO 22(B).

Pricings
The pace of issuance picked up last week. There were 12 ABS prints, along with one ILS, two RMBS, three CMBS and one CLO.

The ABS were: US$650m Avis Budget Rental Car Funding 2015-1; US$117.813m BXG Receivables Note Trust 2015-A; US$1.25bn CARAT 2015-1; US$300.6m Credit Acceptance Auto Loan Trust 2015-1; US$2.5bn DB Master Finance Series 2015-1; €717m Driver Thirteen; US$434m Global Container Assets 2014 Series 2015-1; US$700m HDMOT 2015-1; US$1.25bn Honda Auto Receivables 2015-1 Owner Trust; US$500m Kubota Credit Owner Trust 2015-1; US$625.49m Longtrain Leasing 2015-1; and US$313.8m SoFi Professional Loan Program 2015-A.

US$200m Vitality Re VI Series 2015-1 was the ILS, while the RMBS were US$514m Invitation Homes 2015-SFR1 and US$563m Progress Residential 2015-SFR1. The CMBS were US$200m CGCMT 2015-101A, US$340m Hyatt Hotel Portfolio Trust 2015-HYT and US$1.147bn MSBAM 2015-C20, while the CLO was US$409m CVP Cascade 3.

Markets
The European ABS market began to pick up steam last week, with the ECB's QE announcement providing a further boost, as SCI reported last week (SCI 23 January). "The last week has seen more secondary market trading activity and spread compression. The number of bid-lists has picked up and primary issuance has restarted, too," says one trader.

The QE effect was felt in European CMBS, where secondary spreads tightened across the stack by around 5bp for senior tranches and 15bp for junior tranches. "Broadly speaking, discount margins are around 105bp for original triple-A rated notes, 140bp for original double-A rated notes, 175bp for original single-A tranches and 215bp for original triple-B tranches," note Bank of America Merrill Lynch analysts.

The US ABS market also picked up as trading resumed after Martin Luther King Day. Total BWIC volume on Tuesday was around US$125m, with SCI's PriceABS data capturing 24 unique line items (SCI 21 January).

Barclays Capital analysts note that a heavy pipeline of deals weighed on US CMBS spreads. "In secondary trading, 2014 vintage dupers were 2bp wider, at swaps plus 93bp, while further down the capital stack, spreads held up better and 2014 BBBs were unchanged at swaps plus 353bp. In the legacy space, 07 LCF bonds were flat at swaps plus 104bp, and 07 AJs were flat at swaps plus 518bp," they note.

The US non-agency RMBS market was robust last week, with Wells Fargo analysts reporting weekly trade and BWIC volumes of US$8.4bn and US$4.1bn, respectively. "A good portion of the supply this week (about 25%) came from a $1.0 billion GSE bid list. Week-over-week prices remained firm across all sectors," they add.

Deal news
• Gatehouse Bank has launched what it describes as a CMBS-like structure, which will be known as a commercial rental-backed security (CRBS). In this transaction, Gatehouse will act as sole structuring agent, arranger and lead manager to an acquisition facility relating to a commercial office property in the Paris region, worth over €100m.
• Freddie Mac has made a number of enhancements to its STACR programme, coinciding with the announcement of its first STACR offering for 2015 - STACR 2015-DN1. The enhancements aim to reduce credit risk, as well as promote programme liquidity and provide diverse investment options for investors.
• Moody's reports in its latest ABS Spotlight that the College Loan Corporation Trust I Series 2007-2 class A1 Libor-based notes are behind their amortisation schedule and are at risk of failing to fully amortise by their final maturity date in 2024. The notes should have paid off in 2010, but the transaction administrator has not made any principal payments to date because it believes - contrary to Moody's opinion - that principal payments should not commence as long as another Trust I series (the Series 2006-1 reset-rate notes (RRNs)) remain outstanding.
• StormHarbour has acted as sole placement agent, arranger and lead manager on a €229m sale of electricity receivables owned by EDP Distribuição - Energia to the TAGUS vehicle. The purchase of the receivables was financed through a private placement of pass-through notes in December.
• Moody's reports that the number of EMEA CMBS loans in special servicing decreased by three in December, following the removal of the loans, and there were no new transfers. Among the highlights for the month was the Libra loan, the sole loan securing Titan Europe 2007-1 (NHP), which was worked out following the completion of a sale of the underlying security (see SCI's CMBS loan events database).
• S&P has lowered to double-B plus from triple-B minus all seven of the UK CMBS transactions that are credit-linked to Tesco. The ratings have all also been removed from creditwatch negative.
• Cairn Capital has replaced Cambridge Place Investment Management as collateral manager for the Camber 4 ABS CDO. Moody's has determined that the substitution will not cause the current ratings of the notes to be reduced or withdrawn.
• Cambridge Place Investment Management (CPIM) has disclosed that all claims relating to its allegation that certain financial institutions mis-sold approximately 140 US RMBS bonds to the Camber 3 ABS CDO have now been settled. In respect of these settlements, a distribution amount of US$13.09m is currently held for the account of the transaction.

Regulatory update
• The FDIC has proposed a rule that would revise certain provisions of its securitisation safe harbour rule, in order to clarify requirements as to the retention of an economic interest in the credit risk of securitised financial assets upon and following the effective date of the credit risk retention regulations adopted under Section 15G of the Securities Exchange Act. A recent Chapman and Cutler memo notes that there has been confusion among market participants on several aspects pertaining to the relationship between the FDIC's securitisation safe harbour rule and the new Section 15G Regulations.
• The US CFTC last month issued two letters - No. 14-145 and No. 14-152 - affecting ILS vehicles. The former letter affords relief to ILS issuers from certain disclosure and periodic reporting requirements, while the latter provides them with no-action relief from commodity pool operator (CPO) registration, subject to specific conditions.
• The US SEC, in conjunction with the New York and Massachusetts Attorneys General, has fined S&P US$77m and banned it from rating new issue conduit CMBS for one year. The move is expected to have a minimal effect on the CMBS market, however.

Deals added to the SCI New Issuance database last week:
AmeriCredit Automobile Receivables Trust 2015-1; Apidos CLO XX; CIFC Funding 2011-1 (refinancing); Ford Credit Auto Owner Trust 2015-REV1; Global SC Funding One Series 2015-1; Global SC Funding Two Series 2015-1; Goal Structured Solutions Trust 2015-1; Hyundai Auto Receivables Trust 2015-A; Navient Private Education Loan Trust 2015-A; Towd Point Mortgage Trust 2015-1

Deals added to the SCI CMBS Loan Events database last week:
BACM 2006-3; BSCMS 2007-PW16; CANWA II; CGCMT 2004-C1; CGCMT 2006-C5; CSFB 2005-C2; CSFB 2006-C4; DECO 2005-C1; DECO 2007-C4; DECO 2007-E7; ECLIP 2006-4; EURO 28; GSMS 2012-GCJ7; JPMCC 2006-LDP8 & MLCFC 2006-4; JPMCC 2007-CB18; JPMCC 2007-LDPX; JPMCC 2014-C20 & JPMBB 2014-C21; LBCMT 2007-C3; MSC 2011-C3; TITN 2007-1; TITN 2007-CT1; TMAN 5; WBCMT 2005-C20 & WBCMT 2005-C21; WINDM VIII; WINDM X; WINDM XIV