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

Pipeline
Pipeline additions were limited last week. The only ABS was €1bn Silver Arrow 7, while the RMBS were RUB5.65bn JSC Mortgage Agent BFCO and US$209m Nationstar HECM Loan Trust 2016-2 and the single CMBS was US$737m SGCMS 2016-C5.

Pricings
Many more deals came out of the pipeline. There were 12 ABS prints as well as an RMBS, two CMBS and three CLOs.

The ABS were: US$1bn Cabela's Credit Card Master Note Trust Series 2016-I; €1.3bn Caixabank Consumo 2; US$175m Elara HGV Timeshare Issuer 2016-A; US$1.35bn Ford Credit Auto Owner Trust 2016-REV2; US$123m Golden Bear Funding Notes Series 2016-1; US$324.7m Harbour Aircraft Investments Series 2016; US$520m Navient Student Loan Trust 2016-4; US$111.15m North Mill Equipment Funding 2016-A; US$150m Oportun Funding III 2016-B; CNY4bn Rongteng 2016-2 Retail Auto Mortgage Loan Securitization; US$135m Sierra Auto Receivables Securitization Trust 2016-1; and US$379.8m SoFi Consumer Loan Program 2016-1.

US$400m NRZ Advance Receivables Trust Series 2016-T1 was the RMBS, while the CMBS were US$1.185bn FREMF 2016-K722 and US$300m Shops at Crystals 2016-CSTL. The CLOs were US$410m Anchorage Capital CLO 8, US$510m Ares XXXIX CLO and US$411m GoldenTree Loan Opportunities XII.

Markets
The UK's vote to leave the EU is likely to put the brakes on British issuances. For European ABS and RMBS secondary market prospects, JPMorgan analysts add: "Following the referendum, the entire ABS market repriced meaningfully wider. Within the UK, credit card ABS and prime RMBS widened by 22bp-23bp, while BTL and NCF spreads widened 32bp-33bp. Elsewhere, Spanish and Italian RMBS seniors moved 18bp-19bp wider, while the Dutch RMBS and European Auto ABS 'stalwarts' widened 'only' 5bp.

There was also a reaction in US CMBS, where the CMBX 6, 7, 8 and 9 indices opened substantially wider the day after the referendum. Morgan Stanley analysts note: "Triple-B minus indices [widened] out an average of 58bp from [Thursday's] close." They add: "The other indices opened wider by an average of 9bp for triple-A, 20bp for AS, 41bp for double-A, 49bp for single-A, and 72bp for boule-B."

Many markets were cautious in advance of the referendum, with the US CLO market quiet last Tuesday, as SCI reported (SCI 21 June). Tiering was still being seen but mezzanine paper was attracting healthy attention.

Editor's picks
Sufficient scrutiny?: The resignation of Lending Club ceo Renaud Laplanche and the subsequent disclosure of 'control deficiencies' at the platform shocked the marketplace lending sector. Investors have pulled back and getting them onside again is dependent on demonstrating that the market can be open and transparent...
Stepping up: Industry efforts to address the FFELP student loan ABS maturity issue have stepped up a gear with the launch of Nelnet's investor forum via the DealVector platform (SCI 17 June). The market received a further boost when Moody's released its updated FFELP student loan ABS methodology (SCI 15 June)...
Brexit effects: The immediate financial market reaction to the UK's decision to leave the EU has been pronounced, with spreads on senior financials and subordinated CDS indices higher by around 30bp and 70bp respectively. In the European securitisation secondary market, dealer bids were wider across the board at the open, but little trading was seen in the first few hours...

Deal news
• The US solar and PACE ABS market has been busy this week, led by Spruce Finance bringing the largest deal so far to encompass unsecured residential energy efficiency loans and retail instalment contracts. The US$83.78m dual-tranche Spruce ABS Trust 2016-E1 received investment grade ratings from Kroll Bond Rating Agency.
• VTB Capital has completed the first-ever single-tranche Russian RMBS, sponsored by Metallinvestbank. The RUB3.28bn deal offers a 10.25% coupon and will allow the bank to further develop its mortgage business.
• Moody's has downgraded the rating of the Navigator Mortgage Finance No. 1 €10m class C notes from Ba1 to Ba2. The move reflects the correction of an assumption in the cashflow modelling for the Portuguese RMBS deal, as well as a reassessment of the mitigating factors in relation to counterparty risk.
• The holders of a majority of the controlling class of Gramercy Real Estate CDO 2007-1 have selected C-III Investment Management as successor collateral manager. Should any noteholders wish to object to the appointment, they are requested to notify the trustee in writing by 21 July.
• S&P has lowered the ratings on 11 classes of notes from six US CDOs to triple-C from single-B, following the downgrade of MBIA Insurance Corp (SCI 17 June). The affected transactions are Coronado CDO, Fulton Street CDO, Mulberry Street CDO, Mulberry Street CDO II, Oceanview CBO I and Zohar II 2005-1.
• Yesterday's [Wednesday 22 June] CDS auction for Norske Skogindustrier ASA comprised four buckets, with 10 dealers submitting initial markets, physical settlement requests and limit orders to settle trades across the market referencing the entity. An auction in respect of Bucket 1 was not held, following the repayment of the €150m 11.75% senior unsecured notes due 2016 (SCI 17 June), and the final price was deemed to be 100.

Regulatory update
• The introduction of three significant regulatory changes over the past two months could have transformative implications for India's structured finance market, according to Moody's. A new tax regime is expected to lift post-tax investment returns from securitisation trusts, changes with regard to foreign portfolio investors (FPIs) should encourage foreign investment and changes to deal structures, while a new bankruptcy code will reinforce creditors' rights.

Deals added to the SCI New Issuance database last week:
Alba 8 SPV; Bavarian Sky China 2016-1 Trust; Benefit Street Partners CLO IX; Chase Issuance Trust 2016-3; Chesapeake Funding II Series 2016-2; COLT 2016-1; Foursight Capital Auto Receivables Trust 2016-1; FREMF 2016-KJ05; Golden Bear series 2016-1; Laurelin 2016-1; Spruce ABS Trust 2016-E1; Towers CQ; Venture XXIII CLO

Deals added to the SCI CMBS Loan Events database last week:
COMM 2012-CR1; CSMC 2006-C1; CWCI 2007-2; ECLIP 2007-2; JPMBB 2014-C22; JPMCC 2006-CB15; JPMCC 2006-LDP9; JPMCC 2007-LD11; JPMCC 2014-FL5; LBUBS 2004-C1; LBUBS 2006-C6; LBUBS 2007-C7; MBSAM 2015-C22; MLCFC 2007-5; MSC 2006-HQ9; MSC 2012-C4; UBSBM 2012-WRM; WBCMT 2007-C30; WBCMT 2007-C32; WBCMT 2007-C33