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

Pipeline
The number of ABS deals joining the pipeline slowed last week. The distribution across sectors was the most even it has been this year, with three new ABS, two ILS, one RMBS, four CMBS and a CLO.

A$350m CNH Industrial Capital Australia Receivables Trust Series 2016-1, US$1.11bn Navient Student Loan Trust 2016-1 and US$551m SoFi Professional Loan Program 2016-A accounted for the ABS. The ILS were US$175m Akibare Re 2016 and US$250m Citrus Re 2016-1.

US$280m Nationstar HECM Loan Trust 2016-1 was the RMBS, while the CMBS were US$470m CARS MTI-1-MTI-7 Series 2016-1, US$806.2m COMM 2016-DC2, US$350m GSMS 2016-RENT and €317m Taurus 2016-1 DEU. The CLO was €412m Harvest CLO XV.

Pricings
ABS did, however, dominate the week's pricings. There were six ABS, one RMBS, three CMBS and three CLOs.

The ABS were: US$1.02bn Ally Auto Receivables Trust 2016-2; US$164.7m DRB Prime Student Loan Trust 2016-A; US$1bn Ford Credit Auto Owner Trust 2016-REV1; US$756m John Deere Owner Trust 2016-A; US$156.38m Tidewater Auto Receivables Trust 2016-A; and US$1.25bn Toyota Auto Receivables 2016-A Owner Trust.

€14.2bn Caixabank RMBS 1 was the RMBS, while the CMBS were US$640mn COMM 2016-787S, US$1.02bn JPMBB 2016-C1 and US$667mn MSC 2016-UBS9. The CLOs were US$505m Madison Park Funding XX, US$499m Magnetite XVII and US$362m Neuberger Berman CLO XXI.

Markets
There continued to be spotty demand and inconsistent pricing for US ABS that are not considered cash surrogates, say JPMorgan analysts. They add: "We expect ABS spread movements and investor demand to continue to primarily reflect the liquidity perception, rate expectations and global growth fears in the near term. By June, we hope that the Fed will be able to calm the waters and that a rate hike provides room for ABS spreads to tighten."

US agency RMBS spreads are now pricing in the highest option cost seen in recent years, note Citi analysts, with February speeds released next week which will provide a glimpse into convexity. "With the spring purchase supply approaching fast, MBS markets will be highly dependent on the banks to absorb increasing supply. So far this year the banks have been largely absent from the MBS market, but we see signs of conforming loan retention picking up in 2016, which could lower MBS supply," they say.

Editor's picks
Mortgage movers: Tough capital constraints are weighing on the incentive of large incumbent lenders to maintain a strong presence in the UK RMBS market. This has paved the way for a variety of new lenders - including asset managers - to enter the sector, prompting a shift in its landscape...
Drifting out: As markets sell off and become increasingly volatile, European high-beta securitised paper has widened considerably. This has been driven by several factors - not least regulation - and has concerning implications for liquidity and the future health of the market...
Downgrade possible: Moody's has placed the subordinated notes of three marketplace lending securitisations on review for possible downgrade, less than a year after the deals priced. The move has sparked concerns about the rating process for and collateral performance of the asset class...
Stabilisation sought: Signs of stabilisation in the US CLO market are emerging, after a volatile start to the year that brought spread widening and a halt to new issuance. However, equity arbitrage remains challenging and risk retention requirements still appear to be casting a shadow over the sector...
Solar effect: BBOXX ceo and co-founder Mansoor Hamayun answers SCI's questions...
Brexit implications weighed: The UK will hold a referendum on 23 June to decide whether to stay within the EU. Uncertainty about a potential 'Brexit' is expected to cause technical weakness in UK securitisation markets in the meantime...

Deal news
• BNY Mellon Corporate Trustee Services and Citicorp Trustee Company have commenced proceedings in the English Commercial Court against Taberna Europe CDO I, Taberna Europe CDO II and the transactions' collateral manager Taberna European Capital Management.
• RE CDO Management has assigned its interest in the collateral management agreement for Sorin Real Estate CDO IV to Talmage. The issuer has also appointed Talmage as the successor advancing agent.
• Kroll Bond Rating Agency says it is monitoring the third largest loan in the US$830.7m JPMBB 2015-C27 CMBS, due to a potential change in use of the building. The loan - The Branson at Fifth - currently represents 8.8% of the aggregate transaction balance.
• Morgan Stanley CMBS strategists have identified eight US CMBS 2.0 loans totalling US$55m - all of which are secured by properties located in oil-boom regions - that turned delinquent this month. The largest of the newly delinquent loans is the US$17.9m Eagle Ford asset, securitised in COMM 2014-LC17.

Regulatory update
• The LSTA yesterday testified in front of the US House Committee on Financial Services' capital markets subcommittee to extol the virtues of a 'qualified CLO' (QCLO) proposal as an alternative to the currently agreed 5% retention requirement. The association has also continued legal proceedings against the US SEC and the US Fed to challenge the 5% requirement.
• ISDA has published a set of principles for achieving comparability determinations between US and EU trading platforms. The association believes that regulators should focus on broad outcomes and similarities rather than conduct granular, rule-by-rule comparisons of the two frameworks.

Deals added to the SCI New Issuance database last week:
ARI Fleet Lease Trust 2016-A; BlackRock European CLO I; Driver Japan Five; GM Financial Automobile Leasing Trust 2016-1; Honda Auto Receivables 2016-1 Owner Trust; JPMCC 2016-ATRM; MSC 2016-UBS9; Multi Lease AS; NewStar Commercial Loan Funding 2016-1; Oportun Funding II Series 2016-1; WFCM 2016-NXS5

Deals added to the SCI CMBS Loan Events database last week:
CD 2006-CD3; CGCMT 2006-C4; CMLT 2008-LS1; COMM 2013-CR10; COMM 2013-CR11; COMM 2013-CR12; COMM 2014-CR14; COMM 2014-CR15; COMM 2014-CR19; COMM 2014-LC15; COMM 2015-CR23; CSMC 2006-C3; CSMC 2007-C5; DECO 2006-E4; GSMS 2011-GC3; GSMS 2011-GC5; GSMS 2012-GC6; GSMS 2014-GC18; JPMBB 2015-C27; JPMCC 2005-LDP4; JPMCC 2006-CB16; JPMCC 2006-LDP7; JPMCC 2013-C10; LBUBS 2006-C1; Logistics 2015 UK; MESDAG CHAR; MLCFC 2006-3; MSC 2012-C4; TITN 2006-3; UBSBB 2013-C5; WBCMT 2005-C21; WFRBS 2011-C5; WFRBS 2014-LC14