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

Pipeline
The pace of deals joining the pipeline slowed last week. At the final count there were 11 additions.

The five ABS were: US$1bn AmeriCredit Automobile Receivables Trust 2015-3; US$1bn CarMax Auto Owner Trust 2015-2; US$255m MVW Owner Trust 2015-1; US$100m NewStar Commercial Lease Funding 2015-1; and US$123.5m SolarCity LMC Series IV Series 2015-1.

The five CMBS were: US$1.035bn 1211 Avenue of the Americas Trust 2015-1211; US$660m BBCCRE Trust 2015-GTP; US$1.1bn CGCMT 2015-P1; US$1.4bn CSAIL 2015-C3; and US$235m CSMC 2015-SAND.

The sole CLO was US$510m ACAS CLO 2015-2.

Pricings
There were more deals which priced. At the final count there were five ABS, three RMBS, four CMBS and five CLO prints.

The ABS were: €800m Bavarian Sky Compartment German Auto Loans 3; US$376.7m CHAI 2015-PM1; US$450m Flagship Credit Auto Trust 2015-2; US$160m HERO Funding Series 2015-2; and US$417.6m SoFi Professional Loan Program 2015-C.

€1.2bn CFHL-2 2015, US$489.64m JPMMT 2015-5 and US$814.05m Towd Point Mortgage Trust 2015-3 made up the RMBS. The CMBS were US$275m BAMLL 2015-HAUL, US$1.4bn COMM 2015-CCRE24, €316m DECO 2015-Charlemagne and US$740m WFCM 2015-C30.

Lastly, the CLOs were: €362m Adagio IV CLO; US$814m Ares XXXIV CLO; €416m Babson Euro CLO 2015-1; €415m Dryden 39 Euro CLO 2015; and US$558m Golub Capital Partners CLO 25.

Markets
US RMBS CRT spread volatility was low last week. Bank of America Merrill Lynch analysts report that M1 and M2 spreads were relatively unchanged, while non-rated and double-B tranches tightened 5bp-15bp. "BWIC volumes in the legacy non-agency space dropped to US$1.3bn," they say, with pricing levels relatively unchanged.

The US CMBS market widened on heavy issuance and Barclays analysts warn that there could be further underwriting slippage unless spreads revert to tighter levels. "In secondary trading of recent issues, LCF triple-A bonds were 1bp wider, to swaps plus 101bp. More credit-leveraged, single-A rated mezzanine tranches were 1bp wider, to swaps plus 243bp, and triple-B rated mezzanine tranches widened 1bp, to swaps plus389bp," they add.

In the US CLO space, Citi analysts note that 2.0 double-A, single-A and triple-B minus classes are wider by 20bp, 15bp and 23bp, respectively, than mid-June. "The CLO 2.0 triple-B minus spread had recently been 35bp wider than its mid-June level, but has tightened 12bp over the past two weeks," they say.

The European ABS and RMBS markets tightened last week as comparatively heavy BWIC supply was met with lower bids. JPMorgan analysts say: "On the back of this reduced liquidity and wider prices, month-end marks should not be expected to be pretty, likely exacerbating the 'selling into a soggy market' phenomenon for the next few weeks. It looks increasingly hard to have an optimistic outlook for spread progression in the near-term."

Editor's picks
RMBS exit: An estimated €99bn of assets remains earmarked for sale by European bad banks. RMBS is providing an exit for many legacy mortgage portfolio acquisitions, but whole loan funding is expected to become increasingly common in the future...
IDR data points to payment: Navient has released historical income-driven repayment (IDR) data for some of its FFELP student loan ABS pools currently on review for downgrade due to heightened maturity risk. The data provides much-needed transparency into the performance of the pools affected by Moody's and Fitch's ratings review...
Volcker deadline drives BWICs: The first half of 2015 saw US$18.5bn of US CLO bonds on BWIC, US$11bn of which occurred in Q2. A record US$4.7bn was out for bid during June alone, ahead of the Volcker Rule deadline...
Auto issuers cleaning up: US auto ABS issuers are calling more deals on time, with 18 out of 22 issuers demonstrating a perfect call record between December 2012 and May 2015. This performance is positive for investors and supports confidence, and is expected to continue to improve...
Hiking cycle history considered: As the likely Fed rate hike date draws nearer, a new analysis examines the performance of securitised products during previous hiking periods. The effect on securitised product credit sectors has previously generally been benign...

Deal news
• Freddie Mac has priced its inaugural Freddie Mac Whole Loan Security, a cash offering of approximately US$300m of actual loss RMBS securities. The transaction follows the GSE's recent STACR and ACIS offerings (SCI passim) in its continued attempts to sell a portion of its credit risk.
• SolarCity is in the market with its fourth residential distributed generation solar ABS. The US$123.5m SolarCity LMC Series IV Series 2015-1 is the firm's inaugural securitisation structured as a tax partnership.
• SoFi has priced its US$417.6m ABS offering of refinanced student loans, the first marketplace lending transaction to have its senior notes rated triple-A by a rating agency. DBRS assigned the top rating for the class A1 and A2 notes in SoFi 2015-C, while Moody's assigned an Aa2 rating to the senior notes, which equalled US$387.3m.
• Sound Harbor Partners is seeking to create consistency across its CLO stable by replacing the key managers on the Landmark transactions it acquired from Aladdin Capital (SCI 16 October 2012). The firm plans to implement what it describes as a two-step restructuring that would avoid a key man event. Specifically, notices have been issued in connection with Landmark VIII CLO and Landmark IX CDO.
• A notice has been issued for Carlyle Global Market Strategies Euro CLO 2013-1, which - if passed - would trigger the first repricing of a European CLO 2.0 deal. CELF Advisors is seeking consent from the sole investor to reduce the class A coupon margin from 130bp to 115bp from the 17 August IPD and to eliminate their right to remove and replace the collateral manager, thereby making the transaction Volcker-compliant.
• S&P has taken a number of credit rating actions in relation to the Stichting PROFILE Securitisation I project finance CDO. The move follows the agency's review of the transaction's performance and the withdrawal of its recovery estimates for investment grade project finance loans for which it provides credit estimates.

Regulatory update
• IOSCO has published a review of the implementation progress in regulation of derivative market intermediaries. The report sets out the findings on the progress that jurisdictions have made in adopting legislation, regulation and policies in relation to derivatives market intermediaries in the six reform areas addressed in IOSCO's 2012 report (SCI 6 June 2012).
• Fitch believes that the EBA-proposed one-year maturity cap for underlying exposures in ABCP securitisations (SCI 29 June) will prevent existing European ABCP programmes from achieving qualifying securitisation eligiblity and the associated lower capital charges. As at May, the agency's data reveals that 54% of funded assets have medium- and longer-term maturities and would leave the programmes ineligible.

Deals added to the SCI New Issuance database last week:
Access Funding 2015-1; Adagio IV CLO; Auburn Securities 9; Babson CLO 2015-2; Babson Euro CLO 2015-1; BBVA Consumo 7; Cars Alliance Auto Loans Italy 2015; CFHL-2 2015; Chase Issuance Trust 2015-7; COMM 2015-CCRE24; CPUK Finance; Cumberland Park CLO; Diamond Head Aviation 2015; Diamond Resorts Owner Trust 2015-1; Driven Brands Funding Series 2015-1; Dryden 39 Euro CLO 2015; E-Carat Compartment 8; Enterprise Fleet Financing Series 2015-2; Geldilux TS 2015; Golden Credit Card Trust Series 2015-3; Great Lakes CLO 2015-1; Halcyon Loan Advisors Funding 2015-3; HERO Funding Trust 2015-2; IM EVO RMBS 1; JPMBB 2015-C30; Lanark Master Issuer series 2015-1; Lusso; NextGear Floorplan Master Owner Trust Series 2015-1; OZLM Funding (refinancing); Quarzo series 2015; SMB Private Education Loan Trust 2015-B; SMHL Series Securitisation Fund 2015-1; USAA Auto Owner Trust 2015-1; Wendelstein 2015-1; WFCM 2015-C30; World Omni Automobile Lease Securitization Trust 2015-A

Deals added to the SCI CMBS Loan Events database last week:
CD 2007-CD4; CGCCRE 2014-FL2; DECO 2006-C3; DECO 2007-E5; DECO 2007-E6; EPICP DRUM; GCCFC 2006-GG7; JPMCC 2005-LDP5; JPMCC 2013-C10; MSC 2011-C3; TAURS 2007-1; TITN 2006-3; WTOW 2007-1