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

Pipeline
The number of deals joining the pipeline picked up again last week, with CMBS leading the way. There were four ABS, two RMBS, seven CMBS and three CLOs announced.

US$1bn BMW Vehicle Lease Trust 2015-2, US$1.63bn DPABS 2015-1, US$833.33m Nissan Auto Receivables Owner Trust 2015-C and US$800m World Omni Auto Receivables Trust 2015-B accounted for the ABS. The RMBS were US$334.76m Agate Bay Mortgage Trust 2015-7 and US$450m WinWater Mortgage Loan Trust 2015-5.

The CMBS were: US$650m BBCMS Trust 2015-STP; US$840m FREMF 2015-KS03; US$300m GSCCRE 2015-HULA; US$377.5m JPMCC 2015-UES; US$1.2bn MSBAM 2015-C25; US$248.4m RFT 2015-FL1; and US$500m SBA Tower Trust 2015-1. The CLOs were US$800m Atrium XII, US$400m Eaton Vance CLO 2015-1 and US$400m ICG US CLO 2015-2.

Pricings
As with the week before, last week's prints were fairly evenly distributed. In total there were five ABS, three RMBS, three CMBS and four CLOs.

The ABS were: US$220m American Credit Acceptance Receivables Trust 2015-3; C$460m Canadian Credit Card Trust II Series 2015-2; US$675m Discover Card Execution Note Trust 2015-3; US$636m Hertz Vehicle Financing II Series 2015-2; and US$530m Hertz Vehicle Financing II Series 2015-3. The RMBS were €585.5m Hypenn RMBS IV, A$750m IDOL Trust 2015-1 and US$1.97bn JPMMA L Street Securities Series 2015-CH1.

US$477m Colony Mortgage Capital Series 2015-FL3, US$1.1bn COMM 2015-CCRE26 and US$925m JPMCC 2015-SGP constituted the CMBS. The CLOs, meanwhile, were US$700m Ares XXXVII CLO, €517m Avoca 15, US$425m Fortress Credit BSL III and US$820m Octagon Investment Partners 25.

Markets
Spreads for nearly all US ABS sectors widened last week, with three-year triple-A floating-rate credit card ABS 4bp wider and both prime and subprime auto loan ABS 3bp wider. "FFELP and private student loan ABS generally moved 5bp-15bp wider, with the exception of 10-and 13-year FFELP ABS spreads, which tightened 5bp and 10bp, respectively," comment Bank of America Merrill Lynch analysts.

US CMBS spreads widened throughout the week following the weak jobs report. "The CMBS market underperformed this week, with spreads widening on Monday and lagging a broader mid-week market recovery. Investors seemed to be particularly concerned about the wide pricing of the latest new issue deal on Monday," say Barclays analysts.

European ABS and RMBS spreads were broadly unchanged, although Volkswagen's trials and tribulations (SCI passim) have affected auto ABS spreads. "Generic two-year senior auto ABS bonds are now trading at one-month Euribor plus 42bp, 8bp wider versus the previous week," say JPMorgan analysts. "Five-year Dutch RMBS spreads gave up 3bp on average as the asset class saw a new issuance this week."

Editor's picks
Capital clarity: The release of the European Commission's Capital Market Union action plan has been hailed for reducing capital requirements and outlining a succinct and centralised definition for simple, transparent and standardised securitisation. However, key concerns remain over Solvency 2 capital recalibrations...
Derivatives development: Efforts to create US marketplace loan derivatives are gaining traction, as investors seek hedges for their long positions and increased secondary market liquidity. According to a new SCI research report entitled 'Marketplace lending: disruptors and the new credit paradigm', the development of marketplace lending securitisations and structured products goes hand-in-hand...
New index rules roll: The Markit CDX High Yield index rolled from Series 24 to 25 on 28 September, marking the implementation of new composition rules (SCI 20 August). The updated rules aim to bridge the gap in sector composition between the cash and synthetic indices, which has partly driven the performance divergence in the two markets since the summer of 2014...
CMBS bulk sale planned: CWCapital Asset Management is marketing US$2.12bn of distressed CRE loans and properties, most of which are from the company's specially serviced CMBS portfolio. There are 15 US CMBS transactions affected...
US RMBS cautious: Caution is prevailing in the US non-agency RMBS secondary market. It's been a very quiet week, with only about US$800m in for the bid in total so far, which is highly surprising for quarter-end...

Deal news
• Concerns over the US$115m Prudential Plaza loan are believed to be behind COMM 2015-CCRE26 pricing this week at a significant concession across the capital structure. Morgan Stanley CMBS strategists suggest that underwriting of the loan, the largest in the deal, provides little margin for error and that it may be a future modification candidate under certain scenarios.
• A US$5.3m loan securitised in FREMF 2011-K12 has been liquidated at a loss severity of 55%. It is the first Freddie K loan to be liquidated at a significant loss.
• September remits show that three CMBS 2.0 loans totalling US$71m sponsored by the same borrower - Colony Hills - have been transferred to special servicing. The affected loans are the US$25.26m Colony Hills - Sandpiper and Cabana Apartments (securitised in COMM 2013-CR9), US$23.35m Colony Hills Portfolio Loans - Yester Oaks Apartments (JPMBB 2013-C12) and US$22.37m Colony Hills Portfolio Loans - Windsor Place and Pathways Apartments (JPMBB 2013-C12).
• AES Distributed Energy has launched its inaugural securitisation, making it the first solar ABS deal to be backed by a utility company. Aurora Master Funding 2015-1 is secured by 15 limited purpose solar power distributed energy project companies, comprising 12 commercial, industrial, municipal and small utility companies (CIMU) and three that are residential.
• Fannie Mae has completed its latest credit risk sharing transaction, CIRT 2015-3. For the second time since the credit insurance risk transfer (CIRT) programme's inception in 2014, an international reinsurer participated in the RMBS. Coverage is provided based upon actual losses for a term of 10 years.
• Hatfield Philips International has negotiated the successful resolution of the Bridge loan, securitised in the Windermere X CMBS, via a highly targeted marketing process for the underlying properties. The gross disposal proceeds from the sale of the portfolio are in excess of €330m - a price that is greater than the latest public valuation - and net proceeds are expected to fully repay the amount of principal and interest outstanding on the senior loan and partially repay the amount outstanding on the junior loan.

Regulatory update
• The CFPB, US Department of Education and Department of the Treasury have issued a joint statement on student loan servicing principles to provide a framework to improve servicing practices, promote borrower success and minimise defaults. The CFPB has also released its student loan servicing analysis of public input and recommendations for reform, which has direct implications for FFELP ABS through higher potential adoption rates in income-based repayment plans.
• The Structured Finance Industry Group (SFIG) yesterday (30 September) released its response to the US Treasury's recent Request For Information on the marketplace lending industry. The response covers securitisations of marketplace loans, regulations that are currently in place and what challenges the industry faces in the near future.
• The European Commission has launched its Capital Markets Union action plan to build a single market among EU member states. The proposal provides specific criteria to differentiate simple, transparent and standardised (STS) securitisation products, while also making amendments to capital requirements regulations.
• ESMA has published its final technical standards on MiFID 2, revealing how the legislation will apply in practice to market participants, market infrastructures and national supervisors. The standards are broken down into how they will help increase transparency, safety and investor protection.
• ESMA has published two sets of technical advice and a report on the regulation of credit rating agencies in the EU. These papers consider measures to provide stronger controls around credit ratings for structured finance instruments and to reduce reliance on credit ratings.
• Last week, the US SEC voted to propose tighter liquidity rules for open-end funds, including mutual funds and ETFs. While the rules would lead to several changes, the most significant one for CLO investors could be regarding liquidity buckets.
• The US CFTC has settled charges against TeraExchange over its failure to enforce prohibition on wash trading and prearranged trading on its SEF platform. Tera allegedly offered for trading on its SEF a non-deliverable forward contract based on the relative value of the US dollar and Bitcoin, without indicating that it was a wash sale.
• An appeal by the FDIC of the June ruling in the WaMu rep and warranty trial (SCI 4 June) was approved last week. Proposed schedule changes are due to be submitted by both parties this week, which may shed more light on the timing of the subsequent process.

Deals added to the SCI New Issuance database last week:
Apidos CLO XXII; California Republic Auto Receivables Trust 2015-3; DRB Prime Student Loan Trust 2015-B; Drive Auto Receivables Trust 2015-D; OneMain Financial Issuance Trust 2015-3; Oscar US 2015-2; Synchrony Credit Card Master Note Trust series 2015-3; Synchrony Credit Card Master Note Trust series 2015-4; THL Credit Wind River 2015-2

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; BACM 2006-3; BSCMS 2005-PWR9; CD 2007-CD4; CFCRE 2011-C2; CGCMT 2013-GC17; COMM 2013-CR9; COMM 2013-LC6; COMM 2014-UBS2; COMM 2014-UBS3; COMM 2014-UBS6; CSFB 2005-C5; CWCI 2006-C1; CWCI 2007-C3; DBCCRE 2014-ARCP; DBUBS 2011-LC2A; FREMF 2011-K12; GCCFC 2005-GG3; GCCFC 2007-GG9; GSMS 2011-GC3; GSMS 2011-GC5; GSMS 2012-GCJ9; JPMBB 2013-C12; JPMBB 2013-C15 & JPMCC 2013-C16; JPMCC 2003-C1; JPMCC 2006-CB17; JPMCC 2006-LDP9; MLMT 2006-C1; MLMT 2007-C1 & BSCMS 2007-PW17; MSBAM 2013-C11; MSBAM 2015-C21; MSC 2005-HQ5; MSC 2007-HQ11; TAURS 2007-1; TMAN 6; TMAN 7; UBSBB 2012-C4; WBCMT 2007-C31; WFCM 2015-LC20; WFCM 2015-NXS2; WINDM X