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

Pricings
While there were no additions to the pipeline last week, new issuance was dominated by CLOs, with seven deals pricing. Three ABS, an ILS and a CMBS also printed.

The CLOs comprised US$512.5m Benefit Street Partners CLO VII, US$589.58m Carlyle Global Market Strategies CLO 2015-3, US$358.3m Hildene CLO IV, US$384.65m Ivy Hill Middle Market Credit Fund X, US$510.5m Jamestown CLO VII, US$617.5m LCM XIX and US$511.6m OZLM XIII. The ABS consisted of US$158.25m Cazenovia Creek Funding I series 2015-1, US$136.77m GLS Auto Receivables Trust 2015-1 and US$111m Sunrun Callisto Issuer 2015-1. Finally, the US$50m Panda Re and US$1.46bn COMM 2015-PC1 rounded the issuance out.

Editor's picks
QS recommendations weighed: The EBA has adequately addressed most of the valid concerns raised by parties interested in the prudentially sound revival of the European securitisation market, according to Bank of America Merrill Lynch research analysts. In its qualifying securitisation recommendations, the Authority calls for the risk weight floor for senior tranches to be lowered from 15% to 10% under the IRB and standardised approaches (SCI 26 June)...
Below-appraisal bids win: Over US$500m in allocated loan balance from 34 properties securing 13 US CMBS was disposed of last week via Auction.com. The proceeds are anticipated to flow through to the affected trusts in the August or September remittance, likely resulting in large liquidations...

Deal news
• Fitch has placed 57 tranches from 23 US FFELP student loan ABS on rating watch negative, affecting approximately US$8bn of securities. The action is based on analysis conducted by the agency that identified trusts with tranches that have heightened risk of missing legal final maturity dates based on principal repayment to date.
• The proposed sale of one aircraft engine from the Blade Engine Securitization transaction is unlikely to impact the ratings on the ABS. The issuer intends to sell a CF6-80C2A5 out of the trust to a third party.
• Fitch has downgraded 18 tranches across seven Greek RMBS, one ABS tranche and four covered bond programmes issued by Alpha Bank, National Bank of Greece and Piraeus Bank. The move follows the downgrade of Greece's IDR to double-C and the revision of the country ceiling to triple-C, as well as the downgrade of Greek banks.
• The borrower - an affiliate of Macerich - behind the single-borrower COMM 2013-GAM CMBS has entered into a payment in lieu of taxes (PILOT) arrangement with the Town of Hempstead Industrial Development Agency (IDA). Under the PILOT programme, the borrower entered into a lease agreement with the IDA pursuant to which the borrower leased 71.9 acres of land and the improvements thereon to the IDA and the IDA sub-leased the land and improvements back to the borrower.
• Dock Street Capital Management has been put forward as successor collateral manager for Crystal Cove CDO, following the controlling class noteholder's removal of Vertical Capital without cause (SCI 25 June). Dock Street has also replaced Vanderbilt Capital Advisors as collateral manager for Bristol CDO I.
• Fitch has taken various rating actions on 791 classes from 47 US prime jumbo RMBS that were issued after 2010. The agency affirmed the ratings for 93% of the classes reviewed and upgraded the ratings for 7%.
• S&P has placed on credit watch negative its ratings on 90 Granite RMBS tranches, correcting an error made in February when the agency took various rating actions on a number of UK, German, Austrian and Swiss banks, following its review of government support. At that time, it placed 377 European structured finance ratings on credit watch negative, including some but not all affected Granite tranches.

Regulatory update
• The Canadian government last month proposed regulations restricting the use of insured mortgages as collateral in non-CMHC-sponsored securitisation vehicles and requiring mortgages that are portfolio-insured after the effective date to be funded through CMHC securitisation programmes. The new regulations are expected to come into effect on 1 January 2016 and provide a five-year transition period for insured mortgages funded through affected mediums, such as ABCP.
• The US CFTC has voted unanimously to propose a rule that would apply margin requirements for uncleared swaps in the context of cross-border transactions. The proposed rule would apply to Commission-registered swap dealers and major swap participants that are not subject to the margin requirements of other prudential regulators.

Deals added to the SCI New Issuance database last week:
Atlantes SME No. 5; Benefit Street Partners CLO VII; Carlyle Global Market Strategies CLO 2015-3; Cazenovia Creek Funding I series 2015-1; CGCMT 2015-GC31; CIFC Funding 2015-III; FT RMBS Santander 4; Glacier Credit Card Trust series 2015-1; Great Wolf Trust 2015-WOLF; Harvest CLO XII; Hildene CLO IV; Invitation Homes 2015-SFR3 Trust; Ivy Hill Middle Market Credit Fund X; Jamestown CLO VII; LCM XIX; MBARC Credit Canada 2015-A; MSCI 2015-MS1; OZLM XIII; Sound Point CLO IX; Sunrise series 2015-2; Sunrun Callisto Issuer 2015-1; Voya CLO 2015-2.

Deals added to the SCI CMBS Loan Events database last week:
BSCMS 2007-PWR15; CD 2006-CD2; CD 2006-CD3 & GSMS 2006-GG8; CD 2007-CD4; CGCMT 2007-C6; CGCMT 2007-C6; CGCMT 2012-GC8 & GSMS 2012-GCJ9; COMM 2007-C9; COMM 2013-LC6 & COMM 2013-CR6; DECO 2006-E4; DECO 2007-E5; DECO 2012-MHILL; EURO 25; JPMBB 2015-C26; LBCMT 2007-C3; LBUBS 2004-C1; LBUBS 2006-C4; MESDG DEL; MLCFC 2006-3; MLCFC 2007-5; MLMT 2002-MW1; TAURS 2006-3; TAURS 2007-1; TAURS 2007-1; TITN 2007-2; TMAN 7; WFRBS 2012-C10 & WFRBS 2013-C11.