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

Pipeline
Several deals joined the pipeline in the first week of December. The final count consisted of seven ABS, two ILS, three RMBS, one CMBS and one CLO.

The ABS were: US$380m California Republic Auto Receivables Trust 2015-4; US$265m CHAI 2015-PM3; CNY3bn Fuyuan 2015-2 Retail Auto Mortgage Loan Securitization Trust; €800m Noria 2015; US$600m SPS Servicer Advance Receivables Trust Series 2015-T2; US$399.9m SPS Servicer Advance Receivables Trust Series 2015-T3; and SPS Servicer Advance Receivables Trust Series 2015-VF1.

Queen Street XI and US$100m Vita Capital VI Series 2015-1 made up the ILS, while the RMBS were €900m IM Grupo Banco Popular MBS 3, US$231.181m Onslow Bay Mortgage Loan Trust 2015-4 and £1bn Trinity Square 2015-1. The CMBS was US$1bn WFCM 2015-P2 and the CLO was €2.94bn FT PYMES Santander 12.

Pricings
Even more deals printed as year-end came into view. While there were only two ABS, there was also an ILS as well as four RMBS, two CMBS and seven CLOs.

A$190m Liberty Series 2015-1 and US$359m Navient Private Education Loan Trust 2015-C accounted for the ABS, while the ILS was US$300m Kilimanjaro Re Series 2015-1. The RMBS were US$315.141m CSMLT 2015-3, US$474m Mill City Mortgage Loan Trust 2015-1, US$590m STACR 2015-HQA2 and US$757m Towd Point Mortgage Trust 2015-6.

The CMBS were US$1.09bn FREMF 2015-K721 and US$805m MSCI 2015-UBS8. Lastly, the CLOs were: US$500m Apidos XXII; US$300m Bean Creek CLO 2015-1; €716m Lanterna Finance 2015; US$610m Madison Park Funding XIX; US$506.5m Magnetite XVI; PLN1.475bn ROOF Poland Leasing 2014; and €430m Tymon Park CLO.

Markets
While US ABS December issuance has averaged US$4.1bn since 2011, Wells Fargo analysts expect the month will undershoot the average this year. "There are currently a few deals in the pipeline, however, they are either backed by non-benchmark collateral or sponsored by a non-benchmark issuer. In our opinion, pricing spreads are likely to remain wide given the current environment," they say. Secondary spreads were unchanged last week.

The European ABS and RMBS primary markets closed the week broadly tighter, with Trinity Square 2015-1 helping to drive UK non-conforming and BTL seniors 4bp-5bp tighter, according to JPMorgan analysts. "Along the southern fringe of Europe, the peripherals met better buyers translating into 3bp-5bp spread compression in Italian and Spanish seniors," they add.

Editor's picks
Recycling risk?: The European Commission's Capital Markets Union proposals for reviving Europe's securitisation market sparked the most debate among players in the capital relief space this year, according to a new SCI research report entitled 'Capital relief trades: the mechanics of recycling risk'. Under the framework for simple, transparent and standardised (STS) securitisation, synthetic balance sheet transactions remain ineligible for high quality status (SCI 30 September), yet capital relief trades can benefit the real economy...
Growing trade: A number of UK government legislative initiatives are expected to help breathe life into small businesses. This, in turn, could help deepen interest in trade receivables securitisation as a useful tool for facilitating working capital...
Euro secondary picking up: Activity in the European securitisation secondary market is starting to pick up. "[Tuesday] was very quiet again, with not a lot of flows or BWICs," says one trader. "However, it appears to be picking up and the BWIC calendar is building for the rest of the week, though involving a lot of off-the-run securities."
Proof of concept: Representatives from Reed Smith and StormHarbour Securities recently provided an introduction to capital relief trades, focusing on regulatory and structuring considerations, during a live webinar hosted by SCI (view the webinar here). This Q&A article highlights the main talking points from the session...

Deal news
• An extraordinary resolution has been passed by St Paul's CLO III noteholders that amends the investment management agreement to comply with the Volcker Rule. Under the amendments, noteholders have the option to hold notes with different voting rights in respect of resolutions to remove or replace the CLO manager.
• Freddie Mac has released a 2016 STACR issuance calendar. The move coincides with the pricing of STACR 2015-HQA2, its eighth and final STACR transaction this year.
• Online lender loanDepot has closed a US$150m securitisation of unsecured personal loans. It was structured and sold by Jefferies.
• Shanghai Provident Fund Management Centre is set to issue an ABS backed by housing fund loans on China's interbank bond market, according to Shanghai Clearing House. The CNY6.96bn (US$1.09bn) deal is believed to be the first of its kind and will launch on 4 December.

Regulatory update
• A class action lawsuit was filed last week that accuses 10 banks and two trading platforms of colluding to halt competition from SEFs in the interest rate derivatives (IRDs) market. The Public School Teachers' Pension and Retirement Fund of Chicago brought forward the suit, having purchased IRDs from the defendants.
• The ECB has extended its purchases under the ABSPP by six months to end-March 2017 and says the programme will run beyond this date if necessary, until there is a "sustained adjustment" in inflation. The bank will also begin reinvesting principal payments on the securities purchased under the ABSPP as they mature, for "as long as necessary", in order to "contribute to favourable liquidity conditions".
• ESMA has published its final report on guidelines on complex debt instruments and structured deposits in MiFID 2. The guidelines are intended for the assessment of securitised debt and money market instruments incorporating a structure which makes it difficult for the client to understand the risk involved.
• The European Council appears set to approve the CMU securitisation package. The Presidency of the Council, Luxembourg, reported yesterday that a special working group has discussed the proposals in six meetings, after which different compromise proposals were prepared. There seems to have been no further reaction to the latest compromise texts, however.
• The Australian Prudential Regulation Authority's revised discussion paper on its prudential securitisation framework (APS120) is now in a form that makes future RMBS and ABS master trust issuance from Australia a distinct possibility, Fitch suggests. The discussion paper - a revision of the proposal issued in 2014 - contemplates allowing early amortisation event triggers, date-based call options and the seller interest to vary in size during the revolving period (SCI 26 November).
• The Committee on Payments and Market Infrastructures (CPMI) and IOSCO have completed a review of jurisdictions' compliance with the principles for financial market infrastructures (PFMI). They find an overall high level of observance with the PFMI responsibilities, although there are concerns regarding trade repositories.

Deals added to the SCI New Issuance database last week:
5180-2 CLO; A-Best 13; Ares XXXVIII CLO; Avery Point VII CLO; Florence SPV; FONCAIXA PYMES 7; FREMF 2015-KF12; Gracechurch Card Programme Funding 2015-1; Gracechurch Card Programme Funding 2015-2; Grecale RMBS 2015; Jamestown CLO VIII; JG Wentworth XXXVI series 2015-3; Lanterna Finance; NRZ Advance Receivables Trust 2015-ON1 series 2015-T3; NRZ Advance Receivables Trust 2015-ON1 series 2015-T4; ProFamily Securitisation; Residential Reinsurance 2015-II; South Carolina Student Loan Corp 2015-A; STACR 2015-HQA2; Tymon Park CLO

Deals added to the SCI CMBS Loan Events database last week:
BSCMS 2006-PW12; CSMC 2007-C4; CWCI 2007-C3; ECLIP 2007-2; GSMS 2007-GG10; MSC 2006-IQ12; MSC 2007-T25; PCMT 2003-PWR1; TITN 2007-CT1; WFCM 2014-LC18; WFRBS 2012-C8