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

Pipeline
A further 11 deals joined the pipeline last week. This was split into three ABS, three RMBS, four CMBS and a CLO.

US$200m Avant Loans Funding Trust 2016-C, US$178.15m Foundation Finance Trust 2016-1 and US$785m Hyundai Auto Lease Securitization Trust 2016-C accounted for the ABS. The RMBS were US$380.7m Agate Bay Mortgage Trust 2016-3, £2.25bn Hawksmoor Mortgages 2016-1 and Mortgage Agent Absolut 4.

US$512.5m BBCMS 2016-ETC, US$580m CD 2016-CD1 Mortgage Trust, US$181m CSMC 2016-BDWN and US$600m Hudson Yards 2016-10HY constituted the CMBS. The CLO was US$345.8m Canyon CLO 2016-2.

Pricings
There were even more prints last week than there had been in the week before. A total of 11 ABS, four RMBS, three CMBS and two CLOs priced.

The ABS were: US$1.3bn AmeriCredit Automobile Receivables Trust 2016-3; €310m Aurorus 2016; US$1.35bn Chase Issuance Trust 2016-5; US$440m Flagship Credit Auto Trust 2016-3; €1.3bn Golden Bar 2016-1; US$250m MVW Owner Trust 2016-1; US$1.25bn Nissan Auto Receivables 2016-C Owner Trust; US$265m Ocwen Master Advance Receivables Trust Series 2016-T1; US$235m Ocwen Master Advance Receivables Trust Series 2016-T2; US$864.7m Toyota Auto Receivables 2016-C Owner Trust; and US$497.3m Wheels SPV 2 Series 2016-1.

US$1.182bn CAS 2016-C05, A$750m RESIMAC Bastille Series 2016-1NC, US$348.5m Sequoia Mortgage Trust 2016-2 and US$975m Towd Point Mortgage Trust 2016-3 were the RMBS, while the CMBS were US$1.2bn FREMF 2016-K56, US$1.137bn FREMF 2016-KF19 and US$870.6m WFCM 2016-BNK1. The CLOs were US$411.5m Babson CLO 2016-II, €1.75bn IM Sabadell PYME 10 and €648m Sinepia,

Markets
Overwhelming demand for US ABS paper allowed primary issuers to tighten spreads and yet remain oversubscribed last week, say JPMorgan analysts. They add: "We have seen no signs of the typical supply pressure pattern, where weeks of heavy supply weaken spreads. More volume this summer has only pressured spreads narrower as net supply remains down across securitised products."

The US CLO secondary market also maintained strong activity levels last week, as SCI reported on Thursday (SCI 4 August). "The market is very strong, with this continuing to centre on mezzanine where a real curve is developing," says one trader. "Sellers saw the strong execution in BWICs early in the summer and have found little reason to stop testing liquidity."

Editor's picks
NPL renaissance: Banca Monte dei Paschi di Siena (MPS) announced last week that it plans to offload its entire portfolio of sofferenze (bad debt) loans into a securitisation vehicle. The move is a significant landmark in the recovery of the Italian non-performing loan ABS market, which the national government has worked hard to revive...
COLT confidence: The issuance of Lone Star Fund's COLT 2016-1 in June marked a turning point for the US non-prime RMBS space, as the deal was the first of its kind to be rated post-financial crisis (SCI 10 June). The sector still faces a number of hurdles, but the transaction has sparked optimism that more could soon follow...
MBS hedge funds rebounding: Preqin's 2Q16 Hedge Fund Survey shows that hedge funds in the credit strategy category experienced four consecutive quarters of outflows since the beginning of 2015, with about US$17bn of outflows in 2016 alone, mostly concentrated in Q1. A Wells Fargo analysis of the data suggests that amid this outflow, ABS-focused hedge funds saw declines in AUM in 4Q15 (by 6%) and 1Q16 (17%). In contrast, while MBS-focused fund AUM declined by 15% in 4Q15, it increased by 20% in 1Q16...

Deal news
• Initial price thoughts have been released for the first post-Brexit UK non-conforming RMBS, Hawksmoor Mortgages 2016-1. At an expected £2.25bn, the deal is also noteworthy for its size, especially given the August print.
• Babson Capital has brought its latest US CLO to the market, with the senior tranche pricing at the tightest spreads seen since September last year. Babson CLO 2016-II's class A notes were registered at 145bp last Friday, coinciding with the ongoing rally in the market.
• The first CMBS to include a retained interest intended to meet the definition of an eligible vertical interest under US risk retention rules has hit the pipeline. The US$870.6m WFCM 2016-BNK1 will be issued with sponsors Wells Fargo, Bank of America Merrill Lynch and Morgan Stanley retaining a combined 5% vertical slice in the deal.
• Bain Capital has acquired three Spanish NPL portfolios for €1.15bn, extending the firm's holdings to six Spanish portfolios. The purchases include a €415m pool from Banco Sabadell, which comprises defaulted first-lien bilateral Spanish loans to real estate developers, primarily secured on residential and commercial real estate assets.

Regulatory update
• The Federal Housing Administration (FHA) and Department of Veterans Affairs (VA) are to begin to insure mortgages on homes encumbered by PACE obligations that meet certain requirements. Moody's believes the FHA's acceptance of PACE is credit positive for PACE ABS and will have mixed effects on RMBS.