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

Pipeline
A variety of deals joined the pipeline last week, with proposed issuance from the US, UK, Europe, Australia and China. A total of two ABS, four RMBS, two CMBS and three CLOs was recorded.

CNY2.99bn Fuyuan 2015-1 and US$134.6m Kentucky Higher Education Student Loan Corp 2015-1 accounted for the ABS. The RMBS were US$405.27m CSMC Trust 2015-1, A$500m Series 2015-1 Harvey Trust, £100m Silverstone 2015-1 and US$450m USROF 2015-1.

US$285m BAMLL 2015-ASHF and US$1.8bn GAHR Commercial Mortgage Trust 2015-NRF constituted the CMBS. Meanwhile, the CLOs were US$600m Ares XXXIII CLO, €243m Dartry Park CLO and US$608m Magnetite XII.

Pricings
A significant number of deals priced last week. There were seven ABS prints, as well as two ILS, five RMBS, six CMBS and four CLOs.

The ABS were: US$175m Ally Master Owner Trust Series 2015-1; US$450m Ally Master Owner Trust Series 2015-2; US$1.1bn BA Credit Card Trust 2015-1; US$850m Chesapeake Funding Series 2015-1; US$326m Consumer Credit Origination Loan Trust 2015-1; US$836.6m Ford Credit Floorplan Master Owner Trust A Series 2015-1; and US$522.8m Ford Credit Floorplan Master Owner Trust A Series 2015-2.

US$150m Atlas IX Capital Series 2015-1 and US$300m Galileo Re Series 2015-1 were the ILS. The RMBS were: US$279.49m Agate Bay Mortgage Trust 2015-1; US$940m JP Morgan Mortgage Trust 2015-1; A$2bn PUMA 2015-1; US$338.8m Sequoia Mortgage Trust 2015-1; and US$283.88m WinWater Mortgage Loan Trust 2015-1.

The CMBS were: US$421.3m BWAY 2015-1740 Mortgage Trust; US$1.2bn CGCMT 2015-GC27; US$1.125bn COMM 2015-3BP; US$635.3m JPMBB 2015-C27; US$346m Resource Capital Corp 2015-CRE3; and US$1.25bn SFAVE 2015-5AVE.

Lastly, the CLOs were €500m Carlyle Global Market Strategies Euro CLO 2015-1, US$307m Clear Creek CLO 2015-1, US$411.1m MidOcean Credit CLO IV and US$414.4m Vibrant CLO III.

Markets
US ABS spreads were mostly tighter last week, with senior auto and credit card ABS spreads compressing 1bp week over week, according to Barclays Capital analysts. "ABS trading volumes rebounded this week, after a winter storm depressed trading volumes last week. An average of US$1.7bn of ABS traded during the first four days of the week, compared with US$1.1bn during the corresponding period [in the previous week]", they note.

Demand for fixed rate bonds drove pricing tighter in the US non-agency RMBS market, where Bank of America Merrill Lynch analysts note there was a stronger tone last week. "Credit risk transfer was tighter, while SFR was mostly unchanged. Through Thursday, US$696m of investment grade bonds and US$6.7bn of non-investment grade bonds traded," they add.

The pipeline for International ABS and RMBS deals is growing, with RMBS from the UK and Australia and ABS from the UK and China. "The growing primary market pipeline and the newsflow out of Greece distracted investors," say JPMorgan analysts. As a consequence, spreads closed the week unchanged.

Deal news
• The recent landmark Titan Europe 2006-3 ruling affirmed that an issuer can have a legal basis for a negligence claim against a property valuer. The decision may prompt further cases to come forward and encourage a fresh set of standards for CMBS 2.0 deals.
• Auction.com and RealCapitalMarkets.com data indicates that 45 properties backing US$417m distressed US CMBS loans are up for auction in February and March. Barclays Capital CMBS analysts note that some of the loans, primarily securitised in GCCFC 2007-GG9, were previously out for bid in the US$250m year-end auctions and appear to be relisted.
• Rabobank International has resigned from its role as collateral manager for Vermeer Funding II and designated the replacement collateral manager as Dock Street Capital Management (DSCM). Fitch notes that the terms of the amended and restated collateral management agreement remain almost identical to the original collateral management agreement, with minor differences that are not material to the ratings of the transaction.

Regulatory update
• The US Department of Justice and 19 states and the District of Columbia have entered into a US$1.375bn settlement agreement with S&P along with its parent McGraw Hill Financial. The agreement resolves allegations that S&P had engaged in a scheme to defraud investors in RMBS and CDOs.
• The European Commission has published a report that recommends granting pension funds a two-year exemption from central clearing requirements for their OTC derivative transactions. The report explains that central counterparties need this time to find solutions for pension funds and encourages CCPs to continue working on finding technical solutions on the matter.
• ESMA has released a call for evidence as part of the development of technical advice for the European Commission on the functioning of the credit rating industry and the evolution of the markets for structured finance instruments, as required by the regulation on credit rating agencies (CRAs). The authority is seeking evidence about how the regulation is achieving the objectives of stimulating competition between CRAs, improving the choice of CRAs available and minimising conflicts of interests in the industry.
• The European Commission last week began a project to create a capital markets union (CMU) for all 28 EU Member States with a first orientation debate at the College of Commissioners. The CMU is one of the Commission's flagship projects and ties in with efforts to boost jobs and growth in the EU.

Deals added to the SCI New Issuance database last week:
AOA 2015-1177; CGCMT 2015-101A; CGCMT 2015-GC27; Dorchester Park CLO; Dryden 37 Senior Loan Fund; FCT Ginkgo Personal Loans 2015-1; Fifth Street Senior Loan Fund I; Galaxy XIX CLO; Galileo Re series 2015-1; GE Dealer Floorplan Master Note Trust Series 2015-1; GE Dealer Floorplan Master Note Trust Series 2015-2; Invitation Homes 2015-SFR1 Trust; Jamestown CLO VI; JP Morgan Mortgage Trust 2015-1; LMREC 2015-CRE1; Nissan Master Owner Trust Receivables Series 2015-A; OneMain Financial Issuance Trust 2015-1; Progreso Receivables Funding series 2015-A; Progress Residential 2015-SFR1 Trust; Sequoia Mortgage Trust 2015-1; STACR 2015-DN1; Taurus 2015-1 IT; Valins I

Deals added to the SCI CMBS Loan Events database last week:
BSCMS 2006-PW12; CSCMT 2006-C3; DECO 2007-E5; DECO 6-UK2; EPICP BROD; EURO 28; GCCFC 2005-GG3; GCCFC 2006-GG7; GCCFC 2007-GG9; GECMC 2005-C4; INFIN SOPR; JPMCC 2006-LDP7; JPMCC 2007-LDP11; LBUBS 2001-C3; LBUBS 2006-C1; LBUBS 2006-C7; MLCFC 2007-7; MSC 2007-IQ14, MSC 2007-HQ12, BACM 2007-2, BSCMS 2007-PW16, WBCMT 2007-C31 & WBCMT 2007-C32; Portfolio Green; TITN 2006-3; TITN 2007-1; TMAN 5; WBCMT 2005-C22; WINDM X