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

Pipeline
The pipeline saw a variety of deals added last week, including four ILS. There were also five ABS, three RMBS and eight CMBS.

The ABS were: US$987m Ally Auto Receivables Trust 2015-SN1; Asset-Backed European Securitisation Transaction Eleven; E-CARAT 5; Penarth 2015-1; and €715.4m Purple Master Credit Card Note Series 2015-1. The ILS were: US$150m Citrus Re Series 2015-1; Kizuna Re II series 2015-1; US$100m Pelican III Re series 2015-1; and US$100m Queen Street X Re 2015.

Hypenn RMBS III, US$725m STACR 2015-HQ1 and US$287.74m WinWater Mortgage Loan Trust 2015-3 accounted for the RMBS. Meanwhile, the CMBS were: US$787m Core Industrial Trust 2015-CALW; US$371.8m Core Industrial Trust 2015-TEXW; US$455.6m Core Industrial Trust 2015-WEST; US$380m CSMC 2015-TOWN; €175m DECO 2015-HARP; US$810m Houston Galleria Mall Trust 2015-HGLR; US$875m JPMCC 2015-COSMO; and US$829.62m WFCM 2015-LC20.

Pricings
There were eight ABS prints last week. Also pricing were three RMBS, five CMBS and eight CLOs.

The ABS were: US$245m CPS Auto Receivables Trust 2015-A; US$1.61bn Ford Credit Auto Owner Trust 2015-A; US$1bn GM Financial Automobile Leasing Trust 2015-1; US$124m Navitas Equipment Receivables series 2015-1; US$400m Prestige Auto Receivables Trust 2015-1; US$350mn Sierra Timeshare 2015-1 Receivables Funding; US$187.21m United Auto Credit Securitization Trust 2015-1; and €502m Volta III.

US$288mn Agate Bay Mortgage Trust 2015-2, US$1.54bn-equivalent Fosse 2015-1 and £360.2m Paragon Mortgages No.22 constituted the RMBS. The CMBS were: US$580mn BBCMS 2015-SLP; US$280m BBCMS Trust 2015-VFM; US$210m CGCMT 2015-SSHP; US$1.12bn COMM 2015-CCRE22; and US$1.05bn Houston Galleria Mall Trust 2015-HGLR.

Lastly, the CLOs were: US$412.1m Canyon Capital CLO 2015-1; US$578.2m CENT CLO 23; US$350m Fortress Credit Opportunities 2015-6; US$518m Halcyon Loan Advisors Funding 2015-1; US$519.8m Highbridge Loan Management 6-2015; US$658.9m Greywolf V; US$616m Venture XX; and US$512.7m WhiteHorse X.

Deal news
• S&P has preliminarily assigned its first investment grade rating - of triple-B minus - to a property-related natural catastrophe bond since 2008. Arranged by Aon Benfield Securities, the Kizuna Re II series 2015-1 transaction covers losses resulting from Japanese earthquakes, including fire following, tsunamis and volcanic eruption.
• MAN GLG Credit Advisers is set to assign, by way of novation deeds, collateral management responsibilities for three European CLOs to MAN Investments (CH). The affected transactions are RMF Euro CDO IV and V, as well as CLAVOS Euro CDO.
• Wells Fargo, as trustee, last week disclosed that the majority of the investors in the SBR 2004-OP11 and NTIX 2007-HE22 RMBS had voted to terminate Ocwen as a servicer or subservicer of the trusts. The current deal balances of SBR 2004-OP1 and NTIX 2007-HE2 are approximately US$79.9m and US$403.6m respectively.
• Five-year CDS on Petroleo Brasileiro (Petrobras) widened by 24% last week to their widest levels ever, according to Fitch Solutions. CDS liquidity for Petrobras has also increased, with contracts currently trading within the second global percentile.

Regulatory update
• The Basel Committee and IOSCO have released revisions to the framework for margin requirements for non-centrally cleared derivatives. The organisations have agreed to delay the implementation of requirements to exchange both initial margin and variation margin by nine months and adopt a phase-in arrangement for the requirement to exchange variation margin.
• The European Parliament last week voted to cap interchange fees in credit and debit card transactions across the EU. Since the move is the culmination of long-standing regulatory pressure, Fitch says it has already been anticipated in the agency's UK credit card ABS ratings.
• In its 2015 Budget, the UK government announced that it will work with the industry and regulators to develop a new competitive corporate and tax structure for allowing insurance-linked securities to be domiciled in the UK. The move comes after the government said in the Autumn Statement 2014 that it would explore options to attract more reinsurance business to the UK.
• New York federal judge Katherine Forrest last week approved the US$69m settlement agreement between the Retirement Fund Investors and Bank of America/US Bank as trustees for 50 RMBS trusts. The ruling should have a significant impact on other pending lawsuits against trustees, according to Deutsche Bank RMBS analysts, including lawsuits against the six largest RMBS trustees by large institutional investors.
• The Obama Administration last week released a Presidential Memorandum directing the US Department of Education and other federal agencies to do more to help borrowers with their student loan repayments. Structured product strategists at Wells Fargo suggest that the proposals are unlikely to have a significant effect on expected student loan ABS cashflows or prepayment rates, unless forbearance policy changes are enacted.

Deals added to the SCI New Issuance database last week:
American Credit Acceptance Receivables Trust 2015-1; Anchorage Capital CLO 6; Atlantes Mortgage No. 3 (re-offer); Benefit Street Partners CLO VI; Chase Issuance Trust 2015-1; Chase Issuance Trust 2015-2; Drive Auto Receivables Trust 2015-A; Driver Australia Two Trust; ECP CLO 2015-7 ; GreatAmerica Leasing Receivables Funding Series 2015-1; National RMBS Trust 2015-1; Nelnet Student Loan Trust 2015-2; NewDay Partnership Funding 2015-1; NewStar Commercial Loan Funding 2015-1 ; OSCAR US 2015-1; Pelican SME No. 2; Red & Black Auto Germany 3; Residential Mortgage Securities 28; SMART ABS Series 2015-1US Trust; Synchrony Credit Card Master Note Trust 2015-1; Volvo Financial Equipment Series 2015-1

Deals added to the SCI CMBS Loan Events database last week:
CGCMT 2006-C5; COMM 2005-C6; COMM 2005-LP5; COMM 2013-LC13; ECLIP 2006-3; ECLIP 2007-1; GECMC 2005-C3; GSMS 2007-GG10; JPMCC 2002-C3; JPMCC 2005-LDP2; JPMCC 2006-CB16; JPMCC 2006-LDP7; LBCMT 2007-C3; LBUBS 2001-C3; LBUBS 2005-C2; MLMT 2005-CIP1; MOTEL 2012-MTL6; MSC 2006-T21; TITN 2006-3; TITN 2007-CT1; TMAN 6; TMAN 7; WBCMT 2005-C19 & WBCMT 2005-C20; WBCMT 2005-C21; WBCMT 2007-C33