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

Pipeline
Ten new transactions entered the pipeline last week, with each asset class represented. Three CMBS and three RMBS began marketing, together with two ABS, one CLO and one catastrophe bond.

The newly-announced RMBS comprise CFHL-2 2015, US$334m New Residential Mortgage Loan Trust 2015-1 and US$950m STACR 2015-DNA2, while the CMBS consisted of US$723.3m CGCMT 2015-GC31, US$715m Great Wolf Trust 2015-WOLF and US$885.4m MSCI 2015-MS1. The ABS are €1.18bn Driver Master Compartment 1 and C$424m MBARC Credit Canada 2015-A. Finally, US$200m Acorn Re Series 2015-1 accounts for the ILS and €475.6m Atlantes SME No.5 for the CLO.

Pricings
A mixed bag of deals priced last week, dominated by auto ABS. Aircraft, consumer and equipment ABS were also represented, as well as CLOs, CMBS and RMBS.

The auto ABS prints comprised: US$214m American Credit Acceptance Receivables Trust 2015-2, US$750m Nissan Auto Lease Trust 2015-A, US$1bn Santander Drive Auto Receivables Trust 2015-3, US$1bn SunTrust Auto Receivables Trust 2015-1 and US$450m Westlake Automobile Receivables Trust 2015-2. US$165.01m BCC Funding X series 2015-1, US$96.4m CommonBond Student Loans Trust 2015-A, US$1.2bn ECAF I 2015-1, A$285m Flexi ABS Trust 2015-2 and £283m NewDay Funding 2015-1 accounted for last week's other ABS issues.

In terms of CLO issuance, US$461.37m Marathon CLO VIII, US$410.15m Neuberger Berman CLO XIX, US$585.97m Octagon Investment Partners XXIII and US$415m Parallel 2015-1 priced. The CMBS comprised US$722m BXHTL 2015-JWRZ and US$290m DBWF 2015-LCM, while the RMBS consisted of US$1.2bn Invitation Homes 2015-SFR3 and US$343m SEMT 2015-3.

Editor's picks
STC clarification underway: Plans are underway for European policymakers to homogenise the various European securitisation acronyms to the simple, transparent and comparable (STC) framework. In the second keynote address at IMN's Global ABS conference on Wednesday, Bank of England's executive director of prudential policy David Rule outlined a plan to bring together a single set of criteria to European legislation, intended to apply consistently across all sectors...
Revival instincts: Credit derivatives notional amounts fell to US$16trn at end-December from US$19trn at end-June 2014 and a peak of US$58trn at end-2007, according to the latest BIS Quarterly Review (SCI 9 June). As concern over potential liquidity shocks grows, industry attempts to revive the CDS market appear to be gaining traction...
Diverse distinction: The US$1.21bn ECAF I deal, which priced this week, is notable for being the first on-the-run aircraft ABS to print since the crisis. The diversity of the transaction's lessee and country profile is one of its strengths, but replacement programmes are being introduced in the coming years for much of the collateral...
Setting priorities: The recruitment outlook for the structured finance sector continues to suffer from regulatory uncertainty. This state of ambivalence has dampened positivity in the European market, while resources in the US are being diverted towards other pressing needs...

Deal news
• Anchorage Capital Group's newest deal - Anchorage Credit Funding 1 - has a number of unique structural features. These are largely included to mitigate the additional risk brought by its ability to buy a significant amount of non-first-lien senior secured loan assets.
• A 2010-vintage loan securitised in JPMCC 2010-C1 has been unable to refinance on its maturity date and the borrower has requested a modification. The US$13.7m Aquia Office Building loan accounts for 4.37% of the CMBS.
• Gap has announced that it plans to close 175 Gap branded stores in the coming years, including 140 this fiscal year. An estimated 81 loans with US$6.8bn in conduit CMBS balance have Gap listed as a top-five tenant (excluding outlet stores and closed stores).
• Dock Street Capital Management has been appointed as successor collateral manager to Fort Sheridan ABS CDO. Under the terms of the appointment, Dock Street will assume all responsibilities, duties and obligations of the collateral manager.

Regulatory update
• The recent New York Court of Appeals ruling that representations and warranties in most RMBS and CMBS transactions have a life span of only six years, beginning on the closing date of the securitisation (SCI 12 June), is being seen as credit negative. This is because some R&W breaches may only be apparent much later than six years after a deal closes and because the ruling is now controlling law in New York, where many RMBS and CMBS R&W breach lawsuits are heard.
• The US Consumer Financial Protection Bureau has published a rule that will allow the agency to supervise larger non-bank auto finance companies for the first time. The agency also released the examination procedures that examiners will use to ensure that auto finance companies are following the law.
• The DTCC has issued global data harmonisation recommendations to the CPMI IOSCO Harmonisation working group, with credit derivatives identified as the first step. The recommendations involve harmonising around 30 credit derivatives data fields across global trade repository providers.
• A group of 11 industry associations has published a letter supporting a set of principles developed by ISDA aimed at improving consistency in regulatory reporting standards for derivatives (SCI 26 February). The principles call for derivatives reporting requirements to be harmonised across borders, as well as further development and adoption of global data standards.

Deals added to the SCI New Issuance database last week:
Azzurro Re I; ALM VI (refinancing); Cathedral Lake 2015-2; CPS Auto Receivables Trust 2015-B; DT Auto Owner Trust 2015-2; Fortress Credit Investments CLO 2015-4; Fraser Sullivan CLO VII (refinancing); FREMF 2015-K46; FREMF 2015-KF08; GM Financial Automobile Leasing Trust 2015-2; Hertz Fleet Lease Funding series 2015-1; Highway 2015-I; ICG US CLO 2015-1; JPMBB 2015-C29; Marine Park CLO (refinancing); Mint 2015; Navient Student Loan Trust 2015-3; Pepper Residential Securities Trust No. 14; THL Credit Wind River 2015-1; Tikehau CLO 2015-1; TORRENS Series 2015-1 Trust; Toyota Auto Receivables 2015-B Owner Trust.

Deals added to the SCI CMBS Loan Events database last week:
BSCMS 2006-PW14; CD 2007-CD4; CGCMT 2007-C6; CGCMT 2008-C7; CGCMT 2015-GC27 & WFCM 2015-C27; CSAIL 2015-C1; CSMC 2006-C3; CSMC 2007-C2; ECLIP 2006-3; ECLIP 2007-2; GCCFC 2005-GG3; GCCFC 2005-GG5; GECMC 2005-C4; JPMBB 2015-C25; JPMCC 2007-CB20; JPMCC 2010-C1; JPMCC 2012-CBX; LBUBS 2005-C5; LBUBS 2006-C6; LBUBS 2006-C7; LBUBS 2007-C6; LBUBS 2008-C1; MLCFC 2006-4; MLMT 2007-C1; MSC 2006-HQ8; MSC 2007-HQ12; SELK 2013-1; TAURS 2006-3; TAURS 2007-1; TITN 2006-3; TITN 2006-5; TITN 2007-CT1; WBCMT 2006-C24; WFCM 2015-NXS1; WINDM XIV.