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

Pipeline
CMBS entrants dominated the pipeline last week, closely followed by ABS transactions, which included a couple of new issuers to the market. In total, five CMBS, four ABS, two RMBS and a CDO were announced.

The CMBS comprised US$1.46bn COMM 2015-PC1, US$185m JPMCC 2015-MAR7, US$312.8m Velocity Commercial Capital 2015-1, US$914.4m WFCM 2015-NXS2 and US$200m WP Glimcher Mall Trust 2015-WPG. The ABS consisted of US$158.75m Cazenovia Creek Funding I series 2015-1, US$136.77m GLS Auto Receivables Trust 2015-1, US$125m Oportun Funding I series 2015-B and US$111m Sunrun Callisto Issuer 2015-1. The RMBS were Kingswood 2015-1 and Precise Mortgage Funding 2015-2B, while the US$285mn Carlyle Global Markets Strategies Commodities Funding 2015-1 accounted for the CDO.

Pricings
The volume of pricings decreased last week. Three CLOs, two ABS, two RMBS and one CMBS printed.

The CLOs comprised €475.6m Atlantes SME No.5, US$515.6m CIFC Funding 2015-III and US$569m Voya CLO 2015-2. The ABS consisted of €1.18bn Driver Master Compartment 1 and €1.11bn Sunrise series 2015-2, while the RMBS were €3.1bn FTA RMBS Santander 4 and US$950m STACR 2015-DNA2. Finally, the US$715m Great Wolf Trust 2015-WOLF CMBS rounded the issuance out.

Editor's picks
Opportunity knocks: The ECB's ABSPP was a hot topic at IMN's 2015 Global ABS Conference, as it continues to exert downward pressure on European securitisation spreads. Panellists noted an expanding mandate among many investors, with relative value opportunities shifting towards the UK non-conforming RMBS and European CLO sectors...

Deal news
• Navient has bought receivables from nine student loan ABS amounting to US$421.38m since it amended the servicing agreements for 17 trusts last year (SCI 27 April), two-thirds (US$284.44m) of which occurred in May, according to Citi figures. Navient has also called two transactions so far this month - SLMA 2002-4 and 2002-5 - committing US$82.61m of proceeds to redeem them.
• A Morgan Stanley review of the US CMBS 2.0 loans that have reported 2014 year-end financials suggests that the majority of properties are performing well compared to underwriting. However, some idiosyncratic concerns remain across property types and MSAs.
• European CLO calls are gathering pace (SCI 30 April), with five redemption notices issued in the last month alone, including the first for a CLO 2.0 deal. This brings 2015 redemptions to €1.9bn across 13 transactions, compared to 14 redemptions seen in 2013 and 2014 combined, according to Deutsche Bank figures.
• A recent noteholder call convened by special servicer Hatfield Philips has confirmed that the remaining loan - DT12 - securitised in the TMAN 4 CMBS won't be repaid ahead of the July legal final maturity. Ultimate proceeds are expected to be around €77m-€82m, which should be enough to pay down the class A notes at least.
• A total of 102 CMBS 2.0/3.0 loans with an aggregated balance of US$1.7bn were newly watchlisted in the June remittance, according to Barclays figures. The majority of the watchlists involve 2012 vintage loans, with 2010 and 2015 vintages accounting for the least watchlist transfers.
• Moody's has placed on review for downgrade the ratings of 106 tranches across 57 FFELP student loan ABS transactions. The move impacts approximately US$34bn of securities.
• The controlling class noteholder of Crystal Cove CDO has directed the issuer to terminate and remove the collateral manager - Vertical Capital - without cause. The removal of the collateral manager shall not be effective unless an appropriate successor collateral manager has been appointed and it has assumed the collateral manager obligations.
• S&P has raised its rating on the US$250m Everglades Re Series 2013-1 notes to single-B plus from single-B. The action follows the final reset for the catastrophe bond.

Regulatory update
• The EBA presented its recommendations on an EU framework for qualifying securitisations at a public hearing at its offices last week, during which it called for a reduction of the risk-weighting floor for qualified securitisations from 15% to 10%. The Authority will deliver the opinion to the European Commission early next month, with the hearing intended to provide advance information of its findings to market participants.
• The EBA has published its updated implementing technical standards (ITS) on supervisory reporting of the liquidity coverage ratio (LCR) for EU credit institutions. The ITS include templates and instructions to update the LCR reporting framework following the Commission's adoption of the Delegated Act on the liquidity coverage requirement (SCI 13 October 2014).
• The Basel Committee has issued the final net stable funding ratio disclosure standards, following the publication of the NSFR standard in October 2014 (SCI passim). Similar to the LCR disclosure framework, this requirement aims to improve the transparency of regulatory funding requirements, strengthen market discipline and reduce uncertainty in the markets as the NSFR is implemented.

Deals added to the SCI New Issuance database last week:
American Credit Acceptance Receivables Trust 2015-2; Bavarian Sky China 2015-1 Trust; BCC Funding X series 2015-1; BXHTL 2015-JWRZ; COMM 2015-LC21; CommonBond Student Loan Trust 2015-A; DBWF 2015-LCM; DRB Prime Student Loan Trust 2015-A; Driver Master Compartment 1; ECAF I; FADE series 21; Flexi ABS Trust 2015-2; FREMF 2015-KPLB; JPMCC 2015-FL7; LSTAR 2015-3; Marathon CLO VIII; MSBAM 2015-C23; Neuberger Berman CLO XIX; NewDay Partnership Funding 2015-1; Nissan Auto Lease Trust 2015-A; Octagon Investment Partners XXIII; Parallel 2015-1; Rongteng Individual Auto Mortgage-Backed Securitization 2015-1; Santander Drive Auto Receivables Trust 2015-3; Silverback Finance; STACR 2015-DNA2; SunTrust Auto Receivables Trust 2015-1; Westlake Automobile Receivables Trust 2015-2; WFCM 2015-C29.

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-5; CD 2007-CD4; Cobalt 2007-C2; CSMC 2006-C4; ECLIP 2007-1; GCCFC 2005-GG5; GSMS 2011-GC3; GSMS 2013-GC12; JPMBB 2013-C15; JPMBB 2014-C25; JPMCC 2011-C3; LBUBS 2005-C5; LBUBS 2006-C1; MESDG CHAR; MLCFC 2007-8; MSBAM 2014-C15; TAURS 2006-1; TAURS 2007-1; TMAN 4; TMAN 5; TMAN 6; WBCMT 2007-C34; WINDM X.