Monday 11 May 2015 10:47 London/ 05.47 New York/ 18.47 Tokyo

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

Pipeline
Additions to the pipeline last week were mainly new ABS deals. As well as six of those there was a single ILS, one RMBS and four CLOs.

The ABS were: US$1.064bn Capital Auto Receivables Asset Trust 2015-2; US$450m Exeter Automobile Receivables Trust 2015-2; US$601m GMF Floorplan Owner Revolving Trust Series 2015-1; US$180m New Jersey Student Loan Revenue Bonds 2015-1; US$700m Porsche Innovative Lease Owner Trust 2015-1; and US$2.425bn Wendy's Funding Series 2015-1.

US$150m Residential Re 2015-1 was the ILS and €3.28bn BBVA RMBS 15 was the sole RMBS. The CLOs were US$348.5m Anchorage Credit Funding 1, US$450m Cutwater 2015-I, US$413.7m Garrison Funding 2015-1 and €415m Orwell Park CLO.

Pricings
There was a little more variety among the completed issuance. The week's activity consisted of six ABS prints, one ILS, one RMBS, three CMBS and three CLOs.

The ABS were: US$1.165bn CarMax Auto Owner Trust 2015-2; US$1bn CNH Equipment Trust 2015-B; £300m Delamare Cards MTN Issuer Series 2015-1; US$106.3m Foursight Capital Automobile Receivables Trust 2015-1; US$834m MMAF 2015-A; and US$750m Synchrony Credit Card Master Note Trust Series 2015-2.

US$200m Long Point Re III Series 2015-1 was the ILS, while the RMBS was €360m-equivalent Bluestep Mortgage Securities No.3. The CMBS consisted of US$375m Crown Castle Towers Series 2015-1, US$375m Crown Castle Towers Series 2015-2 and US$1.58bn FREMF 2015-K45, while the CLOs were US$516.5m Avery Point VI, US$309m FS Senior Funding CLO and €414m Penta CLO 2.

Markets
US ABS secondary spreads were generally unchanged last week as BWIC volume was well above average at around US$2.3bn, say Bank of America Merrill Lynch analysts. "With the exceptions of triple-A credit card ABS and equipment ABS, which are trading slightly wider than the mid-point of their respective 12-month trading ranges, the secondary spreads for the triple-A rated notes in most sectors are near the mid-point of their respective 12-month trading ranges," the analysts say.

Production coupon US agency RMBS outperformed duration hedges last week by around 3 ticks, according to Citi analysts. "The 10-year Treasury yield sold off to 2.24% during the week only to rally back to 2.11%, almost exactly the same level as last Friday," they say.

US CMBS secondary spreads were flat, but Barclays Capital analysts note that they showed signs of rallying on Friday. They add: "In secondary trading of recent issuance, LCF triple-A bonds were flat week-over-week on Thursday, at swaps plus 84bp, and LCF yields are now back above 3% with 10-year swaps at about 2.2%."

The picture in European ABS and RMBS remains very similar to the last few weeks, with peripheral weakness continuing to weigh on the market. "To date, the benchmark asset classes of Dutch and UK Prime senior RMBS bonds have generally held in, however over the course of the week we have noted a change in sentiment even around these bellwethers," report JPMorgan analysts.

Editor's picks
Idiosyncratic risk?
: The US$96.4m Ty Warner Hotels & Resorts Portfolio loan, securitised in MSC 2012-C4, has become the latest high-profile CMBS 2.0/3.0 loan to face difficulties. Such instances are being portrayed as idiosyncratic in nature, but they could herald a broader trend towards defaults...
German CMBS value examined: Price rallies for Gagfah's three outstanding multifamily CMBS ended in March as both Gagfah and Deutsche Annington, with which it is merging, had their earnings calls. Those calls caused a re-evaluation of the assumption that the CMBS would prepay quickly, yet despite a change in timelines, prepayments are still expected...
DOT rule to dent railcar ABS?: The US Department of Transportation has issued its final rule for tank car safety improvements. The more stringent standards are generally seen as negative for railcar ABS, given that retrofitting costs are paid from securitisation cashflows at the top of the waterfall...

Deal news
• Redwood Trust's Sequoia Mortgage Trust 2015-2 has become the first US prime RMBS to limit the time over which a servicer can advance principal and interest on delinquent loans. Moody's says that such a stop-advance feature benefits senior bonds by reducing the risk of loan losses associated with servicers' interest advances on long-delinquent loans.
Reservoir Funding plans to remove its incumbent collateral manager, Cutwater Asset Management, at the direction of the holders of a majority of its controlling class. Cairn Capital North America has been chosen as the ABS CDO's successor manager.
• Blackstone/GSO Debt Funds Europe has confirmed a couple of key-person replacements with respect to Habourmaster CLO 9. The firm says that Debra Anderson and Mark Moffat ceased to be involved in the daily and managerial activities of the collateral manager on 31 December 2012 and 15 April 2015 respectively.

Regulatory update
• The EBA has launched a consultation regarding draft implementing technical standards (ITS) on the mapping of external credit assessment institutions' (ECAIs) credit assessments for securitisation positions. The ITS will become part of the Single Rulebook in banking aimed at enhancing regulatory harmonisation across the EU and will allow the credit ratings of all registered credit rating agencies to be used for the purposes of calculating institutions' capital requirements.
• The US CFTC has published a letter clarifying that a securitisation SPV that is wholly-owned by, and consolidated with, an entity described in Section 2(h)(7)(C)(iii) of the Commodity Exchange Act (CEA) qualifies as a captive finance company. Consequently, the SPV is eligible to elect the end-user exception from a clearing requirement determination issued by the Commission under Section 2(h) of the CEA.
• The US$8.5bn Countrywide RMBS rep and warranty settlement was last week fully approved, with a modified judgement entered into the New York Supreme Court. Separately, a letter submitted by the trustee's counsel in Citi's proposed US$1.125bn settlement has confirmed that no objections were filed in that case.
IOSCO has published a consultation report on alternatives to the use of credit ratings to assess creditworthiness. The report proposes 13 'sound practices' for large market intermediary firms to consider in the implementation of their internal credit assessment policies and procedures.

Deals added to the SCI New Issuance database last week:
A10 Term Asset Financing 2015-1; Agate Bay Mortgage Trust 2015-3; CGBAM 2015-SMRT; Chase Issuance Trust 2015-4; Chase Issuance Trust 2015-5; CIFC Funding 2015-II; Cranberry Re series 2015-1; Dryden Senior Loan Fund XXIV; Edsouth Indenture No. 9 Series 2015-1; Everglades Re II series 2015-1; FREMF 2015-K45; Genesis Trust II series 2015-1; Jubilee CLO 2015-XV; Madison Park Funding XVII; Midas Funding UK; Oak Hill European Credit Partners III; OZLM XII; Sequoia Mortgage Trust 2015-2; VCL 21; Warwick Finance Residential Mortgages No. 1

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; CD 2005-CD1; COMM 2013-CR8; COMM 2014-CR16; COMM 2014-CR20; CSFB 2005-C5; EPICP DRUM; GCCFC 2007-GG9 & JPMCC 2005-LD2; GSMS 2006-GG8; GSMS 2011-GC3; GSMS 2011-GC5; GSMS 2012-GCJ9; GSMS 2013-GC16; GSMS 2014-GC22; JPMCC 2010-C1; LBUBS 2004-C1; MLCFC 2007-9; TAURS 2006-3; TAURS 2007-1; TITN 2007-1; TMAN 7; WBCMT 2006-C24; WBCMT 2007-C32; WFRBS 2011-C3; WFRBS 2011-C4; WFRBS 2012-C10; WFRBS 2012-C6; WFRBS 2012-C7; WFRBS 2012-C8


×