SCI Start the Week - 12 December

Category: ABS CDO CLOs

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

Pipeline entrants were mixed last week. Three ABS, four CMBS and two RMBS were newly announced.

The ABS comprised: A$306.9m FP Turbo Series 2016-1 Trust, US$100m Scala Funding Company Series 2016-1 and US$505.15m TCF Auto Receivables Owner Trust 2016-PT1. The CMBS consisted of: US$600m CSMC 2016-NXSR, US$271m DBWF 2016-85T, US$750m WFCMT 2016-C37 and US$233.33m VNDO Trust 2016-350P. Finally, US$225.75m COLT 2016-3 Mortgage Loan Trust and US$114m RCO 2016-SFR1 Trust rounded the pipeline entrants out.

ABS deals dominated last week's pricings, but almost as many CLOs printed, the majority of which were refinancings. A handful of CMBS were also issued.

Auto ABS made a good showing last week, with the RMB3.86bn Bavarian Sky China 2016-2 Trust, US$109.77m CarNow Auto Receivables Trust 2016-1, US$1.05bn Ford Credit Floorplan Master Owner Trust A Series 2016-5, US$100m Honor Automobile Trust Securitization 2016-1 and £600m Motor 2016-1 pricing. The C$460m Canadian Credit Card Trust II Series 2016-1, US$195.2m Elm Trust 2016-1, US$44.5m HERO Funding Trust 2016-4B, US$709m Labrador Aviation Finance 2016 and US$500m Springleaf Funding Trust 2016-A were also issued.

Meanwhile, the CLO refinancings comprised: US$408.7m ALM Loan Funding 2013-7, €276.5m Avoca CLO X, US$460m BlueMountain CLO 2013-1, US$657.35m Dryden Senior Loan Fund 36, US$401.9m Eaton Vance CLO 2013-1, US$296.4m MidOcean Credit CLO 2012-1 and US$583.25m OZLM Funding III. The CLO new issues included US$601.66m Oaktree EIF III and US$510.75m Octagon Investment Partners 29.

US$132m The Bancorp Commercial Mortgage 2016-CRE1 Trust, US$819.3m JPMCC 2016-JP4, US$909m MSBAM 2016-C32 and US$280.75m SCF RC Funding I and II Series 2016-1 accounted for the CMBS prints. Finally, the sole RMBS to price was Sfr214m Swiss Home Loan Securities 2016-1.

Editor's picks
Improved flexibility?:
KKR Credit's Pillarstone unit recently bolstered its senior team in Greece. The move reflects rising interest in the Greek NPL market, following the second appraisal of the country's economic adjustment programme...
Evolving analytics: FINCAD has recently incorporated MBS into its F3 pricing, valuation and risk analytics solution. SCI asked James Church, vp, product management and R&D at FINCAD, about the challenges of bringing MBS into a common valuation and risk solution, as well as his views on the current valuation and analytics landscape...
US CLOs robust: The US CLO secondary market remains robust. "Everyone is now back from the conference in California and the tone remains positive," says one trader. "Secondary spreads continue to be robust in the face strong new issuance..."

Deal news
• Freddie Mac has implemented the Common Securitization Platform (CSP) for certain single-family fixed-rate MBS. Dubbed Release 1, the development paves the way for Release 2, which will enable a combined Freddie Mac and Fannie Mae US$3.5trn market of to-be-announced (TBA) MBS.
• The £292.4m Towd Point Mortgage Funding 2016-Granite 3 has hit the market. The transaction represents the term take-out of the warehouses that were put in place to finance the acquisition of the assets by Cerberus.
• Monex Deposit Company is in the market with a rare public securitisation secured by precious metals. Dubbed Scala Funding Company Series 2016-1, the US$100m ABS is arranged by Piper Jaffray.
Floreat Group is readying a securitisation programme focused on the aviation sector, with the aim of providing long-term fixed income investments for their institutional and high net-worth clients. The first issuance - of up to US$175m of notes - is planned for this month and will be backed by a portfolio of four Airbus A330s on leases to geographically diversified airlines.
• Westgate Resorts has reported damage at its Westgate Smoky Mountain Resort in Gatlinburg, Tennessee, following a wildfire that originated around 10 miles away in the Great Smoky Mountain National Park. The affected transactions are Westgate Resorts 2013-1, Westgate Resorts 2014-1, Westgate Resorts 2015-1, Westgate Resorts 2015-2 and Westgate Resorts 2016-1.
• S&P has placed the ratings of CAN Capital Funding Series 2014-1's class A and B notes on creditwatch with negative implications. A correction by CAN Capital Funding of the delinquency statuses of previously misclassified assets has triggered a rapid amortisation event.
• MBIA Insurance Corp has accepted a binding commitment letter from certain holders of its 14% fixed-to-floating rate surplus notes, pursuant to which they will provide senior financing of up to US$325m. Together with subordinated financing of US$38m from MBIA Inc and approximately US$60m from its own resources, the funds will be used to pay an anticipated claim on its insurance policy insuring certain notes issued by Zohar II 2005-1, which mature on 20 January 2017.
• A number of investors in the UK student loan ABS, Honours, indicated during a recent noteholder conference call their wish to form a committee to assist the issuer in dealing with the Consumer Credit Act non-compliance investigation (SCI passim). Accordingly, the issuer is proposing that one or more ad hoc committees - representing noteholders or individual classes of noteholders - be formed.
• The potential disposal of non-performing assets, as previously proposed by SMART SME CLO 2006-1, has been opposed by noteholders who assert that it would be in breach of the terms of a CDS between the issuer and swap counterparty, Deutsche Bank Frankfurt. As well as problems with the CDS, the noteholders have identified issues with the bank account agreement.

Regulatory update
• The European Parliament's Economic and Monetary Affairs Committee (ECON) has adopted the European Commission's securitisation package, with a number of amendments. Most significantly, risk retention requirements for vertical retention has been increased to 10%.
• A new R&W form and a common communication platform between investors and issuers proposed by SFIG are 'credit positive' for RMBS, according to Moody's. The ideas are outlined in SFIG's latest RMBS 3.0 fifth edition green papers.