Monday 12 October 2015 11:09 London/ 06.09 New York/ 19.09 Tokyo

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

Pipeline
ABS accounted for the majority of transactions joining the pipeline last week, including a number of esoteric deals. Additionally, a pair apiece of CMBS and RMBS were announced, as well as a European CLO.

The ABS comprised: US$376m CHAI 2015-PM2, US$799m Capital Auto Receivables Asset Trust 2015-4, US$300m Exeter Automobile Receivables Trust 2015-3, €150m FADE Series 21, US$160.4m Purchasing Power Funding 2015-A, US$794.12m Santander Drive Auto Receivables Trust 2015-5, US$250m Sierra Timeshare 2015-3 and US$985.3m Utility Debt Securitization Authority Restructuring Bonds Series 2015. The US$252m Colony American Finance 2015-1 and Permanent 2015-1 accounted for the RMBS, while US$848.4m GSMS 2015-GC34 and US$1.1bn JPMBB 2015-C32 accounted for the CMBS. Finally, €300m Cairn CLO III rounded out the new entrants to the pipeline.

Pricings
A mixed bag of securitisations priced last week, with auto ABS the dominant asset class. A rare catastrophe bond was also issued.

The auto ABS prints consisted of: US$381m DT Auto Owner Trust 2015-3, US$1bn GMALT 2015-3, US$1.18bn Nissan Auto Receivables Owner Trust 2015-C, US$1bn World Omni Auto Receivables Trust 2015-B, US$350m Westlake Automobile Receivables Trust 2015-3 and US$1bn BMW Vehicle Lease Trust 2015-2. The ILS was US$200m PennUnion Re Series 2015-1.

The US$650m BBCMS Trust 2015-STP, US$840m FREMF 2015-KS03, US$500m JPMCC 2015-UES and US$1.2bn MSBAM 2015-C25 accounted for the CMBS pricings, while US$450m WinWater Mortgage Loan Trust 2015-5 was the sole RMBS issuance. In terms of CLOs, US$818m Atrium XII, US$409m Eaton Vance CLO 2015-1 and US$508m OCP 2015-10 printed.

Editor's picks
Under pressure? The percentage of US CLO 2.0 loans trading below 90 continues to rise, reaching a year-to-date peak of more than 8% last month. Credit quality erosion is limiting origination and impacting pricing, with manager performance coming under greater scrutiny as a result...
Growing pipeline: A heavy European securitisation pipeline is pushing spreads wider, enticing investors to pick up cheap paper. Nevertheless, calls remain for the ECB to extend its buying mandate to a more diversified pool of ABS across a broader range of countries...
CMBS ruling logic questioned: A legal ruling has had to fill in the gaps in documentation for yet another pre-crisis European transaction - Gemini (Eclipse 2006-3) - as CMBS 1.0 shortcomings continue to cause problems. However, while the court has ruled in favour of what it believes is most in line with the deal's intended economics, its logic has been questioned...
US CLOs suffer: The US CLO secondary market continues to suffer from a lack of liquidity for a variety of reasons. To some extent, it is being driven by bank regulation, while further down the capital stack there has also been an absence of the fast money normally seen in the area...

Deal news
• Both the RPI and interest rate swap providers for the Fairhold Securitisation CMBS are set to exercise their rights to terminate the hedges. A period of lengthy discussion is now expected between the borrower (ultimately the Tchenguiz brothers), bondholders and swap counterparties with a view to a resolution.
• Scope Ratings has assigned a preliminary triple-B rating to an unusual synthetic securitisation. The €10m Herrenhausen Investment - Compartment IV note represents the 10.9% first-loss exposure to a €97m syndicated portion of a €347m commercial real estate loan.
TMMCB 10 - a Mexican securitisation backed by offshore vessels - remains highly levered and is increasingly exposed to liquidity risk. The oil sector downturn could exacerbate these risks as asset values and day rates have declined and re-contracting of charter agreements mostly depends on a single off-taker.

Regulatory update
• ESMA has issued a draft regulatory technical standard for the central clearing of CDS. It defines the types of CDS contracts which will have to be centrally cleared, the types of counterparties covered by the obligation and the dates by which CDS central clearing will become mandatory.
• The US SEC has charged Home Loan Servicing Solutions (HLSS) for making material misstatements about its handling of related party transactions and the value of its primary asset and for having inadequate internal accounting controls. HLSS has agreed to pay a US$1.5m penalty to settle the charges and to cease and desist from disclosure and books and recordkeeping violations.

Deals added to the SCI New Issuance database last week:
Agate Bay Mortgage Trust 2015-6; American Credit Acceptance Receivables Trust 2015-3; Avoca CLO XV; BBCMS 2015-MSQ; COMM 2015-CCRE26; Discover Card Execution Note Trust 2015-3; Fortress Credit BSL III; FREMF 2015-KF10; FREMF 2015-KS03; FRESB 2015-SB3; FRESB 2015-SB4; Hertz Vehicle Financing II Series 2015-2; Hertz Vehicle Financing II Series 2015-3; Hypenn RMBS IV; Idol 2015-1 Trust; JFIN CLO 2015-II; JPMCC 2015-SGP; MSBAM 2015-C25; Octagon Investment Partners XXV; PennUnion Re series 2015-1; Rongteng Individual Auto Mortgage-Backed Securitization 2015-2; STACR 2015-HQA1; Towd Point Mortgage Trust 2015-4; WFCM 2015-LC22; WFCM 2015-NXS3.

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; BSCMS 2006-PW13; CGCMT 2008-C7; COMM 2013-CR12; CSFB 2005-C5; CSMC 2006-C5; DBUBS 2011-LC2A; DECO 2006-C3; DECO 2007-E6; ECLIP 2006-2; ECLIP 2006-3; ECLIP 2007-2; FHSL 2006-1; GCCFC 2007-GG9; GSMS 2014-GC26; JPMBB 2014-C19; JPMCC 2007-CB18; JPMCC 2007-CIBC20; JPMCC 2007-LD12; MLMT 2008-C1; MSC 2012-C4; TITN 2006-3; TITN 2006-5; TITN 2007-2; TITN 2007-2, TITN 2006-2, TITN 2006-1 & TITN 2007-CT1; UBSBB 2013-C6; WBCMT 2007-C30; WFRBS 2013-C11; WFRBS 2014-C23; WINDM VII; WINDM X; WINDM XIV.


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