Monday 12 September 2016 11:10 London/ 06.10 New York/ 19.10 Tokyo

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

Pipeline

A flood of ABS and CMBS additions swelled the pipeline last week. There were 18 of the former and seven of the latter.

The ABS consisted of: US$250m BCC Funding XIII Series 2016-1; US$769m Capital Auto Receivables Asset Trust 2016-3; US$752m CNH Equipment Trust 2016-C; US$230m First Investors Auto Owner Trust 2016-2; €514.5m Globaldrive Auto Receivables 2016-B; US$1.08bn GM Financial Automobile Leasing Trust 2016-3; US$320m HERO Funding 2016-3; US$1.2bn Hyundai Auto Receivables Trust 2016-B; NZ$200m MTF Torana Trust 2016; US$202.8m Navitas Equipment Receivables Series 2016-1; US$850m Nissan Auto Lease Trust 2016-B; US$362.2m OSCAR US 2016-2; US$203m SoFi Consumer Loan Program 2016-4; US$1.745bn SpringCastle Funding Asset-Backed Notes 2016-A; US$502m TCF Auto Receivables Owner Trust 2016-1; US$150.4m United Auto Credit Securitization Trust 2016-2; US$500m USAA Auto Owner Trust 2016-1; and US$300m Vistana 2016-A.

The CMBS were: CGCMT 2016-P5; US$900m GSMS 2016-GS3; US$900m JPMCC 2016-JP3; US$900m JPMCC 2016-NINE; US$235m JPMCC 2016-WSP; US$280m RAIT 2016-FL6; and C$421.5m REAL-T 2016-2.

Pricings
There would have been even more pipeline additions registered last week were it not for a few swift pricings. At the final count there were six ABS prints, two RMBS and two CLOs.

The ABS were: US$1.1bn Chase Issuance Trust 2016-A7; US$1.5bn Mercedes-Benz Auto Receivables Trust 2016-1; US$209.665m New York Counties Tobacco Trust VI; US$533.9m PHEAA Student Loan Trust 2016-1; US$475.26m Utility Debt Securitization Authority Restructuring Bonds Series 2016-B; and US$941.49m WOART 2016-B.

£321m Dukinfield II and €1.9bn STORM 2016-II were the RMBS. The CLO prints were US$411m Garrison Funding 2016-1 and US$706m Octagon Investment Partners 28.

Markets
The European CLO secondary market continued to tighten last week, as SCI reported on Thursday (SCI 8 September). "We saw the rally accelerating in the second half of August and that's kept going in September so far," says one trader. "Tightening hasn't been the usual summer result of just a handful of trades - there were a lot of flow trades in August and that's carried on this week with demand pretty broad across the European investor base."

The US CLO market has also continued to surge (SCI 8 September). "The key theme is that spreads are continuing to tighten, particularly in the senior territory," says one trader. "Double-As and triple-As are trading either close to or above par. There is also a triple-A BWIC today that includes some decent names and should perform similarly."

"[US ABS] spreads are beginning September on the tight side based on a rally shaped by robust demand in Q2 and Q3," say Wells Fargo analysts. They note that most triple-A segments are at or near 2014 tights, with floating credit cards and subprime auto triple-A bonds having around 6bp-10bp left to tighten to reach 2014 lows.

Editor's picks
Prepayment spikes: Investors in US agency credit risk transfer RMBS are taking note of recent STACR prepayment spikes. Robust performance and the re-emergence of a structural nuance have spurred a shift in focus for a sector historically focused on credit risk...
Mall sentiment eyed: The price of CBL & Associates Properties' stock moved higher over the course of August, while the Markit CMBX.BB.6 index moved lower, marking the first time this year that the two have disconnected. Morgan Stanley CMBS strategists believe this disconnect may present an opportunity and suggest three different trades through which to capitalise on it...

Deal news
• More than 300 properties backing CMBS loans may be at elevated risk due to major flooding in Louisiana last month, says Morningstar Credit Ratings. Flood damage has been confirmed to the St Jean Apartments property, which backs a US$27.6m loan in FREMF 2014-KF05.
• The first significant credit issue to hit a FRESB CMBS occurred last month. The US$3.1m Park Place Apartments loan, securitised in FRESB 2016-SB17, became one-month delinquent and transferred to special servicing.
• Caliber Home Loans is in the market with its latest non-prime RMBS - the US$216.97m COLT 2016-2. Sterling Bank and Trust originated 15.3% of the pool, improving the borrower credit profile compared to the preceding transaction.
• Shanghai Renren Finance Leasing Co has launched Leasing Asset-Backed Securitization Plan II, which will be traded on the Shanghai Stock Exchange. Rated by United Ratings, the RMB510.6m ABS is collateralised by finance leasing contracts for used cars and will be administered by Founder Fubon Asset Management.

Regulatory update
• The US SEC last week provided Sancus Capital Management with a no-action letter in connection with an 'applicable margin reset' (AMR) procedure featuring in its proposed forthcoming CLO. The Commission stated that certain AMR procedures, as described by Sancus, would not constitute an "offer and sale of ABS by an issuing entity" within the meaning of Regulation RR (17 CFR Part 246).
• The FHFA's planned Common Securitisation Platform (CSP) might have a negative impact on credit unions, according to The National Association of Federal Credit Unions (NAFCU). In a recent letter to the FHFA, NAFCU counsel Ann Kossachev expresses several concerns about the potential pitfalls of the CSP.
• Kevin Blaney has agreed to pay a US$30,000 fine and serve a three-month suspension from association with any FINRA members over alleged misleading of customers. The suspension leaves the former Jefferies md and MBS salesman unable to make any contact in the industry until after 5 December.


×