Monday 13 June 2016 11:30 London/ 06.30 New York/ 19.30 Tokyo

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

Pipeline
The total number of deals joining the pipeline remained consistent last week, although ABS accounted for a smaller proportion than it had done previously. There were four new ABS as well as three RMBS, three CMBS and one CDO.

US$500m Chesapeake Funding II Series 2016-2, US$219.85m Foursight Capital Auto Receivables Trust 2016-1, US$111.2m NMEF Funding 2016-A and CNY4bn Rongteng 2016-2 Retail Auto Mortgage Loan Securitization were the ABS. The RMBS were US$161.7m COLT 2016-1, US$412.7m JPMMT 2016-1 and Triton Trust No.2 2016-1.

The CMBS consisted of US$1.28bn FREMF 2016-K55, US$500m LSTAR 2016-4 and US$240m VB-S1 Issuer Series 2016-1. The only CDO was S$600m-equivalent Astrea III.

Pricings
Many deals departed the pipeline. There were 11 ABS prints as well as an ILS, six RMBS, three CMBS and three CLOs.

The ABS were: US$400m California Republic Auto Receivables Trust 2016-2; US$183m CCG Receivables Trust 2016-1; US$1.8bn Chase Issuance Trust 2016-2; US$435m DT Auto Owner Trust 2016-3; US$300m Harley-Davidson Motorcycle Trust 2016-A; US$761m Navient Student Loan Trust 2016-3; €1.242bn Sunrise 2016-1; Sfr200m Swiss Auto Lease 2016-1; US$900m Trillium Credit Card Trust II 2016-1; CNY2.58bn VINZ 2016-1 Retail Auto Loan Securitization Trust; and US$550m Westlake 2016-2.

US$150m Blue Halo Re Series 2016-1 was the ILS. The RMBS were: €708m Arena NHG 2016-1; €500m Green Storm 2016; A$250m La Trobe Financial Capital Markets Trust 2016-1; A$2bn National RMBS Trust Series 2016-1; US$345m Sequoia Mortgage Trust 2016-1; and US$795m STACR Series 2016-DNA3.

US$162m BBSG 2016-MRP, US$337m JPMCC 2016-FL8 and US$133m LMRK Issuer Co Series 2016-1 were the CMBS. The CLOs were US$450m ALM XVIII, €463m Avoca CLO XVI and €363m Cairn CLO VI.

Markets
US ABS technicals remained stable last week and spreads held firm. JPMorgan analysts comment: "Primary market concessions to secondary have diminished in benchmark credit card and auto sectors. However, tiering remains pronounced with liquidity still a concern for discerning investors. Despite improvement in pricing and demand, transactions from off-the-run names and asset classes do require premiums and more effort to successfully execute."

The US CLO secondary market ended on something of a hot streak, as SCI reported last week (SCI 9 June). A triple-A list on Thursday included Tier 1 triple-A paper at around 140bp.

The European CLO market was quieter, but stable. As SCI reported (SCI 9 June), secondary spreads were flat to slightly tighter over the week, but liquidity remains thin.

Editor's picks
Trups trinity
: The Trups CDO sector has shown signs of resurgence in recent months. A trio of new deals, improved performance and attractive secondary market opportunities have generated optimism about the asset class...
BTL stampede: Buy-to-let lending in the UK surged in the weeks leading up to the recent stamp duty changes, with implications for RMBS. Lending rose from £3.6bn in February to £7.4bn in March, although the loan approval figures actually fell slightly...
Risky retail: US CLO exposure to retail names has come under closer scrutiny in the last couple of months as store closures and the shift to online shopping weigh on the industry. Against this backdrop, the success of specialty brands is driving differentiation across the sector...
Euro SF risk overestimated?: The amended external ratings based approach (EBRA) for calculating regulatory capital changes in European structured finance transactions has come under scrutiny in a recent report from Scope Ratings. Entitled 'External Rating Based Approach: One-size-fits-all limits banks' lending capacity', the study analyses the 11 European SF transactions rated by the agency and questions whether the EBRA amendments may result in the overestimation of the expected economic risk in certain tranches...
UK BTL portfolio sale planned: UKAR plans to follow last year's £13bn Granite portfolio sale (SCI 15 November 2015) with the offloading of a further £16bn in mortgages, understood to be the pool backing Bradford & Bingley's outstanding Aire Valley master trust securitisation programme. The sale process is expected to start this year...

Deal news
• Caliber Home Loans is in the market with the first post-crisis RMBS backed by newly originated non-prime mortgage loans. Dubbed COLT 2016-1 Mortgage Loan Trust, the US$161.71m transaction is backed by 368 loans with credit scores (701) similar to legacy Alt-A collateral.
• Renovate America has priced the largest PACE ABS to date, a US$305.3m designated green bond. HERO Funding Trust 2016-2 is the seventh deal from Renovate, pushing the programme's total issuance to US$1.35bn.
• Astrea Capital, a subsidiary of Azalea Asset Management, is in the market with a collateralised fund obligation. Astrea III consists of notes backed by the cashflows generated by a pool of 34 private equity funds.
• Amanah Saham Nasional Berhad (ASNB) is prepping the first issuance under its new RM10bn Perpetual Nominal Value MTN Amanah Saham Bumiputera (ASB) securitisation programme. Dubbed Westeros Capital, the deal is the first rated Malaysian ABS involving personal loans secured against ASB investments.
• Navient has extended a further US$1.1bn in FFELP student loan ABS. The amendments include the extension of the legal final maturity dates for the A7 and B tranches of SLM Trust 2003-14 to 2065.

Regulatory update
• The European Parliament's ECON Committee rapporteurs have published their first drafts for resolutions on the proposed new European securitisation regulations. The tone of the documents suggests a preference for a tougher regulatory stance on securitisation.
• The US SEC has adopted trade acknowledgement and verification rules for security based swaps (SBS), requiring related entities to provide full terms of transactions. The move is designed to help promote the efficient and effective operation of the SBS market.
• A UK-based investment adviser and its cio have agreed to settle US SEC charges that they breached their fiduciary duties by operating two private funds in a manner inconsistent with prior disclosures. James Caird Asset Management (JCAM) and Timothy Leslie will pay more than US$2.5m to settle the charges.

Deals added to the SCI New Issuance database last week:
ALM XIX; Arena NHG 2016-I; Arrowpoint CLO 2016-5; Avoca CLO XVI; BA Credit Card Trust 2016-1; BPCE Consumer Loans FCT 2016-5; Colony American Finance 2016-1; Drug Royalty III LP 1 (Series 2016-1); FREMF 2016-K1502; FRESB 2016-SB17; Hertz Vehicle Financing II Series 2016-3; Hertz Vehicle Financing II Series 2016-4; KKR CLO 14; National RMBS Trust 2016-1; OneMain Financial Issuance Trust 2016-3; Sunrise series 2016-1; TCI-Flatiron CLO 2016-1; TIAA CLO I; WFCM 2016-C34

Deals added to the SCI CMBS Loan Events database last week:
BACM 2004-6; BACM 2006-5; CD 2007-CD4; CGCMT 2007-C6; CGCMT 2008-C7; CGCMT 2012-GC8; CSFB 2004-C5; DECO 2006-C3; DECO 7-E2; ECLIP 2006-3; EURO 26; GCCFC 2006-GG7; GCCFC 2007-GG9; JPMCC 2010-C1; LBUBS 2005-C1; LBUBS 2006-C6; MSC 2007-HQ11; MSC 2011-C3; MSC 2015-420; WBCMT 2007-C30; WFCM 2014-LC16; WFCM 2015-C28 & CGCMT 2015-GC29; WFRBS 2014-C20; WFRBS 2014-C25; WINDM X


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