SCI Start the Week - 14 March

Category: ABS CDO CLOs


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

Pipeline
Last week's pipeline additions were heavily weighted toward ABS. There were seven new ABS, one ILS, three RMBS and two CLOs added.

The ABS were: US$422.841m Element Rail Leasing II 2016-1; US$1bn Ford Credit Auto Lease Trust 2016-A; US$395m OneMain Financial Issuance Trust 2016-2; US$312m Prestige Auto Receivables Trust 2016-1; US$300m Sierra Timeshare 2016-1; US$650.7m Synchrony Credit Card Master Trust Series 2016-1; and US$858m World Omni Auto Receivables Trust 2016-A.

US$175m Aozora Re 2016-1 was the ILS, while A$500m IDOL 2016-1, Offa 1 and Pepper 16 accounted for the RMBS. The CLOs were US$401.5m Carlyle Global Market Strategies CLO 2016-1 and US$358.5m Wellfleet CLO 2016-1.

Pricings
The week's prints consisted of five ABS, three RMBS and two CMBS. The sole CLO was US$470m Oaktree 2016-1.

The ABS were: US$440m California Republic Auto Receivables Trust 2016-1; US$991.28m Capital Auto Receivables Asset Trust 2016-1; US$493.5m Conn's Receivables Funding 2016-A; US$179.68m Lendmark Funding Trust 2016-A; and US$1.3bn MBALT 2016-A.

€540m FT RMBS Prado 2, A$300m Liberty Series 2016-1 and US$475m STACR 2016-HQA1 were the RMBS. The CMBS were US$1bn GSMS 2016-ICE2 and US$350m GSMS 2016-RENT.

Markets
US ABS sentiment was unchanged by the recent industry conference and tiering remains pronounced. JPMorgan analysts comment: "Plain vanilla, cash surrogate ABS continue to see strong demand. For example, in secondary, short credit card floaters have traded very well in recent weeks."

Corporate spreads to US agency RMBS have tightened significantly over the last couple of weeks, which Citi analysts note will support the RMBS basis. "Double-A corporate spread to production coupon Treasury ZV spreads currently stands at 16bp, compared with around 42bp in the middle of February," they say. "The spread pick up is back to the levels in June/July 2015 before investors started pricing China and Europe related risks."

Editor's picks
Increased appetite
: Direct lenders tend to focus on assets that aren't mainstream securitisation candidates and in that sense can be complementary to banks. However, panellists at SCI's inaugural Marketplace, Direct Lending & Securitisation Seminar last month expected European direct lenders to gain more market share as the sector transitions towards the US model...
Energy boost: Renovate America capital markets md Craig Braun and capital markets svp Adam Garfinkle answer SCI's questions...
ECB looks to provide boost: A new set of measures announced by the ECB could boost ABS supply. The central bank is launching a second TLTRO programme, expanding QE and cutting rates...
CLOs cut oil exposure: While the oil and gas sectors have been a relatively small part of the leveraged loan universe, US CLO exposure to these sectors varies greatly across deals. Combined with idiosyncratic issues in other sectors, the impact on CLOs has been significant, particularly at the most credit sensitive tranches of the capital structure...

Deal news
• Apollo Credit Management has refinanced the US$120m class A1b notes from its ALM VIII CLO, marking the first refinancing transaction in the sector since September. The tranche was redeemed at par, plus US$272,856 interest, by issuing replacement securities.
Rongteng 2016-1 Retail Auto Mortgage Loan Securitization is originator SAIC-GMAC's first Chinese auto ABS to feature a revolving structure and the second such deal to be issued in China's interbank market, says Moody's. The transaction was issued last month (see SCI's new issuance database).
• Navient has extended the legal final maturity date to 2055 on the senior tranche of SLC Student Loan Trust 2009-1, affecting US$150m of ABS bonds backed by federally guaranteed student loans. The move follows the amendment of transaction agreements for two other Navient-sponsored securitisation trusts last month.

Regulatory update
• The European Supervisory Authorities (ESAs) - EBA, EIOPA and ESMA - have published the final draft regulatory technical standards (RTS) outlining the framework for EMIR. The standards cover margin requirements for non-centrally cleared OTC derivatives.
• An Italian law decree introducing a flat tax on auction properties is credit positive for RMBS, ABS and covered bonds of secured loans to SMEs, says Moody's. The stamp duty exemption should attract a larger number of potential buyers, with a particular increase in short-term investors' appetite for auction properties.
• A Russian law strengthening limited recourse and removing restrictions on repurchasing mortgages on securitised pools is credit positive, says Moody's. For future RMBS transactions which use the limited recourse feature, creditors' claims upon enforcement of the pledged collateral will be limited only to specific assets.
• The California Public Employees' Retirement System has settled its case against Moody's for a record US$130m. The lawsuit alleged that Moody's assigned erroneous Aaa ratings to SIVs prior to the financial crisis.

Deals added to the SCI New Issuance database last week:
BPL Mortgages (2014 SME) (restructuring); Caixabank RMBS 1; CARS MTI-1 series 2016-1; Citi Held for Asset Issuance 2016-MF1; Citrus Re series 2016-1; COMM 2016-DC2; Denali Capital CLO XII; Driver Australia Three; FREMF 2016-KF14; Galileo Re series 2016-1; Lendmark Funding Trust 2016-A; Medallion Trust series 2016-1; Nationstar HECM Loan Trust 2016-1; Navient Student Loan Trust 2016-1; SoFi Professional Loan Program 2016-A; STACR 2016-HQA1

Deals added to the SCI CMBS Loan Events database last week:
COMM 2014-UBS3; DECO 2007-E5; ECLIP 2006-1; GCCFC 2006-GG7; GMACC 1997-C1; GSMS 2007-GG10; JPMCC 2007-CB19; JPMCC 2013-C10; MLCFC 2007-5; MLCFC 2007-7; MLMT 2004-KEY2; MSC 2007-T27; UBSBB 2012-C4; WINDM VII

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