Monday 14 September 2015 11:23 London/ 06.23 New York/ 19.23 Tokyo

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

Pipeline
It was another active week for the pipeline, with four new ABS and six CMBS added. There were also four RMBS announced - one from the UK, one from Canada and two from Australia.

US$300m CPS Auto Receivables Trust 2015-C, €750m Driver Espana Two, US$1.05bn Ford Credit Auto Owner Trust 2015-C and A$500m Series 2015-1 REDS EHP were the ABS. The RMBS were Genesis Trust II Series 2015-2, IDOL 2015-1 Trust, Light Trust No.5 and Warwick Finance Residential Mortgages No.2.

The CMBS were: US$757.3m BACM 2015-UBS7; US$959m CGCMT 2015-GC33; US$1.57bn FREMF 2015-K48; US$925m JPMCC 2015-SGP; US$708.2m MAD 2015-11MD; and US$963.7m Wells Fargo Commercial Mortgage Trust 2015-LC22.

Pricings
Several deals also priced. As well as nine ABS prints there were also five RMBS and two CLOs.

The ABS were: US$763.21m Ally Auto Trust 2015-2; US$131.2m CarNow Auto Receivables Trust 2015-1; US$310.4m CCG Receivables Trust 2015-1; C$511m CNH Capital Canada Receivables Trust Series 2015-2; £350m Driver UK Three; US$320.51m First National Master Note Trust Series 2015-1; US$1bn Hyundai Auto Receivables Trust 2015-C; CNY2.7bn Rongteng Individual Auto Mortgage-Backed Securitization 2015-2; and €1.028bn Silver Arrow Compartment 6.

£325m Albion No.3, US$477.73m American Homes 4 Rent 2015-SFR2, £460m Dukinfield, A$197m RedZed Trust Series 2015-1 and €1.2bn STORM 2015-II accounted for the RMBS. Meanwhile, the CLOs were US$398m NewStar Commercial Loan Funding 2015-2 and US$512m York CLO-2.

Markets
US ABS spreads were mostly stable as secondary trading remained light, report Barclays analysts. They say: "Given that non-mortgage ABS spreads are at their widest level in four years, while collateral fundamentals remain strong, we believe that non-mortgage ABS is attractively priced. That said, given our expectation of continued spread volatility in the ABS markets in the coming months, we favour shorter-dated tranches across ABS sectors."

US CLO secondary market activity picked up as the week wore on, following a very quiet post-Labor Day weekend Tuesday. BWIC volumes for the week reached around US$680m, according to Bank of America Merrill Lynch analysts. They add: "Investment-grade paper made up the majority of this week's volumes with triple-A to triple-B (original ratings) tranches making up 58%, 8%, 22% and 7% of all line items."

In Europe, the UK gapped widest, while other jurisdictions cheapened more modestly. "Exiting the summer lull and being bombarded with a plethora of deals in the primary (both priced and stacked up in the pipeline), coupled with a modest list of BWICs, primarily in the mezzanine space of CMBS and UK NCF RMBS, secondary spreads were tested for resiliency this week," say JPMorgan analysts.

Editor's pick
Equity gap:
A two-tier system is emerging within US CLO equity as large investors competitively expand their mandate while smaller players move out of the market. This emerging gap is also manifested in a wave of manager consolidation, as risk retention remains a dominant concern...

Deal news
• The US$61.8m Phoenix Airport Marriott loan has returned to special servicing, having previously gone into special servicing last year (see SCI's CMBS loan events database). The loan is securitised in BACM 2006-3. The US$45m Maxtor Campus loan in CSMC 2006-C4 has also moved into special servicing. Seagate Technology, which is the only tenant, intends to vacate at the end of its lease next March.
• Dock Street Capital Management is taking over as collateral manager for Kleros Preferred Funding. Vertical Capital gave notice of its intention to stand down as collateral manager in the summer (SCI 12 June).

Regulatory update
• The SEC has charged three traders over lying to customers with regard to pricing information on RMBS. Ross Shapiro, Michael Gramins and Tyler Peters allegedly generated millions of dollars in additional revenue for former employer Nomura Securities as a result of their supposed misconduct.
• Taberna Capital Management's recent settlement with the SEC in relation to charges made over its fraudulent management practices of 11 CDOs (SCI 3 September) is credit positive for the transactions, according to Moody's. The agency says that settlement proceeds for the CDOs - which have a par of around US$5.2bn - along with other diverted interest and principal proceeds, will pay down the notes as a result of the transactions' overcollaterlisation (OC) test failures.
• The recent Madden Ruling by the US Court of Appeals for the Second Circuit could have a limited, but negative, credit impact on Moody's-rated securitisations backed by bank-originated consumer marketplace lending loans. The ruling holds that non-bank debt collectors that purchase written-off credit card accounts from a bank cannot benefit from the bank's federal pre-emption of state usury laws (SCI 21 July).


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