SCI Start the Week - 17 October

Category: ABS CDO CLOs


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

Pipeline
The long list of additions to the pipeline last week was once more driven by auto ABS. There were 18 ABS additions - more than half of them autos - as well as five RMBS, four CMBS and two CLOs.

The ABS were: US$271.5m Ascentium Equipment Receivables 2016-2 Trust; US$201.23m Axis Equipment Finance Receivables IV series 2016-1; CarMax Auto Owner Trust 2016-4; US$350m Credit Acceptance Auto Loan Trust 2016-3; Driver UK Four; US$346.9m Flagship Credit Auto Trust 2016-4; US$1.32bn Ford Credit Auto Owner Trust 2016-C; Globaldrive Auto Receivables UK 2016-A; US$1.28bn Honda Auto Receivables 2016-4 Owner Trust; US$188.75m Iowa Student Loan Liquidity Corp 2016A; US$1.04bn Mercedes-Benz Auto Lease Trust 2016-B; US$176.2m Orange Lake Timeshare Trust 2016-A; US$188m PFS Financing Corp series 2016-B; US$343.6m Prestige Auto Receivables Trust 2016-2; SCF Rahoituspalvelut II (Kimi 5); US$3.5bn Sprint Spectrum Co series 2016-1; US$452.25m State Board of Regents of the State of Utah Series 2016-1; and RMB3.46bn VINZ 2016-2.

AFG Series Trust 2016-1, €272m DCDML 2016-1; London Wall Mortgage Capital Fleet 2016-01, €420m RMBS Prado III and US$382.5m Tricon American Homes 2016-SFR1 accounted for the RMBS, while the CMBS were US$610m CGBAM 2016-IMC, C$352.35m IMSCI series 2016-7, US$301.5m InSight Issuer series 2016-1 and US$512m TRU Trust 2016-TOYS. The CLOs were €450m Avoca CLO XVII and Carlyle Global Market Strategies Euro CLO 2016-2.

Pricings
New issuance was concentrated on ABS and RMBS, although a few CMBS and CLOs priced as well. There were six ABS and seven RMBS, along with three CMBS and two CLOs.

The ABS were: US$168.53m CommonBond Student Loan Trust 2016-B; US$206.34m CPS Auto Receivables Trust 2016-D; €478m Matsuba 2016; US$1.01bn Navient Student Loan Trust 2016-6; US$325m Sierra Timeshare 2016-3 Receivables Funding; and €1.25bn VCL 24.

The RMBS were: Hawksmoor Mortgages 2016-2, US$100m NRZ Advance Receivables Trust 2016-T2; US$400m NRZ Advance Receivables Trust 2016-T3; A$1.5bn SMHL 2016-1; €266m SRF 2016-1; £1.24bn Towd Point 2016-Auburn 10; US$625m Westlake Automobile Receivables Trust 2016-3.

The CMBS consisted of US$214m COMM 2016-667M, US$400m JPMCC 2016-WIKI and US$355m STORE Master Funding series 2016-1. The CLOs were US498m Cedar Funding VI CLO and €414.2m Tikehau CLO II.

Editor's picks
Excess baggage: Loan-level disclosure requirements under Regulation AB 2 are expected to have a limited impact on ABS issuers and investors when they come into effect on 23 November. While the rules aim to boost deal transparency, scepticism prevails about the value they will bring...
Changing places: Valuation consultancies have been a key recruitment growth area over the past year - either through incumbent firms expanding their headcount or as a result of new market entrants. Valuations-based hiring at sell-side institutions is also active for roles that cannot be offshored, although opportunities are more limited, given banks' prevailing efforts to cut costs...
Euro ABS/MBS active: The European ABS/MBS secondary market is staying active this week. "The busy primary market is taking a lot of attention, but there's still a lot of activity in secondary," says one trader. "That activity mainly surrounds bid-lists where we're seeing bonds from all sectors and up and down the capital structure. For the most part, those lists are being met with good demand, both from real money and dealers building their balance sheets..."
Euro RMBS shelves debut: The inaugural rated deals from two new European RMBS programmes have been announced. Both platforms are backed by asset managers active in the structured finance space...

Deal news
• The first-ever risk retention-compliant single-borrower CMBS has priced. The US$214m COMM 2016-667M is secured by a first lien on the borrower's fee interest in 667 Madison Avenue, a 25-story office building in Midtown Manhattan's Plaza District submarket.
• The first-ever re-REMIC securitising GSE credit risk-transfer securities has hit the market. The US$159.61m Bayview Opportunity Master Fund IVb Trust 2016-CRT1 is collateralised by 12 CRT securities, comprising M2 classes from various Fannie Mae Connecticut Avenue Securities (CAS) transactions and M3 classes from various Freddie Mac Structured Agency Credit Risk (STACR) transactions.
• Sprint Corporation is in the market with a rare wireless spectrum securitisation. Dubbed Sprint Spectrum Securitization Series 2016-1, the US$3.5bn transaction features a three co-issuer structure intended to maintain the separate silos of license holders that exist prior to the transfer of the licenses to the issuers.
• Conn's has entered into an agreement to sell the previously retained class C notes issued as part of its Conn's Receivables Funding 2016-A consumer ABS from March (see SCI's new issue database). The face amount of the class C notes is approximately US$70.5m and Conn's will receive upfront proceeds of around US$71.5m, net of transaction costs.
• Moody's has placed the ratings of eight tranches from four RMBS issued by Nationstar HECM Loan Trust on review with the direction uncertain. Affecting US$278m of securities, the action follows notification of incorrect data provided by Nationstar when Moody's assigned its ratings.
• A meeting of the Stanton MBS I controlling class has been convened for 31 October to pass an extraordinary resolution that would see Cairn Capital replace Cambridge Place Investment Management as the ABS CDO's third collateral manager. Instead of receiving direction in writing from at least a majority of the controlling class, the trustee is seeking direction from two-thirds of the controlling class under the extraordinary resolution.
• Morningstar Credit Ratings believes that the US Department of Education's termination of its recognition of the largest accrediting agency of for-profit colleges - the Accrediting Council for Independent Colleges and Schools (ACICS) - intensifies default risk on US$400.6m of CMBS. Overall, 19 CMBS loans with an allocated property balance of US$549.5m have exposure to for-profit colleges that are accredited by ACICS.

Regulatory update
• The European Parliament discussed proposed amendments to the draft regulation for simple, transparent and standardised (STS) securitisation last week. Ahead of this exchange, eight European trade associations released a paper highlighting the importance of securitisation for jobs and growth in Europe and underlining their commitment to supporting a safe and sustainable market that serves the real economy.
• The Basel Committee has released a consultative document and discussion paper on policy considerations regarding the regulatory treatment of accounting provisions under the Basel 3 capital framework. This follows the adoption of provisioning standards based on expected credit loss (ECL) by the IASB and FASB.
• The US CFTC has voted to propose rules and interpretations addressing the application of certain swap provisions of the Commodity Exchange Act and regulations to cross-border transactions. The proposal defines key terms for cross-border transactions and addresses the cross-border application of the registration thresholds and external business conduct (EBC) standards for swap dealers and major swap participants.

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