Monday 18 May 2015 13:01 London/ 08.01 New York/ 21.01 Tokyo

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

Pipeline
It was another active week for the pipeline. At the final count there were 13 new ABS, one ILS, three RMBS, five CMBS and one CLO.

The ABS were: US$500m Avis Budget Series 2015-2; C$479m BMW Canada Auto Trust 2015-1; £490m CPUK (refinance); US$809m DRIVE 2015-B; US$1.88bn Ford Credit Auto Owner Trust 2015-B; €543.5m Globaldrive Auto Receivables 2015-A; US$180m GO Financial Auto Securitization Trust 2015-1; US$402m Nelnet Student Loan Trust 2015-3; €518m Pass Compartment France; A$500m SMART ABS 2015-2Swiss Credit Card Issuance 2015-1; and Swiss Credit Card Issuance 2015-2.

US$200m Compass Re II Series 2015-1 was the ILS, while Dilosk RMBS No.1, £350m Gemgarto 2015-1 and WinWater Mortgage Loan Trust 2015-A were the RMBS. The CMBS were: US$360m BBCMS Trust 2015-RRI; US$775m CSMC 2015-DEAL; US$1.24bn GSMS 2015-GC30; US$255.6m MSCCG Trust 2015-ALDR; and US$181m RAIT 2015-FL4.

The CLO was US$500m Galaxy XX CLO.

Pricings
The week's issuance consisted of a further 11 ABS, as well as one ILS, two RMBS, one CMBS and five CLOs.

The ABS were: €450m Bavarian Sky France Compartment French Auto Leases 1; US$1.26bn Capital Auto Receivables Asset Trust 2015-2; US$650m Capital One Multi-asset Execution Trust 2015-2; US$425m Capital One Multi-asset Execution Trust 2015-3; US$550m Exeter Automobile Receivables Trust 2015-2; US$750m GMF Floorplan Owner Revolving Trust Series 2015-1; C$241m Hollis II 2015-2; US$1bn Honda Auto Receivables 2015-2 Owner Trust; US$130m North Mill Equipment Funding 2015-A; US$1.25bn OneMain Financial Issuance Trust 2015-2; and US$700m Porsche Innovative Lease Owner Trust 2015-1.

US$700m Alamo Re Series 2015-1 was the ILS. The RMBS were €3.28bn BBVA RMBS 15 and A$1bn Firstmac Mortgage Funding Trust No.4 Series 1-2015, while the CMBS was US$1.47bn FREMF 2015-K718.

Lastly, the CLOs were: US$513m Apidos CLO XXI; €3.75bn FTA PYMES Santander 11; US$413.7m Garrison Funding 2015-1; US$566m Mountain View CLO 2015-9; and €415m Orwell Park CLO.

Markets
"The [US] ABS primary and secondary markets were active this week, with approximately US$7.2bn of transactions priced and US$1.3bn traded in the first four days," comment Barclays Capital analysts. Auto ABS spreads widened amid solid primary issuance and heavy trading.

Activity picked up meaningfully in the US CLO market, say Bank of America Merrill Lynch analysts. Triple-As comprised the largest share among the 2.0 BWIC line items. "With primary issuance having slowed down from April, spread levels tightened across the entire 2.0 capital stack to 145bp, 190bp, 290bp, 390bp, 625bp and 790bp from triple-A to single-B. As we expect near-term CLO issuance to be constrained by limited loan supply and the tight arbitrage, we remain constructive in the sector and continue to favor 3.0 mezz," the analysts say.

The European ABS and RMBS secondary markets were quiet last week. "On the back of thinner volumes, spreads demonstrated an indifference to broader market moves, with only mild weakening in levels put on peripheral risk. Generically, Portugese RMBS seniors have now retraced to levels last seen in September - giving back all of the intervening ABSPP-inspired rally," comment JPMorgan analysts.

Editor's picks
Old haunts
: The spectre of redenomination risk has reappeared in the European RMBS market with the possibility of a Greek exit from the EU...
Libor floor trade mooted: CLO equity investors can sell long-dated Libor floors matching those embedded in CLO asset portfolios to monetise the time value in such embedded options...
Pulled CMBS may need rethink: RBS has postponed the sale of its £141m Antares 2015-1 CMBS, which was being publically marketed last month...
CMBS warehousing times eyed: The average time taken from origination for US CMBS loans to be placed in conduit deals appears to be lengthening...

Deal news
• May remittance indicates that the GCCFC 2007-GG9 CMBS received a wave of cashflows and realised losses, after eight loans were liquidated and another prepaid with yield maintenance. One of the liquidated loans was the Schron Industrial Portfolio, which incurred a full B-note loss.
• The DSB Bank trustees last week provided an update on the progress of the duty-of-care claims process for the Chapel 2003 and 2007, Monastery 2004 and 2006 and Dome 2006 RMBS. As of end-March, 69,000 requests had been filed under the Mass Claims Settlement Act (WCAM) at a run rate of 300 applications per week.
• PennyMac disclosed in its 1Q15 results that it has entered into a credit risk transfer structure with Fannie Mae in relation to the REIT's correspondent mortgage production. Under the programme, PennyMac will continue to produce conventional conforming loans and securitise up to US$1bn of them on a flow basis through a new SPV, dubbed PMT CRT 2015-1.
• S&P has upgraded the JPMCC 2012-C8 class B, C, EC and D notes by one notch each to double-A plus, single-A plus, single-A plus and single-A minus respectively. The move is believed to be the first rating action on a CMBS 2.0 bond rated by S&P and follows Moody's upgrading of two COMM 2010-C1 tranches last month.
• Dock Street Capital Management has replaced Rabobank International as collateral manager for Solstice ABS CBO. Based on the terms of the restated collateral management agreement, Moody's says there will be no withdrawal, reduction or any other adverse action to any related ratings.

Regulatory update
• Tradeweb Markets has completed the first packaged MBS and US dollar swap transaction on a SEF. Axonic Capital executed the trade on the Tradeweb TW SEF prior to the US CFTC's no-action relief deadline (SCI 12 November 2014), with the trade clearing at CME Group.
• The European Covered Bond Council (ECBC) has unveiled a plan to create instruments to finance SME lending, in response to the European Commission's Green Paper on Building a Capital Market Union. The proposed instruments are called European Secured Notes (ESN) and blend covered bond and securitisation techniques.
• The EBA has launched a public consultation on its draft regulatory technical standards (RTS) defining the valuation of derivative liabilities for the purpose of bail-in resolutions. The standards have been developed within the framework of the Bank Recovery and Resolution Directive, which sets procedures for the recovery and resolution of credit institutions across the EU.
• The Joint Committee of the three European Supervisory Authorities has published a report detailing its findings and recommendations regarding the disclosure requirements and obligations relating to due diligence, supervisory reporting and retention rules in existing EU law on structured finance instruments (SFIs). The report's recommendations include the need to harmonise due diligence requirements across EU sectorial legislation.
• The LMA has responded to a number of criteria proposed by the EBA and BCBS/IOSCO for identifying simple, transparent and standardised (STS) securitisations, as well as a number of criteria put forward in the delegated acts of Solvency 2. The response states that the current proposals, if implemented, would exclude managed CLOs from being able to qualify as STS securitisation largely on the basis that the portfolio of assets is actively managed.
AFME has published its responses to the European Commission's Green Paper on Building a Capital Markets Union (CMU) and to its consultations on high quality securitisation. The responses provide guidance as to what AFME's members view as immediate objectives and overarching priorities.
• A US district court has ruled that Nomura made false statements in selling MBS to Freddie Mac and Fannie Mae prior to the 2008 financial crisis. However, the court has set out an order for the FHFA to submit a proposed judgment with updated damages figures. The judgement will be issued on claims relating to the following transactions: NAA 2005-AR6, NHELI 2006-FM1, NHELI 2006-HE3, NHELI 2006-FM2, NHELI 2007-1, NHELI 2007-2 and NHELI 2007-3.
• The English High Court's ruling in the 'Fondazione Enasarco v (1) Lehman Brothers Finance S.A. and (2) Anthracite Rated Investments (Cayman) Limited [2015] EWHC 1307 (CH)' case yesterday has repercussions for the structured products and derivatives markets. Among the judge's findings is that a structured product SPV can calculate its loss by reference to the cost of a replacement transaction entered into by the investor.

Deals added to the SCI New Issuance database last week:
Allegro CLO III; Avery Point VI CLO; Bluestep Mortgage Securities No. 3; CarMax Auto Owner Trust 2015-2; CNH Equipment Trust 2015-B; COMM 2015-CCRE23; Delamare Cards MTN Issuer 2015-1; Foursight Capital Automobile Receivables Trust 2015-1; FS Senior Funding CLO; LCM XII (refinancing); Monroe BSL CLO 2015-1; Penta CLO 2; Synchrony Credit Card Master Note Trust series 2015-2

Deals added to the SCI CMBS Loan Events database last week:
BACM 2004-6; BACM 2005-3; BACM 2006-6; BSCMS 2006-PW13; BSCMS 2006-PW14; BSCMS 2006-PWR11; CD 2006-CD3; CSFB 2004-C5; CSMC 2006-C4; DECO 2006-E4; ECLIP 2006-2; EMC VI; EURO 28; GCCFC 2004-GG1; GCCFC 2005-GG3; GCCFC 2006-GG7; GCCFC 2007-GG9; LBUBS 2005-C5; LBUBS 2006-C6 & LBUBS 2006-C7; LBUBS 2007-C1; MSC 2011-C3; TAURS 2006-1; TAURS 2006-2; TAURS 2007-1; Taurus 2015-1 IT; THEAT 2007-1 & THEAT 2007-2; TITN 2006-3; UBSCM 2012-C1; WBCMT 2006-C23; WBCMT 2007-C30, LBUBS 2007-C1 & LBUBS 2007-C2


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