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

Pipeline
Last week saw a greater variety of deals join the pipeline than had done in the week before. There were nine ABS announced along with three RMBS, four CMBS and a CLO.

The ABS were: US$117.813m BXG Receivables Note Trust 2015-A; US$1.25bn CARAT 2015-1; US$300.6m Credit Acceptance Auto Loan Trust 2015-1; €717m Driver Thirteen; US$434m Global Container Assets 2014 Series 2015-1; US$700m HDMOT 2015-1; US$625m Longtrain Leasing 2015-1; US$500m Kubota Credit Owner Trust 2015-1; and Motor 2015-1.

US$279.49m Agate Bay Mortgage Trust 2015-1, US$380m CSMC Trust 2015-WIN1 and US$514m Invitation Homes 2015-SFR1 accounted for the RMBS, while the CMBS were: US$200m CGCMT 2015-101A; US$340m Hyatt Hotel Portfolio Trust 2015-HYT; US$1.147bn MSBAM 2015-C20; and US$1.25bn SFAVE 2015-5AVE. The CLO was US$279.4m LMREC 2015-CRE1.

Pricings
A further six ABS priced last week, as did an RMBS, a CMBS and a CLO. The RMBS was US$210m Towd Point Mortgage Trust 2015-1 and the CMBS was US$1.13bn FREMF 2015-K42, while the first CLO of the year was US$509.3m Apidos CLO XX.

The ABS were: US$1.1bn AmeriCredit Automobile Receivables Trust 2015-1; US$1.5bn Ford Credit Auto Owner Trust Series 2015-REV1; US$100m Global SC Funding One Series 2015-1; US$130m Global SC Funding Two Series 2015-1; US$1.25bn Hyundai Auto Receivables Trust 2015-A; and US$689m Navient Private Education Loan Trust 2015-A.

Markets
The US CMBS market was active last week, with BWIC volume on Wednesday hitting US$400m, as SCI reported on Thursday (SCI 15 January). Spreads widened out in that session as SCI's PriceABS data picked up more than 60 unique US CMBS tranches out for the bid from a variety of vintages.

For US agency RMBS, "underperformance intensified this week as the sharp rally in rates and the spike in volatility continued relentlessly", say Citi analysts. "FN 4s and 4.5s led the underperformance initially as rolls collapsed but 3s and 3.5s have also come under pressure since Thursday. Global macro risks to the rate/vol outlook remain high and policy risks to MBS have also increased since the FHA announcement."

US non-agency RMBS activity picked up over the course of last week, starting with US$150m circulating on bid-lists on Monday (SCI 13 January). That was set to be dwarfed by a US$466m liquidation due on Tuesday.

US ABS spread performance was mixed last week, with credit card and senior prime auto ABS spreads generally tighter and equipment and auto ABS subordinates mostly wider. Barclays Capital analysts add: "ABS trading was more active this week, as an average of US$1.4bn was traded during the first four days of the week, compared with a daily average of US$1.25bn over the same time frame last week."

Spreads in the European ABS and RMBS secondary markets were mostly stable last week, with JPMorgan analysts noting a couple of sectors of outperformance. "UK risk continues to catch notable attention from investors as pricing disparities between ABSPP-eligible and non-eligible assets become more stark. In particular, UK buy-to-let and non-conforming backed RMBS deals, along with positions in Granite throughout the stacks, continue to offer value," they say.

Activity was fairly muted in the European CLO secondary market, say Bank of America Merrill Lynch analysts, although total BWIC volumes were over €400m. "Accounts appear to be cautiously waiting for next week's ECB announcement, particularly towards the top of the capital structure, though demand appears strong for higher yielding assets," they say.

Deal news
• An innovative real asset transaction backed by German care homes is currently in the private placement phase. Dubbed German Care Homes Fund, the vehicle aims to provide attractive returns at low risk, given that it is indirectly secured by the German social security system.
• JC Penney and Macy's have disclosed that they will respectively close 39 and 14 stores this year, including 15 properties backing US$479m of CMBS loans. Barclays Capital CMBS analysts identify Providence Place Mall in Rhode Island as the largest mall with a closing JCP: it has a US$51m pooled loan securitised in DBUBS 2011-LC3.
• The amount of US CMBS loans disposed with a loss in December stayed consistent month-over-month in that it remained lower than average, Trepp reports. The loss list was headlined by the US$80.5m Pier at Caesars loan securitised in MSC 2007-HQ13, which took a US$103.1m loss (128% severity).
• Moody's has downgraded from Baa3 to Ba1 the ratings of seven classes of notes issued by Tesco-linked CMBS. Approximately £3.89bn of debt (initial outstanding) is impacted by the move. The affected transactions are Delamare Finance and Tesco Property Finance 1-6.
• Portugal Telecom International Finance's five-year CDS widened 44% over the past month to price at its widest levels since October 2013, according to Fitch Solutions. This significantly outpaced the 6% widening observed for the overall European telecom sector over the same time period.
• Freefalling oil prices may have contributed to wider credit default swap (CDS) spreads on Enbridge Inc, according to Fitch Solutions latest CDS case study snapshot. Five-year CDS on the Canadian energy company have widened by 53% over the past month to levels not seen in over five years.

Regulatory update
• Bill H.R. 37- Promoting Job Creation and Reducing Small Business Burdens Act yesterday passed the House by a vote of 271-154. The bill, which aims to make technical corrections to the Dodd-Frank Act, has the potential - though somewhat low - of eventually becoming legislation and stabilising the US CLO market.
• The US SEC has adopted two new sets of rules that will require security-based swap data repositories (SDRs) to register with the SEC and prescribe reporting and public dissemination requirements for security-based swap transaction data. The new rules are designed to increase transparency in the security-based swap market and to ensure that SDRs maintain complete records of security-based swap transactions that can be accessed by regulators.
• Ocwen says that it is fully cooperating with the California Department of Business Oversight (DBO) to resolve an administrative action dated 3 October 2014 and has dedicated substantial resources towards satisfying the DBO's requests. The servicer believes it has effective controls in place to ensure compliance with the California Homeowners Bill of Rights and all single point of contact requirements under federal and state laws.

Deals added to the SCI New Issuance database last week:
BAMLL 2014-INLD; BMW Vehicle Lease Trust 2015-1; DCP Rights series 2014-1; ELM CLO 2014-1; LEAF Capital Funding SPE A Series 2014-A; Mercedes-Benz Auto Lease Trust 2015-A; New Residential Mortgage Loan Trust 2014-3; Voba Finance 5 (re-offered)

Deals added to the SCI CMBS Loan Events database last week:
ASC 1997-D4; BACM 2004-6; BACM 2005-1; BL Superstores; BSCMS 2007-PW15; CANWA II; CD 2005-CD1; CFCRE 2011-C1; CGCMT 2008-C7; COMM 2007-C9, CD 2007-CD5 & JPMCC 2007-CIBC20; COMM 2012-CR3; COMM 2012-LC4; COMM 2014-CR16; CSFB 2005-C1; CSFB 2005-C5; CSMC 2006-C2; CSMC 2006-C3; CSMC 2006-C4; CSMC 2006-C4 & CSMC 2006-C5; DBUBS 2011-LC1; DBUBS 2011-LC2; DBUBS 2011-LC3; DECO 2006-C3; DECO 2007-E7; ECLIP 2007-1; EPC 3; EURO 28; GCCFC 2005-GG5; GCCFC 2006-GG7; GCCFC 2007-GG9; GMACC 2004-C1; GMACC 2006-C1 & GECMC 2006-C1; GSMS 2006-GG8; GSMS 2007-GG10; GSMS 2011-GC3; GSMS 2012-GCJ7; JPMCC 2005-LDP; JPMCC 2005-LDP1; JPMCC 2006-CB17; JPMCC 2007-CB18 & JPMCC 2006-LDP9; JPMCC 2007-CB20; JPMCC 2007-LD11; JPMCC 2011-C4; LBUBS 2007-C1; MSBAM 2012-C6; MSC 2006-HQ8; MSC 2007-HQ12; MSC 2007-HQ13; TAURS 2; TAURS 2006-2; TAURS 2007-1; THEAT 2007-1 & THEAT 2007-2; TITN 2006-1; TITN 2006-2; TITN 2006-3; TITN 2006-5; TITN 2007-2; TMAN 5; TMAN 6; TMAN 7; UBSBB 2013-C5; WBCMT 2005-C17; WBCMT 2006-C26; WBCMT 2007-C30; WFRBS 2012-C10; WFRBS 2013-C18; WFRBS 2013-C18, WFRBS 2013-UBS1 & WFRBS 2014-LC14; WINDM X