SCI Start the Week - 2 November

Category: ABS CDO CLOs

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

The number of deals joining the pipeline and staying there grew again last week. In total there were eight new ABS, one ILS, three RMBS, one CMBS and two CLOs.

The ABS were: US$1bn AmeriCredit Automobile Receivables Trust 2015-4; US$650m Arby's Funding Series 2015-1; US$732m Bank of the West Auto Trust 2015-2; US$820m Nissan Auto Lease Trust 2015-B; Orbit Aircraft Leasing; US$505.3m Porsche Innovative Lease Owner Trust 2015-2; Scandinavian Consumer Loans V; and US$154m Skopos Auto Receivables Trust 2015-2.

US$300m Kilimanjaro Re Series 2015-1 was the sole ILS, while the RMBS were Duncan Funding 2015-1, Paragon Mortgages No.24 and US$1.07bn STACR 2015-DNA3. The CMBS was US$313m FREMF 2015-KVAD and the CLOs were €416m CGMSE 2015-3 and US$511.25m Neuberger Berman CLO XX.

A large number of deals also priced. The final count consisted of nine ABS, five RMBS, two CMBS and five CLOs.

The ABS were: US$250m Barclays Dryrock Issuance Trust Series 2015-3; US$250m Barclays Dryrock Issuance Trust Series 2015-4; US$115.3m Brazos Education Funding 2015-1; CARDS II Trust Series 2015-3; US$550m Discover Card Execution Note Trust 2015-4; US$750m Fifth Third Auto Trust 2015-1; US$450m Flagship Auto Trust 2015-3; €510m Titrisocram 2015; and €820.5m VCL 22.

US$344m JPMMT 2015-6, €1.03bn Penates Funding Compartment 5, A$300m Pepper Residential Securities Trust No.15, US$428m Progress 2015-SFR3 and US$1.12bn Towd Point Mortgages Trust 2015-5 made up the RMBS, while the CMBS were US$846m Hudson's Bay Simon JV Trust 2015-HBS and US$1bn MSBAM 2015-C26.

The CLOs were US$512m Benefit Street Partners CLO VIII, €1.96bn Claris SME 2015-1, US$599m FDF I, €412.8m Jubilee CLO 2015-XVI and US$407.71m OHA Credit Partners XI.

US ABS spreads were mostly unchanged, although Bank of America Merrill Lynch analysts note that container and railcar ABS spreads did widen 5bp and 20bp respectively. "Spread widening in these two sectors likely reflect weakening conditions in the related industries," they say. "TRACE data covering October 23rd to October 29th shows that there were 1,587 trades with total volume of at least US$3.6bn (based on current face)."

With little impetus for spread tightening, US CMBS spreads stayed flat across the board. Barclays analysts say: "As of Thursday's close, LCF 10-year triple-A bonds were at swaps plus 125bp. Lower in the capital stack, spreads were also flat for the single-A minus rated C tranche at swaps plus 300bp, and the triple-B minus rated mezzanine tranches held steady at swaps plus 490bp."

It was a slow week to end the month in European RMBS. "Selling pressure continues to exist in the UK BTL and NCF space (mezzanine in particular), although the segments held ground well and the seniors were relatively unaffected in spread terms during the week. Peripheral RMBS saw better buyers, resulting in c.2bp-3bp tightening across the stack of seniors," say JPMorgan analysts.

Editor's picks
Navient lays out FFELP recommendations: Navient has released repayment data on FFELP student loans, as well as a comment letter to Moody's regarding its ratings on ABS backed by such assets. The letter includes a number of recommendations, including Navient's belief that voluntary prepayments will continue to increase due to improving economic conditions, refinancing activity and the ultimate launch of the RePAYE programme...
Drug store deal CMBS impact weighed: Walgreens Boots Alliance is set to acquire Rite Aid for US$17.2bn, in a move which will impact almost US$10bn of CMBS conduit loans. There is slightly more 'high risk' exposure in legacy CMBS than in 2.0 deals...
US RMBS held: US non-agency RMBS secondary spreads are being held at or around recent wides by a range of external and internal factors. All eyes have been on the Fed and while the lack of a rate rise was anticipated, its hawkish comments mean fixed income and equities are off...

Deal news
• While S&P has affirmed Punch Taverns' ratings and revised its liquidity outlook from less than adequate up to adequate, the rating agency's use of its corporate methodology rather than corporate securitisation remains wrong, suggests Barclays credit analysts. With further non-core disposals expected, there is value to be found in Punch's bonds.
• TSB Bank has begun roadshowing its debut UK prime RMBS. Duncan Funding 2015-1 will not be issued from a regular master trust structure, but will maintain a revolving period of five years, with the ability to add new assets.
• The anticipated pay-off of the Stuyvesant Town/Peter Cooper Village loan (SCI 21 October) has prompted Fitch to place 12 bonds in four CMBS on rating watch positive. The rating agency has also revised its outlook for one class of notes.
• Freddie Mac has obtained its largest insurance policy to date under its ACIS programme. The transaction transfers much of the remaining credit risk associated with STACR 2015-DNA2.
• Kroll Bond Rating Agency has placed all of its outstanding ratings for Invitation Homes 2013-SFR1 on watch developing. The agency will keep this status in effect until it receives details from the servicer, Midland, as to whether the borrower will exercise one of its three one-year maturity extension options prior to the loan's current maturity date of 9 December.

Regulatory update
• The US FDIC's board has approved a final rule regarding the treatment of financial assets transferred in connection with a securitisation. Certain provisions adopted by the criteria for a securitisation safe harbour are set under the final rule.
• DBRS has agreed to pay nearly US$6m to the US SEC over charges that it misrepresented its surveillance methodology for rating certain RMBS and re-REMICs. The rating agency allegedly failed to conduct a monthly monitor of the transactions over a three-year period.

Deals added to the SCI New Issuance database last week:
Ascentium Equipment Receivables 2015-2 Trust; Capital One Multi-Asset Execution Trust 2015-7; Capital One Multi-Asset Execution Trust 2015-8; CarMax Auto Owner Trust 2015-4; Cerberus ICQ Levered CLO 2015-1; Citi Held for Asset Issuance 2015-PM2; Colony American Finance 2015-1; COMM 2015-CCRE27; Dell Equipment Finance Trust 2015-2; FCT Credit Agricole Habitat 2015; Foncaixa PYMES 6 ; Ford Credit Auto Lease Trust 2015-B; FREMF 2015-K49; FREMF 2015-K720; FRESB 2015-SB6; Golub Capital Partners CLO 26(B); Green Tree Agency Advance Funding Trust I Series 2015-T1; Green Tree Agency Advance Funding Trust I Series 2015-T2; GSCCRE 2015-HULA; Honda Auto Receivables 2015-4 Owner Trust; Kimi 4 (SCF Rahoituspalvelut I); Magnetite XV; Mercedes-Benz Auto Lease Trust 2015-B; MSBAM 2015-C26; Orange Lake Timeshare Trust 2015-A; Penates 5; Pepper Residential Securities Trust No. 15 ; SBA Tower Trust 2015-1; SMB Private Education Loan Trust 2015-C; VCL 22; World Financial Network Credit Card Master Note Trust Series 2015-C

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-6; BACM 2006-2; CGCMT 2014-GC25; COMM 2010-C1; COMM 2013-CR6; COMM 2014-CR15; COMM 2014-LC17 & COMM 2014-CR20; CSMC 2006-C1; DECO 2007-E5; DECO 2007-E6; DECO 2007-E7; DECO 6-UK2; DECO 7-E2; ECLIP 2006-1; ECLIP 2006-2; ECLIP 2006-3; ECLIP 2006-4; EURO 26; GCCFC 2007-GG11; GCCFC 2007-GG11 & CGCMT 2008-C7; GSMS 2011-C3; JPMCC 2005-CIBC13; JPMCC 2006-CB14; JPMCC 2011-C3; LBUBS 2007-C7; MSBAM 2013-C10 & MSBAM 2013-C12; MSBAM 2014-C18; MSBAM 2015-C21; MSBAM 2015-C22; MSC 2011-C1; WBCMT 2007-C33; WFRBS 2011-C2