Monday 21 September 2015 11:22 London/ 06.22 New York/ 19.22 Tokyo

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

Pipeline
Fewer deals joined the pipeline last week. At the final count there were three new ABS, two RMBS, four CMBS and one CLO.

US$1bn Drive Auto Receivables Trust 2015-D, Eagle Credit Card Trust Series 2015-1 and US$807.98m Shenton Aircraft Investment I accounted for the ABS. The RMBS were US$1.97bn JPMMA L Street Securities Series 2015-CH1 and US$872m STACR 2015-HQA1.

C$570m Canadian Commercial Mortgage Origination Trust 2015-3, US$258m Colony Mortgage Capital Series 2015-FL3, US$1.1bn COMM 2015-CCRE26 and €258.4m DECO 2015-Ruby constituted the week's CMBS. The sole CLO was US$250m Financial Institution Note Securitization 2015-1.

Pricings
The number of deals pricing was also lower last week than it had been the week before. There were three ABS, three RMBS, three CMBS and three CLO prints.

US$300m CPS Auto Receivables Trust 2015-C, C$537.6m Ford Auto Securitization Trust 2015-R4 and A$500m Series 2015-1 REDS EHP were the ABS. The RMBS were Genesis Trust II Series 2015-2, A$300m Liberty Series 2015-1 SME and A$460m Securitised Australian Mortgage Trust 2015-1.

US$400m BBCMS 2015-MSQ, US$959m CGCMT 2015-GC33 and US$963.7m Wells Fargo Commercial Mortgage Trust 2015-LC22 made up the week's CMBS. Lastly, the CLOs were US$406.43m Ares XXXV CLO, US$415.3m Benefit Street Partners CLO 2015-1R and US$512.2m Dryden 41 Senior Loan Fund.

Markets
US ABS spreads tightened 2bp in credit card ABS and were steady in other asset classes, say JPMorgan analysts. They add: "Our bank credit card ABS index charge-offs rise in August for the first time in three consecutive months from 2.09% to 2.18%. Three-month average excess spread declined 10bp to 13.60% month over month."

Spreads were slightly wider in the US CMBS market. Barclays analysts say: "The CMBS market was transfixed this week by a large amount of issuance pricing and the Federal Reserve's decision to not raise rates on Thursday, but spreads were ultimately slightly wider week-over-week in secondary trading, while new issue bonds priced in line with guidance."

Around €140m of European CLO bonds appeared on BWICs last week, report Bank of America Merrill Lynch analysts. "Trading levels appeared slightly softer than in recent weeks, potentially explained by the reduced liquidity with so many market participants away from their desks. 1.0 single-A bonds generally traded at spreads in the mid-200s, for 2.5 to 3.5 year paper," they say.

Editor's picks
PACE ABS supported?:
The PACE market is expected to grow rapidly once certain regulatory overhangs are fully addressed, with rated ABS issuance cited as one potential funding source. This is in light of an FHA announcement last month, stating its intent to allow borrowers to use single-family FHA financing for properties with existing PACE loans that meet certain conditions...
CDS trading platform mooted: ICE is said to be exploring the launch of an anonymous single name CDS trading platform as part of industry efforts to revive the credit derivatives market. The clearinghouse is understood to have circulated such a proposal among a number of buy- and sell-side players as one solution to the lack of liquidity in the sector...
Swaps collusion settlement reached: A dozen banks have agreed to pay a US$1.87bn settlement to investors in a case accusing them of rigging the CDS market by deterring and delaying credit derivatives products from reaching open and regulated platforms. ISDA and Markit have also agreed to their involvement in the settlement after supposedly colluding in blocking competitor providers from entering the market...

Deal news
• There were 13 loans with a balance of US$100.7m securitised in LBUBS 2006-C4 liquidated at 53.6% severity last month, according to September remittance data. All 13 loans were under US$20m, but the timing of the liquidations resulted in large cash outflows.
• September remittance shows seven liquidated loans for JPMCC 2006-LDP7. The loans had US$133.7m in total balance and were liquidated at a severity of 63%, with losses wiping out the deal's G and H tranches.
• The issuer for Cairn CLO III - the first-ever European CLO 2.0 deal - intends to make a number of amendments to the transaction to bring it line with market developments, including risk retention requirements. If executed, the proposal would effectively refinance the deal and extend the non-call, reinvestment and maturity dates of the notes.
• Fair Oaks Income Fund has entered into binding contracts to acquire, in the primary market, US$26m notional of Ares XXXV CLO equity notes. The investment represents 68.5% of the Ares Management transaction's total equity.
• Dock Street Capital Management has replaced Vanderbilt Capital Advisors as the collateral manager for Lakeside CDO II. Fitch was notified that the holders of at least 66% of the aggregate outstanding amount of the controlling class agreed to the new appointment.
• The final price for Alpha Appalachia Holdings CDS has settled at six. During yesterday's auction, 11 dealers submitted initial markets, physical settlement requests and limit orders to settle trades across the market referencing the entity.
• Navient has amended the transaction agreements for 16 of its FFELP student loan ABS trusts, allowing it to purchase up to 10% of the trusts' initial pool balance, as well as to provide loans to the trusts under a subordinated revolving credit agreement (RCA). The securitisations affected by the amendments are SLM Student Loan Trust 2003-1, 2003-4, 2003-5, 2003-7, 2003-11, 2003-14, 2004-1, 2004-3, 2004-10, 2005-4, 2005-5, 2005-10, 2006-1, 2007-6, 2007-8 and 2012-3.
• Navient has exercised it 10% call option on four more FFELP student loan ABS trusts, following its decision to call three trusts last month (SCI 11 August). US$636m of outstanding bonds across the four trusts - SLM Student Loan Trust 2004-6, 2004-9, 2005-1 and 2005-2 - will be repaid on 26 October.

Regulatory update
• RBS had agreed to pay US$129.6m to the NCUA over a case involving losses related to RMBS that the bank sold to Members United and Southwest corporate credit unions. The latest settlement means the NCUA has now obtained more than US$1.9bn in legal recoveries from institutions linked to the corporate crisis.
• The US SEC has adopted amendments to remove credit rating references in the principal rule governing money market funds and the form that they use to report on their portfolio holdings. The SEC has also adopted amendments that would subject additional securities to issuer diversification provisions in the money market fund rule.
• The Australian Financial Markets Association (AFMA) is working with the Australian regulatory authorities to develop a near-risk free benchmark interest rate. The new benchmark would complement the Bank Bill Swap (BBSW) reference rate that AFMA administers, which continues as the principal domestic benchmark rate.
• The FHFA has released an update on the Common Securitisation Platform (CSP), detailing progress made in the development of a new infrastructure for the securitisation of single-family mortgages by Fannie Mae and Freddie Mac. The update includes details on the organisational structure of Common Securitisation Solutions and the various modules that comprise the CSP and their functions.

Deals added to the SCI New Issuance database last week:
Albion No. 3; Ally Auto Trust 2015-2; CarNow Auto Receivables Trust 2015-1; CCG Receivables Trust 2015-1; Driver UK Three; Dukinfield; Fifth Street Senior Loan Fund II; First National Master Note Trust Series 2015-1; Hyundai Auto Receivables Trust 2015-C; Medallion Trust series 2015-2; NewStar Commercial Loan Funding 2015-2; RedZed Trust series 2015-1; Securitised Australian Mortgage Trust 2015-1; Silver Arrow Compartment 6; Storm 2015-II; York CLO-2

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-C5; BACM 2006-3; BACM 2007-2; CGBAM 2014-HD; CMLT 2008-LS1; CSMC 2006-C3; CSMC 2006-C4; CSMC 2007-C5; FUCMT 1999-C1; GCCFC 2005-GG3; GECMC 2007-C1; GMACC 2006-C1; GSMS 2005-GG4; HGMT 2015-HGLR; INFIN SOPR; JPMCC 2006-LDP7; JPMCC 2008-C2; LBUBS 2006-C1 & LBUBS 2006-C7; LBUBS 2006-C4; MLCFC 2006-3; MSBAM 2013-C9; MSC 2007-IQ13; TIAA 2007-C4; TMAN 5; WBCMT 2007-C32; WFCM 2014-LC18; WFRBS 2011-C2; WINDM X


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