Monday 22 February 2016 09:51 London/ 04.51 New York/ 17.51 Tokyo

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

Pipeline
Pipeline entrants were dominated by ABS issuers last week. A handful of CDOs/CLOs and CMBS deals also began marketing.

Auto ABS continues to be well represented, with the US$1.02bn Ally Auto Receivables Trust 2016-2, US$810.82m Ford Credit Auto Owner Trust 2016-REV1 and US$1.25bn Toyota Auto Receivables 2016-A Owner Trust transactions newly announced last week. Consumer ABS deals comprised US$140.9m Citi Held for Asset Issuance 2016-MF1 and US$179.68m Lendmark Funding Trust 2016-A. These were rounded out with US$756m John Deere Owner Trust 2016, €1.01bn Multi Lease AS 2016 and US$382m Utility Debt Securitization Authority Restructuring Bonds Series 2016A.

The CDOs/CLOs entering the pipeline consisted of: US$358.28m Denali Capital CLO XII, US$500m Madison Park Funding XX, US$360m Neuberger Berman CLO XXI and US$3475m Trust Preferred Insurance Note Securitization 2016-1. The CMBS included US$640m COMM 2016-787S, US$833m JPMBB 2016-C1 and US$666.6m MSCI 2016-UBS9.

Finally, the US$100m Manatee Re 2016-1 catastrophe bond was also announced.

Pricings
Similarly, auto ABS dominated last week's pricings, along with three CMBS and one RMBS.

The auto ABS prints included: US$556m ARI Fleet Lease Trust 2016-A, US$972.08m GM Financial Automobile Leasing Trust 2016-1, US$1.025bn Honda Auto Receivables 2016-1 Owner Trust and CNY2.71bn Rongteng 2016-1 Retail Auto Mortgage Loan Securitization. A consumer ABS - the US$124.8m Oportun Funding II Series 2016-1 - also priced.

Last week's new issue CMBS were US$765m 225 Liberty Street Trust 2016-225L, US$955m MSBAM 2016-C28 and US$875mn WFCM 2016-NXS5. The RMBS print was the US$1.23bn-equivalent Silverstone Master Issuer Series 2016-1.

Editor's picks
Governmental intervention test resolved: The three-judge external review panel convened by ISDA in connection with the Novo Banco governmental intervention credit event (GICE) question (SCI 29 January) has ruled that CDS referencing Novo Banco were not triggered on 29 December 2015 when the Bank of Portugal re-transferred five senior bonds back to Banco Espirito Santo. This marks the first time that the external review process has been used by ISDA's EMEA credit derivatives determinations committee and the first test of the GICE, which was added to the 2014 ISDA credit derivatives definitions to address regulations for resolving failing financial institutions...
CMBS spread widening to continue? An analysis of previous US CMBS corrections undertaken by Morgan Stanley CMBS strategists suggests that the current sell-off in the market is not as pronounced, despite it being the longest on record. The study indicates that while there may be periodic tactical rallies, CMBS spreads can continue widening for four primary reasons until the S&P 500 index troughs...

Deal news
• Net operating expenses for most single-family rental (SFR) securitisations issued in 2013 and 2014 are slightly above underwritten assumptions, which Moody's describes as slightly credit negative for the affected transactions. Exceptions to this trend are the Invitation Homes (IH) and Silver Bay deals.
• US CMBS delinquencies posted the largest month-over-month decline in January since Fitch began tracking the segment 15 years ago, reflecting the resolution of the Stuyvesant Town/Peter Cooper Village asset (SCI passim). Loan delinquencies fell by 109bp last month to 2.93% from 4.02% at end-2015, while the dollar balance of late-pays fell by US$4.2bn to US$11.1bn.
• Banco Comercial Português has launched separate tender offers for the respective €930m and €1.41bn class A notes of Magellan Mortgages No. 2 and No. 3. The bank says the purpose of the offers is to proactively manage its outstanding liabilities and capital base.
• Fannie Mae has priced its latest credit risk sharing transaction under the Connecticut Avenue Securities series. To promote additional liquidity, the GSE for the first time sought a credit rating for the M2 bonds in a CAS transaction. It is also for the first time selling a portion of the first loss position, further reducing taxpayer exposure to credit losses.
• Kroll Bond Rating Agency has designated US$684m of CMBS 2.0 oil exposed loans in both KBRA-rated (21) and non-rated transactions (seven) as KBRA loans of concern (K-LOCs). Among the agency's rated transactions, North Dakota and Texas include collateral with oil-exposed K-LOCs. Oklahoma and Colorado have also been identified with oil-exposed K-LOCs in non-KBRA rated transactions.

Regulatory update
• The European Parliament has begun discussing the EU's securitisation initiative, comprising the new securitisation regulation and the amendment to the CRR. Approval by the parliament is the last major step towards implementation of the rules and follows the European Council's approval of the package in December (SCI passim).
• A new Russian bankruptcy law that came into effect in October 2015 will only impact a limited number of ABS and RMBS in the country, Moody's reports. The law introduces a legal mechanism for individual debt restructuring and encourages lenders to devise repayment plans rather than sell the assets in the event of a borrower's bankruptcy.
• The EBA has published its final draft implementing technical standards (ITS) for the mapping of external credit assessment institutions' (ECAIs) credit assessments for securitisation positions. The ITS will be part of the EU's Single Rulebook for banking and insurance, and will allow securitisation credit ratings to be used for the calculation of institutions' capital requirements.

Deals added to the SCI New Issuance database last week:
Agate Bay Mortgage Trust 2016-1; BMW Vehicle Lease Trust 2016-1; CAS 2016-C01; CGCMT 2016-GC36; CNH Equipment Trust 2016-A; Enterprise Fleet Financing Series 2016-1; First Investors Auto Owner Trust 2016-1; Ford Credit Floorplan Master Owner Trust A Series 2016-1; FREMF 2016-KLH1; GreatAmerica Leasing Receivables Funding Series 2016-1; Michigan Finance Authority series 2016-1; MSBAM 2016-C28; MSC 2016-PSQ; PFS Financing Corp series 2016-A; Santander Drive Auto Receivables Trust 2016-1; Silverstone Master Issuer 2016-1; WFCM 2016-C32; XXIII Capital Financing 1.

Deals added to the SCI CMBS Loan Events database last week:
CGCMT 2014-GC23; COMM 2014-LC17; CSFB 2005-C1; CSMC 2006-C5; CSMC 2007-C5; ECLIP 2007-2; EURO 23; GSMS 2006-GG8; JPMBB 2013-C15 & JPMCC 2013-C16; JPMBB 2015-C29 & JPMBB 2015-C30; JPMCC 2006-CB17; JPMCC 2007-C1; JPMCC 2007-LD11; LBUBS 2004-C1; TITN 2006-1, TITN 2006-2, TITN 2006-3, TITN 2007-2 & TITN 2007-CT1; WFRBS 2011-C3.


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