Monday 23 February 2015 12:41 London/ 07.41 New York/ 20.41 Tokyo

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

Pipeline
Several new deals have been announced in the wake of the recent conference. Last week there were 10 ABS transactions added to the pipeline, as well as one ILS, one RMBS, two CMBS and two CLOs.

The ABS were: US$330m Ascentium Equipment Receivables 2015-1; C$250m CNH Capital Canada Receivables Trust Series 2015-1; US$800m CNH Equipment Trust 2015-A; A$500m Driver Australia Two Trust; C$405m Element Rail Leasing II Series 2015-1; US$750m Enterprise Fleet Financing Series 2015-1; C$602.4m Hollis Receivables Term Trust II Series 2015-1; NewDay Partnership Funding 2015-1; €740m Red & Black Auto Germany 3; and US$706m World Omni Auto Receivables Trust 2015-A.

US$225m East Lane Re VI Series 2015-1 was the ILS, while the RMBS was A$750m Apollo Series 2015-1 Trust. The CMBS were US$.14bn COMM 2015-DC1 and US$1.45bn FREMF 2015-K43, while the CLOs were US$515.5m Betony CLO and US$506.7m BlueMountain CLO 2015-1.

Pricings
A similar number of deals also priced. There were 10 ABS prints, along with two RMBS, one CMBS and four CLOs.

The ABS were: US$667m AIM Aviation Finance Series 2015; US$265.94m CarFinance Capital Auto Trust 2015-1; US$1bn CarMax Auto Owner Trust 2015-1; US$950m Discover Card Execution Note Trust 2015-1; US$265.1m DT Auto Owner Trust 2015-1; US$750m Motor 2015-1; US$1bn Navient Student Loan Trust 2015-1; US$566.3m Nelnet Student Loan Trust 2015-1; US$1.3bn Santander Drive Auto Receivables Trust 2015-1; and US$1.16bn Springleaf Funding Trust 2015-A.

The RMBS were US$1.5bn CAS 2015-C01 and A$1bn Medallion Trust Series 2015-1, while the CMBS was US$285m BAMLL 2015-ASHF. Lastly, the CLOs were €243m Dartry Park CLO, US$415m Flatiron 2015-1, US$637m LCM XVIII and US$511m OZLM XI.

Markets
The tone in US ABS has improved notably since the annual industry conference in Las Vegas, say JPMorgan analysts. "Primary market execution was strong this week as various transactions saw bonds pricing through guidance levels and were upsized. Despite headlines on rising delinquencies and subprime lending, the auto ABS new issues this week were well received by investors as reflected in the pricing spreads and subscription levels. The secondary market also gained traction as the buying picked up," they say.

US CMBS spreads continued to rally for a third week as spreads were helped by the continued selloff in US Treasury rates. "Additionally, spreads were helped by the relatively light issuance in the holiday shortened week, although this will change in the weeks ahead. Secondary trading of recent issue CMBS 10-year triple-A LCF bonds tightened 2bp to swaps plus 87bp," say Barclays Capital analysts.

The US CLO rally also continued, as BWIC volumes reached around US$640m. "Overall, US CLO 2.0 spreads tightened by 2 to 15bp from triple-A to double-B to 155, 230, 330, 440 and 685bp," say Bank of America Merrill Lynch analysts.

Deal news
• Final results of the Caesars Entertainment Operating Company Inc CDS and LCDS auctions have been published. The final price for CDS referencing the entity was determined to be 15.875, with 11 dealers submitting initial markets, physical settlement requests and limit orders to yesterday's auction. The final price for LCDS on the name was determined to be 96, with eight dealers submitting initial markets, physical settlement requests and limit orders.
• Five-year CDS on Renault have firmed by 22% over the past month to price at the tightest levels observed since 2008, according to Fitch Solutions. After consistently pricing in the triple-B minus space for much of the past year, credit protection on Renault's debt is now pricing one notch higher, in line with triple-B levels.

Regulatory update
• The Australian Securities & Investment Commission (ASIC) has amended its 2013 OTC derivative transaction reporting rules. The changes include the introduction of end-of-day reporting instead of intraday reporting as a permanent reporting option, as well as the introduction of a 'safe harbour' from liability for reporting entities using delegated reporting, if certain conditions are met.
• The Canadian Securities Administrators (CSA) have published for comment proposals on the rule for national mandatory central counterparty clearing of derivatives. The rule describes requirements for CCP clearing of OTC derivatives transactions and is intended to improve transparency in the derivatives market while enhancing systemic risk mitigation.
• The European Commission has launched its landmark Capital Markets Union (CMU) project, which aims to unlock funding for Europe's businesses and to boost growth in the EU's 28 Member States with the creation of a single market for capital (SCI 2 February). A complementary consultation on high-quality securitisation has also been launched as part of the initiative.
• The comment period on FINRA's proposal to expand TRACE trade reporting to include CMBS securities, as well as CMOs and CDOs, began last week. The proposal calls for trades to be reported 15 minutes after execution on a CUSIP basis with price information, similar to reporting for consumer ABS.
ESMA has published a consultation paper that complements the transparency section of the paper on MiFID II/MiFIR published in December (SCI 19 December 2014). The new consultation covers non-equity asset classes, including credit derivatives.
• The US SEC has charged VCAP Securities and its ceo Brett Graham with fraudulently deceiving other market participants while conducting auctions to liquidate CDOs. The agency's investigation found that VCAP and Graham improperly arranged for a third-party broker-dealer to secretly bid at these same auctions on behalf of their affiliated investment adviser in order to acquire certain bonds to benefit the funds it managed.

Deals added to the SCI New Issuance database last week:
ALM XII; Ares XXXIII CLO; BWAY 2015-1740; Carlyle Global Market Strategies CLO 2015-1; CAS 2015-C01; COMM 2015-3BP; Dryden 35 Euro CLO; Eurosail-UK 2007-4BL (re-offer); FREMF 2015-KLSF; Golub Capital Partners CLO 22(B); GSMS 2015-GC28; Heathrow Funding; Magnetite XII; Series 2015-1 Harvey Trust; Silverstone Master Issuer series 2015-1; WinWater Mortgage Loan Trust 2015-1

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; CANWA II; COMM 2014-UBS4; CSMC 2006-C4; CWCI 2007-C3; ECLIP 2006-4; EMC VI; EURO 25; GSMS 2007-GG10; JPMCC 2001-CIB2; JPMCC 2007-LD11; JPMCC 2013-LC11; LBUBS 2005-C2; LBUBS 2007-C6; LBUBS 2007-C7; LEMES 2006-1; MLMT 2005-CKI1; MSC 2005-IQ9; MSC 2007-HQ13; MSC 2011-C2; MSCI 2007-T27; TITN 2006-2; TMAN 7; UBSC 2011-C1 & UBSCM 2012-C1; WBCMT 2006-C24; WINDM XI


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