SCI Start the Week - 23 November

Category: ABS CDO CLOs


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

Pipeline
Last week it was RMBS and CMBS which dominated the pipeline's additions. In contrast to the week before, there were only three ABS and one CLO, while there were five RMBS and four CMBS.

€800.4m Bavarian Sky 4, US$332.5m DRB Prime Student Loan Trust 2015-D and US$102m JG Wentworth XXXVI accounted for the ABS. The RMBS were: US$345.141m CSMLT 2015-3; US$474m Mill City Mortgage Loan Trust 2015-1; US$217.3m Nationstar HECM Loan Trust 2015-2; US$520m New Residential Mortgage Loan Trust 2015-2; and Towd Point Mortgage Trust 2015-6.

US$430m BBCMS Trust 2015-SRCH, US$1.1bn CGCMT 2015-GC35, US$805m MSCI 2015-UBS8 and US$176m Ready Capital Mortgage Trust 2015-2 were the CMBS. The CLO was US$400m KKR CLO 13.

Pricings
There were nine ABS prints. There was also an ILS, three RMBS, two CMBS and two CLOs.

The ABS were: CNY3.22bn Bavarian Sky China 2015-2, €571m Bilkreddit 7; US$145.45m Go Financial Auto Securitization 2015-2; US$201.5m HERO Funding Series 2015-3; A$910m SMART ABS 2015-4E; US$536.4m SoFi Professional Loan Program 2015-D; €898m Sunrise Series 2015-3; US$250m TCF Auto Receivables Owner Trust 2015-2; and US$155.9m Westgate Resorts 2015-2.

US$125m Residual Reinsurance 2015-II was the sole ILS. The RMBS were US$422m Citigroup Mortgage Loan Trust 2015-PS1, US$600m FWLS 2015-SC02 and US$337m Sequoia Mortgage Trust 2015-4.

The CMBS were US$820.6m GSMS 2015-GS1 and US$774.5m WFCM 2015-NXS4. The CLOs were US$400m Ares XXXVIII CLO and US$408m Avery Point VII CLO.

Editor's picks
Carve out: The European Council has published its first compromise proposal in respect of the Securitisation Regulation forming part of the CMU action plan (SCI 2 October). The newly proposed Article 5a appears to misunderstand the practices of the CLO market, however, adding to the industry's disappointment at the treatment of the sector...
New wave: US CMBS maturity modifications have been modest this year, but the pace is set to pick up in 2016. Moreover, not only the pace of the mods - but also the manner of them - is set to change...
Purchase progress: The ECB's ABSPP entered into force on 19 November 2014 (SCI passim) and has dominated European ABS proceedings since. A recent ECB commitment to QE2 has buoyed the market, but the lackluster performance of the purchase programme a year since its inception may temper expectations...
Titan up: The English Court of Appeal overturned a landmark decision earlier this month when it reversed a UK High Court ruling that provided CMBS issuers with a legal basis for pursuing negligence claims against a property valuer. The decision is believed to potentially be transferable to other CMBS transactions...
Euro secondary tight: Spreads across the European securitisation secondary market are holding up, but liquidity remains tight. "Market tone and pricing levels are better across secondary in line with global credit," says one trader. "However, we're not seeing huge flows - they even fell back a little yesterday - and liquidity is still tight, so it doesn't take many trades to move spreads..."

Deal news
• Freddie Mac is in the market with its first rated senior/subordinate cash RMBS. The US$600m Freddie Mac Whole Loan Securities Trust Series 2015-SC02 has a number of unique structural features that differentiate it from private-label RMBS transactions and generally benefit the mezzanine bonds, according to Moody's latest Credit Outlook.
• Fannie Mae has completed two more credit insurance risk transfer (CIRT) transactions, one of which - CIRT 2015-5 - has, for the first time, been completed directly with a multi-line insurer. Also for the first time, the covered loan pools of both transactions consist of 30-year fixed-rate loans with LTVs all greater than 80%.
Mill City Mortgage Loan Trust 2015-1 has introduced a fee-for-service structure which is unique to rated re-performing loan (RPL) securitisations, notes Moody's. This new structure will see Shellpoint Mortgage Servicing charge a base free that increases as a loan becomes more delinquent.
• Nationstar Mortgage is marketing an RMBS backed by inactive home equity conversion mortgages (HECM), believed to be the first deal of its kind to be rated. Moody's has assigned provisional ratings to three classes of Nationstar HECM Loan Trust 2015-2.
• Sankaty Advisors is set to acquire the management contracts of four CLO portfolios, totalling US$1.6bn of assets, from Regiment Capital Advisors. The contracts to be transferred are for Cavalry CLO II, Cavalry CLO III, Cavalry CLO IV and Cavalry CLO V.

Regulatory update
• Insurance Europe has released a paper which makes a number of proposals regarding alignment of the draft regulation for a European STS framework with Solvency 2. Among its suggestions, the paper says that capital charges for STS deals should be aligned to those for corporate bonds.
• The Basel Committee has published the results of its interim impact analysis of its fundamental review of the trading book. The report assesses the impact of proposed revisions to the market risk framework set out in two consultative documents published in October 2013 and December 2014.
ESMA has published a discussion paper on the validation and review of credit rating agency (CRA) methodologies. The paper provides background on validation practices in the credit rating industry and shares good practice observed by ESMA in its recent supervisory investigation.
• Four funds - understood to be Appaloosa Investment LP I, Palomino Fund, Thoroughbred Fund and Thoroughbred Master - have filed a complaint in New York State Supreme Court to block a potential pay-out of default interest to CWCapital following the impending Stuyvesant Town/Peter Cooper Village sale (SCI passim). The crux of the issue is whether the special servicer is entitled to the full amount of default interest, calculated at a rate of 3% since 2010.

Deals added to the SCI New Issuance database last week:
AIMCO CLO 2015-1; ALME Loan Funding IV; Arby's Funding Series 2015-1; Bilkreditt 7; BlueVirgo 2015-1 Trust; Carlyle Global Market Strategies CLO 2015-4; Chrysler Capital Auto Receivables Trust 2015-B; Cork Street CLO; Diamond Resorts Owner Trust 2015-2; FCT TitriSocram 2015; FRESB 2015-SB8; Galaxy XXI CLO; Gemgarto 2015-2; GSMS 2015-GS1; Ocwen Master Advance Receivables Trust 2015-T2; Ocwen Master Advance Receivables Trust 2015-T3; Precise Mortgage Funding 2015-3R; Silk Finance No. 4; Sligo Card Finance 2015; Success 2015; Sunrise series 2015-3

Deals added to the SCI CMBS Loan Events database last week:
BSCMS 2006-PW14; BUMF 3; BUMF 4; CD 2007-CD4; CGCMT 2013-C17; COMM 2013-CR12; CSFB 2005-C5; CSMC 2006-C4; DECO 2007-E6; DECO 9-E3; ECLIP 2006-2; ECLIP 2007-2; EURO 25; EURO 28; JPMCC 2003-PM1; JPMCC 2006-CB14; JPMCC 2006-CB17; JPMCC 2006-LDP7; JPMCC 2007-LD11; JPMCC 2007-LDP12; MLCFC 2006-1; MLCFC 2006-4; MSC 2005-HQ7; MSC 2006-HQ6; MSC 2007-IQ13; MSC 2007-IQ16; UBS 2012-C1; WFRBS 2013-C11; WINDM X; WINDM XIV

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