Monday 24 August 2015 11:18 London/ 06.18 New York/ 19.18 Tokyo

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

Pipeline
Primary market activity was limited last week, with three new ABS and a single CLO added to the pipeline. The ABS were UniCredit's Consumer Three, Volkswagen's R$808m Driver Brasil Three FIDC and John Deere Capital Corp's John Deere Owner Trust 2015-B. The CLO was Invesco's US$513.5m Recette CLO.

Pricings
The week also brought five ABS prints, as well as three RMBS, one CMBS and two CLOs.

The ABS were: €500m ABS SME Lease Germany Compartment 2; US$850m Capital One Multi-Asset Execution Trust 2015-A6; US$210.52m First Investors Auto Owner Trust 2015-2; US$1.2bn Santander Drive Auto Receivables Trust 2015-4; and US$1.7bn Toyota Auto Receivables 2015-C Owner Trust.

US$573m LSTAR 2015-8, A$1.5bn PUMA Series 2015-3 and £302m Thrones 2015-1 accounted for the RMBS. The CMBS was US$716.3m WFCM 2015-SG1 and the CLOs were US$517.5m Anchorage Capital CLO 7 and US$457m BlueMountain CLO 2015-3.

Markets
US ABS primary spreads widened last week as broader market concerns regarding the Fed's rate hike intentions and other macro considerations dominated, say Bank of America Merrill Lynch analysts. They add: "Secondary spreads for most ABS were unchanged on a week-over-week basis, as trading volumes in these sectors declined. The exceptions include: FFELP ABS, fleet and rental auto ABS and aircraft ABS. Spreads in these sectors were wider by 5bp."

US CMBS spreads moved wider yet again, also due to macro concerns. "In secondary trading of recent issues, spreads widened across the capital stack. At the top of the capital stack, LCF triple-A bonds were 4bp wider, at swaps plus 117bp. More credit-leveraged tranches lower in the capital stack also sold off, with single-A minus rated C tranches 5bp wider," comment Barclays analysts.

All eyes in the European RMBS market were on Thrones 2015-1, which Deutsche Bank analysts note was "the focus of the week if not the month" in what was otherwise a quiet market. They say: "With non-conforming seniors trading at 130bp in the secondary, the wider pricing which was revised wider we understand several times, was due to a combination of factors. Weaker liquidity in the secondary and heavy sterling primary supply both in July and anticipated in September's pipeline both likely played a part."

Editor's picks
Capital plan
: The European Commission is set to unveil proposals to reduce capital charges on high quality securitisations (HQS) next month. However, the lack of cohesiveness among different regulatory authorities means that concern over definitional issues remains...
Transforming risk: The differing approaches of the GSEs to credit risk transfer have resulted in a number of innovations in the RMBS market. Freddie Mac's latest transaction contained several new features, while Fannie Mae intends to launch its first actual loss deal before year-end...

Deal news
• The volume of distressed US CMBS loans up for auction in August and September is down slightly from previous months. Barclays figures show the deals with the largest exposures are BACM 2006-5 and LBUBS 2007-C6.
• Marketplace lending platform Avant has completed its first securitisation, which provides US$139m in debt financing. The deal has three tranches and was placed by Jefferies.
Fannie Mae has completed its latest credit risk-sharing RMBS, the first of its kind to have an international reinsurer participate in the deal. Like its predecessor, CIRT-2015-2 allows Fannie Mae to retain risk for the first 50bp of loss - this time on an US$8.1bn pool of loans.
• S&P has raised its credit ratings on Avondale Securities class A1 and A2 notes from double-B plus to triple-B minus, following a similar action taken on the support sponsor, the Bank of Ireland. The ratings on the two ILS bonds are weak-linked to the long-term rating on the Bank of Ireland due to a support agreement, which obligates it to meet - under certain conditions - payments due on the notes, net of potential tax liabilities and costs from servicing the policies.
• The introduction of pledge accounts is one of the most significant developments in Russian securitisation stemming from the July 2014 law, according to Moody's. Credit Europe Bank's recent Special Financial Organisation Europa 14-1A ABS was the first Russian transaction to feature such a mechanism.
• S&P has lowered its ratings on 14 maturities of Tobacco Settlement Financing Corp Series 2015A and removed them from creditwatch negative. There is an action plan in place to address an issue that could affect some of the series 2015A bonds, but the rating agency is increasingly unsure that the process will conclude successfully.

Regulatory update
• The EBA has issued an opinion which responds to the European Commission on how to define what arrangements should be protected in a partial property transfer of a bank in resolution. The opinion aims to ensure full protection of well-established sources of refinancing, such as secured debt - including securitisations - and means of risk mitigation.
• The US CFTC has issued proposed amendments to existing regulations on swap data record keeping and reporting requirements for cleared swaps. The amendments aim to specifically address clarity over swap counterparties and registered entities regarding their reporting obligations, as well as improving the efficiency of data collections and maintenance associated with the reporting of cleared swaps.
• The Committee on Payments and Market Infrastructures (CPMI) and IOSCO have published a consultative report on the harmonisation of unique transaction identifiers (UTI). The report is the latest in an agenda set out by the G20 leaders in 2009 to improve data aggregation and reporting standards for OTC derivatives reported to trade repositories.
• Two Citigroup affiliates have agreed to pay nearly US$180m to the US SEC to settle charges that they defrauded investors in two hedge funds that they claimed were safe, low-risk and suitable for traditional bond investors. The funds eventually collapsed during the financial crisis.
• The US District Court for the Middle District of Tennessee has granted MERSCORP a motion for dismissal over a borrower lawsuit challenging its role in a Tennessee deed of trust. In Johnson v. Broker Solutions, the plaintiffs identified 11 causes of action attacking the securitisation of their mortgage loan and claimed that MERS cannot be a real party of interest in a securitised mortgage.

Deals added to the SCI New Issuance database last week:
abc SME Lease Germany Compartment 2; A-Best 12; Abruzzo 2015 RMBS; Abruzzo 2015 SME; Asti Group RMBS; Bosphorus series 2015-1; Capital Auto Receivables Asset Trust 2015-3; Cent CLO 24; CNH Equipment Trust 2015-C; Credit Acceptance Auto Loan Trust 2015-2; ENGS Commercial Finance Trust 2015-1; Ford Credit Floorplan Master Owner Trust A Series 2015-4; Ford Credit Floorplan Master Owner Trust A Series 2015-5; Honda Auto Receivables 2015-3 Owner Trust; KMU Portfolio Compartment 2015-1; OHA Credit Partners VI (refinancing); RESIMAC Triomphe Trust - RESIMAC Premier series 2015-1

Deals added to the SCI CMBS Loan Events database last week:
BACM 2004-3; BACM 2005-4 & BACM 2005-5; BACM 2006-1; BACM 2006-2; BACM 2006-5; BACM 2007-3; BSCMS 2006-T22; CD 2005-CD1; CD 2006-CD2; CD 2007-CD4; CGCMT 2006-C5; CGCMT 2007-C6; CGCMT 2014-GC19; COMM 2005-C6 & CD 2005-CD1; COMM 2006-C7; COMM 2006-C8; COMM 2012-CR1; COMM 2012-CR4; CSFB 2005-C4; CSFB 2005-C5; CSFB 2005-C6; CSMC 2006-C4; CSMC 2008-C1; DECO 2007-C4; DECO 6-UK2; DECO 8; EQTY 2014-INNS; FULBA 1998-C2; GCCFC 2005-GG5; GCCFC 2007-GG11; GCCFC 2007-GG9; GECMC 2004-C3; GECMC 2005-C4; GECMC 2007-C1; GSMS 2005-GG4; GSMS 2006-GG8; GSMS 2007-GG10; JPMCC 2004-LN2; JPMCC 2005-LDP3; JPMCC 2005-LDP4; JPMCC 2005-LDP5; JPMCC 2006-CB14; JPMCC 2006-CB16; JPMCC 2006-CB17; JPMCC 2006-LDP7; JPMCC 2006-LDP7 & JPMCC 2006-CB16; JPMCC 2006-LDP8; JPMCC 2006-LDP9; JPMCC 2010-C1; JPMCC 2013-LC11; LBUBS 2003-C5; LBUBS 2005-C5; LBUBS 2005-C7; LBUBS 2006-C3; LBUBS 2006-C6; LBUBS 2007-C6; LBUBS 2008-C1; MLCFC 2006-3; MLCFC 2006-4; MLMT 2005-CIP1; MLMT 2006-C2; MSC 2005-IQ10; MSC 2005-IQ9; MSC 2006-HQ10; MSC 2006-HQ8; MSC 2006-IQ11; MSC 2006-T21; MSC 2007-HQ13; MSC 2007-IQ16; MSDWC 2002-HQ; WBCMT 2005-C18; WBCMT 2005-C21; WBCMT 2005-C22; WBCMT 2006-C23; WBCMT 2007-C30; WBCMT 2007-C32; WFRBS 2011-C4; WFRBS 2014-LC14


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