SCI Start the Week - 24 October

Category: ABS CDO CLOs

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

The balance appeared to shift last week, as fewer deals joined the pipeline and far more departed. The week's additions were four ABS, two RMBS, two CMBS and four CLOs.

US$640m Apollo Aviation Securitization Equity Trust 2016-2, US$840.78m Chrysler Capital Auto Receivables Trust 2016-B, US$175m EARN 2016-D and CNY3bn Toyota Glory 2016-1 accounted for the ABS, while the RMBS were Fortified Trust 2016-2 and SapphireOne Mortgages FCT 2016-2.

US$953.2m MSBAM 2016-C31 and US$858m WFCM 2016-C36 were the CMBS. The CLOs consisted of LMREC 2016-CRE2, US$400m Neuberger Berman CLO XXIII, NorthStar 2016-1 and US$370m OHA Loan Funding 2016-1.

Issuers appeared to have the approaching end of the month in mind last week. There were 22 ABS prints, with eight RMBS, a CMBS and five CLOs rounding out the week's issuance.

The ABS were: €434m abc SME Lease Germany Compartment 3; US$271.46m Ascentium Equipment Receivables 2016-2 Trust; US$201.23m Axis Equipment Finance Receivables IV series 2016-1; US$1.3bn CarMax Auto Owner Trust 2016-4; US$350m Credit Acceptance Auto Loan Trust 2016-3; £740m Driver UK Four; US$340m Flagship Credit Auto Trust 2016-4; US$1.32bn Ford Credit Auto Owner Trust 2016-C; £542m Globaldrive Auto Receivables UK 2016-A; US$1.14bn Honda Auto Receivables 2016-4 Owner Trust; US$117.29m JG Wentworth XXXVII Series 2016-1; US$1.037bn Mercedes-Benz Auto Lease Trust 2016-B; US$147.1m Oportun Funding IV Series 2016-C; US$176.46m Orange Lake Timeshare Trust 2016-A; US$250m PFS Financing Corp Series 2016-B; US$343.6m Prestige Auto Receivables Trust 2016-2; €171m Qunito Sistema 2016; €606m SCF Rahoituspalvelut II (Kimi 5); US$500m Securitized Term Auto Receivables Trust 2016-1; US$3.5bn Sprint Spectrum Co Series 2016-1; US$452.25m State Board of Regents of the State of Utah Series 2016-1; and CNY3.46bn VINZ 2016-2.

The RMBS were: US$580.7m Colony Starwood Homes 2016-2; €272m DCDML 2016-1; A$495m Liberty Series 2016-2 Trust; £242m London Wall Mortgage Capital Fleet 2016-01; €420m RMBS Prado III; US$343.16m Sequoia Mortgage Trust 2016-3; US$478m STACR 2016-HQA4; and US$382.5m Tricon American Homes 2016-SFR1.

US$196m Vertical Bridge Series 2016-2 was the sole CMBS. The CLOs were €466m Avoca CLO XVII, €415m Carlyle Global Market Strategies Euro CLO 2016-2, US$505m Newstar Berkeley Fund CLO 2016-1, US$413m Shackleton IX and US$715m Sound Point CLO 2016-3.

Editor's picks
Liquidity review: The use of liquidity data in determining asset values is subject to increasing industry analysis and the US SEC's finalisation of its liquidity risk management rules will likely focus attention on this topic further. But uncertainties remain surrounding the intersection of valuation and liquidity, as well as questions over how best to collect liquidity data...
Structuring alpha: Robert Allard, founding partner and ceo at Firebreak Capital, answers SCI's questions...
Refinancing activity accelerates: US CLO refinancing volume has shot up this month, impacting 14 deals for a total value of US$6.2bn so far, versus US$3.7bn seen during the whole of September. The increase in activity has created a clear term structure at the triple-A level...
New standard to drive transparency?: A new Mortgage Industry Standards Maintenance Organization (MISMO) XML commercial rent roll standard is due to be released by the end of the month. As the CMBS industry grapples with the Dodd-Frank Act and transparency issues, some believe that including such files in investor disclosures pre- and post-securitisation is the most important remaining step issuers could take...
US CLO supply spike: There is a spike in supply in the US CLO secondary market today. "It's a busy day today, with a few more BWICs than we've seen in recent days," says one trader. "There's plenty of mezz and equity in for the bid and that'll provide a lot of data points on the follow..."

Deal news
• The US$4m Delavaco loan, securitised in FirstKey 2015-SFR1, has been transferred to special servicing due to imminent non-monetary default. The loan has appeared on the master servicer's monthly watchlist since December 2015, based on a decline in occupancy below 80% - decreasing to 51% by August 2016 - as well as its failure to meet a debt service coverage trigger.
• A class B noteholder meeting has been convened in connection with Stanton MBS I, following one for the controlling class of the ABS CDO (SCI 11 October). The meeting - scheduled for 9 November - is to be held for the purposes of passing an extraordinary resolution that would allow NCB Stockbrokers to resign as Irish paying agent.
• Recent weeks have seen a flood of auto ABS deals announced (see SCI pipeline), but the trend is not constrained to the US and Europe, with Toyota now in the market with its first Chinese ABS of the year. CNY3bn Toyota Glory 2016-1 is the company's second Chinese deal overall and the first to be rated by Moody's.
• The unique structure of Amherst's inaugural single-family rental securitisation (SCI 6 October) - AMSR 2016-SFR1 Trust - presents specific risks regarding alignment of interest, says Moody's. The rating agency believes this may be partially mitigated by a strong property management agreement and the expertise of Amherst affiliate Main Street Renewal (MSR).
• Fitch has disclosed that interest payments to the class E and F notes of SCF Rahoituspalvelut I (Kimi 1) were incorrectly modelled in its initial rating analysis of the Finnish auto ABS as senior to clearing the implied principal deficiency ledger (PDL). Correct modelling would have resulted in different model-implied ratings for two classes: one notch higher for the class D notes and one notch lower for the class E notes.

Regulatory update
SFIG has responded to the FHFA's request for information on Fannie Mae and Freddie Mac's credit risk transfer strategies. Along with its own letter, SFIG has also participated in the submission of a joint trade comment letter with organisations such as the American Bankers Association, Association of Mortgage Investors, Housing Policy Council of the Financial Services Roundtable, Mortgage Bankers Association and SIFMA.
FINRA is set to implement changes to TRACE trade reporting and dissemination for CMO securities on 20 March 2017. The authority says it will issue details regarding testing of these changes in a future technical notice.