Monday 25 January 2016 12:32 London/ 07.32 New York/ 20.32 Tokyo

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

Pipeline
ABS deals accounted for more than half of last week's pipeline additions. There were six new ABS announced, as well as two RMBS and three CMBS.

The ABS were: CNY1.31bn Autopia China 2016-1 Retail Auto Mortgage Loan Securitization Trust; US$1.14bn CarMax Auto Owner Trust 2016-1; €666m Driver Espana Three; Golden Credit Card Trust Series 2016-2; US$604.42m Hyundai Auto Lease Securitization Trust 2016-A; and US$488m Navient Private Education Loan Trust 2016-A.

Friary No.3 and STORM 2016-I were the two RMBS. The CMBS were US$936.4m CSAIL 2016-C5, US$585m JPMCC 2016-ATRM and US$220m Morgan Stanley Capital I Trust 2016-PSQ.

Pricings
Several deals priced, including nine ABS. Additionally there were two ILS, two RMBS, a CMBS and three CLOs.

The ABS were:US$110.25m ACAR 2016-1; US$795.3m Ally Auto Receivables Trust 2016-1; US$1bn Discover Card Execution Note Trust 2016-1; US$752m Drive Auto Receivables Trust 2016-A; US$1.05bn Ford Credit Auto Owner Trust 2016-A; US$625m-equivalent Golden Credit Card Trust Series 2016-1; €1.47bn Siena Lease 2016-2; US$161.75m United Auto Credit Securitization Trust 2016-1; and US$663m Volvo Financial Equipment Series 2016-1.

US$300m Galileo Re 2016-1 and US$200m Vitality Re VII were the ILS, while the RMBS were RUB2.5bn CJSC Mortgage Agent AkBars and US$475m LSTAR 2016-1. The CMBS was US$703.6m CFCRE 2016-C3 and the CLOs were €414m Arbour CLO III, US$407m Babson CLO 2016-I and US$419m Voya CLO 2016-1.

Markets
The US ABS market is witnessing a strong up-in-quality trend, note Citi analysts. They say: "The swift pricing of several large prime auto ABS deals [last] week and large oversubscription levels evidence the up-in quality market bias, corroborated by secondary market trading trends. Similarly, on-the-run subprime auto attracted more focus than comparable off-the-run shelves."

European ABS and RMBS spreads moved out across all segments last week. "Generically, UK Prime RMBS seniors added 2bp to stand in the mid-50s. Meanwhile, its nearest peer, Dutch RMBS seniors, remains anchored at 27bp and 38bp (two-year and five-year WALs respectively)," comment JPMorgan analysts.

Editor's picks
Vulcan CMBS prospects eyed: The EuroCastle Office Portfolio in Vulcan (ELoC28) has been sold at a level sufficient to repay the securitised loan in full. Progress on the other loans securitised in the deal suggests that the class F and class G notes will suffer total losses...
Euro CLOs suffer: The European CLO secondary market is suffering under heavy selling pressure. "Activity is almost entirely driven by selling from accounts," says one trader. "The only demand we are seeing is for short-dated bonds and there is none whatsoever for 2.0 paper."...

Deal news
• Hudson Valley Mall is set to lose another anchor chain when Macy's closes shop in April 2016. Kroll Bond Rating Agency warns that the regional shopping mall in Kingston, New York, is exposed to the 'debilitating effects' of co-tenancy clauses. The shopping mall backs US$49.6m (12.8%) of pooled debt in CFCRE 2011-C1.
• ISDA's Determinations Committee will reconvene on 19 January to further discuss the Novo Banco potential credit event. The Committee failed to reach a conclusion last week over the conundrum and subsequently sent the process to external review (SCI 14 January).

Regulatory update
• Representatives from Kaye Scholer, Fundation Group and PeerIQ recently discussed the impact of heightened regulatory scrutiny on the US marketplace lending industry during a live webinar hosted by SCI (view the webinar here).
• The FHFA has released a final rule which amends its guidelines for Federal Home Loan Bank (FHLB) membership. The rule adds to the woes of leveraged RMBS investors by excluding captive insurers from the list of entities eligible for FHLB membership.
• The EBA has launched a consultation regarding its guidelines on implicit support for securitisation transactions. The guidelines were drafted to provide clarity on what constitutes 'arm's length conditions' and when a transaction is not structured to provide support for securitisations.
• The Canadian Securities Administrators (CSA) is seeking comment on its proposed approach to OTC derivatives. It has set out certain requirements for the treatment of customer collateral, record-keeping and disclosure for clearing intermediaries and regulated clearing agencies.
• Ocwen has settled US SEC charges that it misstated financial results by using a flawed and undisclosed methodology to value complex mortgage assets. Ocwen has made a string of settlements (SCI passim) and under this latest one will pay the SEC a US$2m penalty.


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