Monday 26 October 2015 16:25 London/ 11.25 New York/ 00.25 (+ 1 day) Tokyo

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

Pipeline
It was an active week for the pipeline, with many deals coming and going. At the week's end four new ABS, three RMBS and three CMBS remained.

CARDS II Trust Series 2015-3, US$750m Fifth Third Auto Trust 2015-1, US$450m Flagship Credit Auto Trust 2015-3 and VCL 22 accounted for the ABS. The RMBS were US$344m JPMMT 2015-6, US$428m Progress 2015-SFR3 and US$1.12bn Towd Point Mortgage Trust 2015-5, while the CMBS were US$846m Hudson's Bay Simon JV Trust 2015-HBS, US$1bn MSBAM 2015-C26 and US$988m Wells Fargo Commercial Mortgage Trust 2015-C31.

Pricings
A very large number of deals priced last week. The final count consisted of 14 ABS, three RMBS, eight CMBS and five CLOs.

The ABS were: US$277m Ascentium Equipment Receivables 2015-2 Trust; US$425m Capital One Multi-Asset Execution Trust 2015-7; US$500m Capital One Multi-Asset Execution Trust 2015-8; US$1.05bn CarMax Auto Owner Trust 2015-4; US$376m CHAI 2015-PM2; US$873.15m Dell Equipment Finance Trust 2015-2; US$1bn Ford Credit Auto Lease Trust 2015-B; US$1.262bn Mercedes-Benz Auto Lease Trust 2015-B; US$476m NextGear Floorplan Master Owner Trust Series 2015-2; US$140.68m Orange Lake Timeshare Trust 2015-A; €338.7m SCF Rahoituspalvelut I (Kimi 4); US$370m SMART ABS Series 2015-3US Trust; US$701m SMB Private Education Loan Trust 2015-C; and US$300m World Financial Network Credit Card Master Note Trust Series 2015-C.

The RMBS were US$1.45bn CAS 2015-C04, US$360m Green Tree Agency Advance Funding Trust I Series 2015-T1 and US$140m Green Tree Agency Advance Funding Trust I Series 2015-T2.

The CMBS were: US$252m Colony American Finance 2015-1; US$931.8m COMM 2015-CCRE27; US$1.6bn FREMF 2015-K49; US$1.58bn FREMF 2015-K720; US$300m GSCCRE Commercial Mortgage Trust 2015-HULA; US$650m GSMS 2015-590M; US$848.4m GSMS 2015-GC34; and US$428.4m RFT 2015-FL1.

Lastly, the CLOs were: US$404m Cathedral Lake III; US$413.3m Cerberus ICQ Levered CLO 2015-1; €1.12bn Foncaixa PYMES 6; US$407.55m Golub Capital Partners CLO 26(B); and US$620m Magnetite XV.

Markets
The new issue US ABS market has continued its October boom, with US$8bn pricing last week - the busiest week since May, note Barclays analysts. They say: "Spreads widened 2bp-5bp week-over-week in credit card, student loan, and equipment ABS, while prime auto spreads on bonds from the most liquid shelves were unchanged. Investors continue to be selective on new purchases, demanding higher spreads from more off-the-run issuers."

Months of spread widening have increased the attractiveness of US CLOs, say Bank of America Merrill Lynch analysts. They add: "Secondary activity picked up moderately this week in the US with BWIC items totalling over US$800m by current face value. The vast majority of bonds came from the 2.0/3.0 universe with triple-A tranches contributing c.US$300m of the total and triple-B to single-B tranches contributing c.US$150m."

The slack in the European ABS primary market did not lead to secondary spreads making headway inside their current levels, say JPMorgan analysts. They say: "While BWIC volumes remained modest, a lack of firm conviction of the direction of the market resulted in spreads moving broadly sideways and ended the week unchanged across the universe"

Editor's picks
Moving pieces
: Widening US CMBS spreads have accompanied looming risk retention requirements in reshaping the investment landscape for CMBS B-piece buyers. While short-term investors could be pushed out of the space, single-asset/single-borrower (SASB) deals could provide new opportunities...
Surprise StuyTown deal agreed: The Stuyvesant Town/Peter Cooper Village apartment complex has been sold for US$5.3bn, despite an appraisal as recently as September of US$3.5bn. The timing of the deal also comes as a surprise, with CMBS payoffs possible as soon as the November remittance...
HAMP payment ramp begins: In the more than six years that HAMP has been in effect, there have been eight million modifications. As a growing number of mods reach 60 months of performance, increased borrower payments are expected to increase the number of prepayments, delinquencies and refinancings...
US RMBS active: Activity continues to be strong in the US non-agency RMBS secondary market. Risk perception continues to abate and high yield continues to tighten, which is positive for RMBS...

Deal news
• Fannie Mae has priced its latest credit risk sharing transaction - CAS 2015-C04 - which is the first to use an actual loss framework. The GSE says that this structure will be the standard for its CAS programme going forward, and follows in the footsteps of Freddie Mac after it debuted its first actual loss issuance earlier this year (SCI 8 April).
• BOC Aviation has sold a portfolio of 24 aircraft to Shenton Aircraft Investment I, in what is believed to be the first aircraft lease ABS from an Asian-based sponsor. SHNTN 2015-1 has issued two tranches of notes to finance a portion of the purchase.
• StoneCastle Financial has closed Community Funding CLO, believed to be the first pooled bank credit securitisation to print since 2008. Citi arranged the transaction.
• Crédit Agricole has closed FCT Crédit Agricole Habitat 2015, a self-led retained securitisation of French home loans. The transaction is the bank's first true sale RMBS in France.
• The pending defeasance of the Ty Warner Hotel portfolio in MSC 2012-C4 has prompted Kroll Bond Rating Agency to place its ratings on the class B and C certificates to watch upgrade. The portfolio is the second largest loan in the transaction, comprising 9.1% of the pool.
• Up to €2.6bn worth in loans and leases packaged into Volkswagen auto ABS transactions have exposure to the EA189 EU5 engines that were supposedly built with emissions-cheating software. The German deals are: VCL 18, 19, 20 and 21; and Driver ten, eleven, twelve and thirteen. Two Australian (Driver Australia one and two), two French (Driver France one and two), two UK (Driver UK two and three) and one Spanish (Driver Espana two) deals also have exposure.

Regulatory update
• The National Association of Financial Market Institutional Investors (NAFMII) has published a new set of rules on the issuance of ABS backed by consumer loans in China. The rules are the fourth set released by the regulatory organisation, following guidelines for auto ABS, RMBS and loans for urban redevelopment.
• The US Fed, FDIC, OCC, Farm Credit Administration and the FHFA have approved a joint final rule establishing margin requirements for swaps that are not cleared through a clearinghouse. The rule was developed in consultation with the CFTC and the SEC.
• Bank capital charges attached to market risk in the trading book could increase by 2.2 times for those involved in securitisation, according to a joint report by ISDA, the Global Financial Markets Association and the Institute for International Finance. The report analyses impact studies submitted by 28 banks to the Basel Committee regarding the regulator's framework for the fundamental review of the trading book.
• A pair of UBS advisory firms have agreed to settle US SEC charges that they failed to disclose a change in investment strategy by UBS Willow Fund. UBS Willow Management and UBS Fund Advisor will pay US$17.5m to settle the charges, more than US$13m of which will be returned to investors.
• Barclays has agreed to pay US$325m to settle NCUA claims that it sold faulty RMBS. It is the latest in a string of settlements (SCI passim) and brings the NCUA's total recoveries to over US$2bn.
• Wachovia has agreed to pay US$53m to resolve NCUA claims arising from losses related to purchases of RMBS securities by corporate credit unions. This brings the agency's total recoveries from litigation against banks that sold faulty RMBS to corporate credit unions to US$2.2bn.
• A report has been filed by the monitor of the US National Mortgage Settlement, Joseph Smith, revealing the results of Ocwen's compliance with the National Mortgage Settlement servicing standards during 3Q14 and 4Q14. Filed with the US District Court for the District of Columbia, the report reveals that Ocwen failed four metrics in the second half of 2014.
• Brazil's capital markets regulator Comissão de Valores Mobiliários (CVM) recently released guidance to trustees and auditors of fundos de investimentos em direitos creditórios (FIDCs) on procedures to determine non-performing loan (NPL) provisioning levels. Moody's notes in its latest Credit Outlook publication that the move is credit positive for senior tranches of securitisations because it will divert more collateral cashflow to them sooner when forward-looking measures of collateral credit quality are signalling increased expected losses.

Deals added to the SCI New Issuance database last week:
Cairn CLO III (refinancing); Capital Auto Receivables Asset Trust 2015-4; Community Funding CLO; Domino's Pizza Master Issuer series 2015-1; Exeter Automobile Receivables Trust 2015-3; FRESB 2015-SB5; GSMS 2015-GC34; Harvest CLO XIV; ICG US CLO 2015-2; JPMBB 2015-C32; LCM XX; OCP CLO 2015-10; Santander Drive Auto Receivables Trust 2015-5; Sierra Timeshare 2015-3 Receivables Funding

Deals added to the SCI CMBS Loan Events database last week:
BSCMS 2007-PW16 & BSCMS 2007-PW17; CD 2006-CD3; CLNY 2014-FL2; COMM 2014-CR18; CSMC 2006-C3; CSMC 2006-C4; CSMC 2007-C2; CSMC 2007-C5; DECO 6-UK2; DECO 8-C2; ECLIP 2006-3; ECLIP 2006-4; FHSL 2006-1; FIP Funding; GSMS 2013-GC14; JPMCC 2014-DSTY; LBUBS 2006-C1; LBUBS 2006-C1 & LBUBS 2006-C7; MLMT 2002-MW1; MSC 2007-IQ14; MSC 2007-XLF; MSC 2012-C4; TMAN 6; UBS 2012-C1; WBCMT 2006-C23; WBCMT 2007-C33; WFRBS 2013-C12; WFRBS 2013-C14; WINDM X; WINDM XIV; WTOW 2007-1


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