SCI Start the Week - 26 September

Category: ABS CDO CLOs


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

Pipeline
Pipeline activity seemed elevated again last week. There were eight new ABS added, along with six RMBS, a CMBS and four CLOs.

The ABS were: €355.2m Cars Alliance Loans France Master Series 2016-09; US$439m DT Auto Owner Trust 2016-4; €513.6m E-CARAT Compartment 9; £138m Marketplace Originated Consumer Assets 2016-1; US$250m Navistar Financial Dealer Note Master Owner Trust II Series 2016-1; €651m Purple Master Credit Cards Series 2016-1; €930m Red & Black Auto Germany 4; and €541m Voba No.6.

The RMBS were: A$350m Firstmac Mortgage Funding Trust No.4 Series 3-2016; US$395.4m JPMMT 2016-3; US$300m New Residential Mortgage Loan Trust 2016-3; SMHL 2016-1; US$739m STACR 2016-DNA4; and US$649.21m Towd Point Mortgage Trust 2016-4.

US$540m CGCMT 2016-SMPL was the CMBS. The CLOs were US$404m Cathedral Lake IV, CGMSE 2013-2 (refi), US$504.5m THL Credit Wind River 2016-2 CLO and US$600m Voya CLO 2016-3.

Pricings
A few deals also departed the pipeline. As well as three ABS prints there was an RMBS, two CMBS and four CLOs.

€1.075bn Bavarian Sky German Auto Loans 5, C$700m Golden Credit Card Trust 2016-5 and €750m SC Germany Consumer 2016-1 accounted for the ABS. The RMBS was A$750m Progress 2016-1.

US$1.12bn FREMF 2016-K57 and US$1.12bn GSMS 2016-GS3 constituted the CMBS. The CLOs were €471m Dryden 46, US$300m Garrison Funding 2016-2, US$809m Madison Park Funding XXII, US$557.75m OCP CLO 2016-12 and US$407m Regatta VII.

Editor's picks
CDS index rolls provide opportunities: The roll to CDX IG27 may be uneventful in terms of names changes, but Morgan Stanley analysts believe that it does offer investors a good opportunity to move existing longs from cash into synthetic credit, given a sharp compression in the cash-CDS basis. Meanwhile, speculation on the demise of the European single name CDS market were premature, argues Markit, considering the healthy liquidity going into the iTraxx roll...
Reported CLO WAS levels diverging: Deal-reported weighted average spread (WAS) of collateral in European CLOs has been rising, while for US CLOs it has been falling. This has pushed WAS test cushions close to breaching for US CLOs and is expected to impact equity cash distributions...

Deal news
• Renovate America is in the market with its eighth securitisation of PACE bonds. Dubbed HERO Funding 2016-3, the US$320.3m deal is the largest such green bond deal completed to date by any issuer.
• Zopa is in the market with its inaugural rated consumer loan securitisation, which is the first rated securitisation of UK marketplace consumer loans. The £138m deal, Marketplace Originated Consumer Assets 2016-1, is backed by unsecured consumer loans originated via Zopa's marketplace lending platform.
• Fannie Mae has completed two more credit insurance risk transfer (CIRT) transactions - CIRT 2016-7 and CIRT 2016-8 - worth US$14.4bn. The company has now transferred a portion of the credit risk on US$759bn in single-family mortgages, with its latest deals attracting a record number of reinsurers.
• The value of the collateral behind the US$57.5m PNC Corporate Plaza loan - collateralised in WBCMT 2007-C30 - has reduced sharply, notes Trepp. The servicer had previously been posting the securitisation value of US$78.4m, but last month that was reduced to US$37.5m.
• Dock Street Capital Management has been named as replacement collateral administrator to JPMorgan-CIBC 2006-RR1. Under the terms of the appointment, Dock Street will now assume all responsibilities, duties and obligations of the collateral manager under the applicable terms of the collateral administration agreement.
• Moody's has upgraded 15 classes of notes and downgraded 14 classes in securitisations sponsored or administered by Navient. It has also confirmed the ratings of 14 classes of notes. All the ABS - totalling US$7.7bn over 31 securitisations - are backed by FFELP student loans.

Regulatory update
• Final settlements reached by European banks with the US Department of Justice (DoJ) for the issuance and underwriting of RMBS are likely to be far lower than the DoJ's US$14bn opening position in relation to Deutsche Bank (SCI 16 September), says Fitch. Deutsche Bank has already made the point that US peer banks settled for far lower sums than the mooted US$14bn.
• Goldman Sachs is meeting its consumer relief requirements as part of its US$5bn RMBS settlement, says the settlement's monitor. A report from monitor Eric Green shows that Goldman Sachs passed its first round of compliance testing for the consumer relief portion of its settlement, which was reached earlier this year (SCI 12 April).
• Timothy Massad, CFTC chairman, has recommended a one-year extension to the swap dealer de minimis threshold to December 2018. Currently the swap deal de minimis threshold comes into effect in January 2017, whereby the threshold will drop from US$8bn to US$3bn. Massad says that the extension will give the CFTC more time to consider this "critical decision".
ESMA has published a discussion paper regarding the trading obligation under MiFIR. The trading obligation will move OTC trading in liquid derivatives onto organised venues.

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