Monday 27 April 2015 11:04 London/ 06.04 New York/ 19.04 Tokyo

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

Pipeline
A modest number of deals remained in the pipeline at the end of last week. The new entrants consisted of two ABS, one ILS, four RMBS and three CLOs.

C$766m Master Credit Card Trust II Series 2015-1 and €725m VCL 21 were the ABS. The sole ILS was US$200m Long Point Re III Series 2015-1.

The RMBS consisted of Skr3.5bn Bluestep Mortgage Securities No.3, US$274m CSMC Trust 2015-3, US$267m OAKS 2015-1 and US$380m Tricon American Homes 2015-SFR1. The CLOs, meanwhile, were US$325m CIFC Funding 2015-II, €438m Jubilee CLO 2015-XV and US$317.5m OZLM XII.

Pricings
ABS dominated the primary market in another busy week of issuance. As well as 12 ABS deals pricing, there were also two ILS, seven RMBS, three CMBS and four CLO prints.

The ABS were: €455m Alba 7; US$1.2bn BA Credit Card Trust 2015-2; US$775m Chase Issuance Trust 2015-A3; €473m Claris Lease Finance 2015-1; US$800m Discover Card Execution Note Trust 2015-2; A$210m Flexi ABS Trust 2015-1; US$902m Ford Credit Auto Lease Trust 2015-A; US$500m Golden Credit Card Trust Series 2015-2; US$240m HERO Funding Trust 2015-1; US$250m LRF 2015-1; US$637m PHEAA Student Loan Trust 2015-1; and €700m SC Germany Vehicles 2015-1.

€285m Benu Capital and US$300m Cranberry Re 2015-1 accounted for the ILS. The RMBS were: £273.5m Alba 2015-1; €3.9bn Emilia 1; C$780m Genesis Trust II Series 2015-1; A$500m Liberty Series 2015-1 Trust; A$350m Pepper Prime Private Placement Trust 2015-1; US$306m Sequoia Mortgage Trust 2015-2; and US$720m STACR 2015-DNA1.

US$288m CGBAM 2015-SMRT, €445m Taurus 2015-2 DEU and US$955m WFCM 2015-NXS1 were the week's CMBS. Lastly, the CLOs were US$210m A10 Term Asset Financing 2015-1, US$612m KVK 2015-1, US$409m NXT Capital 2015-1 and US$515m TICP CLO IV.

Markets
Steady US ABS primary supply has kept secondary spreads stable to slightly tighter, report Barclays Capital analysts. "ABS trading in the secondary market was active for the second straight week, with an average of US$1.47bn traded each day during the first four days of the week," they say.

US agency RMBS performance remained directional to rates, say Citi analysts, outperforming on the sell-off initially but then underperforming the last two sessions of the week. "Over the week, FN 3s slightly underperformed curve hedges whereas FN 3.5s are flat," they say.

In the US non-agency RMBS market, activity was robust and supply and trading volumes were above the year's average levels. "Much of the supply this week, about 57%, came from hedge funds. Legacy paper prices remained firm week over week, while next generation asset classes in general saw spread tightening of about 5bp-25bp," say Wells Fargo analysts.

"New issue [US] CMBS spreads across the capital structure were firmer in secondary trading following the launch on Monday of the latest conduit deal, the US$955m WFCM 2015-NXS1," say Bank of America Merrill Lynch analysts. Pricing levels on that deal were up to 10bp tighter than guidance levels and as much as 35bp tighter than similarly-rated tranches from the last conduit deal.

European ABS and RMBS were both a little less active last week, according to JPMorgan analysts. "BWICs remained the mainstay of market activity. As in the recent past, we saw peripheral debt pricing weaken marginally-albeit on comparatively light trading flows," they say.

Editor's picks
Stepping out
: New European CMBS deals are increasingly deviating from the cookie-cutter mould established in the market's post-crisis revival...
Sprawling landscape: B2R Finance and FirstKey Lending this month became the first sponsors to launch multi-borrower single family rental (SFR) securitisations...
Two-tone CMBS: With around US$14bn of new issuance hitting the market last quarter, the single-asset/single-borrower (SASB) sector appears to be the sweet spot in US CMBS at present...
Recoveries change RMBS landscape: Investors can find value in non-investment grade senior and mezzanine Spanish RMBS bonds, particularly as recoveries switch deals to pro rata pay-down...

Deal news
• EMEA CMBS performance stabilised in 1Q15 as CRE loans past their original maturities have remained flat since 4Q14, at just above 63%, says Fitch. The agency notes that two loans matured last quarter without being repaid. DECO 14's Cottbus Shopping Centre entered special servicing, while Hercules (Eclipse 2006-4)'s Cannon Bridge loan was granted a short-term extension.
• The latest trustee report for DBUBS 2011-LC1 shows that the US$55.3m Rookwood Commons loan has prepaid in full without penalty. Morgan Stanley CMBS strategists suggest that this may be an error, since prepayment prior to 1 May is only permitted with the greater of yield maintenance and 1%.
• April remittances indicate that the US$50.1m Hudson Valley Mall loan, securitised in CFCRE 2011-C1, has transferred to special servicing. This represents the largest CMBS 2.0/3.0 loan to move into special servicing so far, according to Barclays Capital CMBS analysts.
• The deteriorating credit quality of four US coal companies is stressing some US CLOs with sizable exposures, Moody's reports in its latest CLO Interest. Some transactions have recently reduced their coal exposures through sales, but in doing so realised par losses. For instance, OHA Credit Partners VII sold the majority of its Arch Coal position at 81.3% of par in January 2015, losing US$1.4m of par.

Regulatory update
• Among respondents to JPMorgan's 2Q15 CLO client survey, it is generally felt that only a minority of CLO managers have a clearly defined risk retention strategy. About half of those surveyed - and overwhelmingly investors - believe that a manager should contribute at least 51% of the retention, with the remainder suggesting that the contribution should be 10%-30% or even zero.
• The US FHFA has announced the results of its comprehensive review of guarantee fees charged by Fannie Mae and Freddie Mac. The move is not expected to have a significant effect on mortgage valuations, prepayment speeds or agency RMBS issuance volumes.
• Green Tree Servicing, a subsidiary of Walter Investment Management, has agreed to a US$64m settlement with the US Federal Trade Commission and the US Consumer Financial Protection Bureau over investigations into mistreating borrowers. The servicer has agreed to pay US$48m for consumer redress and a civil money penalty of US$15m, without admitting or denying any allegations to injunctive relief.

Deals added to the SCI New Issuance database last week:
ACAS CLO 2015-1; AMMC CLO XVI; Apollo Credit Funding IV; ARI Fleet Lease Trust 2015-A; Axis Equipment Finance Receivables III Series 2015-1; B2R Mortgage Trust 2015-1; BAMLL 2015-200P; Dell Equipment Finance Trust 2015-1; First Investors Auto Owner Trust 2015-1; FirstKey Lending 2015-SFR1; FREMF 2015-K44; FREMF 2015-KF07; Hyundai Auto Receivables Trust 2015-B; Jackson Mill CLO; JFIN Revolver CLO 2015-II; KKR CLO 11; Mercedes-Benz Master Owner Trust Series 2015-A; Mercedes-Benz Master Owner Trust Series 2015-B; Navient Student Loan Trust 2015-2; Ochiba 2015; OCP CLO 2015-8; Octagon Investment Partners XXIV; Santander Drive Auto Receivables Trust 2015-2; SMB Private Education Loan Trust 2015-A; Stone Street Receivables Funding 2015-1; WFCG 2015-BXRP; WFCM 2015-NXS1; World Financial Network Credit Card Master Note Trust Series 2015-A

Deals added to the SCI CMBS Loan Events database last week:
BACM 2007-5; BSCMS 2007-T28; CFCRE 2011-C1; CGCMT 2014-GC23; COMM 2014-UBS3; CSFB 2005-C5; DBUBS 2011-LC1; DECO 2006-C3; DECO 2006-E4; DECO 2007-E6; DECO 2014-TULIP; DECO 8-C2; ECLIP 2006-4; EPC 3; GCCFC 2007-GG9; GRACE 2014-GRCE; GSMS 2011-GC3; JPMCC 2011-C5; JPMCC 2012-C8; JPMCC 2013-C10; JPMCC 2013-LC11; LBUBS 2006-C6; LCCM 2014-909; MSC 2007-IQ15; RIVOL 2006-1; TAURS 2006-1; THEAT 2007-1 & THEAT 2007-2; TITN 2007-2; TMAN 6; TMAN 7; UBSCM 2007-FL1; WBCMT 2006-C26; WBCMT 2007-C31; WFRBS 2014-C23; WINDM X; WINDM XIV


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