Monday 27 July 2015 11:36 London/ 06.36 New York/ 19.36 Tokyo

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

Pipeline
The pace of pipeline additions was steady last week, although there was more variety in the names. The week's additions consisted of seven ABS, an ILS, two RMBS, six CMBS and two CLOs.

The ABS were: €800m Bavarian Sky Compartment German Auto Loans 3; €1.45bn BBVA Consumo 7; US$376.7m CHAI 2015-PM1; US$260.75m Diamond Head Aviation 2015; US$450m Flagship Credit Auto Trust 2015-2; US$160m HERO Funding Series 2015-2; and US$155m JGWPT XXXV.

US$100m Bosphorus Series 2015-1 was the sole ILS. The RMBS were US$489.64m JPMMT 2015-5 and US$814.05m Towd Point Mortgage Trust 2015-3.

The CMBS consisted of: US$273.5m BAMLL 2015-ASTR; US$275m BAMLL 2015-HAUL; US$1.4bn COMM 2015.CCRE24; £646m Logistics UK 2015; US$334m PFP 2015-2; and US$740m WFCM 2015-C30. Meanwhile, the CLOs were €350m Adagio IV CLO and US$800m Ares XXXIV CLO.

Pricings
The week's prints were also considerable. In total there were 12 ABS, four RMBS, four CMBS and four CLOs.

The ABS were: US$203.1m Access Funding 2015-1; US$700m Chase Issuance Trust 2015-A7; US$170m Diamond Resorts Owner Trust 2015-1; US$410m Driven Brands Funding Series 2015-1; E-CARAT 8; US$850.2m Enterprise Fleet Financing Series 2015-2; US$850m Golden Credit Card Trust Series 2015-3; US$250m Navistar Financial Dealer Note Master Owner Trust II Series 2015-1; US$433.33m NextGear Floorplan Master Owner Trust Series 2015-1; US$664m SMB Private Education Loan Trust 2015-B; US$500m USAA Auto Owner Trust 2015-1; and US$687.59m World Omni Automobile Lease Securitization Trust 2015-A.

The RMBS were £525m Auburn Securities 9, US$300m FWLS 15-SC01, £500m-equivalvent Lanark Master Issuer Series 2015-1 and A$1.5bn SMHL Series Securitisation Fund 2015-1.

US$215m Citigroup Commercial Mortgage Trust 2015-SHP2, US$140m CRCRE 2015-RUM, US$1.45bn FREMF 2015-K47 and US$200m WP Glimcher Mall Trust 2015-WPG accounted for the CMBS.

The CLOs were US$512m Babson CLO 2015-2, US$617.5m Cumberland Park CLO, US$308.4m Great Lakes CLO 2015-1 and US$510m Halcyon Loan Advisors Funding 2015-3.

Markets
European ABS and RMBS spreads continued to retrace as the threat of Grexit has been - at least temporarily - dealt with. "Spanish and Italian RMBS seniors shed 5bp generically, while their Portuguese counterparts strengthened 10bp during the week. UK BTL and NCF seniors tightened 1bp, similar to the Dutch and UK prime RMBS senior bonds," say JPMorgan analysts.

US ABS spreads were generally flat, although student loan ABS underperformed as spreads widened. "Secondary trading volumes were light for the fourth straight week, with an average of US$1bn trading each day through Thursday, below the daily average of US$1.3bn traded during the previous three months," report Barclays Capital analysts.

US CLO secondary activity picked up, with BWIC volumes totalling US$500m-US$600m. "With the Volcker compliance deadline having hit this week, US CLO 1.0 triple-A levels remained soft. The mezzanine part of the 1.0 cap stack felt firmer even though there is still no broad consensus over what constitutes an ownership interest in this part of the structure for compliance with the Volcker rule. Spread levels were overall unchanged from last week's levels," say Bank of America Merrill Lynch analysts.

Editor's picks
Sterling effort
: European CLOs remain an attractive option for yield-hungry investors, but a shortage in quality collateral persists. As managers attempt to broaden the investor universe, a fresh phase of innovation has expanded the structural scope of new transactions...
Expanding brand: European CMBS primary issuance remains slow in relative terms, but the sector continues to innovate. Regulatory pressures are driving alternative options to rated CMBS, as demand for real estate continues...
No-action impact gauged: Prior to publication of the US SEC's no-action letter (SCI 21 July), an estimated US$261bn of US CLOs had to refinance before 24 December 2016 to avoid risk retention for the refinanced tranches. The ruling means that an additional US$152bn of CLOs should now be able to refinance during 2017 without triggering the risk-retention requirement...
Crossover tranchelet trades touted: Investors are increasingly looking to trade slices of the 0%-10% equity tranche of the on-the-run iTraxx Crossover S22 portfolio. With the opportunity to express views either through a 0%-5% tranchelet or 5%-10% tranchelet, going short 0%-5% and long 5%-10% is recommended...

Deal news
• Citi is in the market with a US$376.7m marketplace lending securitisation, dubbed Citi Held for Asset Issuance 2015-PM1 (CHAI 2015-PM1). Moody's has assigned a preliminary rating to the senior tranche that is three notches higher than that of the inaugural public marketplace lending deal - Consumer Credit Origination Loan Trust 2015-1 (CCOLT 2015-1) - from February.
Ygrene Energy Fund has completed the first property-assessed clean energy (PACE) securitisation that combines both residential and commercial assets. The US$150m private transaction is also the first PACE deal to combine projects in multiple states, including California and Florida, and to include both special taxes and assessments in a single securitisation.
• A tender offer for CPUK Finance class B notes has been launched in connection with the acquisition of the Center Parcs group by an affiliate of Brookfield Asset Management. The move is considered a change of control under the class B note issuer/borrower loan agreement and, following the acquisition, the borrowing group is required to offer to repurchase the class B notes at a price of 101% of the aggregate principal amount of the notes' repurchase plus accrued interest.
• Access Group says it intends to redeem the US$89.1m ACCSS 2004-2 A2 bond in full at its legal final maturity (25 January 2016) via a deposit of additional funds into the trust. Slow payment rates and insufficient cashflow would otherwise have resulted in a technical default on the tranche. The deal's offering memorandum allows defeasance of the notes at maturity, according to JPMorgan ABS analysts.
• Cambridge Place Investment Management is set to be replaced as collateral manager for the Camber 3 ABS CDO, after CPIM revealed its intention to retire from the role. Subject to the satisfaction of conditions set out in the collateral management agreement, Dock Street Capital Management will be appointed as its replacement, with details expected to be finalised in August.

Regulatory update
JPMorgan has agreed to pay US$388m to settle a suit of investors represented by Robbins Geller Rudman & Dowd, who accused the bank of misleading them when it sold nine 2007 RMBS offerings worth a total of US$10bn. The settlement represents, on a percentage basis, the largest recovery ever achieved in an MBS purchaser class action and is more than 2.5 times greater than the average percentage recovery in previous MBS purchaser class action settlements.
• The Basel Committee and IOSCO have released their final criteria for identifying simple, transparent and comparable securitisations, following the proposals they set out last year (SCI 11 December). The organisations have amended certain aspects to the proposals that were considered overly prescriptive and have clarified other issues that raised doubts about interpretation or implementation.
• A recent federal appeals court decision in Madden v. Midland Funding could have negative implications for ABS backed by bank-originated marketplace lending loans, reports Moody's. If interpreted broadly, interest rates on some loans backing marketplace lending transactions could be reduced, or the loans themselves made void.
• The EBA has published two reports covering the consistency of risk weighted assets (RWAs) across large EU institutions for large corporate, sovereign and institutions' IRB portfolios. The reports also cover the calculation of counterparty credit risk exposures under the internal model method and credit value adjustments according to the advanced approach (ACVA).
ISDA says that although significant progress has been made in implementing derivative market reforms - five years on from the signing into law of the Dodd-Frank Act - a number of outstanding issues remain unresolved. As a result, the organisation has put forward a number of targeted amendments that could help tackle the outstanding challenges.
• The US SEC last week issued a no-action letter clarifying that CLOs originally issued before December 2014 can be refinanced and remain exempt from risk retention requirements. The letter is in response to a request for no-action relief in connection with a proposed refinancing of one or more classes of pre-existing CLO securities submitted by Cleary Gottlieb on behalf of Crescent Capital Group.

Deals added to the SCI New Issuance database last week:
Acorn Re series 2015-1; Ally Auto Receivables Trust 2015-1; ALM XVI; American Express Credit Account Master Trust Series 2015-1; Black Diamond CLO 2015-1; BMW Floorplan Master Owner Trust Series 2015-1; Capital One Multi-Asset Execution Trust 2015-4; Capital One Multi-Asset Execution Trust 2015-5; Carlyle Global Market Strategies Euro CLO 2015-2; CAS 2015-C03; COMM 2015-PC1; Drive Auto Receivables Trust 2015-C; Driver Master Compartment 3; Entergy New Orleans Storm Recovery Funding I; FREMF 2015-K1501; GSMS 2015-GC32; JPMCC 2015-MAR7; Kingswood Mortgages 2015-1; KKR CLO 12; Mercedes-Benz Auto Receivables Trust 2015-1; Nissan Auto Receivables 2015-B Owner Trust; Orange Lion XII RMBS ; Paragon Mortgages No. 23; Precise Mortgage Funding 2015-2B; Thetis Finance No. 1; WFCM 2015-NXS2

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-6; BACM 2007-3; BACM 2008-1; BSCMS 2006-PW11; BSCMS 2006-PW13; BSCMS 2006-PW14; BSCMS 2007-T28; CD 2005-CD1; CD 2007-CD4; CD 2007-CD5 & CWCI 2007-C3; COMM 2012-CCRE4; COMM 2013-LC6; COMM 2014-UBS2; CRFREE 2014-CARE; CSMC 2006-C4; CSMC 2007-C4; DECO 2006-E4; DECO 2007-E5; ECLIP 2006-4; ECLIP 2007-1; ECLIP 2007-2; EMC VI; GCCFC 2006-GG7; GCCFC 2007-GG9; GECMC 2005-C4; GECMC 2007-C1; GSMS 2006-GG6; GSMS 2012-GCJ9; GSMS 2014-GC18; JPMCC 2005-CB12; JPMCC 2006-LDP7; JPMCC 2012-C8; JPMCC 2012-LC9; JPMCC 2013-LC11; LBCMT 2007-C3; LBUBS 2006-C6; MESDG CHAR; MLCFC 2007-5; MLCFC 2007-9; MLMT 2005-CK11; MLMT 2005-LC1; MSBAM 2015-C22; MSC 2006-HQ9; TITN 2006-5; TMAN 4; TMAN 5; TMAN 7; WBCMT 2006-C23; WBCMT 2006-C27; WFCM 2010-C1; WFCM 2015-C27; WFRBS 2011-C3; WFRBS 2013-C12 & WFRBS 2013-C11; WINDM XIV


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