Monday 9 March 2015 17:43 London/ 12.43 New York/ 01.43 (+ 1 day) Tokyo

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

Pipeline
Deals stayed in the pipeline a little longer last week. At Friday's end there were 10 new ABS as well as an ILS and five RMBS.

The ABS were: US$219.3m American Credit Acceptance Receivables Trust 2015-1; US$350m Chase Issuance Trust 2015-1; US$1.4bn Chase Issuance Trust 2015-2; A$500m Crusade ABS Series 2015-1; US$712m Drive Auto Receivables Trust 2015-A; US$453.53m GreatAmerica Leasing Receivables Funding Series 2015-1; US$302.6m Michigan Finance Authority Series 2015-1; €820m Quarzo SQS; A$737.61m SMART ABS Series 2015-1US Trust; and US$816.25m Volvo Financial Equipment Series 2015-1.

US$300m Merna Re Series 2015-1 was the ILS. The RMBS were US$372.4m JPMMT 2015-IVR2, A$750m National RMBS Trust 2015-1, £360.2m Paragon Mortgages No.22, A$500m Series 2015-1 REDS Trust and STORM 2015-I.

Pricings
While last week did not see quite as many deals pricing as the one before it, it was still a busy week for issuance. Ultimately there were 10 ABS, one ILS, five CMBS and eight CLO prints for the week.

The ABS were: US$318.75m CABMT Series 2015-I; US$350m California Republic Auto Receivables Trust 2015-1; US$500m Dryrock Issuance Trust Series 2015-1; US$280.725m Flagship Credit Auto Trust 2015-1; US$964.65m Hyundai Auto Lease Securitization Trust 2015-A; US$995m John Deere Owner Trust 2015; £185m NewDay Partnership Funding 2015-1; €888m Red & Black Auto Germany 3; CHF200m Swiss Auto Lease 2015-1; and US$395.55m Westlake Automobile Receivables Trust 2015-1.

US$225m East Lane Re VI Series 2015-1 was the ILS. The CMBS were: US$1.2bn CSAIL 2015-C1; C$325.4m IMSCI Series 2015-6; US$240m MSC 2015-420; US$545.1m MSCI 2015-XLF1; and US$1bn WFCM 2015-C27.

Lastly, the CLOs were: US$578m ACIS CLO 2015-6; €308m Aurium CLO I; US$611m Benefit Street Partners VI; US$506.7m BlueMountain CLO 2015-1; US$625m Sound Point CLO VIII; US$361m Steele Creek CLO 2015-1; US$617m Treman Park CLO 2015-1; and US$612.5m Voya CLO 2015-1.

Markets
While the US ABS primary market slowed down slightly last week, activity in the secondary market was fairly stable. "Interest in secondary was largely focused on higher spread product, such as subprime subordinates and private credit student loans," note JPMorgan analysts.

US CMBS continued to rally, as it has done now since the start of February. Barclays Capital CMBS analysts note that secondary spreads were helped by the tight pricing and heavy demand for the new issue CSAIL 2015-C1 conduit deal. "Secondary trading of recent issue triple-A LCF bonds tightened 1bp w/w, to swaps plus 85bp, 9bp tighter than in late January. Lower in the capital stack, triple-B minus bonds tightened 5bp, to swaps plus 334bp, and are 20bp tighter than late-January levels," they add.

The European CLO market has now priced five deals this year, with Spire's Aurium CLO I marking the entrance of a new issuer. In the secondary market it was a fairly quiet week. "There was limited movement in pricing for 1.0 bonds after the recent rally, though there remains decent demand for mezzanine bonds. Trading levels were generally strong for 2.0 bonds appearing in the secondary market, and levels appear tighter than where recent new issue deals have priced," say Bank of America Merrill Lynch analysts.

Deal news
• The second refinancing instalment of the restructured Dutch CMBS transaction Leo-Mesdag, due last month, was missed. While the CMBS classes are not expected to face principal losses, it does appear that the sponsor will struggle to meet its refinancing business plan.
• Mizuho has accepted for purchase €11m of Proventus European ABS CDO bonds via its tender offer (SCI 24 February). €2m of class D notes (with an accrued interest payment of €215.33 per €50,000), €4.5m of class Es (€614.08) and €4.5m of class Fs (€885.95) were validly tendered.
• Distressed Capital Management (DCM) has purchased approximately US$207.57m of whole loans from RBS' RBSHD 2013-1 A, B1, B2, B3 and trust certificates. The portfolio consists of two sub-pools: seasoned fixed/adjustable-rate fully amortising and balloon reperforming and non-performing mortgage loans, secured by first liens on one- to four-family residential properties; and REO properties.
• The final price of the RadioShack Corp CDS auction has been determined at 11.5. At yesterday's auction, 11 dealers submitted initial markets, physical settlement requests and limit orders to settle trades across the market referencing the entity.
• Ocwen Financial says it has received notice from a trustee that a majority of certificate holders of two RMBS trusts - SABR 2006-FR1 and 2006-FR3 - have voted to terminate Ocwen as servicer. The move follows an EOD triggered when its servicer ratings were downgraded in October 2014.

Regulatory update
• The initiation of Spain's second chance rule is credit negative for covered bonds and securitisations backed by loans to individuals, suggests Moody's. RMBS and SME ABS are the most affected asset classes, as the rule allows for debt forgiveness of mortgage debt left outstanding after property repossession.
• The ECB last month published new guidelines on the implementation of the Eurosystem monetary policy, effective from 1 May. Several changes have been made to ABS repo eligibility, which appear to reflect a bias towards tightening of the criteria.
• The ECB has removed 11 Spanish bonds from its repo-eligible ABS bond list due to non-compliant payment waterfalls following enforcement or accelerated amortisation. Such a stringent interpretation could have far-reaching implications, according to European securitisation analysts at Barclays Capital.
• The Appellate Division of the New York Supreme Court has approved the Countrywide trustee's proposed US$8.5bn rep and warranty settlement in its entirety. The court concluded that as a trustee, BNY Mellon properly exercised its discretion in settling all the claims, including repurchase claims against loan modifications that were previously excluded by Judge Kapnick's decision from early 2014 (SCI passim).
• Morgan Stanley has disclosed in its latest Form 10-K that the New York Attorney General's Office last month indicated that it intends to file a lawsuit under the Martin Act related to approximately 30 subprime RMBS sponsored by the firm. The lawsuit is expected to allege that Morgan Stanley misrepresented or omitted material information related to the due diligence, underwriting and valuation of the loans in the securitisations and the properties securing them.

Deals added to the SCI New Issuance database last week:
Apollo Series 2015-1 Trust; Ascentium Equipment Receivables 2015-1; Betony CLO; CIFC Funding 2015-I; CNH Capital Canada Receivables Trust series 2015-1; CNH Equipment Trust 2015-A; Denali Capital CLO XI; East Lane Re VI series 2015-1; Element Rail Leasing II Series 2015-1; Enterprise Fleet Financing Series 2015-1; Exeter Automobile Receivables Trust 2015-1; GE Equipment Transportation series 2015-1; Golden Credit Card Trust Series 2015-1; Harvest CLO XI; Hollis Receivables Term Trust II series 2015-1; Kentucky Higher Education Student Loan Corp series 2015-1; Madison Park Funding XVI; Oaktree EIF II series B1; Precise Mortgage Funding 2015-1; Toyota Auto Receivables 2015-A Owner Trust; Volkswagen Auto Lease Trust 2015-A; World Omni Auto Receivables Trust 2015-A

Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-2; BSCMS 2007-PWR17; CD 2007-CD4; CGCMT 2007-C6; CGCMT 2012-GC8; EURO 28; GCCFC 2005-GG5; GSMS 2005-GG4; GSMS 2011-GC5; GSMS 2012-ALOH; JPMCC 2005-CB11; JPMCC 2007-CB20; JPMCC 2010-C1; JPMCC 2013-LC11; LBUBS 2006-C7; LBUBS 2007-C1; LBUBS 2007-C2, LBUBS 2007-C7, LBUBS 2008-C1 & JPMCC 2013-WT; MLMT 2002-MW1; MSC 2007-IQ16; UBSC 2011-C1; WBCMT 2005-C16; WBCMT 2005-C17; WFRBS 2011-C3; WFRBS 2013-C14; WINDM VII


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