SCI Start the Week - 9 May

Category: ABS CDO CLOs


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

Pipeline
Last week's pipeline additions consisted of eight ABS, two RMBS and a single CMBS.

The ABS were: US$300m Exeter Automobile Receivables Trust 2016-2; US$1.105bn GM Financial Automobile Leasing Trust 2016-2; US$200m GLS Auto Receivables Trust 2016-1; €153m Master Credit Cards Pass Compartment France Series 2016-1; C$220m Master Credit Card Trust II 2016-2; US$190m New Jersey Higher Education Student Assistance Authority Series 2016-1; €600m SC Germany Auto 2016-1; and VCL Master Netherlands.

€1.34bn BBVA RMBS 16 and US$200m Station Place Securitization Trust 2016-3 were the RMBS. The CMBS was US$527.1m WFCMT 2016-C34.

Pricings
A similar number of deals left the pipeline last week. There were six ABS prints as well as an RMBS, two CMBS and three CLOs.

The ABS were: €760m Cars Alliance Auto Loans Germany V 2016-1; US$225m Earnest Student Loan Program 2016-B; US$787m MMAF Equipment Finance 2016-A; US$1.146bn Santander Drive Auto Receivables Trust 2016-2; US$2.3bn Taco Bell Funding Series 2016-1; and US$1.14bn Toyota Auto Receivables 2016-B Owner Trust.

€3.636bn Home Loan Invest 2016 was the RMBS, while the CMBS were US$840m CFCRE 2016-C4 and US$893m JPMDB 2016-C2. The CLOs were US$653m Brightwood Capital Fund 2016-3, US$397m Cedar Funding V CLO and US$407m Trinitas CLO IV.

Markets
Although US agency RMBS outperformed Treasuries two weeks ago, last week their performance weakened as the market rally continued, report Wells Fargo analysts. "Week over week through the May 5th close, FN 3.5s underperformed Treasuries by 2-plus ticks as the 10-year UST rallied 9bp to 1.75%," they note.

The holiday-shortened week in Europe kept European ABS activity light, say JPMorgan analysts. They add: "Investor engagement with the asset class remained somewhat subdued, although the equally subdued new issue market lent technical support to spreads. Consequently, generic trading levels ground tighter across most asset classes, with UK risk in particular attracting better investor participation."

Editor's picks
Compromised compliance: It is almost two years since the transitional period for AIFMD expired in Europe and the majority of AIF managers now consider themselves to have addressed the directive's requirements. However, as evidenced by regulator-imposed penalties in France, a number of managers have failed to implement adequate valuation controls...
Mobile phone EIP ABS mooted: As the business model of US wireless carriers moves to further embrace equipment instalment plans (EIPs), they become more likely to issue ABS, says Moody's. Verizon has publically stated its interest in securitisation and there is increased speculation that a deal could be on the cards...

Deal news
• Fannie Mae has made further enhancements to its loan level disclosure data for its Connecticut Avenue Securities (CAS) programme. From this month, Fannie Mae has expanded its relationship with Equifax to provide investors with monthly updated, anonymous, loan-level credit scores on all CAS deals since the programme's inception in 2013.

Regulatory update
ESMA has proposed amendments to its draft regulatory technical standards (RTS) for MiFID 2. These include revising transparency requirements to non-equity products, including structured finance and derivatives products.
• The US CFTC has approved a final rule to amend a requirement that swap dealers (SDs) and major swap participants (MSPs) exchange the terms of swaps with their counterparties for portfolio reconciliation so that SDs and MSPs need only exchange the 'material terms' of swaps. This requirement is found in CFTC Regulation 23.500(i).
Bank of America has agreed to pay a US$190m settlement to the Federal Home Loan Bank of Seattle regarding pre-crisis RMBS that it sold, according to its quarterly SEC 10-Q filing. The agreement resolves a six-year litigation battle between the two banks after it was finalised on 25 April.
• A US$272m settlement in one of the last remaining RMBS class action suits to come out of the financial crisis has been approved. Judge Loretta Preska of the US District Court for the Southern District of New York granted the settlement, which resolves a dispute over faulty pre-crisis RMBS pass-through certificates sold by Goldman Sachs.

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