Monday 9 November 2015 11:12 London/ 06.12 New York/ 19.12 Tokyo

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

Pipeline
The pipeline continued to grow last week as a raft of new deals were announced. In total there were seven ABS additions as well as six RMBS, four CMBS and four CLOs.

The ABS were: Bilkreddit 7; US$106.1m BlueVirgo 2015-1 Trust; US$788.54m Chrysler Capital Auto Receivables Trust 2015-B; US$180m Diamond Resorts Owner Trust 2015-2; US$200m Ocwen Master Advance Receivables Trust 2015-T2; US$400m Ocwen Master Advance Receivables Trust 2015-T3; and SMART ABS 2015-4E.

The RMBS were: US$301m B2R Mortgage Trust 2015-2; US$422m Citigroup Mortgage Loan Trust 2015-PS1; A$500m Firstmac Mortgage Funding Trust No.4 Series 2-2015; Gemgarto 2015-2; US$250m Oaks Mortgage Trust Series 2015-2; and US$337m Sequoia Mortgage Trust 2015-4.

US$960.9m COMM 2015-LC23, US$705m Lone Star Portfolio Trust 2015-LSP, US$305m Morgan Stanley Capital I Trust 2015-XLF2 and US$633.2m MSBAM 2015-C27 accounted for the CMBS. Meanwhile, the CLOs were US$375m Avery Point VII CLO, US$400m Carlyle Global Market Strategies CLO 2015-4, €350m Cork Street CLO and US$411.2m Galaxy XXI CLO.

Pricings
A significant number of deals also priced. The final count consisted of four ABS, three RMBS, two CMBS and six CLOs.

US$978m AmeriCredit Automobile Receivables Trust 2015-4, US$1bn Nissan Auto Lease Trust 2015-B, Skr1.8bn Scandinavian Consumer Loans V and US$135.63m Skopos Auto Receivables Trust 2015-2 accounted for the ABS. The RMBS were £537m-equivalent Duncan Funding 2015-1, US$1.07bn STACR 2015-DNA3 and US$1bn SumitG Guaranteed Secured Obligation Issuer Series 2015-1.

US$939.6m CSAIL 2015-C4 and US$313m FREMF 2015-KVAD were the week's CMBS. Lastly, the CLOs were: US$511m CIFC Funding 2015-V; US$436m Cole Park CLO; US$250m Financial Institution Note Securitization 2015-1; US$511.25m Neuberger Berman CLO XX; €416m Oak Hill European Credit Partners IV; and €413m Tymon Park CLO.

Markets
While three auto deals priced in the US ABS market, another two - from Bank of the West and Porsche - were pulled due to unfavourable pricing levels. Meanwhile, ABS secondary trading averaged around US$1.2bn daily Monday-Thursday. "Student loan ABS spreads moved 5bp wider this week due to increased selling activity from some buy-side accounts. Meanwhile, prime auto spreads moved 2bp wider and are now at levels last seen in November 2009, causing some issuers to postpone bond offerings," comment Barclays analysts.

Secondary activity picked up in the US CLO market to reach US$590m for the week, according to Bank of America Merrill Lynch analysts. They say: "Activity continued to be concentrated in triple-As while mezz and equity saw minimal action for the week. Similar to last week, trading in non-Volcker compliant deals pushed triple-A spreads slightly wider, to the 168bp context."

Lack of primary supply in European RMBS drove secondary spreads tighter, report JPMorgan analysts. They say: "Securitised products shone across the universe and BWIC execution improved on the back of broader engagement with the asset class. Senior RMBS bonds from the periphery tightened 3bp-5bp on average, while senior UK NCF paper traded
3bp inside last week's levels."

Editor's picks
Grey area
: UKAR's sale of the Granite portfolio remains the hot topic in the European RMBS market, with uncertainty over its resolution affecting sentiment. Resecuritisation is a viable option for the eventual buyer, but how much paper will remain in the market post-sale is uncertain...
Regulation threatens market viability: Banks' market making ability in securitised products is set to be severely affected by the Basel Committee's proposed Fundamental Review of the Trading Book (FRTB). A growing chorus is emerging, warning that FRTB would make secondary trading in securitised products unprofitable...
SLABS tiering switch: Tiering in the US student loan ABS secondary market continues to be a major issue. "Tiering between FFELP and non-FFELP deals has been in evidence since the extension risk issue began having an impact in July," says one trader. "The related rating agency downgrades then caused further divergence, with downgraded bonds prices falling far further than non-downgraded paper"...
Cautious acceptance: Funding Circle is tipped to become the first marketplace lender to securitise in the UK, paving the way for other platforms to tap the market. Investors appear to view the development with caution, however...

Deal news
• The class C notes of MultiCat Mexico Series 2012-I have been downgraded from single-B minus to triple-C minus by S&P. The rating agency had placed the ratings on credit watch on 28 October.
• Separate meetings of St Paul's CLO IV noteholders have been convened for 26 November to consider and, if thought fit, pass an extraordinary resolution. The issuer wishes to amend the investment management agreement (IMA) to comply with the Volcker Rule.
• Fair Oaks Income Fund has entered into binding contracts to acquire, in the primary market, US$25.5m notional of equity notes and US$10m of class F notes of Neuberger Berman CLO XX. The purchase represents 66% of the total equity of the transaction.
• Further details have emerged regarding a mortgage loan securitised in Velocity Commercial Capital 2015-1, which was thought to have been misused by the borrower (SCI 22 September). That loan has now been repaid in full.
• Fitch has withdrawn its expected ratings for the Porsche Innovative Lease Owner Trust 2015-2 deal. The agency reports that Porsche has chosen to withdraw the deal from the market, with the decision coming in light of a second round of emission violations regarding Volkswagen-linked vehicles.

Regulatory update
• The CFPB's intention to remove a hurdle to class-action lawsuits would create risks for consumer lenders and related ABS, says Moody's. However, it could also bolster the credit quality of some borrowers.
ESMA has opened a public consultation on draft requirements regarding indirect clearing. The draft rules cover arrangements for OTC derivatives and exchange-traded derivatives.
• Bank of America has agreed to pay US$335m to settle a lawsuit, in which it allegedly misled shareholders about risky mortgage securities and its dependence on the electronic mortgage registry known as MERS. According to an SEC quarterly earnings filing from the bank, the agreement remains subject to final documentation and court approval.

Deals added to the SCI New Issuance database last week:
Barclays Dryrock Issuance Trust Series 2015-3; Barclays Dryrock Issuance Trust Series 2015-4; Benefit Street Partners CLO VIII; Brazos Education Funding 2015-1; CAS 2015-C04; Cathedral Lake III; Claris SME 2015; Discover Card Execution Note Trust 2015-4; Duncan Funding 2015-1; FDF I ; Fifth Third Auto Trust 2015-1; Flagship Auto Trust 2015-3; Jubilee CLO 2015-XVI; NextGear Floorplan Master Owner Trust 2015-2; OHA Credit Partners XI ; Progress Residential 2015-SFR3 Trust; Shenton Aircraft Investment I; SMART ABS Series 2015-3US Trust; STACR 2015-DNA3; WFCM 2015-C31

Deals added to the SCI CMBS Loan Events database last week:
BSCMS 2006-PWR11; COMM 2006-C7; COMM 2012-CR4; COMM 2014-CR15; COMM 2014-CR20; DECO 2006-E4; DECO 2007-E6; DECO 8-C2; ECLIP 2006-1; ELoC 28; FHSL 2006-1; GSMS 2013-GC12; GSMS 2013-GC13; JPMBB 2013-C12; JPMCC 2011-C3; JPMCC 2012-C6; LBUBS 2006-C1; MESDG DELT; MSC 2013-WLSR; TAURS 2006-1; TAURS 2007-1; TITN 2006-5; TMAN 4; TMAN 6; TMAN 7; WFRBS 2011-C4; WFRBS 2012-LC14; WFRBS 2013-C12; WINDM XIV


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