A look at the major activity in structured finance over the past seven days
Pipeline
A number of US ABS deals have been announced for the start of the year. An ILS and an RMBS have also joined the pipeline.
The ABS are: US$1.1bn AmeriCredit Automobile Receivables Trust 2015-1; US$2.4bn DB Master Finance Series 2015-1; US$1.351bn Ford Credit Auto Owner Trust Series 2015-REV1; US$100m Global SC Funding One Series 2015-1; US$130m Global SC Funding Two Series 2015-1; US$1.25bn Hyundai Auto Receivables Trust 2015-A; and US$689m Navient Private Education Loan Trust 2015-A.
US$200m Vitality Re VI Series 2015-1 is the newly announced ILS. The RMBS, meanwhile, is US$210m Towd Point Mortgage Trust 2015-1.
Pricings
There have also been two prints already. These were US$1bn BMW Vehicle Lease Trust 2015-1 and upsized US$2bn MBALT 2015-A.
Markets
The US ABS secondary market got back up and running last week, as SCI reported on Thursday (SCI 8 January). BWIC supply was particularly high during Tuesday's session, while SCI's PriceABS data shows auto and credit card names dominated Wednesday's proceedings.
US non-agency RMBS started picking up last week, with Wells Fargo analysts reporting trade volume of US$4.4bn and BWIC volume of US$1.2bn. "December 2014 remittance data continue to show stable credit performance trends. In reviewing the modification data, we note a notable decrease in modification activity year over year. We view the decrease in modifications as a positive and reinforcing sign of stable credit performance for the sector," they add.
US CMBS remains quiet, as the holidays were followed by the CREFC conference. "The low volume has helped CMBS spreads hold up somewhat, despite the volatility in rates," note Barclays Capital analysts. "This resilience will be tested as supply returns, with indications of a fairly robust new issue pipeline in the coming weeks."
Around US$150m of US CLO paper circulated on BWICs last week, split evenly between 1.0 and 2.0 as spreads remained unchanged. "European CLO secondary market activity, on the other hand, picked up as market participants returned to their desks, though much of this happened away from BWICs, of which there were very few," say Bank of America Merrill Lynch Analysts.
Deal news
• ISDA's Americas Determinations Committee has voted to send a credit event request in connection with Caesars Entertainment Operating Company Inc to an external review panel. The DC will reconvene tomorrow (8 January) to review progress and continue discussions.
• GC Securities has closed what is believed to be the first-ever Swiss franc-denominated catastrophe bond. Dubbed Gurten and sponsored by Gebäudeversicherung Bern (GVB), the Sfr70m private deal was structured using the Kaith Re vehicle.
• Lane Financial's 4Q14 statistical review of the ILS market highlights the price fluctuations of two catastrophe bonds during the quarter. First, the firm notes that price indications for the MultiCat Mexico series 2012-I class C notes were marked down to around 52 in Q4. Another transaction that saw price fluctuations during the quarter was Gator Re.
• S&P has corrected by reinstating its triple-A rating on the Harbourmaster CLO 8 class A1 notes. The agency last month withdrew its rating on the notes due to what it describes as an error.
Regulatory update
• The EBA last month published an opinion on how to improve the functioning of the securitisation market, based on its assessment of compliance by competent authorities with securitisation risk retention, due diligence and disclosure requirements. While expressing support for the provisions laid down in the Capital Requirements Regulation (CRR), the opinion puts forward recommendations to ensure increased transparency, legal certainty of compliance with the retention rules and the prevention of any potential regulatory arbitrage.
• The final US credit risk retention rule was published in the Federal Register on 24 December. Compliance with respect to ABS collateralised by residential mortgages is therefore required beginning on 24 December 2015, while compliance with regard to all other classes of ABS is required beginning on 24 December 2016.