A look at the major activity in structured finance over the past seven days
Pipeline
A mixed bag of transactions entered the pipeline last week, with all asset classes represented. ABS accounted for the largest number of deals, as US$667m AIM Aviation Finance Series 2015, US$327m Consumer Credit Origination Loan Trust 2015-1 and a pair each of Ford Credit Floorplan Master Owner Trust A (Series 2015-1 and 2015-2) and Ally Master Owner Trust ($300m 2015-1 and US$200m 2015-2) transactions were announced.
US$421.3m BWAY 2015-1740, US$635.3m JPMBB 2015-C27 and US$1bn WFCM 2015-C26 made up the CMBS, while €415m CGMSE 2015-1 and US$512m OZLM XI represented the CLOs. The RMBS comprised US$940m JP Morgan Mortgage Trust 2015-1 and A$500m PUMA series 2015-1.
Pricings
A similar mix of deals priced during the week, although the highest number of prints were seen in CLOs. US$786.2m ALM XII, US$509.5m Dorchester Park CLO, US$509.05m Dryden 37 Senior Loan Fund, US$309.45m Fifth Street Senior Loan Fund I, US$509.9m Galaxy XIX, US$759.9m Jamestown CLO VI and US$279.4m LMREC 2015-CRE1 were issued.
The ABS prints consisted of US$900m Nissan Master Owner Trust Receivables Series 2015-A, US$475m GE Dealer Floorplan Master Note Trust Series 2015-1, US$300m GE Dealer Floorplan Master Note Trust Series 2015-2 and US$1.23bn OneMain Financial Issuance Trust 2015-1. US$360m AOA 2015-1177, US$1.423bn COMM 2015-LC19 and €286m Taurus 2015-1 IT accounted for the CMBS pricings, while US$775m STACR 2015-DN1 was the lone RMBS issue.
Deal news
• The inaugural rated securitisation of consumer instalment loans originated on the Prosper Funding P2P platform has hit the market. The US$345.85m Consumer Credit Origination Loan Trust 2015-1 (CCOLT 2015-1) is an SPE created by BlackRock Financial Management on behalf of funds and accounts under management.
• BlueMountain Capital Management has notified the trustee of HLSS Servicer Advance Receivables Trust that three EODs have been triggered under the trust indenture. If a sufficient number of other noteholders agree with the firm's assessment, the RMBS notes could be accelerated.
• Bemo Securitisation has launched and co-placed with Fransa Invest Bank an auto loan ABS issuance for Century Motor Company (CMC). CMC Automotive SIF is the first securitisation transaction for CMC and the first securitisation for a Korean brand automobile dealer in the Lebanese market.
Regulatory update
• The HQS consultations being undertaken by the EBA and the Basel Committee/IOSCO joint taskforce appear to reflect the different motivations of European and US policymakers. Indeed, the former consultation could potentially be instrumental in shaping a 'Basel-lite' approach for the European securitisation market.
• CFTC commissioner Christopher Giancarlo has published a White Paper analysing what he views as flaws in the Commission's implementation of its swaps trading regulatory framework under Title VII of the Dodd-Frank Act. The paper proposes a more effective alternative.
• The Basel Committee has issued its final standard for the revised Pillar 3 disclosure requirements, which aim to enable market participants to compare banks' disclosures of risk-weighted assets. The revisions focus on improving the transparency of the internal model-based approaches that banks use to calculate minimum regulatory capital requirements.
• IOSCO has published its final report on risk mitigation standards for non-centrally cleared OTC derivatives (SCI 18 September 2014). The report sets out nine standards that cover key areas in trading relationship documentation and trade confirmation, process and/or methodology for determining valuation, portfolio reconciliation, portfolio compression and dispute resolution.
• The securities regulatory authorities in Alberta, British Columbia, New Brunswick, Nova Scotia and Saskatchewan have published for comment proposals on derivatives product determination and trade repository data reporting. Together, these proposed instruments would form a derivatives reporting regime that is largely harmonised with regimes previously implemented in Manitoba, Ontario and Québec.
Deals added to the SCI New Issuance database last week:
Avis Budget Rental Car Funding series 2015-1; BXG Receivables Note Trust 2015-A; Capital Auto Receivables Asset Trust 2015-1; COMM 2015-LC19; Credit Acceptance Auto Loan Trust 2015-1; CVP Cascade CLO-3; DB Master Finance Series 2015-1; Driver 13; FREMF 2015-K42; Global Container Assets 2014 Series 2015-1; Harley-Davidson Motorcycle Trust 2015-1; HHPT 2015-HYT; Honda Auto Receivables 2015-1 Owner Trust; Kubota Credit Owner Trust 2015-1; Longtrain Leasing III series 2015-1; MSBAM 2015-C20; SoFi Professional Loan Program 2015-A; Tibet CMBS; Vitality Re VI series 2015.
Deals added to the SCI CMBS Loan Events database last week:
BACM 2002-PB2; BACM 2005-4; BACM 2005-6; BACM 2007-2; BACM 2008-1, MLMT 2008-C1 & MSC 2008-T29; BSCMS 2003-PWR2; BSCMS 2004-T16; BSCMS 2006-PW11; BSCMS 2007-PW18; CD 2007-CD5; CGCMT 2008-C27; COMM 2006-C8; CSFB 2004-C5; CSFB 2005-C1; CSFB 2005-C5; CSFB 2005-C6; CSMC 2006-C4; CSMC 2007-C5; DBUBS 2011-LC1; DECO 2006-E4; DECO 2007-E5; DECO 8-C2; EMC VI; EURO 25; EURO 27; GCCFC 2005-GG3; GCCFC 2007-GG9; GECMC 2006-C1; GSMS 2005-GG4; GSMS 2007-GG10; GSMS 2011-GC5; JPMCC 2001-CIB2; JPMCC 2004-CBX; JPMCC 2005-CB11; JPMCC 2005-LDP2; JPMCC 2005-LDP5; JPMCC 2006-CB16; JPMCC 2007-CB19; JPMCC 2007-LD11; JPMCC 2013-C10; LBUBS 2005-C3; LBUBS 2006-C4; MLCFC 2006-3; MLCFC 2006-4; MLMT 2005-MCP1; MLMT 2007-C1; MSBAM 2013-C7; MSC 2007-HQ11; MSC 2007-IQ14; TIASS 2007-C4; TITN 2006-3; TITN 2006-5; TITN 2007-1; TITN 2007-2; TMAN 5; TMAN 7; WBCMT 2002-C2; WBCMT 2005-C18; WBCMT 2005-C21; WBCMT 2006-C23; WBCMT 2007-C30; WBCMT 2007-C31; WFRBS 2012-C7; WINDM XIV.