A look at the major activity in structured finance over the past seven days
Pipeline
The pipeline saw a mix of new entrants last week. Of the newly-announced deals, six ABS, four CMBS, three RMBS and two ILS remained by Friday.
The ABS entrants comprised three auto transactions - US$1.61bn Ford Credit Auto Owner Trust 2015-A, US$400m Prestige Auto Receivables Trust 2015-1 and US$187.21m United Auto Credit Securitization Trust 2015-1 - as well as the US$250m Sierra Timeshare 2015-1 Receivables Funding and Volta III. US$580m BBCMS Trust 2015-SLP, US$280m BBCMS Trust 2015-VFM, US$210m CHCMT 2015-SSHP and US$1.3bn COMM 2015-CCRE22 accounted for the CMBS.
The newly-announced RMBS consisted of £258m Celeste 2015-1, Fosse 2015-1 and US$294m Agate Bay Mortgage Trust 2015-2. The US$75m Manatee Re Series 2015-1 and US$130m Sanders Re series 2015-1 catastrophe bonds rounded out the pipeline entrants.
Pricings
ABS dominated the primary market last week, with nine deals pricing. The remainder of the prints included six RMBS and three CLOs.
The majority of the ABS new issues were auto-related: US$219.3m American Credit Acceptance Receivables Trust 2015-1, A$500m Crusade ABS Series 2015-1, US$712m Drive Auto Receivables Trust 2015-A, US$452.62m GreatAmerica Leasing Receivables Funding Series 2015-1, US$259.4m OSCAR US 2015-1, US$350m SMART Trust 2015-1US and US$816.25m Volvo Financial Equipment Series 2015-1. The US$722m Nelnet Student Loan Trust 2015-2 and US$750m Synchrony Credit Card Master Note Trust 2015-1 also priced.
The RMBS prints comprised US$372.4m JPMMT 2015-IVR2, A$1610m National RMBS Trust 2015-1, £370m RMS 28, A$372m RESIMAC Bastille Trust Series 2015-1NC, A$900m Series 2015-1 REDS Trust and €1.9bn STORM 2015-I. Finally, the US$569.93m Anchorage Capital CLO 6, US$512.4m ECP CLO 2015-7 and US$496.1m NewStar Commercial Loan Funding 2015-1 accounted for the CLO pricings.
Deal news
• The Pickwick Plaza loan securitised in GCCFC 2007-GG9 has paid off early, a month after it was modified to waive prepayment penalties (see SCI's loan events database). Although investors will typically be wary of such modifications, this case included an unusual claw-back provision.
• The UK FCA has identified certain conduct issues in connection with some mortgages securitised in the Leek Finance Number 17 to 22 and Silk Road Finance Number 1 and 3 RMBS transactions. Under the resulting remediation exercise, the principal balances of the affected loans will be adjusted lower.
• Auction.com and RealCapitalMarkets.com data indicates that 66 CMBS properties with US$475m in balance and 23 distressed loans with US$95m in balance are up for auction in March and April. Among these loans, the US$14.7m The Hills property securitised in GSMS 2011-GC5 is one of the first 2.0 distressed properties to be auctioned.
• SCIO Capital has placed the first of a planned series of solar transactions. SCIO Clean Energy 1 is backed by the future operating cashflows generated by a portfolio of solar installations in the UK.
• Moody's has upgraded by one notch the ratings of exchangeable classes in 11 US CMBS that were securitised in 2012 and 2013. The move reflects an error correction.
Regulatory update
• US regulators last month added new guidance to their list of FAQs on the Volcker Rule that should permit most non-US banks to invest in covered funds that are sponsored, managed and marketed by third parties. The move is especially significant for European CLOs, as it indicates that non-US banks will be able to invest in European CLOs, even if they fall under the covered fund definition.
• FINRA has delayed the implementation of CUSIP-level TRACE dissemination for non-mortgage ABS trades until 1 June, from the originally planned start date of 27 April. Prices for trades in SEC-registered public securitisations and private 144a transactions will be disseminated.
• Former Nomura and RBS CLO trader Matthew Katke has waived his right to indictment and pleaded guilty in a Hartford, Connecticut federal court to participating in an alleged multimillion securities fraud scheme. Katke also entered into an agreement to cooperate in the US government's ongoing investigation.
• Recent proposals to designate Indian non-banking finance companies (NBFC) with assets of more than INR5bn as 'financial institutions' under the Securitisation and Reconstruction of Financial Assets and Enforcement of Security Interest (SARFAESI) Act is said to be credit positive for lenders of loans against property (LAPs). RMBS backed by LAPs originated by these NBFCs would also benefit from speedier loan recovery.
Deals added to the SCI New Issuance database last week:
ACIS CLO 2015-6; Aurium CLO I; Barclays Dryrock Issuance Trust Series 2015-1; Battalion CLO VIII; BlueMountain CLO 2015-1; Cabela's Credit Card Master Note Trust series 2015-I; California Republic Auto Receivables Trust 2015-1; Flagship Credit Auto Trust 2015-1; Golden Credit Card Trust 2015-1; GoldenTree Loan Opportunities XI; Hyundai Auto Lease Securitization Trust 2015-A; John Deere Owner Trust 2015; Motel 6 Trust 2015-MTL6; Sound Point CLO VIII; Steele Creek CLO 2015-1; Voya CLO 2015-1; Westlake Automobile Receivables Trust 2015-1; WFCM 2015-C27.
Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; BACM 2006-5; CMLT 2008-LS1; CSMC 2006-C4 & CSMC 2006-C5; CWCI 2007-C2; DECO 2007-C4; EPICP BROD; GCCFC 2005-GG5; GCCFC 2007-GG9; JPMCC 2005-LDP5; JPMCC 2006-LDP8; JPMCC 2006-LDP9; MSC 2007-HQ11; MSC 2007-HQ12; MSC 2007-IQ13; MSC 2011-C1, COMM 2010-C1 & GSMS 2010-C1; NorthStar 2012-1; TITN 2007-1; TMAN 6; WFCM 2010-C1; WFCM 2014-LC16.