A look at the major activity in structured finance over the past seven days.
Pipeline
It was another quiet week for the pipeline as the Labor Day weekend came into view. At the final count there were three ABS, one ILS, four RMBS and four CMBS added.
€800m Ginkgo 2016-PL1, US$533.9m PHEAA Student Loan Trust 2016-1 and US$941.49m WOART 2016-B accounted for the ABS. The ILS was US$250m Nakama Re Series 2016-1.
US$221.3m COLT 2016-2, Pepper Residential Securities Trust No.17, STACR 2016-HQA3 and STORM 2016-II were the RMBS. The CMBS were US$900m CFCRE 2016-C5, US$950m MSBAM 2016-C30, US$1bn WFCM 2016-LC24 and US$1bn WFCM 2016-NXS6.
Pricings
Even fewer deals came out of the pipeline. The only ABS print was £248m Newday Funding 2016-1, while the only RMBS was US$430m JPMMT 2016-2.
Markets
The US CLO market remained active last week, as SCI reported on Thursday (SCI 1 September). US CLOs were busy for most of August, defying the summer lull engulfing most other markets.
There was some activity in European CLOs, as SCI reported last week (SCI 1 September). However, other European markets were quiet, as had been expected. Three BWICs were scheduled for last Thursday.
Editor's picks
Triple crown: Rising interest rates are having a three-pronged effect on the US CLO market. Not only are step-up coupons increasingly being refinanced, but CLO debt holders are also benefitting from wider spreads, while CLO equity holders are being squeezed by Libor floors...
Picking up PACE: Ygrene Energy Fund is planning a securitisation before year-end that will offer a unique pool of PACE assets. At the same time, the company has begun building out a team of new recruits to facilitate its long-term securitisation plans...
Internal versus external: The AIFMD's stipulation that alternative investment funds must engage the services of a third-party valuation firm has prompted a growing trend for independent firms to be employed as part of a fund's internal valuation process. Very few managers wish to appoint firms in an external valuation capacity, however, and few valuation firms are willing to take this role on...
Second-loss CAS bonds rated: Marking a first for the market, Fitch has assigned ratings to eight previously unrated M2 bonds from five Fannie Mae credit risk-transfer RMBS issued between 2013 and 2015. The agency had originally only rated the M1 classes in the five transactions, all which have either paid in full or been upgraded (SCI 26 July), reflecting strong performance to date...
Coupon floor fix?: Obvion is in the market with its latest Dutch prime RMBS - Storm 2016-II. Provisionally sized at €1.15bn, the transaction is noteworthy because the lender aims to sell the single offered tranche at above par and the pool will be fully revolving for five years, with soft-bullet notes...
August boost as CLO activity drops: Secondary CLO activity in 2016 so far is down on 2015 in both TRACE reported volume and BWICs. However, the traditional summer slowdown trend has been bucked, with JPMorgan CLO analysts noting significant activity in August...
Deal news
• Churchill Asset Management returned to the US CLO market last week with a deal of several 'firsts'. TIAA Churchill Middle Market CLO 2016-1 is Churchill's first 2.0 deal and first deal since the old Churchill Financial team was brought into TIAA-CREF, it is the first middle-market CLO to include a single-B tranche and it is the first distributed CLO to be jointly rated by Moody's and DBRS.
• The first Fitch-rated post-crisis RMBS tranche backed partly by NPLs has paid off. The single-A rated US$35m class A1s in Mortgage Fund IVc Trust 2015-RN1 paid off in full this month, ten months after the transaction closed in October 2015.
• Dock Street Capital Management has replaced Declaration Management & Research as collateral manager for Independence VI CDO. Under the terms of the appointment, Dock Street agrees to assume all the responsibilities, duties and obligations of the collateral manager under the applicable terms of the collateral administration agreement.
• Moody's has issued another change of control notice in connection with a Resource America entity, following the firm's merger with C-III Capital Partners (SCI 26 August). The agency confirms that the assignment of the collateral management agreement entered into by GSC ABS CDO 2006-4u, currently managed by Ischus Capital Management, will not negatively impact any of the ABS CDO's ratings.
Regulatory update
• The US CFTC's division of swap dealer and intermediary oversight has issued a no-action letter stating that, in the period up until 3 October 2016, it will not recommend an enforcement action against a swap dealer subject to the 1 September compliance date for its uncleared swap margin rules in the event of failure to comply. Due to certain practical and technical limitations, the Commission believes it is appropriate to provide this relief when a swap dealer is making diligent, good faith implementation efforts in this period of transition.
• The US SEC has adopted amendments to provide regulatory and other authorities access to data obtained by security-based swap repositories. SEC chair, Mary Jo White, says the adoption will allow for increased transparency and reduced threats to the financial stability of the swaps market.
• Ocwen Loan Servicing has agreed to pay a US$900,000 settlement fee over allegations that it used offshore unlicensed affiliates to perform residential mortgage servicing activities for Washington-based loans. The settlement was made with the Consumers Services Division of the Washington State Department of Financial Institutions (DFI).