A look at the major activity in structured finance over the past seven days
Pipeline
The pipeline was once again dominated by auto-related ABS last week. Trios of CMBS and RMBS were also announced.
The auto ABS that entered the pipeline were: US$206.34m CPS Auto Receivables Trust 2016-D, Securitized Term Auto Receivables Trust 2016-1, €742.5m VCL 24 and US$550m Westlake Automobile Receivables Trust 2016-3. The US$147.1m Oportun Funding IV series 2016-C and US$250m Sierra Timeshare 2016-3 Receivables Funding securitisations rounded out the newly announced ABS.
The US$890.7m COMM 2016-COR1, US$400m JPMCC 2016-WIKI and US$196m Vertical Bridge series 2016-2 were the CMBS entrants. Finally, the RMBS comprised US$489.3m AMSR 2016-SFR1 Trust, US$343.16m Sequoia Mortgage Trust 2016-3 and €212m SRF 2016-1.
Pricings
New issuance was also dominated by auto-related deals, as well as CLOs. Additionally, a couple of RMBS priced.
The auto ABS prints consisted of: US$1.2bn AMCAR 2016-4, US$1bn BMW Vehicle Lease Trust 2016-2, US$450m Exeter Automobile Receivables Trust 2016-3, US$437.35m NextGear Floorplan Master Owner Trust Series 2016-2, €1bn Red & Black Auto Germany 4, US$1.27bn Santander Drive Auto Receivables Trust 2016-3, US$500m SMART ABS Series 2016-2US Trust and US$1.25bn Toyota Auto Receivables 2016-D. A number of consumer ABS were also issued: US$204.19m Murray Hill Marketplace Trust 2016-LC1, US$426m Nelnet Student Loan Trust 2016-1, €651m Purple Master Credit Cards Series 2016-1, US$674m SMB Private Education Loan Trust 2016-C and US$512.6m SoFi Consumer Loan Program 2016-3.
Of last week's CLO prints, the bulk were refinancings: US$460m Atrium CDO VIII, US$219.8m Cathedral Lake I, US$503.4m Dryden XXV Senior Loan Fund, US$518.8m GoldenTree Loan Opportunities IX, US$498.5m OZLM Funding II, US$338m Shackleton II CLO, US$344.39m Venture X and US$553.5m Venture XV. New issue CLOs comprised: US$459.86m AMMC CLO 19, US$716.5m Apidos CLO XXV, US$480.1m BlueMountain CLO 2016-3 and €542m Voba No.6.
The RMBS pricings were the US$345m NRZ 2016-PLS2 and US$607.43m-equivalent Pepper Residential Securities Trust No.17.
Editor's picks
Plan B: Over a year has passed since BNY Mellon suffered its NAV outage, resulting in almost a week of NAV calculation disruption for hundreds of funds. With increased emphasis on the need for a contingent - or back-up - NAV, funds are preparing to put appropriate measures in place...
Euro ABS/MBS picks up: Activity in the European ABS/MBS secondary market is picking up. "There's a fair bit of primary supply at the moment and we're now seeing some rotation activity off the back of that," says one trader. "As a result, there's been a pick-up in sellers in the last few days..."
Deleveraging opportunity: Iain Balkwill, partner at Reed Smith, argues that securitisation is the answer to European NPL woes...
Risk retention preparedness polled: With the US risk retention effective date just under three months away, JPMorgan CLO analysts say they have uncovered some industry progress in their latest CLO client survey, but more is needed. They note that the majority of respondents (71%) agree that less than half of US CLO managers appear to have a clearly defined risk retention strategy...
Seller-financed deal debuts: Amherst is in the market with its inaugural single-family rental securitisation, dubbed AMSR 2016-SFR1 Trust. The US$489.3m transaction - which is backed by a single floating-rate loan secured by mortgages on 4,262 properties owned by Altisource Residential Corporation (RESI) - is noteworthy for its unique structure...
Deal news
• Capital One is set to acquire Cabela's credit card operations, including US$5.2bn in receivables and US$5bn in associated funding liabilities. The move has been welcomed for helping resolve the uncertainty in the securitisation market regarding the disposition of the CABMT credit card ABS trust.
• Blackstone affiliate Spain Residential Finance is in the market with the €265m SRF 2016-1 RMBS. The transaction is believed to represent the first refinancing of a Spanish legacy mortgage portfolio.
• Fitch has affirmed its ratings on and maintained stable outlooks for Volkswagen Auto Loan Enhanced Trust series 2014-2, 2014-1, 2013-2 and 2013-1, as the transactions continue to perform within its cumulative net loss expectations. However, the agency warns that there are large exposures to the vehicles affected by the VW emissions scandal in each pool, which could have a significant negative impact on recovery rates as each deal amortises.
• Moody's reports that three-quarters of the 2006-2007 vintage CLOs it rates have junior note coupons that exceed their portfolio WAS. Further, current OC levels for seven of these transactions are not high enough to significantly reduce the risk of future interest coverage test failures, given the expected fall in WAS-WAC difference and the performance of the underlying portfolios.
• A district court in Minnesota has ruled on the correct interpretation of the Gramercy Real Estate CDO 2007-1 indenture with respect to liquidating the collateral, as sought by the trustee Wells Fargo. The move follows the filing of motions for judgement on the pleadings by Merrill Lynch and Waterfall Asset Management, as well as the filing of a response to the motions for judgment by King Street Capital.
Regulatory update
• The European Commission has adopted a delegated regulation that specifies how margin should be exchanged for OTC derivatives contracts that are not cleared by a CCP. The Commission says it decided to endorse the joint European Supervisory Agencies' standards with certain amendments, in particular concerning the concentration limits for pension scheme arrangements and the timeline for implementation.
• RBS has been fined US$120m by the state of Connecticut in relation to malpractice in the run-up to the financial crisis. The fine specifically relates to 250 RMBS deals worth US$250bn underwritten by the bank from 2005 to 2008, on which it was required to conduct due diligence on the collateral and to ensure that representations to the public and investors about the securities were accurate and complete.
• RMBS trustees involved in the US$1.125bn Citi R&W settlement received IRS approval last month. The expert allocation report was also distributed to bondholders, detailing calculations of the allocable share of the settlement payment for each loan group in each accepting trust.