SCI Start the Week - 13 October

Category: CDO


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A look at the major activity in structured finance over the past seven days

Pipeline
Several deals joined the pipeline last week. These included seven ABS, two RMBS, three CMBS and six CLOs.

The ABS were: €500m A-BEST 10, US$1.107bn Ally Auto Receivables Trust 2014-SN2; US$999m CNH Equipment Trust 2014-C; US$552.63m GE Dealer Floorplan Master Note Trust Series 2014-2; US$376m PFS Financing Corp Series 2014-B; SCFI Rahoituspalvelut; and US$150.82m Silverleaf Finance XVIII Series 2014-A.

Brass No.4 and €500m Dolphin Master Issuer Series 2014-3 accounted for the RMBS. The CMBS were US$475m CARS Series 2014-1, US$842m CGCMT 2014-GC25 and US$290m Colony Multifamily Mortgage Trust 2014-1.

As for the CLOs, those consisted of: €360m ALME Funding III; US$512.25m Apidos CLO XIX; Kingsland VIII; US$512.5m Limerock CLO III; €412m St Paul's VI; and US$512.15m Voya CLO 2014-4.

Pricings
Even more deals printed. The week's issuance consisted of 14 ABS, three RMBS, four CMBS and three CLOs.

The ABS were: US$1bn BMWOT 2014-A; US$1.3bn Capital One Multi-asset Execution Trust 2014-5; €678m Cars Alliance Auto Loans France V 2014-1; US$300m CLI Funding V Series 2014-2; US$500m Discover Series 2014-5; US$500m EART 2014-3; €469m FCT Ginkgo Compartment Sales Finance 2014-1; US$330m Flagship Credit Auto Trust 2014-2; US$1.081bn Ford Credit Auto Owner Trust 2014-REV2; €142.6m Master Credit Cards PASS Compartment France 2014-1; US$946m Nissan Auto Lease Trust 2014-B; £1.22bn Penarth Master Issuer 2014-2; US$1bn Toyota Auto Receivables 2014-C; and US$400m WLAKE 2014-2.

The RMBS were US$355m JPMMT 2014-OAK4, €1.567bn Saecure 15 and US$277m WIN 2014-2, while the CMBS were US$1.3bn JPMBB 2014-C24, US$1bn SBA Tower Trust Series 2014-1C, US$524m SBA Tower Trust Series 2014-2C and £750m Westfield Stratford City Finance. Lastly, the CLOs were US$724m Babson CLO 2014-III, US$650m GoldenTree Loan Opportunities IX and US$322.5m Regatta V.

Markets
The European RMBS market was busy to start the week, as SCI reported on Tuesday (SCI 7 October). Italian, Spanish and Portuguese names were all out for the bid during Monday's session as peripheral paper remained in the spotlight.

There were some busy sessions for US RMBS as well, with non-agency BWIC supply on Tuesday coming close to US$600m and a US$1bn list trading on Wednesday (SCI 8 October). During Tuesday's session there were early signs of weakening execution, with bonds covering below price talk and several bonds coming back as DNTs.

US CMBS activity was steady without hitting the same heights as RMBS. BWIC volume on Wednesday was over US$320m and SCI's PriceABS data revealed a degree of spread widening for 2.0 and 3.0 double-As, as SCI reported (SCI 9 October).

As for the US ABS market, spreads were stable to modestly wider over the week, according to Barclays Capital analysts. Trading volumes were slightly lower than they had been in the previous week, while prime auto and equipment ABS widened out by about 1bp.

Deal news
• This summer's €525m Harvest CLO IX and €415m Avoca CLO XII were each backed by loan-only portfolios. The European CLO market's traditional reliance on bond buckets now appears to be subject to re-evaluation.
• All conditions to Punch's restructuring proposals have been satisfied (SCI passim). Following the termination of the interest rate swaps provided to the Punch A and Punch B securitisations, the issuer under the former securitisation has issued £123.4m in principal amount of super senior hedge notes to RBS and the issuer under the latter securitisation has entered into a £49m super senior swap loan with Citi.
• US$42m of subsequent recoveries was paid to the MLMI 2007-MLN1 RMBS in September's remittance, most of which comprised make-whole loss payments on loans that were liquidated prior to 2009. The recoveries were paid on Group 2 loans and represent about 8% of the lifetime losses expected for the deal, according to Barclays Capital figures. As a result, the A2A tranche paid down by from US$82m to US$38m.
Blade Engine Securitization intends to sell a CFM56-3C1 aircraft engine out of the trust to a third party. Fitch notes that the move is unlikely to impact its ratings on the ABS transaction.
• Morningstar estimates that about US$373.3m in loans across nine US CMBS could potentially be affected by Sears' most recently announced store closures. The effect on more recent CMBS deals is expected to be minimal, but three malls backing pre-2010 loans will face increased default risk, as these loans are already on the Morningstar watchlist for performance issues.
• Nationwide Building Society is proposing to restructure its Silverstone Master Trust UK RMBS programme. The move is not expected to have a negative rating impact on the rated notes of the programme.
Van Lanschot has revised its mortgage arrears calculation method. Fitch says that the ratings of the RMBS transactions backed by loans originated and serviced by the bank will not be affected by the move.
Forest Oil Corporation's five-year credit default swaps have widened by 34% over the past month and 109% since the start of the year, according to Fitch Solutions in its latest case study. The contracts are now trading at their all-time wide levels.

Regulatory update
• Additional amendments to the Italian securitisation and covered bond law - introduced by Law 116 of 11 August - still do not fully mitigate account bank exposure, Fitch says. However, the agency concedes that they help clarify treatment of SPV accounts.
• Limits on high LTV and loan-to-income (LTI) lending proposed by the Central Bank of Ireland would in the long term reduce credit risk in the Irish residential mortgage market through more prudent lending, Fitch suggests. The central bank's consultation paper proposes limiting how much banks can lend to individuals with LTVs above 80% and LTIs above 3.5 to 15% and 20% of new lending respectively, and limiting buy-to-let lending with LTVs greater than 70% to 10% of new lending.
• Trustees involved in the JPMorgan rep and warranty settlement released their decision for the 28 RMBS deal groups for which they had sought a deadline extension. The trustees accepted the US$4.5bn offer on 18 deal groups and rejected it for the remainder.

Upcoming SCI events
• 16 October - Live Webinar: Implementing Regulation AB 2
Complimentary registration here
• 29 October, New York - SCI's 7th Annual Securitisation Pricing, Trading & Risk Seminar
Click here for more details

Deals added to the SCI New Issuance database last week:
Agate Bay Mortgage Trust 2014-2; Auto ABS Italian Loans Master ; BLCP 2014-CLRN; BNPP IP CLO 2014-II; BPM Securitisation 3; COMM 2014-LC17; Contego CLO II; CSMC 2014-USA; DECO 2014-Tulip; Dolphin Master Issuer series 2014-2; Flagship CLO VIII; Fortress Credit Opportunities V CLO; Harvest CLO X; Ivy Hill Middle Market Credit Fund IX; JP Morgan Mortgage Trust Series 2014-IVR3; MSBAM 2014-C18; MVW Owner Trust 2014-1; Oaktree CLO 2014-2; RESIMAC Versailles Trust Series 2014-1; RIAL Series 2014-LT6; STACR 2014-HQ2; Velocity Commercial Capital 2014-1

Deals added to the SCI CMBS Loan Events database last week:
CD 2007-CD4; CGCMT 2005-C3; COMM 2006-C8; COMM 2007-C9; CSFB 2005-C2; CWCI 2007-C2; DECO 7-E2; GMACC 2004-C2; JPMCC 2006-CB17; JPMCC 2006-LDP7; LBUBS 2005-C2; LBUBS 2006-C3; MSC 2005-HQ6; MSC 2005-IQ10; MSC 2005-IQ9; MSC 2006-IQ11; MSC 2007-HQ11; TITN 2006-3; TITN 2007-1; WBCMT 2006-C27