A look at the major activity in structured finance over the past seven days
Pipeline
It has been another busy week for the pipeline, with six new deals remaining on Friday. Two auto ABS (R$930m Driver Brasil One FIDC and €92.3m TruckLease Compartment No 2), two cell tower CMBS (US$107m GTP Cellular Sites series 2012-1 and US$175m series 2012-2), another CMBS (US$1.2bn Morgan Stanley Capital I Trust 2012-C4), one CLO (€1.44bn IM Cajamar Empresas 4) and one ILS (Mystic Re III) all began marketing last week.
Pricings
In addition, eight transactions priced last week, the majority of which were auto-related ABS. At US$1.69bn and US$1.54bn respectively, the largest prints were Honda Auto Receivables 2012-1 Owner Trust and Nissan Auto Receivables 2012-A Owner Trust.
A further two auto ABS priced - the US$150m American Credit Acceptance Receivables Trust 2012-1 and US$150m First Investors Auto Owner Trust 2012-1 - as well as two floorplan deals (US$887.3m Ally Master Owner Trust series 2012-1 and US$750m GE Dealer Floorplan Master Note Trust 2012-1).
Finally, two non-auto deals were issued: a US$625m CMBS (COMM 2012-9W57) and a £1bn whole business securitisation (CPUK Finance).
Markets
Last week saw another generally positive, albeit quieter, week in the global structured finance secondary markets.
The tone of the US non-mortgage ABS secondary market remained firm last week, according to ABS analysts at Barclays Capital, with buyers again outnumbering sellers. "As evidence, each new bid-list that comes out generally serves to reset the market tighter, as demand for bonds far outstrips supply. This is also evident from the 'food fights' that tend to characterise new issues," they say.
However, the Barcap analysts add: "Despite the strong new issue pipeline and demand, secondary positions continue to trade about 5bp through new issue levels. Investors' appetite for short-term paper with spread remains robust as the quest for yield continues."
Similarly in the US CMBS market, there was little movement in spreads last week as recent issue as well as the more seasoned bonds remained unchanged week on week, according to structured products research analysts from Wells Fargo. "Weaker credit 2007 vintage A4 tranches are still at 245bp to swaps and 2011 vintage ten-year triple-A tranches with 30% credit support are at 110bp to swaps," they say.
Citi securitised products analysts add that US CMBS secondary trading volumes last week were about two-thirds of recent levels - just under US$1bn versus a year-to-date average of US$1.6bn. "Investors may have been focused recently in non-CMBS sectors such as non-agency RMBS, given the recent ML II sales," they suggest.
Deal news
• Opera Finance (Uni-Invest) became the first European CMBS to fail to repay by its legal final maturity, after it defaulted on 15 February. A senior noteholder steering committee has been involved in discussions about resolution options.
• The Retreat at Stonebridge Ranch loan securitised in the Freddie Mac SPC Series K-704 CMBS was transferred to special servicing on 13 February. It is believed to be the first time this has happened to a large loan securitised in the Freddie Mac K series.
• Further details have emerged on CIFC Corp's sale of DFR Middle Market CLO (SCI 9 February). The rights and obligations to the transaction under the management agreement have been assigned to DWM Management, an affiliate of Fortress Investment Group.
Regulatory update
• In a comment letter filed with the SEC, SIFMA expressed its appreciation for the intent of Section 621 of the Dodd-Frank Act and agreed that certain reforms may be necessary to ensure that securitisation transaction parties are not creating and selling ABS that are intentionally designed to fail or default and profiting from the failure or default. At the same time, however, the association urged the SEC to create a framework that still allows for the issuance of ABS without the uncertainty of overly broad or vague regulations or undue restrictions or prohibitions.
• The Monetary Authority of Singapore (MAS) is conducting a review of the regulatory oversight of the OTC derivatives market in Singapore and is seeking public comments on its proposals. In developing these proposals, MAS says it has taken into consideration international developments - such as the G20 commitments and Financial Stability Board recommendations - to improve the regulation and supervision of the derivatives market.
• SIFMA has criticised President Obama's proposal to include a tax on financial institutions in his budget, under the guise of recouping lost TARP funds. The association says that it is an "ill-considered and ill-timed concept", noting that this latest proposal is nearly double the cost of previous proposals.
• 13 February marked the deadline for public comment on the Volcker Rule, which has seen a flurry of criticism from industry players. The final rule - which prohibits institutions from trading certain securities and making certain investments in funds for their own accounts - is set to take effect on 21 July.
Deals added to the SCI database last week:
Ares XXIII
BAA Funding
Berica ABS
CarMax Auto Owner Trust 2012-1
Claris ABS 2011
COMM 2011-FL1
DECO 2012-MHILL
Ford Credit Floorplan Master Owner Trust A series 2012-1
Ford Credit Floorplan Master Owner Trust A series 2012-2
Golden Credit Card Trust series 2012-1
Golden Credit Card Trust series 2012-2
MondoMutui Cariparma series 2012
Titrisocram Compartment 2012-1
Top stories to come in SCI:
UK cross-border credit card issuance trends
Evolution of Asian covered bonds
Focus on emerging market ABS
Basel 3 liquidity issues