A look at the major activity in structured finance over the past seven days
Pipeline
Another busy week for the pipeline saw a variety of new deals remaining on Friday. Barclays is in the market with Gracechurch Card Programme Funding 2012-1 and 2012-2, which are sized at £750m-equivalent and €300m respectively.
American Money Management has announced AMMC CLO X, a US$400m CLO, while Chubb is in the market with East Lane Re V - a US$125m ILS.
OLCC is bringing Orange Lake Timeshare Trust 2012-A, a US$150m timeshare ABS, and Volkswagen Leasing's VCL 15 - a €718.5m auto lease deal - is also marketing.
Finally, Oz Wing II - a securitisation of Asiana Airlines ticket receivables - joined the pipeline.
Pricings
A wide variety of deals also priced last week. CLOs were well represented, with four transactions printing (€1.14bn IM Cajamar Empresas 4, US$350m Avalon IV, US$358m Octagon Investment Partners XII and US$327m Onex Credit Partners CLO 2012-1).
In addition, two auto ABS (US$200m Exeter Automobile Receivables Trust series 2012-1 and €92.3m TruckLease Compartment No 2) and two CMBS (the US$107m and US$175m GTP Cellular Sites series 2012-1 and series 2012-2 respectively) were issued.
Finally, one equipment ABS (US$998.8m John Deere Owner Trust 2012) and one RMBS (€615m Lanark Master Issuer 2012-1) priced.
Markets
For the most part, structured finance secondary markets had a quiet week last week, thanks primarily to the US holiday last Monday.
Spreads were unmoved across the board in the US ABS markets on lower than average volumes. At the same time, the US CLO market saw stronger volumes, but they only generated a slight tightening bias in the single-A and above sectors.
This quieter trend could continue beyond the holiday shortened week, according to ABS strategists at Bank of America Merrill Lynch. "The financial markets, including structured products market, seem to be heading towards another period of caution," they say.
The BAML analysts argue that caution is warranted, given the potential for higher oil prices, the possibility that the positive sentiment over recent developments in the Greek debt crisis begins to fade, and fiscal tightening and election year politics limiting further progress in the US economy. "These factors, combined with strong year-to-date returns, have led to a recommendation of scaling back exposure to securitised products and retaining exposure to only the highest-quality segments. The higher quality segments would include virtually all ABS," they add.
Non-agency RMBS were also generally flat last week as supply and demand remained balanced, according to residential credit analysts at Barclays Capital. ABX prices recovered, with 2007 AAA LCF rising by 0.75-1.0 point last week, while PrimeX also improved, rising 0.25 point.
There was slightly more movement in US CMBS, albeit on low volumes, Citi securitised products analysts say. They note that weekly flows remained under US$1bn for the second week in a row, versus a year-to-date average before the slowdown of US$1.6bn.
On the low volume, new issuance spreads were unchanged, with 2.0 triple-A tranches at 130bp and 3.0 triple-As at 105bp. Legacy spreads were flat to slightly tighter, with the 2007 and 2006 dupers coming in about 10bp to 195bp and 155bp respectively.
2005 vintage dupers were up modestly to about 125bp. Similarly, GG10s tightened by 7bp to 245bp week-over-week.
However, above average activity was seen in the European CMBS market, according to Deutsche Bank CRE debt analysts. They report an active week in secondary trading, with just under €70m BWIC volumes (with in general strong execution) supplemented by strong OTC trading.
"Investor focus is increasingly at the second/third pay level (often junior triple-As), having started the year at the senior note level," the Deutsche analysts add.
Deal news
• Hatfield Philips, the original special servicer on DECO 8 - UK Conduit 2, has disputed the transfer of special servicing of eight of the 14 loans backing the transaction to Solutus Advisors. The development is said to have significant implications for the rights of junior noteholders of the deal.
• Center Parcs has priced its £1.2bn whole business securitisation, CPUK Finance. The transaction has a number of noteworthy features.
• An update on the progress of the liquidation of the Keops portfolio, securitised in Juno (Eclipse 2007-2), has been released. A total of 147 properties have been sold for a price of Skr4.103bn, compared to a gross valuation of Skr4.242bn.
• BSEC - Bemo Securitisation recently closed two Lebanese securitisations. The transactions will finance the business growth of two local companies, both operating in the auto sector.
• European asset-backed analysts at RBS have identified another European CMBS that is at risk of not paying off at legal maturity in April 2013, following the default of Opera Finance (Uni-Invest). However, the likelihood of other deals defaulting at legal final beyond that date appears harder to predict.
• ESAIL 2007-PR1 class A noteholders have approved an extraordinary resolution in a meeting held on 17 February that terminates the hedging agreement with Lehman Brothers Holding Inc (SCI 24 January). They have agreed to a stipulated and 'agreed claim amount' of US$106m - believed to be only the second Lehman 'busted swap' transaction to reach an agreed claim amount.
• UPC Holding, the largest single obligor in the European CLO universe, has confirmed its TLS debt extension (SCI 16 February). The extension - which pushes out the facility maturity from 2016 to 2019 - was adopted, despite the low consent fee (25bp) and zero margin uplift to debt holders.
• The Langton UK RMBS master trust has been restructured. Under the restructuring, Santander has: repurchased around £18bn of trust collateral; repaid £18.4bn of triple-A rated notes and £3.5bn of unrated Z notes outstanding under the Langton Securities 2008-1 and 2010-1 issuers; and reduced the size of the shared funding reserve fund from £43m to £20.5m.
Regulatory update
• IOSCO's Technical Committee has published a consultation report containing principles designed to provide guidance to securities regulators that are developing or reviewing their regulatory regimes for ongoing ABS disclosure. Dubbed the 'ABS Ongoing Disclosure Principles', the objective is to enhance investor protection by facilitating a better understanding of the issues that should be considered by regulators in developing or reviewing their ongoing disclosure regimes for ABS.
Deals added to the SCI database last week:
Ally Master Owner Trust series 2012-1
American Credit Acceptance Receivables Trust 2012-1
Caja Ingenieros 2
CPUK Finance
First Investors Auto Owner Trust 2012-1
GE Dealer Floorplan Master Note Trust series 2012-1
Honda Auto Receivables Owner Trust 2012-1
Nissan Auto Receivables Owner Trust 2012-A
Red & Black Auto Germany 1
Top stories to come in SCI:
UK cross-border credit card issuance trends
Focus on emerging market ABS
Basel 3 liquidity issues
Focus on German multifamily CMBS
Greek CDS update
Evolution of US special servicer strategies