A look at the major activity in structured finance over the past seven days
Pipeline
Two transactions remained in the pipeline at the end of last week. The €226.4m Atlantes Finance No. 5 is a Portuguese consumer loan ABS and the €1.88bn FTA Pymes Santander 3 is a Spanish SME CLO.
Pricings
A quiet new issue market saw only three deals pricing last week. The prints consisted of an Australian non-conforming RMBS (A$300m Liberty Series 2012-1 Trust), a UK credit card ABS (£1.59bn Arran Cards Funding series 2012-2) and a French auto loan ABS (€631m Red & Black Auto France 2012).
Markets
US CMBS spreads remained largely flat last week, report Citi securitised products analysts. BWIC volumes for the last five days reached just over US$500m, compared to the weekly average of around US$1.3bn.
Generic 2007 duper spreads stand at 210bp over swaps, with GG10 dupers at 245bp. The analysts note that 2005 and 2006 vintage dupers backed by cleaner collateral are currently very tight, with LBUBS 2006-C1 A4s recently covered at 96bp over swaps. Additionally, the analysts note that the market has seen "a limited amount of trading in lower dollar price bonds as investors try to get hold of the next class in the stack to take control".
There was a noticeable agency/non-agency split within US RMBS, with the agency space seeing most of the action, according to Barclays Capital securitised products analysts. Treasury yields remained range-bound, with rates rallying off weak domestic data.
The analysts note that "agency MBS outperformed strongly over the short week, led by the lower coupons, as FN 3.5s and 4s ended the week up 8-9 ticks versus the swap curve", while lower coupon 15-year RMBS outperformed duration hedges by 3-6 ticks. Non-agency prices remained flat.
The European ABS market was quiet, largely due to the US holiday, say Deutsche Bank analysts. BWIC activity dropped from its €460m average to just €77m for the week, with only one primary issuance (Auto ABS RNBAF 2012-1) pricing in the market. They also point to mixed tender results, with BCP and BBVA both experiencing lacklustre take-up, but positive results for the UK Asset Resolution tender, including £466m of GRANM bonds.
Deal news
• Bradford & Bingley and Northern Rock Asset Management have disclosed the results for their tender offers on Aire Valley, Granite and Whinstone subordinate bonds. UK Asset Resolution accepted bonds equivalent to an outstanding nominal value of £534m, out of the approximately £1.19bn tenders received, for a total cost of around £400m.
• The New York Appellate Division has affirmed the lower court's dismissal of claims by investor group Walnut Place against Bank of America, concerning the bank's handling of US$1.1bn in RMBS. Walnut Place filed its complaint in February 2011, alleging that Countrywide Financial misrepresented the quality of loans backing the RMBS and that Bank of New York Mellon - the trustee for the securities - failed to sue Bank of America upon Walnut Place's request.
• Auction.com has released property-level details for three auctions scheduled for this month. They include an estimated US$814m of CMBS exposures, across 131 loans.
• Santander has released a new prospectus for its Holmes Master Issuer RMBS programme that contains a number of changes to the trust's required ratings. The move comes as Moody's reviews for downgrade the lender's long- and short-term ratings, which currently stand at A/A2/A and A-1/P-1/F1 respectively.
• The £72.45m Royal Mint Court loan, securitised in the Equinox (Eclipse 2006-1) CMBS, has been hit by an £82.23m appraisal reduction. The market value of the loan was £114.73m at origination in December 2005, with the new value representing a decrease of approximately 72%, resulting in a senior LTV of 223%.
• Three of the seven Invesco Asset Management CLOs being acquired by 3i Debt Management Investments have been identified as Invesco Coniston, Invesco Mezzano and Invesco Garda. A purchase and sale agreement has been entered into by the two firms in connection with the transactions.
• J Sainsbury, the borrower behind the Longstone Finance CMBS, has withdrawn without prepayment three properties from the portfolio. The properties represent 6.5% of the deal's total investment value and 8.5% of the total gross store area.
• Deutsche Bank has offered to buy back the Nexus4 Topaz Notes for 85.10. The price is said to be somewhat surprising, given the note traded in the high-70s to 80 immediately before the announcement last month.
Regulatory update
• The ASF has released a white paper on the single securitisation platform proposal outlined by the FHFA in its Strategic Plan. The paper outlines ASF members' views on a single agency security, which is potentially the first step toward the FHFA's longer-term single platform goal.
• The Irish government has published its draft Personal Insolvency Bill. The bill proposes to reform the existing bankruptcy regime and introduce three formalised non-judicial negotiated debt arrangements.
• Current proposals to reform pricing practices in the fixed income market are expected to seriously undermine trading firms' ability to provide liquidity, increase trading costs for investors and make it more difficult and expensive for governments and companies to raise capital. In the face of Europe's already stressed debt markets and in conjunction with Basel 3, MiFID 2 may have a material negative impact on the region's real economy.
• The European Commission has adopted a delegated act, setting out the technical rules needed to ensure the uniform application and enforcement of the Short Selling Regulation. In particular, the delegated act specifies the cases in which sovereign credit default swaps are considered covered and therefore not banned in accordance with the regulation.
Deals added to the SCI database last week:
Bavarian Sky 3; Dolphin Master Issuer series 2012-1; Dutch Mortgage Portfolio Loans X; FCT Ginkgo Sales Finance 2012-1; Flagship Credit Auto Trust 2012-1; Gosforth Funding 2012-1; IBL CQS series 2012-1; JPMCC 2012-CIBX; Marche M5; RESIMAC Premier series 2012-1; and Santander Drive Auto Receivables Trust 2012-4.
Deals added to the SCI CMBS Loan Events database last week:
BSCMS 2006-PW12; CGCMT 2007-C6; CSMC 2006-C1; CSMC 2007-C1; DECO 2007-C4; DECO 2007-E2; DECO 2007-E5; ECLIP 2005-2; ECLIP 2006-1; ECLIP 2007-1; EMC VI; EURO 24; JPMC 2007-FL1; Longstone Finance; OPERA SCOT; REC 3; TITN 2006-2; TITN 2006-3; TITN 2007-2; TITN 2007-CT1; TMAN 3; TMAN 5; TMAN 6; TMAN 7; UBS 2007-FL1; WINDM VIII; WINDM XI; WINDM XII; and WINDM XIV.
Top stories to come in SCI:
Pricing and valuations survey
Brevan Howard Credit Catalysts profile