A look at the major activity in structured finance over the past seven days
Pipeline
With Thanksgiving shortening last week in the US, there was a slight drop in the number of deals joining the pipeline. The week saw two ABS, three CMBS and one CLO added.
The ABS were: FCT FAST, a €1.15bn factoring receivables securitisation; and IM CITI TARJETAS 1, an €840 credit card deal. The CMBS comprised: C$525m Bay Wellington Tower Senior Secured Mortgage Bonds, US$1.41bn FREMF 2012-K22 and US$278m STRIPs Series 2012-1. The CLO was US$500m Octagon Investment Partners XIV.
Pricings
As with the week before, auto ABS accounted for most of the new issues, although there were also plenty of CLOs. In total, six auto deals priced, along with one RMBS, one CMBS and five CLOs.
The ABS prints consisted of: €631m Auto ABS 2012-2, €765m-equivalent Bilkreditt 3, US$150m Centre Point Funding Series 2012-2, £1.65bn Driver UK Master Compartment 1, €500m FTA Santander Consumer Spain Auto 2012-1 and €562m Globaldrive Auto Receivables 2012-1.
The RMBS new issue was SAECURE 12, while the CMBS was US$1.39bn GSMS 2012-GCJ9.
Finally, the CLO prints comprised: US$412.5m Anchorage Capital CLO 2012-1, US$620m Carlyle Global Market Strategies CLO 2012-4, €2.4bn FONCAIXA PYMES 3, US$413m KVK 2012-2 and US$291m RCMC 2012-CREL 1.
Markets
The European ABS market saw the issuance of the first PCS-approved deal last week, as SCI reported on Thursday (SCI 22 November). Despite the label seemingly having little effect on pricing, both the primary and secondary markets have been active.
"Secondary bid-lists have traded pretty well. It seems like dealers are bulking up inventory to go into the New Year and auto paper has been popular lately, as it generally is," one trader noted. "Spreads have been pretty flat over the past week or so, although the periphery is still trading in a little bit."
The US CMBS secondary market, meanwhile, saw supply surge ahead of Thanksgiving - as reported in SCI on Wednesday (SCI 21 November). Tuesday's session saw a high number of AJ tranches out for the bid.
AJ paper originated between 2005 and 2007 accounted for much of that supply. Considerable tightening was seen for tranches such as CSFB 2005-C6 AJ, which was covered at 260bp over. It was previously covered at 350bp on 28 August, according to SCI's PriceABS data.
The US RMBS secondary market was also busy, as SCI reported on Tuesday (SCI 20 November). Monday's session was dominated by non-agency subprime activity, where the focus was on an all-or-none BWIC with a mix of mezzanine and senior paper from various vintages. Dealer offering levels at the start of the week were holding steady, with a lot of Countrywide paper being shown.
Deal news
• Bank of America has made a tender offer to purchase at par any and all of MBIA Inc's outstanding senior notes due 2034. The move is seen as a clear negative for MBIA-wrapped non-agency RMBS.
• Gagfah's latest quarterly results contain two key updates for CMBS investors, relating to GRF 2006-1 and the €1bn WOBA loan split between WINDM IX and DECO 2007 E5. Management plans to refinance a portion of the debt via a new CMBS.
• Enterprise Inns' full-year results show improved like-for-like net income and decreased debt net of cash. The group has purchased and cancelled £65m of the fixed rate Unique securitisation notes, but Spirit bonds may still offer superior value.
• PIMCO is proposing to transfer its asset management responsibilities for Pacific Coast CDO to Cairn Capital. The replacement is expected to become effective today (26 November), provided the requisite noteholders or shareholders do not object before then.
• Dock Street Capital Management has been appointed successor collateral manager on the Jupiter High-Grade CDO IV and Orchid Structured Finance CDO III transactions under amended and restated collateral management agreements. The ABS CDOs were originally managed by Maxim Advisory and ST Asset Management respectively.
• Noteholder meetings for PARGN 7, 8, 9 and 10 have been scheduled on 13 December, on 14 December for PARGN 11, 12 and 13, and on 18 December for PARGN 14, 15 and PPAF 3. The reason for the meetings is to discuss an extraordinary resolution, as suggested by Moody's, to enhance the structural features of the transactions.
• Morningstar has added the US$75.9m Shops at Sunset Place loan, securitised in JPMCC 2010-C2, to its watchlist due to a drop in occupancy. Occupancy at the property fell from 89% at year-end 2011 to 75% as of June 2012.
• NIBC is set to restructure the Sound I RMBS by extending its first optional redemption date (FORD) by 12 months to November 2013 and increasing the class A notes' step-up margin to 110bp from the original 25bp. Margin on the mezzanine and junior notes will also step up this month and will be set at levels defined by the original FORD.
Regulatory update
• The EU's ban on speculative positions in sovereign CDS came into effect this month. While regulators believe the ban can shield Europe from unscrupulous investors, there are doubts about its efficacy and concerns about unintended consequences.
• New York Attorney General Eric Schneiderman has filed a complaint against Credit Suisse and its affiliates for making fraudulent misrepresentations and omissions in the sale of RMBS prior to 2008. It follows another RMBS Working Group lawsuit which was lodged last month against JPMorgan (SCI 3 October).
• The FHFA is to proceed with most of its claims against Barclays and Goldman Sachs in connection with losses that Fannie Mae and Freddie Mac suffered related to the purchase of RMBS (SCI passim). Trials have been scheduled to begin in January 2015 and 29 September 2014 respectively.
• IOSCO has published a final report, entitled 'Global Developments in Securitisation Regulation', which proposes a series of recommendations aimed at ensuring securitisation markets develop on a sound and sustainable basis. The recommendations provide a roadmap towards convergence and implementation of approaches to incentive alignment, in particular regarding risk retention requirements.
Deals added to the SCI database last week:
AmeriCredit Automobile Receivables Trust Series 2012-5; Ascentium Equipment Receivables 2012-1; Chase Issuance Trust 2012-8; Chase Issuance Trust 2012-9; CNH Equipment Trust 2012-D; Dryden XXV Senior Loan Fund; FCT Autonoria Compartment Autonoria 2012-2; Ford Credit Auto Owner Trust 2012-D; Gosforth Funding 2012-2; Halcyon Loan Advisors Funding 2012-2; Icon Brand Holdings Series 2012-1; Madison Park Funding X; Mythen Re series 2012-2; Queen Street VII Re; Series 2012-1E REDS Trust; Turbo Finance 3.
Deals added to the SCI CMBS Loan Events database last week:
BSCMS 2005-PWR7; CD 2006-CD2; CSMC 2006-C2; CSMC 2006-C3; CWCI 2006-C1; DECO 7-E2; DECO 9-E3; ECLIP 2006-2; ECLIP 2006-3; ECLIP 2007-2; EMC IV; EPICP CASP; EURO 19; EURO 23; GRF 2006-1; GRND 1; LBUBS 2006-C7; LORDS 1; MLMT 2005-MKB2; TAURS 2006-1; TITN 2007-CT1; TMAN 5; TMAN 7; WINDM IX & DECO 07-E5; WINDM VII; WINDM XIV.
Top stories to come in SCI:
Post-election US housing outlook
Year-end outlooks