A look at the major activity in structured finance over the past seven days
Pipeline
Last week saw nine deals join - and remain in - the pipeline. Five of these were ABS, with the remainder comprising three CMBS and a single CLO.
The ABS consisted of: US$215.95m ARL First Series 2012-1, a railcar lease securitisation; US$220m Drug Royalty II 1 series 2012-1, a drug royalties transaction; US$500m Mercedes Benz Master Owner Trust 2012-A and US$250m Mercedes Benz Master Owner Trust 2012-B, both auto deals; and US$1.53bn SLM Student Loan Trust 2012-8, a student loan ABS.
The CMBS were US$175m JPMCC 2012-PHH, US$1.5bn UBSBB 2012-C4 and US$1.3bn WFRBS 2012-C10. The CLO was US$507.25m Ares XXV.
Pricings
The number of new issues was consistent with the week before. Seven ABS, two CMBS and five CLOs priced.
The ABS included: US$205m American Credit Acceptance Receivables Trust 2012-3, €800m Auto ABS 2012-3, €952.5m Private Driver 2012-3 and €282m VCL Master Compartment - which are each auto deals; €840m IM CITI TARJETAS 1 and £400m Invicta Funding 2012, which are both credit card securitisations; and US$1.012bn Nelnet Student Loan Trust 2012-6, a student loan ABS.
The CMBS comprised US$300m BAMLL 2012-PARK and £215m Telereal Securitisation Tap-3. The CLO prints consisted of €2.4bn FonCaixa FTPYME 3, US$612m Magnetite 2012-7, US$326m NewStar Commercial Loan Funding 2012-2, US$626m Northwoods Capital IX and US$514m Wind River 2012-1.
Markets
The European ABS market has not been afflicted with the traditional year-end theme of price softening so far, according to analysts at Deutsche Bank. "We expect to see another week or two of limited activity before seasonal liquidity dries up." For the primary market, they expect minimal issuance - if any - ahead of year-end.
TMAN 7 remains among the most liquid European CMBS, as SCI reported on Tuesday (27 November). BWICs continue to circulate without prices moving very much, as the market appears to be winding down for year-end. "Most people have had a fairly good year and just want to now ride out the last few weeks without adding too much risk," notes one trader.
He adds: "General credit indices widened out a lot and then tightened in again, so it has also been a bit more volatile recently and maybe people are looking for some direction. TMAN 6 and 7 have both traded up a little bit, but only by 10 or 20 cents, and other paper has not moved much."
The US CMBS market, meanwhile, saw secondary spreads widen mid-week before tightening again. Price levels were largely unchanged, as SCI reported on Thursday (29 November).
Wednesday's session saw a variety of tranches circulating, although BACM and JPMCC tranches were particularly prevalent. BACM 2007-2 A2 was talked at mid-102, while JPMCC 2007-CB20 AJ was covered at 94.14.
US RMBS activity picked up from a slow start to the week. Non-agency BWIC volume on Tuesday was up by 40% on Monday's levels, as SCI reported on Wednesday (28 November).
SCI's PriceABS data showed subprime talk edging higher. Names such as CARR 2005-NC1 M2 were being talked higher than levels in the previous session, with Alt-A fixed paper such as RAST 2006-A8 3A4 also moving higher.
The US CLO market grew increasingly busy as the week progressed, as SCI reported on Friday (SCI 30 November). Thursday's session was busier than most, with CLO subordinated paper proving popular. There were also several Trups CDOs out for the bid, with no fewer than 20 unique PRETSL tranches captured by PriceABS.
Deal news
• MBIA has successfully completed a consent solicitation resulting in the amendments to indentures governing its 6.4% Senior Notes due 2022, 7% Debentures due 2025, 7.15% Debentures due 2027, 6.625% Debentures due 2028 and 5.7% Senior Notes due 2034. Bank of America had previously tried to obstruct the move with a tender offer to purchase at par the monoline's outstanding senior notes due 2034 (SCI 20 November).
• New York Mortgage Trust has entered, through a wholly-owned subsidiary, into a master repurchase agreement with a three-year term for the purpose of financing certain K-Series multifamily CMBS. The REIT received gross cash proceeds of approximately US$52m before deducting expenses associated with the transaction.
• The EIB's project bond credit enhancement (PBCE) instrument (SCI 14 November) - whether in the form of funded subordination or an unfunded letter of credit - could improve a project's credit metrics to a level in line with ratings in the single-A category, according to Fitch. However, to achieve this, projects would also need to display a reasonably strong standalone credit profile.
• Bocage Mortgages No.1 has been restructured to include the appointment of a back-up servicer, increased issuance of the unrated variable funding note (VFN) and a termination of the basis swap. In Fitch's view, the appointment of a back-up servicer and the increase in the VFN are both positive for the transaction.
• Moody's has downgraded 20 notes previously rated at the country ceiling and confirmed one note from 18 Portuguese RMBS, further to its reassessment of the entire Portuguese RMBS market. The reassessment takes into consideration the agency's updated European RMBS rating methodology, as well as ongoing deterioration in the credit quality of the Portuguese sovereign and transactions' counterparties.
• Moody's has downgraded three senior notes and 10 junior notes across seven Italian RMBS, further to its reassessment of all rated Italian RMBS. The rating agency's reassessment takes into consideration: its updated European RMBS rating methodology; ongoing collateral performance deterioration; and the deterioration of the ratings of the Italian sovereign and the transactions' counterparties over the last 12 months.
• Moody's has taken rating actions on 156 Spanish RMBS, affecting approximately €62.5bn of debt securities, further to its reassessment of the entire Spanish RMBS market. The rating agency's reassessment takes into consideration continued collateral performance deterioration, its updated European RMBS rating methodology and ongoing deterioration in the credit quality of the Spanish sovereign and transactions' counterparties.
Regulatory update
• The CFTC has issued new rules to require certain credit default swaps and interest rate swaps to be cleared by registered derivatives clearing organisations (DCOs), as promulgated under the Dodd-Frank Act. Under the rules, market participants are required to submit a swap for clearing by a DCO as soon as technologically practicable and no later than the end of the day of execution.
• The ECB has adjusted its timeline for the start of loan-level data reporting requirements as part of the Eurosystem's collateral framework, to allow for the smooth implementation of what it deems as necessary amendments to Guideline ECB/2011/14 at the national level.
• ISDA has published an analysis of initial margin (IM) requirements for non-centrally cleared OTC derivatives under current regulatory proposals. The analysis is based upon data submitted by member firms to the Basel Committee and IOSCO joint Working Group on Margining Requirements (WGMR), as part of its Quantitative Impact Study.
• The US SEC has charged three executives at KCAP Financial for overstating its assets during the financial crisis. KCAP, a publically traded fund regulated as a BDC, had an asset portfolio consisting mainly of corporate debt securities and CLO investments.
• IOSCO has published its final 'Principles for Ongoing Disclosure for Asset Backed Securities' report, which is designed to provide guidance to securities regulators that are developing or reviewing their regulatory regimes for ongoing disclosure for ABS. The eleven principles were developed as a complement to IOSCO's 'Disclosure Principles for Public Offerings and Listings of Asset-Backed Securities', which was issued in 2010.
Deals added to the SCI database last week:
Anchorage Capital CLO 2012-1; Auto ABS 2012-2; BB-UBS Trust 2012-SHOW; Bilkreditt 3; Carlyle Global Market Strategies CLO 2012-4; Centre Point Funding Series 2012-2; Cerberus Offshore Levered I; Driver UK Master Compartment 1; FTA Santander Consumer Spain Auto 2012-1 ; Globaldrive Auto Receivables 2012-A; GSMS 2012-GCJ9; Kramer Van Kirk CLO 2012-2; Oaktree Enhanced Income Funding Series I; Pepper Prime 2012-1 Trust; RCMC 2012-CREL1; Tidewater Auto Receivables Trust 2012-A; Vermont Student Assistance Corp series 2012-1; VNDO 2012-6AVE.
Deals added to the SCI CMBS Loan Events database last week:
BRUNT 2007-1; BSCMS 2007-PW16; DECO 2006-C3; DECO 2006-E4; DECO 7-E2; ECLIP 2007-1A; EMC VI; FLTST 3; GECMC 2007-C1; GRND 1; JPMCC 2007-LD12; LBUBS 2007-C1; MSC 2007-IQ15; RIVOL 2006-1; TAURS 2006-2; TITN 2005-CT2; TMAN 6; WBCMT 2007-C30; WINDM XII.
Top stories to come in SCI:
Year-end outlooks