A look at the major activity in structured finance over the past seven days
Pipeline
Only three new deals entered the pipeline last week. They were: a UK CMBS called Intu (SGS) Finance series 1; a US$1.2bn CMBS called WFRBS 2013-C12; and a A$500m Australian RMBS called Triton Trust No.2 Bond Series 2013-1.
Pricings
New issue volume kept pace with recent weeks, with four ABS, one RMBS, two CMBS and four CLOs pricing. Three of the prints were European transactions and the remainder were from the US.
The ABS comprised: US$327.25m Cabela's Credit Card Master Note Trust Series 2013-I; US$905.4m Hyundai Auto Lease Securitization Trust 2013-A; US$1.1bn SLM Private Education Loan Trust 2013-A; and €152m ALBA 4.
The RMBS was €2.702bn Goldfish 2013-1, a two-tranche deal from the Netherlands. The CMBS consisted of US$900m BWAY 2013-1515 and US$1.49bn COMM 2013-CCRE6.
Finally, the CLO prints were: US$400m ACAS CLO 2013-1; US$412m Fortress Credit BSL 2013-1; €2.65bn IM Grupo Banco Popular Empresas V; and US$387.75m Sound Point CLO II.
Markets
European ABS secondary market activity picked up last week, despite the double blow of Moody's UK downgrade and inconclusive Italian election. Nevertheless, some sectors - such as RMBS - did soften, as SCI reported on 1 March.
"The market was very quiet around the election itself, but it recovered a bit earlier in the week, so it seems to have been more positive than negative. That said, even with a bit more activity, we are still fairly quiet and still limited to hedge fund investors - with real money staying away," reports one trader.
He adds: "In CMBS, the market is still climbing. TMAN 7 was up by about 25 cents this week, having also been up last week."
The US CMBS secondary market saw around US$350m of BWIC volume on Wednesday, meanwhile, with a greater variety of paper across the breadth of the capital structure than was circulating in the previous session (SCI 28 February).
SCI's PriceABS data shows that a US$12.218m slice of BAYC 2005-2A A1 tranche was talked in the high-70s during the session. In contrast, a US$2.8m piece of the LBUBS 2006-C7 G tranche was covered at 2.
US non-agency RMBS BWIC supply shot up on Tuesday (SCI 27 February). A large volume of subprime paper was circulating, with two CDO liquidation lists driving the bulk of that activity. Dealer offering levels were largely unchanged.
Primary US CLO spreads have narrowed from a month ago, opening the door for further new issuance. In the secondary market, securitised products strategists at Bank of America Merrill Lynch note that trading has remained muted, with an increased number of DNTs.
"The market continues to reassess spread levels at this point and fewer accounts are transacting. Again, despite the lack of trading, sellers remain happy to retain their positions rather than selling at wider levels and buyers are still engaged and providing levels. Investors may also be taking a pause to see how the newly started sequester starts to play out and if it has any impact on the current market psychology," they add.
Finally, a number of auto names circulated in the US ABS market early in the week (SCI 26 February). Several of these were new additions to the PriceABS archive, with names such as FORDO 2012-A D talked in the mid-90s.
"In our opinion, demand for benchmark ABS - such as prime autos - is likely to remain relatively strong, although resistance could build at tighter spreads due to the low absolute yields available on many of these securities," note ABS analysts at Wells Fargo. Beyond the auto space, student loan paper was also available on Monday.
Deal news
• Citigroup Alternative Investments (CAI) has transferred the collateral management agreements for the Regatta Funding and Duane Street CLO 1, II, III and IV transactions to Napier Park Global Capital. Napier has been spun out of CAI and now owns CAI's CLO business (SCI 5 December 2012).
• Noteholders last week agreed to the amendments to Bruntwood Alpha, as proposed by the borrower (SCI 1 February). The restructuring of the UK CMBS centres on a two-year extension of the notes and one of the two loans - the £229.2m B2000 loan - in exchange for which noteholders have been offered an increase in margin on a staggered basis.
• Intu Properties is marketing a CMBS/corporate securitisation hybrid that will refinance the Opera Finance CSC 3 deal. The structure is being likened to a UK master trust in that it can issue up to £5bn long-dated fixed sterling notes in various series and has the flexibility to add more properties to the pool.
• A statement of claim has been lodged by Pioneer Mortgage Services to the Supreme Court of New South Wales in relation to monies allegedly owed to it as mortgage manager. The legal action is being taken against ANZ and Columbus Capital, respectively originator and seller of the underlying residential mortgages securitised in Triton Trust No.2 Bond Series 2013-1, which is currently marketing.
• Moody's has upgraded the US$67.5m Nelson Re class G catastrophe bonds to A3 from Ca, upon the sponsor's withdrawal from arbitration. Glacier Reinsurance has decided not to pursue its case in arbitration and the arbitration tribunal has approved the petition to withdraw.
Regulatory update
• The US Bipartisan Policy Center's Housing Commission has unveiled a new vision for housing policy. The recommendations propose scaling back the government role in the country's housing finance system and reforming housing assistance programmes.
• The CFTC has released a revised compliance schedule for clearing of iTraxx CDS indices. Category 1 and 2 entities must comply by 26 April and 25 July respectively, while all other entities must comply by 23 October.
• The US SEC has charged New Stream Capital and two of its former hedge fund managers with lying to investors about their fund's structure and financial condition. Unbeknownst to investors, they were not investing on equal terms after the fund was restructured without their knowledge.
Deals added to the SCI database last week:
Arqiva Financing; BWAY 2013-1515; Cairn CLO III; CFIP CLO 2013-1; Chase Issuance Trust 2013-2 ; COMM 2013-CCRE6; Dryden XXVI Senior Loan Fund; E-Carat Compartment No. 5; Figueroa CLO 2013-1; Ford Credit Auto Owner Trust 2013-A; Golden Credit Card Trust Series 2013-1; Goldfish Master Issuer series 2013-1; ING IM CLO 2013-1; MSC 2013-WLSR; Nelnet Student Loan Trust 2013-2; Nissan Master Owner Trust Receivables Series 2013-A; Orange Lion 2013-9; RBSCF 2013-SMV; Series 2013-1 WST Trust; TAL Advantage V Series 2013-1; UBSBB 2013-C5; VCL 17; Volkswagen Auto Loan Enhanced Trust 2013-1; and World Omni Master Owner Trust Series 2013-1.
Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; CGCMT 2007-C6; COMM 2003-LB1A; COMM 2004-LB4A; CSFB 2005-C5; CWCI 2006-C1; DECO 2005-E1; DECO 2007-E5; DECO 7-E2; ECLIP 2006-1; GCCFC 2007-GG11; GECMC 2003-C1; JPMCC 2007-C1; JPMCC 2007-LDPX; JPMCC 2008-C2; LBUBS 2006-C4; OPERA CSC3; RIVOL 2006-1; TITN 2006-CT1; TITN 2007-2; VWALL 1; WBCMT 2006-C27; and WINDM IX.
Top stories to come in SCI:
Focus on European CLOs
Progress report on European OTC derivatives regulation
Credit fund strategies update