A look at the major activity in structured finance over the past seven days
Pipeline
Another wave of deals began marketing last week. There were three ABS, an ILS, an RMBS and three CMBS remaining in the pipeline when the week ended.
The ABS comprise student loan deals US$144.73m Alaska Student Loan Corporation Series 2013A and US$211.5m Scholar Funding Trust 2013-A, as well as equipment lease ABS US$766m GE Equipment Transportation Series 2013-1. The ILS was US$250m Everglades Re Series 2013-1.
The RMBS was US$576.4m Sequoia Mortgage Trust 2013-4, while the CMBS were US$390m CGRBS 2013-VNO5TH, US$410m GSMS 2013-NYC5 and ZAR2.225bn Precinct Funding 1.
Pricings
It was a bumper week for new issues. As well as seven ABS, two RMBS, four CMBS and five CLOs priced.
The ABS prints were: US$555.556m American Express Issuance Trust II Series 2013-1; US$185m CPS Auto Receivables Trust 2013-A; US$170.79m Educational Enhancement Funding Corp Series 2013; US$200m Ford Credit Floorplan Master Owner Trust 2013-2; US$1.03bn Ford Credit Auto Lease Trust 2013-A; US$216.7m JGWPT XXVIII; and US$300m Sierra Timeshare 2013-1.
The RMBS prints comprised A$200m Liberty Series 2013-1 Trust and A$763m-equivalent RESIMAC Triomphe Trust 2013-1. The CMBS were: US$569m GS Mortgage Securities Trust Series 2013-G1; US$1.28bn JPMCC 2013-C10; US$160m MSC 2013-ALTM; and US$147m Unison Ground Lease Funding Notes Series 2013-1.
Finally, the CLO pricings consisted of: US$417.3m AMMC CLO XII; US$400m Denali Capital CLO X; US$461.5m JFIN CLO 2013-1; US$303.95m MCF CLO II; and US$600m MJX CLO XIII.
Markets
The European CMBS secondary market continued to gradually build up steam last week, as SCI reported on Friday (15 March). Mezzanine paper continues to attract hedge funds, but real money investors remain elusive.
"It is going to stay fairly quiet until Easter, but we have started seeing better two-way flows. One of the more liquid names was once again TMAN 7; that was up by about 35 cents," reports one trader. He adds: "Grand paper has been a bit more active as well. Grand mezzanine bonds have traded up by half a point or so."
JPMorgan analysts note that European ABS secondary market flows were relatively quiet, with a few BWICs hitting investors' screens towards the end of the week. "As a consequence, spreads closed the week broadly unchanged, with only Spanish RMBS seniors benefiting from some tightening," they add.
Meanwhile, non-agencies rallied in the US RMBS market as wider economic data remained positive. Cash prices in the sector were up by half a point on the week.
Barclays Capital RMBS analysts note that in the agency space the mortgage basis outperformed modestly. They comment: "FN 3s outperformed their duration hedges by 1+ tick, while 3.5s were up by four ticks. Rolls, however, continue to stay strong, with 3 and 3.5 Apr-May rolls about 2-3 ticks special."
In US ABS the focus for the secondary market was largely on FFELP student loan ABS. On a combined basis, bid-lists included notes issued by 14 trusts with an aggregate remaining balance of about US$412m.
"Although the list was sizable for the secondary market, secondary spreads were largely unchanged. We continue to believe the FFELP ABS sector offers value to investors," say Bank of America Merrill Lynch securitised products strategists.
The spread pick-up for private student loans versus legacy CMBS A4 increased to 25bp, due to CMBS tightening. Auto loan spreads widened by a few basis points, but equipment ABS fared better, widening by only 3bp so far this month.
Finally, the US CDO space saw a heavy influx of CRE CDO supply on Tuesday in particular, as SCI reported on 13 March. SCI's PriceABS data also shows some rare collateralised fund obligation paper (CFO) out for the bid.
In the CRE CDO space, a couple of LNR tranches - LNR 2003-1A B and LNR 2003-1X B - both traded, with talk for each at 99 or the 99 area. Among the CFOs, names such as TENZI 1A B1 were being talked in the low/mid-80s - and this was still the case come Friday.
Deal news
• ICE is set to introduce four credit index futures contracts starting in May. The contracts will be based on the Markit CDX (IG and HY) and iTraxx (Main and Crossover) indices, and are subject to review by the CFTC.
• The European Investment Fund, UniCredit and Federconfidi have signed the first Competitiveness and Innovation Programme (CIP) securitisation agreement to support SMEs in Italy. The transaction will facilitate SME access to an additional €60m of loans.
• The provisional membership list for the new Series 19 iTraxx indices has been published ahead of its 20 March launch. The changes between the new and old series are in line with market expectations.
• Cajamar Caja Rural has announced a tender offer for nine RMBS bonds and one SME CLO bond, launching the first ABS/RMBS tender of the year. No maximum purchase amount has been disclosed, with €1.6bn currently outstanding across the 10 tranches.
• Gramercy Capitol Corp affiliate GKK Manager is set to transfer its collateral management rights and obligations for Gramercy Real Estate CDO 2005-1, Gramercy Real Estate CDO 2006-1 and Gramercy Real Estate CDO 2007-1 to CWCapital Investments. Consent to the assignment of the collateral management agreements from the majority of the respective controlling classes has been obtained, as required by the transaction documents.
• It has emerged that seven properties from the US$317m Schron Industrial Portfolio, securitised in GCCFC 2005-GG5, were sold via auction.com last November (SCI 30 October 2012). The note sales resulted in around US$30m of principal pay-downs and US$10m of advance/ASER reimbursement in the February and March remittances.
• Punch Taverns has released a positive trading statement and still expects to meet guidance on full-year operating profit, achieve disposals above book value and complete a consensual restructuring by the summer. However, this may prove optimistic, as investor groups begin to organise themselves. Punch A class M noteholders are the latest investor group to hire advisors.
• The Massachusetts Securities Division, a division of the Office of the Secretary of the Commonwealth of Massachusetts, and Deutsche Bank Securities Inc (DBSI) have entered into a consent order in connection with the Division's investigation into DBSI's failure to disclose conflicts of interest related to the US$1.56bn Carina CDO.
• The FHFA has filed a lawsuit in the New York Supreme Court against HSBC Finance Corporation and Decision One Mortgage Company, alleging that defendants breached their representations and warranties, and failed to repurchase certain residential mortgage loans pursuant to agreements with Decision One. Decision One is said to have agreed to buy back defaulting residential mortgage loans that were part of a pool of loans that were securitised in HASC 2007-HE1 and sold to Freddie Mac.
Regulatory update
• The Structured Finance Industry Group (SFIG), a new trade industry advocacy group, has been formed in the US. Its creation comes in the wake of a major division within the ASF, which saw over 20 members resign.
• The ASF has submitted a comment letter to the Basel Committee in response to its 18 December consultative document (SCI 19 December 2012). The letter outlines several guiding principles that the association believes should be embodied in any framework for determining capital for securitisation purposes.
• The first compliance deadline of the European Markets and Infrastructure Regulation (EMIR) came into force on 15 March. The derivative rules will apply initially to financial and non-financial counterparties located in the EU and later to entities trading outside the EU under certain circumstances.
• The IASB has published an exposure draft on the recognition of impairment losses for financial assets on financial institutions' balance sheets. The proposed model would require firms to recognise impairment losses on an accelerated basis vis-a-vis current rules, which are expected to more closely align financial statements with the economics of lending and investing.
• The DTCC's registration to establish a Japanese OTC derivatives trade repository with the Financial Services Agency of Japan has been approved. DTCC will begin operating this service ahead of the J-FSA's mandated 1 April deadline for market participants in Japan to begin reporting their OTC derivatives transactions directly to regulators or to a third-party trade repository.
• ISDA has launched the March 2013 EMIR Non-Financial Counterparty (NFC) Representation Protocol and a Timely Confirmation Amendment Agreement. The two documents are the first in a series of tools that ISDA plans to make available to market participants to facilitate their compliance with EMIR.
Deals added to the SCI database last week:
ACAS CLO 2013-1; ALM Loan Funding 2010-3; Ares XXVI CLO; CLI Funding V Series 2013-1; Enterprise Fleet Financing Series 2013-1; Eole Finance; FREMF 2013-K502; Golub Capital BDC 2010-1; Greywolf CLO II; ICE 3 Global Credit CLO; Intu (SGS) Finance 2013 series 1; JPMCC 2013-C10; OCP CLO 2013-3; Santander Drive Auto Receivables Trust 2013-2; Sound Point CLO II; and WFRBS 2013-C12.
Deals added to the SCI CMBS Loan Events database last week:
BACM 2005-3; BACM 2008-1; BSCMS 2006-PW14; CSMC 2006-C4; CSMC 2007-TFLA; DECO 2011-CSPK; DECO 6-UK2; ECLIP 2007-2; EPICP DRUM; EURO 25; GCCFC 03-C2, BSCMS 04-T14 & MSC 04-T13; GCCFC 2005-GG5; GCCFC 2006-GG7; GECMC 2003-C1; GMACC 03-C2 & GECMC 03-C2; GMACC 2002-C3; JPMCC 06-LDP7 & 06-CB16; JPMCC 2005-CB11; LBUBS 2007-C6; MLCFC 2006-4; MLMT 2003-KEY1; MSC 2007-HQ13; OPERA CSC3; RIVOL 2006-1; TAURS 2006-1; TAURS 2006-2; TITN 2005-CT2; TITN 2006-5; and TITN 2007-3.
Top stories to come in SCI:
Focus on EMIR
US RMBS buy-back trends