A look at the major activity in structured finance over the past seven days
Pipeline
It was another busy week for new deal announcements as the end of Q1 approaches. There were two newly-announced ABS, three RMBS, three CMBS and four new CLOs that were still in the pipeline come the end of the week.
The ABS were £299.8m A-Best 8 and US$270m STORE Master Funding I & II series 2013-1. The RMBS were A$275m AFG Series 2013-1, A$465m IDOL Trust Series 2013-1 and US$616.26m JPMMT 2013-1.
The CMBS were US$710m COMM 2013-WWP, US$345.9m RIAL 2013-LT2 and US$310m WFCM 2013-120B. Meanwhile, the CLOs were US$500m Adirondack Park CLO, US$299m Arrowpoint 2013-1 CLO, US$413.5m Ballyrock CLO 2013-1 and US$500m Oaktree Enhanced Income Funding Series II.
Pricings
There were also 22 new prints last week, more than for any week since January. ABS accounted for 13 of those, with an ILS, an RMBS, four CMBS and three CLOs rounding out the issuance.
The ABS were: US$398.79m Access Funding 2013-1; US$144.73m Alaska Student Loan Corporation Series 2013-A; US$205m American Credit Acceptance Receivables Trust 2013-1; US$229m CAL Funding II series 2013-1; US$500m Fifth Third Auto Trust 2013-A; US$800m GE Capital Credit Card Master Note Trust Series 2013-1; US$766m GE Equipment Transportation Series 2013-1; US$1.05bn Hardee's Funding/Carl's Jr Funding Series 2013-1; US$20.909m Newtek Small Business Loan Trust 2013-1; US$211.5m Scholar Funding Trust 2013-A; US$662m Volvo Financial Equipment Series 2013-1; €1.15bn Foncaixa Leasings 2; and €549m SC Germany Auto 2013-1 UG.
The ILS was US$250m Merna Re IV series 2013-1 and the RMBS was US$576.4m Sequoia Mortgage Trust 2013-4. The CMBS were US$240m Citigroup Commercial Mortgage Trust 2013-SMP, US$324m COMM 2013-GAM, US$410m GSMS 2013-NYC5 and US$275m LCCM 2013-GCP.
Finally, the CLOs were US$623m Carlyle Global Market Strategies CLO 2013-2, US$415.97m ECP CLO 2013-5 and US$525m Shackleton III CLO.
Markets
Uncertainty over the Cypriot bailout affected markets in the early part of the week, but they largely recovered by the weekend. Wells Fargo US RMBS analysts note that the non-agency market was more focused on new issuance than events in Europe.
"In the secondary trading market, the themes continue to be repetitive. Light BWIC supply and interest from real and fast money account types kept levels stable," they note.
The US ABS secondary market was fairly active, with almost US$2bn in BWICs. Bank of America Merrill Lynch securitised products analysts note that auto spreads were 8bp to 11bp wider for longer dated and subordinated classes, with equipment and student loan ABS spreads also widening slightly.
They add: "The last few weeks of spread widening has resulted in more tiering in the ABS markets. We would expect spreads to move to tighter levels once the calendar passes quarter-end, keeping with our outlook for range bound spreads. Increased tiering has resulted in opportunities in second tier and even some top tier sectors and names."
The US CMBS market also recovered from an early widening to finish the week roughly unchanged. Barclays Capital CMBS analysts expect any volatility coming from further news on Cyprus to be contained.
They say: "The latest flutter from Europe, this time over the 'bail-in' plan in Cyprus, caused CMBS spreads to widen out on Monday. Trading levels recovered somewhat over the remainder of the week, and 2007 dupers ended Thursday roughly unchanged over last week's close at S+116bp, while 07 AMs stayed at S+233bp. It was a similar story in the new issue space, as the market awaits a stretch of conduit deals that are expected to price over the coming weeks."
Subordinate US CLO tranches were out in force early last week, as SCI reported (SCI 20 March 2013). SCI's PriceABS data shows 125 CLO line items for Tuesday's session, with names such as CIFC 2012-1X SUB talked from low/mid-70s through to the low/mid-90s before trading in the high-80s.
Deal news
• MSC 2007-HQ13 has become the first US conduit CMBS to see interest shortfalls hit the super senior classes. Prior to the March remittance report, shortfalls had reached the AJ class, but now classes A2, A3, A1A, AM and X have been affected.
• The US$13.6m 2100 Grand loan, securitised in CMBS 2.0 deal JPMCC 2011-C3, has been transferred to special serving. The move follows the bankruptcy of the Los Angeles-area office building's primary tenant, special effects firm Rhythm & Hues.
• The 28 February decision from the Versailles Court of Appeal is a positive development in the Coeur Défense case, says Moody's. The decision confirms the enforceability of security assignments of lease receivables even upon insolvency of the lessor.
• Ally Bank is set to sell a portfolio of agency mortgage servicing rights (MSR) to Ocwen Financial Corp. The transaction comprises MSRs related to mortgage loans with an unpaid principal balance of approximately US$85bn, as of 31 January, as well as an estimated US$5bn of agency MSR created based on commitments made through the end of February.
• Lehman Brothers Finance AG (LBF) has reached a settlement with Lehman Brothers International Europe (LBIE), through which significant value is expected to be returned to the LBF estate. The move also has wider implications for derivatives documentation.
• Moody's has downgraded the global and national scale ratings of the senior notes in FCC BIAT-CREDIMMO 1 and FCC BIAT-CREDIMMO 2, as well as the global scale ratings of the junior notes in FCC BIAT-CREDIMMO 2. The agency has also affirmed the global and national scale ratings of the junior notes in FCC BIAT-CREDIMMO 1 and the national scale ratings of the junior notes in FCC BIAT-CREDIMMO 2.
• A 13 March settlement between 17 US states, the District of Columbia and Puerto Rico and several tobacco manufacturers should have a positive impact on cashflows for certain Fitch-rated tobacco settlement ABS transactions, the agency says. The 'stipulated partial settlement award' - initially proposed between these parties in December 2012 - relates to the non-participating manufacturer (NPM) adjustment provisions contained in the master settlement agreement (MSA) for 2003-2012.
• Moody's says its credit evaluation of Morgan Stanley Capital I Trust 2013-ALTM CMBS is significantly different from that provided in reports published by other rating agencies. The credit protection for the principal and interest classes of the transaction - which is backed by the Altamonte Mall in Altamonte Springs, Florida - is insufficient, in the agency's opinion, relative to the ratings assigned by three other rating agencies.
• S&P has lowered its ratings on 145 classes from 72 US RMBS that are insured by MBIA Insurance Corp. The move comes after the agency lowered its financial strength rating on MBIA to triple-C from single-B (SCI 5 March).
Regulatory update
• Additional regulatory changes coming into force on 1 April are set to impact the CLO market. The changes concern how US CLOs and leveraged loans are treated when computing FDIC assessments against bank deposits.
• The Global Financial Markets Association (GFMA) has added to the discussion around the Basel Committee's proposed revisions to its securitisation framework (SCI passim) by suggesting that the starting assumptions of the consultative document are too narrowly drawn. The group notes that securitisations have generally performed well since the financial crisis and calls for a balanced, prudently calibrated and holistic policy response.
• ESMA has formally approved the certification in the EU of Kroll Bond Rating Agency (KBRA) under Article 16 of the CRA Regulation. The firm is the first US CRA to be certified following the EC's recognition, on 5 October 2012, of the equivalence of the US legal and supervisory framework to the requirements of the CRA Regulation.
• S&P has published its response to the Basel Committee's consultative document on revisions to the Basel securitisation framework (SCI passim). The agency believes that the proposals include some positive elements, while also raising a number of significant concerns.
• The Basel Committee has published the results of its latest Basel 3 monitoring exercise. The study is based on the reporting processes set up by the Committee to periodically review the implications of the Basel 3 standards for financial markets.
• ESMA has published its second annual report on its supervision of credit rating agencies (CRAs) in the EU. The report focuses on its investigation into bank rating methodologies and the follow-up work to the March 2012 report on deficiencies in CRAs rating processes, governance and control mechanisms.
Deals added to the SCI database last week:
American Express Issuance Trust II Series 2013-1; American Tower Trust I; AMMC CLO XII; BPL Mortgages (retained); CCMT 2013-SMP; Cedar Creek CLO; Collateralized Servicer Advance Receivables 2013-MM1; COMM 2013-GAM; CPS Auto Receivables Trust 2013-A; Denali Capital CLO X; Ford Credit Auto Lease Trust 2013-A; Ford Credit Floorplan Master Owner Trust A series 2013-2; GSMS 2013-G1; Halcyon Loan Advisors Funding 2013-1; JFIN CLO 2013-1; JGWPT XXVIII series 2013-1; LCCM 2013-GCP; MCF II CLO; MSC 2013-ALTM; NXT Capital CLO 2013-1; RESIMAC Premier Series 2013-1; Sierra Timeshare 2013-1 Receivables Funding; Venture XIII CLO
Deals added to the SCI CMBS Loan Events database last week:
BACM 2007-1; COMM 2006-C7; CSFB 2005-C1; CSMC 2007-C5; EURO 23; GCCFC 07-GG11 & CGCMT 08-C7; GSMS 2006-GG6; JPMCC 2007-LD11; JPMCC 2011-C3; LBUBS 2007-C1; MALLF 1; MSC 2005-HQ6; MSC 2007-HQ13; MSC 2007-T27; SMPER 2006-1; TITN 2006-2; TMAN 3; TMAN 6; WBCMT 03-C8 & WBCMT 03-C7; WBCMT 2006-C29; WBCMT 2007-C33; WINDM VII
Top stories to come in SCI:
US RMBS buy-back trends