A look at the major activity in structured finance over the past seven days
Pipeline
The second quarter kicked off with a healthy number of new deals being announced. Of those transactions, one ABS, an ILS, two RMBS and three CMBS remained in the pipeline by the end of last week.
The ABS was Sfr200m Swiss Credit Card Issuance No.2 Series 2013-1 and the ILS was the US$100m Bosphorus 1 Re.
The RMBS consisted of ZAR1bn Amber House Fund 3 and €752.2m Storm 2013-II. The CMBS were US$1.75bn FREMF 2013-K712, US$260m GSMS 2013-PEMB and US$300m Wells Fargo Commercial Mortgage Trust 2013-BTC.
Pricings
It was another busy week for new issuance, with 19 prints to start the quarter. Eight ABS, two ILS, three RMBS, three CMBS and three CLOs priced.
The ABS new issues were: US$928.34m Ally Auto Receivables Trust 2013-1; US$1.1bn AmeriCredit Automobile Receivables Trust 2013-2; US$851.43m John Deere Owner Trust 2013-A; US$211.82m Oklahoma Student Loan Authority Series 2013-1; US$350m Prestige Auto Receivables Trust 2013-1; US$67.5m RISLA 2013 Senior Series A; US$185m Security National Auto 2013-1; and US$1.246bn SLM Student Loan Trust 2013-2.
The ILS prints comprised US$250m Everglades Re Series 2013-1 and US$200m Tar Heel Re Series 2013-1, while the RMBS pricings consisted of US$463.34m Sequoia Mortgage Trust 2013-5, US$835.114m Springleaf Mortgage Loan Trust 2013-1 and the remarketed €750m Citadel 2010-II. The CMBS new issues included US$390m CGRBS 2013-VNO5TH, US$285m Del Coronado Trust 2013-DEL and US$1.33bn SBA Tower Trust.
Finally, €675m IM Cajamar Empresas 5, US$343.8m JMP Credit Advisors CLO 2013-2 and US$500m Oaktree Enhanced Income Funding Series II rounded out the new issuance.
Markets
Activity in the US non-agency RMBS space picked up in the second half of the week, as SCI reported on Friday (SCI 5 April). Subprime paper once again led the charge, with SCI's PriceABS data picking up names such as RAMP 2006-RZ5 A2 and JPMAC 2006-WF1 A3A out for the bid.
Spreads remained range-bound for US CMBS, meanwhile, according to Barclays Capital analysts. Marginal tightening was seen for 2005-2007 AMs.
"New issue dupers stayed at ~S+85bp in the absence of any new conduit supply. We expect this to change in the coming weeks, with a series of conduit deals lined up to close in April. In the agency CMBS market, spreads widened 2-3bp on 10/9.5 DUS loans, while remaining roughly unchanged elsewhere," they comment.
Bank card bonds dominated the US ABS market at the start of the week, but a greater proportion of student loan and container ABS paper generated variety later on, as SCI reported on Wednesday (SCI 3 April). Tuesday's secondary trading flows picked up on Monday's.
PriceABS highlighted NCSLT 2006-4 A2 as one of the student loan tranches that was circulating. It was talked at 94 and at 96, having previously been covered at high-94 in January and at 93.16 in October last year.
In Europe, both primary and secondary markets were fairly quiet. Deutsche Bank analysts note: "Secondary markets remain quiet - while broader risk markets have absorbed and seemingly moved on from the Cyprus debacle - observable trading in European ABS has been muted on the back of the Easter holiday. The new issue pipeline, meanwhile, continues to remain meager."
Deal news
• Freddie Mac intends to start issuing pools of modified loans, which could offer a distinct investment opportunity. At the same time, the FHFA has announced a significant revision to the current modification process, which is set to increase the number of modifications executed and provide extra impetus to Freddie's plan.
• Ways of improving financing to the Dutch mortgage market are currently being considered by the country's authorities, in particular how to encourage increased participation from institutional investors. One proposal under discussion is the creation of a centralised Dutch mortgage bank (the NHI), which would issue multi-issuer standardised mortgage bonds (NHOs) explicitly wrapped by the state.
• CMBS note sale activity via Auction.com is expected to pick up this month, with four separate commercial property auctions scheduled. The largest among these is the Corridors I & II property, part of the US$39m TAG portfolio securitised in LBUBS 2005-C5.
• The majority of the controlling class of ACA ABS 2007-1 has directed the trustee (Wells Fargo) to dispose of the CDO's collateral. It is currently anticipated that the liquidation of the portfolio will be effected via one or more private sales.
• S&P has raised the issuer credit rating (ICR) on the Athilon CDPC to triple-B plus from double-B plus. At the same time, the agency affirmed its ratings on the senior subordinated, subordinated and junior subordinated notes. Its outlook on Athilon is stable.
• Auctions are due to be conducted for Longport Funding II and Trainer Wortham First Republic CBO IV. The sales for the transactions will be held on 19 and 22 April respectively.
Regulatory update
• The ECB deadline for submitting loan-level data to the European DataWarehouse has passed. Although most banks had signed up by February (SCI 22 February), the number of deals in the ED's system has increased significantly from around 200 at the end of that month to now stand at 557.
• MBIA Inc on 2 April won an appeals court ruling, whereby Bank of America could be required to repurchase securitised loans even if they are not in default. The New York state appeals panel found that MBIA is entitled to have Bank of America buy back a performing loan that it can prove "materially and adversely" affected its interest, thus reversing part of a lower court ruling.
• The NCUA has settled with Bank of America for US$165m for losses related to purchases of RMBS by failed corporate credit unions. The agency subsequently filed a petition with the Supreme Court of New York State to withdraw its objections against the US$8.5bn proposed Countrywide settlement.
• IntercontinentalExchange is seeking to establish ICE Trade Vault Europe as a trade repository for the reporting of swaps and futures trade data to meet EMIR requirements. Its launch remains subject to approval by ESMA.
• The CFTC has issued a final rule to exempt swaps between certain affiliated entities within a corporate group from clearing requirements under the Commodity Exchange Act (CEA), subject to a number of conditions. The rule permits affiliated counterparties to elect not to clear a swap if those counterparties are majority-owned affiliates whose financial statements are included in the same consolidated financial statements.
Deals added to the SCI database last week:
A-Best 8; Access Funding 2013-1; Adirondack Park CLO; AFG Series 2013-1 Trust RMBS; Alaska Student Loan Corporation Series 2013-A; American Credit Acceptance Receivables Trust 2013-1; Apidos CLO XII; ARI Fleet Lease Trust 2013-A; CAL Funding II series 2013-1; Carlyle Global Market Strategies CLO 2013-2; Cedar Funding II CLO; Dansk Auto Finansiering 1; ECP CLO 2013-5; Fifth Third Auto Trust 2013-A; GE Capital Credit Card Master Note Trust Series 2013-1; GoldenTree Loan Opportunities VII; Hardee's Funding/Carl's Jr Funding Series 2013-1; IDOL Trust Series 2013-1 RMBS; ING IM CLO 2013-2; Liberty Series 2013-1 Trust; Pontormo SME; Saecure 13; SC Germany Auto 2013-1; SC Germany Consumer 2013-1; Shackleton 2013-III CLO; Tralee CLO II; and Volvo Financial Equipment Series 2013-1.
Deals added to the SCI CMBS Loan Events database last week:
Capmark VII; CMLT 2008-LS1; COMM 2006-C7; CWCI 2006-C1; CWCI 2007-C2; DECO 2007-C4; DECO 6-UK2; DECO 7-E2; EURO 25; FORES 1; GCCFC 2007-GG9; GRF 2006-1; JPMCC 2005-LD2; JPMCC 2007-C1; JPMCC 2008-C2; JPMCC 2012-HSBC; LBUBS 2007-C6; LBUBS 2008-C1; MSC 2007-IQ15; PROUL 1; REC 3; RIVOL 2006-1; TAHIT 1; TITN 2007-3; TMAN 6; VWALL 1; WBCMT 2004-C11; WBCMT 2007-C30; WINDM VIII; and WINDM XII.
Top stories to come in SCI:
Focus on US single-asset CMBS
Filling the UK RMBS vacuum