A look at the major activity in structured finance over the past seven days
Pipeline
The number of deals entering the pipeline was fairly steady last week, with eight deals remaining there at Friday's close. These included two ABS, one ILS, one RMBS, three CMBS and a CLO.
The ABS comprised €569.5m Monviso 2013 and US$225m SLM Student Loan EDC Repackaging Trust 2013-M1, while the ILS was US$100m Pelican Re series 2013-1. The RMBS was £117.7m Virgil Mortgage No.1.
The CMBS consisted of US$360m BAMLL 2013-WBRK, US$1.207bn Citigroup Commercial Mortgage Trust 2013-GCJ11 and US$1.28bn MSBAM 2013-C9. Finally, the CLO was US$417.75m NewMark 2013-1.
Pricings
A further 20 transactions priced last week as the rate of issuance remained brisk. In total, seven ABS, three RMBS, five CMBS and four CLOs printed.
The ABS new issues were: US$625m Chase Issuance Trust 2013-3; US$222.16m Flagship Credit Auto Trust 2013-1; US$335.53m FRS I series 2013-1; €1.018bn Multi Lease AS 2013; US$2.2bn SpringCastle Funding 2013-A; Sfr200m Swiss Credit Card Issuance No.2 series 2013-1; and US$1.218bn Toyota Auto Receivables 2013-A.
The RMBS prints comprised: A$500m Liberty Series 2013-2; A$350m Pepper Residential Securities Trust No.10; and €753m Storm 2013-II.
The CMBS consisted of: US$930.2m COMM 2013-CCRE7; US$525m COMM 2013-SFS; US$1.75bn FREMF 2013-K712; US$1.25bn UBSBB 2013-C6; and US$300m Wells Fargo Commercial Mortgage Trust 2013-BTC.
The €325m ALME Loan Funding 2013-1, US$310m Arrowpoint 2013-1, US$413.5m Ballyrock CLO 2013-1 and €300m Dryden CLO XXVII rounded out last week's issuance.
Markets
With limited secondary activity last week, participants in the European CLO market were eagerly anticipating the issuance of ALME Loan Funding 2013-1 and Dryden CLO XXVII, as SCI reported on Tuesday (SCI 9 April). Although one trader has doubts about whether strong issuance can be maintained for the rest of the year, several deals remain in the pipeline.
He says: "From the people I have been talking to, there is no expectation that we will see three or four deals each month, but 10 or 12 deals a year seems reasonable. If each of those is around €300m, then - while we might not get back to the market's pre-crisis levels - it would be a huge improvement on the last few years."
Secondary activity was also muted in the US CLO market, according to Bank of America Merrill Lynch structured products analysts. Pricing from the Arrowpoint and Ballyrock CLOs suggests that spreads have settled around the 115-120 DM range.
"Double-A and single-A spreads remain at the tights, with deals being marketed with spreads of 165-175 and 275-285 DM. Triple-B and double-B spreads have stabilised, after widening out at the end of March, and are now in the 410-420 and 625-635 contexts," the analysts note.
US CDOs were circulating in strength mid-week, as SCI reported on 11 April. SCI's PriceABS data shows a slew of Trups bonds from Wednesday's session, with a dozen PRETSL tranches and names such as TRAPEZA 12 A1 out for the bid.
Meanwhile, US CMBS new issue spreads have widened out, although legacy super senior tightened by 1bp to 2bp last week (SCI 12 April). The GSMS 2007-GG10 A4 bond tightened to 127bp over swaps on Thursday, its tightest level since mid-January.
Non-agency prices stayed firm in US RMBS, report Barclays Capital analysts. They note that the recent tightening has turned the opportunity in REO rentals attractive on relative terms.
"Non-agencies continued their rally this week in keeping with the broader market trend. Cash prices for Alt-A hybrids went up a point, while option ARMs and jumbo hybrids went up half a point. FRM bonds were unchanged for the week," they say.
Deal news
• Markit has unveiled the Markit iBoxx US Non-Agency RMBS indices, a family of cash bond indices based on a portfolio of US non-agency RMBS. The new family of indices aims to provide market participants with a historical dataset and ongoing points of reference to assess the returns of the US non-agency RMBS market.
• S&P Dow Jones Indices has launched three new credit spread indices based upon the S&P 500. It has also licensed trueEX, a CFTC-approved electronic exchange, to create futures contracts based upon the indices.
• The Australian Office of Financial Management (AOFM) has announced that it will not make any new investments in RMBS, effective immediately. However, it may continue to hold its remaining RMBS holdings until maturity.
• On 13 May the US District Court for the Southern District of New York is scheduled to start jury selection for the Abu Dhabi Commercial Bank trial, in which Moody's, Morgan Stanley and S&P are named as co-defendants. The litigation relates to the sale of the Cheyne Finance SIV, which was restructured in 2008 (SCI 18 June 2008).
• S&P has incorporated the top 250 corporate obligations held in rated US cashflow CLOs in its potential bond upgrade research this month. The agency found that 23 of these companies have upgrade potential, constituting 17% of the 138 US-based potential upgrades. The telecommunications and consumer products sectors have the highest concentration of potential upgrade CLO constituents, with 22% and 13% respectively.
Regulatory update
• In a comment letter to US federal agencies, the Loan Syndications and Trading Association last week proposed a new risk retention plan for CLOs that meets the requirements embodied in the Dodd-Frank Act, while also preserving the ability of market participants to originate new CLOs and continue a vital credit flow to financial markets and the US economy. The LSTA developed the new plan after federal agencies appeared unlikely to exempt CLOs from currently proposed guidelines - a position that the LSTA believes will shut down the market.
• ISDA notes in a recent derivatiViews publication that the thrust of the Basel Committee/IOSCO's second consultation on margin requirements for non-centrally cleared derivatives remain "more or less unchanged" from the previous consultation. The association warns that if initial margin (IM) requirements are implemented as proposed, the sheer quantum of them is likely to cause irreparable damage to market liquidity and to the general economy.
• The CFTC's Division of Market Oversight has issued a no-action letter providing swap counterparties that are not swap dealers or major swap participants with relief from certain reporting requirements. A reporting compliance date of 10 April had been set for non-SD/MSP counterparties.
• The Committee on Payment and Settlement Systems and IOSCO have published for public comment a consultative report entitled 'Authorities' access to trade repository data'. The purpose of the report is to provide guidance to trade repositories (TRs) and authorities on the principles that should guide authorities' access to data held in TRs for typical and non-typical data requests.
Deals added to the SCI database last week:
Ally Auto Receivables Trust 2013-1; AmeriCredit Automobile Receivables Trust 2013-2; CGRBS 2013-VNO5TH; Citadel 2010-II; Clock Finance 2013-1; COMM 2013-SFS; COMM 2013-WWP; CSMC Trust 2013-IVR1; Del Coronado Trust 2013-DEL; Educational Enhancement Funding Corp series 2013; EverBank Mortgage Loan Trust 2013-1; Everglades Re series 2013-1; Foncaixa Leasings 2; FREMF 2013-KSMC; GSMS 2013-NYC5; IM Cajamar Empresas 5; JMP Credit Advisors CLO 2013-1; John Deere Owner Trust 2013-A; JP Morgan Mortgage Trust 2013-1; Oaktree Enhanced Income Funding series II; Oklahoma Student Loan Authority Series 2013-1; Prestige Auto Receivables Trust 2013-1; Rhode Island Student Loan Authority 2013 Senior Series A; Sequoia Mortgage Trust 2013-4; SLM Student Loan Trust 2013-2; SNAAC Auto Receivables Trust 2013-1; Tar Heel Re series 2013-1; THL Credit Wind River 2013-1 CLO; Unison Ground Lease Funding Notes; and WFCM 2013-120B.
Deals added to the SCI CMBS Loan Events database last week:
BACM 06-1, BACM 06-2 & COMM 06-C7; BACM 2005-1; BACM 2006-3; BACM 2007-1; BACM 2007-2; BACM 2007-3; BSCMS 04-PWR5 & MSC 04-IQ8; BSCMS 2005-PWR7; BSCMS 2006-PW14; BSCMS 2007-T28; CD 2006-CD2; COMM 2005-C6; COMM 2006-C7; CSMC 2007-C1; CSMC 2007-C4; CWCI 06-1 & WBCMT 06-C28; CWCI 2007-C3; DBUBS 2011-LC2; DECO 2005-E1; ECLIP 2006-1; ECLIP 2007-2; EURO 23; EURO 24; EURO 25; GCCFC 2005-GG3; GCCFC 2005-GG5; GCCFC 2006-GG7; GECMC 2005-C1; GSMS 2007-GG10; LBUBS 2003-C8; LBUBS 2005-C5; MLCFC 2006-2; MLMT 2004-KEY2; MLMT 2007-C1; MSC 2007-IQ16; RIVOL 2006-1; TITN 2006-2; TITN 2006-3; TITN 2007-2; TITN 2007-CT1; TMAN 6; TMAN 7; WFRBS 2011-C2; WINDM XI; WINDM XII; WINDM XIV; and WTOW 2007-1.
Top stories to come in SCI:
Focus on US single-asset CMBS
Filling the UK RMBS vacuum