A look at the major activity in structured finance over the past seven days
Pipeline
A broad range of transactions remained in the pipeline at the end of last week. These deals comprise four ABS, four RMBS and two CMBS.
The ABS currently in the pipeline consists of: €800m Bavarian Sky German Auto Loans 1; US$238m CarFinance Auto Receivables Trust 2013-1; US$599.7m Edsouth Indenture No.4 Series 2013-1; and €300m Volta Electricity Receivables Securitisation. The RMBS include Firstmac Series 1E-2013 and £420.6m Kenrick No.2, as well as two servicer advance deals - HLSS Servicer Advance Receivables Trust series 2013-T2 and 2013-T3 (each sized at US$425m). Finally, a pair of CMBS continues to be marketed - US$510m JPMCC 2013-JWRZ and US$1.47bn WFRBS 2013-C14.
Pricings
The deals that priced last week were even more diversified. The ABS, CLO, CMBS, ILS and RMBS asset classes were all well represented.
No less than 10 ABS printed during the week. These were: A$540m-equivalent SMART ABS Series 2013-2US Trust; US$1.342bn Ford Credit Auto Owner Trust 2013-B; US$800m Nissan Auto Lease Trust 2013-A; €571.4m Red & Black Auto Lease Germany 1; US$526.3m World Financial Network Credit Card Master Note Trust Series 2013-B; US$750m Chase Issuance Trust 2013-4; US$250m Chase Issuance Trust 2013-5; US$512m Hyundai Floorplan Master Owner Trust Series 2013-1; US$150.8m United Auto Credit Securitization Trust 2013-1; and €450m Alba 5.
The CLO new issues comprised: US$500m Cent CLO 18; US$500m CIFC Funding 2013-II; €403m Grand Harbour I CLO; and US$517.5m Octagon Investment Partners XVI. The CMBS were US$1.2bn GSMS 2013-GCJ12 and US$440m CGCMT 2013-375P.
Finally, two RMBS (US$424m Sequoia Mortgage Trust 2013-7 and A$472m Series 2013-1 REDS EHP Trust) and one catastrophe bond (US$300m Long Point Re III series 2013-1) rounded out the issuance.
Markets
European secondary ABS spreads tightened further across the board last week, according to ABS analysts at JPMorgan, although the pace has slowed somewhat. "In absolute terms, peripherals and higher-yielding asset classes tightened the most, as to be expected. Granite remained flat across the capital structure, with the exception of the junior-most bonds, which gained 75bp to close the week at 89.75 cash price," they note.
US CMBS spreads also tightened significantly early last week, with the rally flagging by Thursday. While 2007 dupers and AMs ended the week marginally tighter, the main price action continued to be in the vintage AJ/mezz space, MBS analysts at Barclays Capital observe.
"Prices on these tranches climbed another 1-2 points in the beginning of the week, before a surge in profit-taking caused levels to back off slightly. We estimate that almost US$760m of vintage AJ/mezz was put out for bid [last] week, significantly above the weekly average of about US$385m for much of last year," they add.
Supply in the US non-agency RMBS sector reached roughly US$3bn, meanwhile, boosted by a US$1bn bid-list from Freddie Mac (SCI 17 May) and a number of CDO liquidations. Structured product analysts at Wells Fargo note that the general tone was positive, even with the elevated supply and the velocity of bonds trading in the street increasing.
Secondary US CLO activity also picked up last week, with BWIC volume increasing to over US$900m, according to Bank of America Merrill Lynch figures. In addition to triple-B, double-B and equity tranches - which accounted for most of the sector's BWIC volume in recent weeks - a large volume of triple-A notes were offered.
"Spreads across the capital stack tightened amid the healthy volume of traded line items. Of particular note were two middle-market CLO tranches that ended up trading above par, which surpassed the market's expectations," BAML CLO analysts comment.
Deal news
• Freddie Mac's US$1bn-plus US RMBS non-agency bid-list traded on Wednesday. The day's session saw elevated BWIC volumes for prime hybrid, Alt-A hybrid, option ARM and subprime paper, with around 70% of the collateral understood to have traded to one dealer.
• The risk of equitable subordination has arisen for the first time during insolvency proceedings of German CMBS borrowers. The case involves the Orange loan securitised in Talisman 6, which is sponsored by Treveria.
• Moody's has placed on review for downgrade the ratings of 28 tranches in eight UK RMBS sponsored by Co-operative Bank. The rating actions follow the agency's downgrade of Co-operative Bank from A3/Prime-2 to Ba3/Not Prime on 9 May.
• Fitch has released an unsolicited comment on CGCMT 2013-375P, a CMBS backed by a single loan on the Seagram Building located at 375 Park Avenue in New York. The agency says that the deal contains significant pro forma income that makes the credit enhancement insufficient at the triple-A ratings level.
• HIG WhiteHorse Capital has closed WhiteHorse VII, a term facility - structured like a CLO - to fund purchases of broadly syndicated loans. The facility closed with an initial investment of US$25m from the equity holders, with the class A delayed draw note having sole discretion to advance funds in US$5m increments up to a total of US$141m.
• Fitch has upgraded 24, affirmed five and downgraded one tranche from 12 Greek structured finance transactions. The action follows the revision of the country ceiling for Greece to single-B from single-B minus, after the Greek sovereign was upgraded by one notch on 14 May.
Regulatory update
• The US CFTC has released a final rulemaking on core principles and other requirements for SEFs. The move has been welcomed by many participants, but SIFMA strongly disagrees with the rules and warns they could negatively impact investors.
• ISDA has launched the ISDA 2013 Reporting Protocol, which contains a counterparty's consent to the disclosure of information. It is intended to facilitate market participants' compliance with mandatory trade reporting requirements.
• A borrower in California has successfully obtained an injunction against a foreclosure sale on his property. The borrower alleges that Bank of America, the servicer on the loan, violated the Homeowners Bill of Rights (HBR) ban on dual tracking by filing for foreclosure sale before responding to a request for a loan modification.
Deals added to the SCI database last week:
Apollo Series 2013-1 Trust; Armor Re series 2013-1; Auto ABS DFP Master Compartment France 2013; Benefit Street Partners CLO II; Capital One Multi-asset Execution Trust 2013-2; CarMax Auto Owner Trust 2013-2; Irvine Core Office Trust 2013-IRV; Missouri Higher Education Loan Authority series 2013-1; Neuberger Berman CLO XIV; Santander Drive Auto Receivables Trust 2013-3; and Taurus 2013 (GMF1).
Deals added to the SCI CMBS Loan Events database last week:
BACM 07-2, BSCMS 07-PW16, MSC 07-IQ14 & 07-HQ12, WBCMT 07-C31 & 07-C32; BACM 2005-1; BACM 2007-1; BSCMS 07-PW17, BSCMS 07-PW18 & MLMT 07-C1; BSCMS 2007-PW16; BSCMS 2007-T26; CGCMT 2007-C6; CGCMT 2007-C6 & CD 2007-CD4; CSMC 2007-C1; DECO 2011-CSPK; ECLIP 2005-2; ECLIP 2007-1; EURO 25; FORES 1; GCCFC 2004-GG1; GECMC 2005-C3 & GECMC 2005-C4; GECMC 2007-C1; JPMCC 2008-C2; MESDG CHAR; MLMT 2006-2; MLMT 2007-C1; MSC 2007-HQ13; PROMI 2; PROUL 1; TAURS 2007-1; TITN 2005-CT1; TITN 2007-CT1; TMAN 6; TMAN 7; WBCMT 2005-C22; WBCMT 2007-C32 & CFCRE 2011-C1; WFRBS 2011-C5; and WINDM VII.
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